GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 65.4% | ||||||||||||
| Aerospace & Defense – 1.4% | ||||||||||||
| Howmet Aerospace, Inc.(a) | ||||||||||||
| $ |
821,000 | 5.125 | % | 10/01/24 | $ 884,628 | |||||||
| Teledyne Technologies, Inc. | ||||||||||||
| 2,700,000 | 0.650 | 04/01/23 | 2,687,121 | |||||||||
| The Boeing Co. | ||||||||||||
| 4,925,000 | 1.167 | (a) | 02/04/23 | 4,925,837 | ||||||||
| 2,550,000 | 1.950 | 02/01/24 | 2,583,838 | |||||||||
| TransDigm, Inc.(a)(b) | ||||||||||||
| 1,365,000 | 8.000 | 12/15/25 | 1,436,663 | |||||||||
|
| ||||||||||||
| 12,518,087 | ||||||||||||
|
| ||||||||||||
| Agriculture(b) – 0.1% | ||||||||||||
| Cargill, Inc. | ||||||||||||
| 500,000 | 1.375 | 07/23/23 | 504,065 | |||||||||
|
| ||||||||||||
| Apparel – 0.2% | ||||||||||||
| NIKE, Inc.(a) | ||||||||||||
| 725,000 | 2.400 | 03/27/25 | 750,875 | |||||||||
| Ralph Lauren Corp. | ||||||||||||
| 1,061,000 | 1.700 | 06/15/22 | 1,066,995 | |||||||||
|
| ||||||||||||
| 1,817,870 | ||||||||||||
|
| ||||||||||||
| Automotive – 2.8% | ||||||||||||
| Dana Financing Luxembourg S.a.r.l.(a)(b) | ||||||||||||
| 1,405,000 | 5.750 | 04/15/25 | 1,441,881 | |||||||||
| Ford Motor Credit Co. LLC(a) | ||||||||||||
| 1,440,000 | 3.339 | 03/28/22 | 1,442,890 | |||||||||
| General Motors Co. | ||||||||||||
| 3,423,000 | 4.875 | 10/02/23 | 3,636,390 | |||||||||
| 1,522,000 | 5.400 | 10/02/23 | 1,630,016 | |||||||||
| General Motors Financial Co, Inc. | ||||||||||||
| 4,925,000 | 1.050 | 03/08/24 | 4,898,799 | |||||||||
| 2,425,000 | 1.200 | 10/15/24 | 2,406,958 | |||||||||
| Hyundai Capital America(b) | ||||||||||||
| 2,375,000 | 1.000 | 09/17/24 | 2,337,451 | |||||||||
| PACCAR Financial Corp. | ||||||||||||
| 400,000 | 2.650 | 04/06/23 | 409,440 | |||||||||
| The Goodyear Tire & Rubber Co.(a) | ||||||||||||
| 1,330,000 | 9.500 | 05/31/25 | 1,433,075 | |||||||||
| Toyota Motor Credit Corp. | ||||||||||||
| 3,222,000 | 1.350 | 08/25/23 | 3,251,643 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Automotive – (continued) | ||||||||||||
| Volkswagen Group of America Finance LLC(b) | ||||||||||||
| $ |
1,025,000 | 2.900 | % | 05/13/22 | $ 1,032,503 | |||||||
| 1,225,000 | 0.750 | 11/23/22 | 1,224,853 | |||||||||
|
| ||||||||||||
| 25,145,899 | ||||||||||||
|
| ||||||||||||
| Banks – 10.9% | ||||||||||||
| Banco Santander SA | ||||||||||||
| 1,400,000 | 2.706 | 06/27/24 | 1,448,370 | |||||||||
| Bank of America Corp.(a)(c) (3M USD LIBOR + 0.650%) | ||||||||||||
| 500,000 | 3.335 | 01/25/23 | 501,570 | |||||||||
| Bank of America Corp. | ||||||||||||
| 1,200,000 | 4.100 | 07/24/23 | 1,261,080 | |||||||||
| 2,500,000 | 4.000 | 01/22/25 | 2,673,425 | |||||||||
| (3M USD LIBOR + 0.790%) | ||||||||||||
| 4,125,000 | 3.004 | (a)(c) | 12/20/23 | 4,210,387 | ||||||||
| (3M USD LIBOR + 0.940%) | ||||||||||||
| 1,300,000 | 3.864 | (a)(c) | 07/23/24 | 1,354,678 | ||||||||
| Bank of New York Mellon Corp.(a) | ||||||||||||
| 1,375,000 | 0.350 | 12/07/23 | 1,364,082 | |||||||||
| Banque Federative du Credit Mutuel SA(b) | ||||||||||||
| 1,700,000 | 2.125 | 11/21/22 | 1,723,494 | |||||||||
| 950,000 | 0.650 | 02/27/24 | 938,781 | |||||||||
| Barclays Bank PLC(a) | ||||||||||||
| 725,000 | 1.700 | 05/12/22 | 727,320 | |||||||||
| Barclays PLC(a)(c) (3M USD LIBOR + 1.400%) | ||||||||||||
| 825,000 | 4.610 | 02/15/23 | 828,498 | |||||||||
| BNP Paribas SA(b) | ||||||||||||
| 900,000 | 2.950 | 05/23/22 | 908,433 | |||||||||
| 2,475,000 | 3.500 | 03/01/23 | 2,547,988 | |||||||||
| BPCE SA(b) | ||||||||||||
| 649,000 | 4.000 | 09/12/23 | 679,114 | |||||||||
| Canadian Imperial Bank of Commerce | ||||||||||||
| 1,175,000 | 0.950 | 06/23/23 | 1,175,940 | |||||||||
| CIT Group, Inc.(a) | ||||||||||||
| 75,000 | 4.750 | 02/16/24 | 79,313 | |||||||||
| Citigroup, Inc.(a) | ||||||||||||
| 4,575,000 | 2.750 | 04/25/22 | 4,599,385 | |||||||||
| 925,000 | 2.700 | 10/27/22 | 939,560 | |||||||||
| (3M USD LIBOR + 0.722%) | ||||||||||||
| 2,850,000 | 3.142 | (c) | 01/24/23 | 2,853,762 | ||||||||
| (SOFR + 0.686%) | ||||||||||||
| 1,225,000 | 0.776 | (c) | 10/30/24 | 1,217,172 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Citizens Bank NA(a) | ||||||||||||
| $ |
1,200,000 | 3.250 | % | 02/14/22 | $ 1,200,972 | |||||||
| 900,000 | 2.250 | 04/28/25 | 921,924 | |||||||||
| Cooperatieve Rabobank UA | ||||||||||||
| 1,050,000 | 0.375 | 01/12/24 | 1,037,022 | |||||||||
| Danske Bank A/S(a)(b) | ||||||||||||
| 1,175,000 | 1.226 | 06/22/24 | 1,174,835 | |||||||||
| Fifth Third Bancorp(a) | ||||||||||||
| 325,000 | 1.625 | 05/05/23 | 328,052 | |||||||||
| Fifth Third Bank NA(a) | ||||||||||||
| 1,125,000 | 1.800 | 01/30/23 | 1,136,396 | |||||||||
| First Horizon Corp.(a) | ||||||||||||
| 1,000,000 | 3.550 | 05/26/23 | 1,030,730 | |||||||||
| HSBC Holdings PLC | ||||||||||||
| 1,300,000 | 3.600 | 05/25/23 | 1,348,451 | |||||||||
| ING Groep NV | ||||||||||||
| 900,000 | 4.100 | 10/02/23 | 947,070 | |||||||||
| JPMorgan Chase & Co.(a)(c) | ||||||||||||
| (3M USD LIBOR + 0.695%) | ||||||||||||
| 1,775,000 | 3.207 | 04/01/23 | 1,785,526 | |||||||||
| (SOFR + 0.420%) | ||||||||||||
| 2,750,000 | 0.563 | 02/16/25 | 2,712,600 | |||||||||
| (SOFR + 0.600%) | ||||||||||||
| 850,000 | 0.653 | 09/16/24 | 845,623 | |||||||||
| (SOFR + 1.455%) | ||||||||||||
| 2,225,000 | 1.514 | 06/01/24 | 2,240,886 | |||||||||
| KeyBank NA | ||||||||||||
| 675,000 | 2.400 | 06/09/22 | 680,798 | |||||||||
| 725,000 | 1.250 | 03/10/23 | 729,444 | |||||||||
| Lloyds Banking Group PLC(a)(c) (1 Year CMT + 1.100%) | ||||||||||||
| 1,200,000 | 1.326 | 06/15/23 | 1,202,136 | |||||||||
| Macquarie Bank Ltd.(b) | ||||||||||||
| 1,225,000 | 2.100 | 10/17/22 | 1,239,786 | |||||||||
| 2,150,000 | 0.441 | 12/16/22 | 2,146,237 | |||||||||
| Mitsubishi UFJ Financial Group, Inc. | ||||||||||||
| 1,000,000 | 2.623 | 07/18/22 | 1,011,300 | |||||||||
| 1,550,000 | 3.761 | 07/26/23 | 1,617,704 | |||||||||
| Mizuho Financial Group, Inc.(a)(c) (-1x SOFR + 1.252%) | ||||||||||||
| 1,275,000 | 1.241 | 07/10/24 | 1,278,085 | |||||||||
| Morgan Stanley, Inc. | ||||||||||||
| 1,400,000 | 3.125 | 01/23/23 | 1,434,468 | |||||||||
| (3M USD LIBOR + 0.847%) | ||||||||||||
| 1,125,000 | 3.737 | (a)(c) | 04/24/24 | 1,164,352 | ||||||||
| (SOFR + 0.466%) | ||||||||||||
| 1,550,000 | 0.560 | (a)(c) | 11/10/23 | 1,547,396 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Morgan Stanley, Inc. – (continued) | ||||||||||||
| (SOFR + 0.745%) | ||||||||||||
| $ |
725,000 | 0.864 | %(a)(c) | 10/21/25 | $ 715,089 | |||||||
| MUFG Union Bank NA(a) | ||||||||||||
| 1,325,000 | 3.150 | 04/01/22 | 1,330,764 | |||||||||
| 650,000 | 2.100 | 12/09/22 | 658,158 | |||||||||
| Natwest Group PLC(a)(c) (1 Year CMT + 2.150%) | ||||||||||||
| 1,200,000 | 2.359 | 05/22/24 | 1,219,188 | |||||||||
| Natwest Markets PLC(b) | ||||||||||||
| 1,250,000 | 3.625 | 09/29/22 | 1,277,725 | |||||||||
| 795,000 | 2.375 | 05/21/23 | 810,328 | |||||||||
| Royal Bank of Canada | ||||||||||||
| 1,125,000 | 1.950 | 01/17/23 | 1,140,525 | |||||||||
| 1,475,000 | 0.500 | 10/26/23 | 1,464,955 | |||||||||
| Santander UK Group Holdings PLC(a)(c) (SOFR + 0.787%) | ||||||||||||
| 1,425,000 | 1.089 | 03/15/25 | 1,412,275 | |||||||||
| Skandinaviska Enskilda Banken AB(b) | ||||||||||||
| 1,175,000 | 0.550 | 09/01/23 | 1,169,078 | |||||||||
| Standard Chartered PLC(a)(b)(c) | ||||||||||||
| (1 year CMT + 0.780%) | ||||||||||||
| 875,000 | 0.991 | 01/12/25 | 865,646 | |||||||||
| (3M USD LIBOR + 1.080%) | ||||||||||||
| 1,400,000 | 3.885 | 03/15/24 | 1,443,288 | |||||||||
| (3M USD LIBOR + 1.150%) | ||||||||||||
| 1,200,000 | 4.247 | 01/20/23 | 1,201,740 | |||||||||
| State Street Corp.(a)(c) (SOFR + 2.690%) | ||||||||||||
| 450,000 | 2.825 | 03/30/23 | 452,318 | |||||||||
| Sumitomo Mitsui Financial Group, Inc. | ||||||||||||
| 325,000 | 0.508 | 01/12/24 | 321,159 | |||||||||
| 725,000 | 0.948 | 01/12/26 | 703,170 | |||||||||
| Sumitomo Mitsui Trust Bank Ltd.(b) | ||||||||||||
| 2,250,000 | 0.800 | 09/12/23 | 2,242,192 | |||||||||
| The Huntington National Bank(a) | ||||||||||||
| 1,250,000 | 3.125 | 04/01/22 | 1,254,850 | |||||||||
| 1,050,000 | 1.800 | 02/03/23 | 1,059,440 | |||||||||
| Truist Bank(a) | ||||||||||||
| 1,700,000 | 1.250 | 03/09/23 | 1,709,673 | |||||||||
| UBS AG(b) | ||||||||||||
| 1,775,000 | 0.450 | 02/09/24 | 1,747,434 | |||||||||
| UBS Group AG(b) | ||||||||||||
| 6,306,000 | 2.650 | 02/01/22 | 6,316,972 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Wells Fargo & Co.(a) | ||||||||||||
| $ |
500,000 | 3.750 | % | 01/24/24 | $ 525,330 | |||||||
| (SOFR + 1.600%) | ||||||||||||
| 3,125,000 | 1.654 | (c) | 06/02/24 | 3,151,219 | ||||||||
|
| ||||||||||||
| 96,986,661 | ||||||||||||
|
| ||||||||||||
| Beverages – 1.8% | ||||||||||||
| Beam Suntory, Inc.(a) | ||||||||||||
| 2,000,000 | 3.250 | 05/15/22 | 2,006,160 | |||||||||
| Constellation Brands, Inc.(a) | ||||||||||||
| 1,950,000 | 3.200 | 02/15/23 | 1,994,733 | |||||||||
| Diageo Investment Corp. | ||||||||||||
| 2,000,000 | 2.875 | 05/11/22 | 2,017,140 | |||||||||
| JDE Peet’s NV(a)(b) | ||||||||||||
| 2,625,000 | 0.800 | 09/24/24 | 2,566,987 | |||||||||
| Keurig Dr Pepper, Inc.(a) | ||||||||||||
| 7,486,000 | 4.057 | 05/25/23 | 7,801,685 | |||||||||
|
| ||||||||||||
| 16,386,705 | ||||||||||||
|
| ||||||||||||
| Biotechnology – 0.4% | ||||||||||||
| Gilead Sciences, Inc.(a) | ||||||||||||
| 131,000 | 0.750 | 09/29/23 | 130,401 | |||||||||
| Illumina, Inc. | ||||||||||||
| 2,475,000 | 0.550 | 03/23/23 | 2,462,650 | |||||||||
| Royalty Pharma PLC | ||||||||||||
| 1,200,000 | 0.750 | 09/02/23 | 1,192,284 | |||||||||
|
| ||||||||||||
| 3,785,335 | ||||||||||||
|
| ||||||||||||
| Building Materials(a)(b) – 0.2% | ||||||||||||
| JELD-WEN, Inc. | ||||||||||||
| 1,435,000 | 4.625 | 12/15/25 | 1,445,763 | |||||||||
|
| ||||||||||||
| Chemicals – 0.7% | ||||||||||||
| Celanese US Holdings LLC(a) | ||||||||||||
| 350,000 | 3.500 | 05/08/24 | 365,659 | |||||||||
| Ingevity Corp.(a)(b) | ||||||||||||
| 1,435,000 | 4.500 | 02/01/26 | 1,442,175 | |||||||||
| International Flavors & Fragrances, Inc.(b) | ||||||||||||
| 3,050,000 | 0.697 | 09/15/22 | 3,048,841 | |||||||||
| The Sherwin-Williams Co.(a) | ||||||||||||
| 64,000 | 2.750 | 06/01/22 | 64,459 | |||||||||
| Westlake Chemical Corp.(a) | ||||||||||||
| 975,000 | 0.875 | 08/15/24 | 960,336 | |||||||||
|
| ||||||||||||
| 5,881,470 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Commercial Services – 0.9% | ||||||||||||
| Global Payments, Inc.(a) | ||||||||||||
| $ |
1,150,000 | 3.750 | % | 06/01/23 | $ 1,185,167 | |||||||
| 525,000 | 1.200 | 03/01/26 | 510,830 | |||||||||
| IHS Markit Ltd.(a) | ||||||||||||
| 2,223,000 | 5.000 | (b) | 11/01/22 | 2,276,552 | ||||||||
| 475,000 | 3.625 | 05/01/24 | 497,962 | |||||||||
| PayPal Holdings, Inc. | ||||||||||||
| 1,800,000 | 2.200 | 09/26/22 | 1,822,320 | |||||||||
| 1,475,000 | 1.350 | 06/01/23 | 1,487,390 | |||||||||
|
| ||||||||||||
| 7,780,221 | ||||||||||||
|
| ||||||||||||
| Computers – 1.5% | ||||||||||||
| Dell International LLC/EMC Corp.(a) | ||||||||||||
| 1,447,000 | 5.450 | 06/15/23 | 1,528,162 | |||||||||
| 1,075,000 | 5.850 | 07/15/25 | 1,219,362 | |||||||||
| Hewlett Packard Enterprise Co.(a) | ||||||||||||
| 1,400,000 | 2.250 | 04/01/23 | 1,421,910 | |||||||||
| 2,175,000 | 4.450 | 10/02/23 | 2,295,930 | |||||||||
| 3,625,000 | 1.450 | 04/01/24 | 3,646,823 | |||||||||
| International Business Machines Corp. | ||||||||||||
| 3,224,000 | 2.850 | 05/13/22 | 3,252,500 | |||||||||
|
| ||||||||||||
| 13,364,687 | ||||||||||||
|
| ||||||||||||
| Diversified Financial Services – 5.3% | ||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||||||
| 5,600,000 | 4.125 | (a) | 07/03/23 | 5,822,040 | ||||||||
| 3,375,000 | 1.150 | 10/29/23 | 3,360,859 | |||||||||
| AIG Global Funding(b) | ||||||||||||
| 1,450,000 | 2.300 | 07/01/22 | 1,461,716 | |||||||||
| 2,100,000 | 0.800 | 07/07/23 | 2,097,690 | |||||||||
| 1,525,000 | 0.450 | 12/08/23 | 1,508,835 | |||||||||
| 5,075,000 | 0.650 | 06/17/24 | 4,993,394 | |||||||||
| Air Lease Corp. | ||||||||||||
| 1,425,000 | 3.500 | 01/15/22 | 1,426,197 | |||||||||
| 500,000 | 2.250 | 01/15/23 | 506,355 | |||||||||
| 1,150,000 | 2.750 | (a) | 01/15/23 | 1,168,722 | ||||||||
| 5,549,000 | 4.250 | (a) | 02/01/24 | 5,848,923 | ||||||||
| 825,000 | 2.300 | (a) | 02/01/25 | 837,342 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Diversified Financial Services – (continued) | ||||||||||||
| Ally Financial, Inc.(a) | ||||||||||||
| $ |
3,075,000 | 1.450 | % | 10/02/23 | $ 3,085,670 | |||||||
| Aviation Capital Group LLC(a)(b) | ||||||||||||
| 1,200,000 | 5.500 | 12/15/24 | 1,313,412 | |||||||||
| 550,000 | 1.950 | 01/30/26 | 537,675 | |||||||||
| Avolon Holdings Funding Ltd.(a)(b) | ||||||||||||
| 1,550,000 | 3.625 | 05/01/22 | 1,561,160 | |||||||||
| 675,000 | 2.875 | 02/15/25 | 689,074 | |||||||||
| BlackRock, Inc. | ||||||||||||
| 1,218,000 | 3.375 | 06/01/22 | 1,233,237 | |||||||||
| Capital One Financial Corp.(a) | ||||||||||||
| 725,000 | 2.600 | 05/11/23 | 740,326 | |||||||||
| (3M USD LIBOR + 0.720%) | ||||||||||||
| 1,300,000 | 0.849 | (c) | 01/30/23 | 1,302,795 | ||||||||
| Intercontinental Exchange, Inc. | ||||||||||||
| 500,000 | 0.700 | 06/15/23 | 499,575 | |||||||||
| LD Holdings Group LLC(a)(b) | ||||||||||||
| 1,490,000 | 6.500 | 11/01/25 | 1,460,200 | |||||||||
| Nasdaq, Inc.(a) | ||||||||||||
| 1,450,000 | 0.445 | 12/21/22 | 1,447,651 | |||||||||
| Navient Corp. | ||||||||||||
| 1,395,000 | 5.500 | 01/25/23 | 1,447,312 | |||||||||
| OneMain Finance Corp. | ||||||||||||
| 1,380,000 | 5.625 | 03/15/23 | 1,443,825 | |||||||||
| United Wholesale Mortgage LLC(a)(b) | ||||||||||||
| 1,460,000 | 5.500 | 11/15/25 | 1,494,675 | |||||||||
| USAA Capital Corp.(b) | ||||||||||||
| 150,000 | 1.500 | 05/01/23 | 151,517 | |||||||||
|
| ||||||||||||
| 47,440,177 | ||||||||||||
|
| ||||||||||||
| Electrical – 3.6% | ||||||||||||
| Avangrid, Inc.(a) | ||||||||||||
| 650,000 | 3.200 | 04/15/25 | 683,878 | |||||||||
| Berkshire Hathaway Energy Co.(a) | ||||||||||||
| 650,000 | 4.050 | 04/15/25 | 703,970 | |||||||||
| Dominion Energy, Inc. | ||||||||||||
| 1,200,000 | 2.450 | (b) | 01/15/23 | 1,220,184 | ||||||||
| 2,025,000 | 1.450 | (a) | 04/15/26 | 2,004,669 | ||||||||
| DTE Energy Co. | ||||||||||||
| 1,125,000 | 0.550 | 11/01/22 | 1,123,751 | |||||||||
| 575,000 | 1.050 | (a) | 06/01/25 | 564,299 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Electrical – (continued) | ||||||||||||
| Duke Energy Corp.(a) | ||||||||||||
| $ |
2,595,000 | 3.050 | % | 08/15/22 | $ 2,619,263 | |||||||
| Enel Finance International NV(a)(b) | ||||||||||||
| 2,575,000 | 1.375 | 07/12/26 | 2,513,174 | |||||||||
| Entergy Louisiana LLC(a) | ||||||||||||
| 925,000 | 0.620 | 11/17/23 | 917,767 | |||||||||
| 2,000,000 | 0.950 | 10/01/24 | 1,983,800 | |||||||||
| FirstEnergy Corp.(a) | ||||||||||||
| 400,000 | 2.050 | 03/01/25 | 396,773 | |||||||||
| Florida Power & Light Co.(a) | ||||||||||||
| 375,000 | 2.850 | 04/01/25 | 392,423 | |||||||||
| Georgia Power Co. | ||||||||||||
| 1,000,000 | 2.100 | 07/30/23 | 1,018,310 | |||||||||
| ITC Holdings Corp.(a) | ||||||||||||
| 585,000 | 2.700 | 11/15/22 | 593,991 | |||||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||||||
| 2,150,000 | 0.650 | 03/01/23 | 2,145,549 | |||||||||
| NRG Energy, Inc.(a)(b) | ||||||||||||
| 1,225,000 | 3.750 | 06/15/24 | 1,280,039 | |||||||||
| Pacific Gas & Electric Co.(a) | ||||||||||||
| 1,250,000 | 1.750 | 06/16/22 | 1,249,138 | |||||||||
| PPL Electric Utilities Corp.(a)(c) | ||||||||||||
| (3M USD LIBOR + 0.250%) | ||||||||||||
| 275,000 | 0.470 | 09/28/23 | 273,950 | |||||||||
| (SOFR + 0.330%) | ||||||||||||
| 1,930,000 | 0.380 | 06/24/24 | 1,924,557 | |||||||||
| Public Service Enterprise Group, Inc.(a) | ||||||||||||
| 1,725,000 | 0.841 | 11/08/23 | 1,718,238 | |||||||||
| 675,000 | 2.875 | 06/15/24 | 698,888 | |||||||||
| 675,000 | 0.800 | 08/15/25 | 657,140 | |||||||||
| Southern Power Co.(a) | ||||||||||||
| 500,000 | 0.900 | 01/15/26 | 483,840 | |||||||||
| The Southern Co.(a) | ||||||||||||
| 1,400,000 | 2.950 | 07/01/23 | 1,434,776 | |||||||||
| Vistra Operations Co. LLC(a)(b) | ||||||||||||
| 875,000 | 3.550 | 07/15/24 | 902,256 | |||||||||
| WEC Energy Group, Inc. | ||||||||||||
| 725,000 | 0.550 | 09/15/23 | 719,447 | |||||||||
| Xcel Energy, Inc.(a) | ||||||||||||
| 1,948,000 | 0.500 | 10/15/23 | 1,934,695 | |||||||||
|
| ||||||||||||
| 32,158,765 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Entertainment(a)(b) – 0.3% | ||||||||||||
| Banijay Entertainment SASU | ||||||||||||
| $ |
1,410,000 | 5.375 | % | 03/01/25 | $ 1,443,487 | |||||||
| Caesars Resort Collection LLC/CRC Finco, Inc. | ||||||||||||
| 1,385,000 | 5.750 | 07/01/25 | 1,445,594 | |||||||||
|
| ||||||||||||
| 2,889,081 | ||||||||||||
|
| ||||||||||||
| Environmental(a) – 0.2% | ||||||||||||
| GFL Environmental, Inc.(b) | ||||||||||||
| 1,415,000 | 3.750 | 08/01/25 | 1,436,225 | |||||||||
| Waste Management, Inc. | ||||||||||||
| 625,000 | 0.750 | 11/15/25 | 609,456 | |||||||||
|
| ||||||||||||
| 2,045,681 | ||||||||||||
|
| ||||||||||||
| Food & Drug Retailing – 2.0% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC(a)(b) | ||||||||||||
| 1,430,000 | 3.250 | 03/15/26 | 1,456,812 | |||||||||
| B&G Foods, Inc.(a) | ||||||||||||
| 1,415,000 | 5.250 | 04/01/25 | 1,445,069 | |||||||||
| Danone SA(a)(b) | ||||||||||||
| 7,000,000 | 2.589 | 11/02/23 | 7,177,940 | |||||||||
| Mondelez International Holdings Netherlands B.V.(b) | ||||||||||||
| 775,000 | 2.125 | 09/19/22 | 783,525 | |||||||||
| 2,500,000 | 0.750 | 09/24/24 | 2,458,900 | |||||||||
| Mondelez International, Inc. | ||||||||||||
| 2,265,000 | 0.625 | 07/01/22 | 2,266,518 | |||||||||
| 525,000 | 1.500 | (a) | 05/04/25 | 526,061 | ||||||||
| US Foods, Inc.(a)(b) | ||||||||||||
| 1,385,000 | 6.250 | 04/15/25 | 1,442,131 | |||||||||
|
| ||||||||||||
| 17,556,956 | ||||||||||||
|
| ||||||||||||
| Forest Products&Paper(b) – 0.1% | ||||||||||||
| Georgia-Pacific LLC | ||||||||||||
| 1,125,000 | 0.625 | 05/15/24 | 1,110,375 | |||||||||
|
| ||||||||||||
| Gaming(a) – 0.2% | ||||||||||||
| MGM Resorts International | ||||||||||||
| 1,375,000 | 6.750 | 05/01/25 | 1,442,031 | |||||||||
|
| ||||||||||||
| 1,442,031 | ||||||||||||
|
| ||||||||||||
| Gas(a) – 0.3% | ||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp. | ||||||||||||
| 1,290,000 | 5.875 | 08/20/26 | 1,438,350 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Gas(a) – (continued) | ||||||||||||
| NiSource, Inc. | ||||||||||||
| $ |
1,025,000 | 0.950 | % | 08/15/25 | $ 998,924 | |||||||
| The East Ohio Gas Co.(b) | ||||||||||||
| 250,000 | 1.300 | 06/15/25 | 246,730 | |||||||||
|
| ||||||||||||
| 2,684,004 | ||||||||||||
|
| ||||||||||||
| Healthcare Providers & Services – 2.9% | ||||||||||||
| Aetna, Inc.(a) | ||||||||||||
| 975,000 | 2.800 | 06/15/23 | 999,005 | |||||||||
| 2,250,000 | 3.500 | 11/15/24 | 2,376,855 | |||||||||
| Anthem, Inc. | ||||||||||||
| 2,875,000 | 0.450 | 03/15/23 | 2,865,857 | |||||||||
| Baxter International, Inc.(b) | ||||||||||||
| 4,000,000 | 0.868 | 12/01/23 | 3,983,760 | |||||||||
| DH Europe Finance II S.a.r.l. | ||||||||||||
| 1,000,000 | 2.050 | 11/15/22 | 1,011,960 | |||||||||
| 3,025,000 | 2.200 | (a) | 11/15/24 | 3,093,335 | ||||||||
| Humana, Inc.(a) | ||||||||||||
| 2,525,000 | 0.650 | 08/03/23 | 2,513,208 | |||||||||
| PerkinElmer, Inc.(a) | ||||||||||||
| 1,700,000 | 0.850 | 09/15/24 | 1,676,098 | |||||||||
| Thermo Fisher Scientific, Inc.(a) | ||||||||||||
| 4,050,000 | 1.215 | 10/18/24 | 4,046,922 | |||||||||
| Zimmer Biomet Holdings, Inc.(a) | ||||||||||||
| 3,000,000 | 1.450 | 11/22/24 | 2,993,550 | |||||||||
|
| ||||||||||||
| 25,560,550 | ||||||||||||
|
| ||||||||||||
| Home Builders(a) – 0.4% | ||||||||||||
| D.R. Horton, Inc. | ||||||||||||
| 3,199,000 | 4.750 | 02/15/23 | 3,304,247 | |||||||||
|
| ||||||||||||
| 3,304,247 | ||||||||||||
|
| ||||||||||||
| Insurance(b) – 4.4% | ||||||||||||
| Athene Global Funding | ||||||||||||
| 1,090,000 | 2.800 | 05/26/23 | 1,117,653 | |||||||||
| 875,000 | 1.200 | 10/13/23 | 876,759 | |||||||||
| 2,225,000 | 0.950 | 01/08/24 | 2,211,650 | |||||||||
| 375,000 | 2.500 | 01/14/25 | 385,395 | |||||||||
| 600,000 | 1.450 | 01/08/26 | 592,182 | |||||||||
| Equitable Financial Life Global Funding | ||||||||||||
| 700,000 | 1.400 | 07/07/25 | 692,972 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Insurance(b) – (continued) | ||||||||||||
| Great-West Lifeco US Finance 2020 LP(a) | ||||||||||||
| $ |
425,000 | 0.904 | % | 08/12/25 | $ 412,832 | |||||||
| Jackson Financial, Inc. | ||||||||||||
| 2,325,000 | 1.125 | 11/22/23 | 2,321,466 | |||||||||
| Jackson National Life Global Funding | ||||||||||||
| 1,000,000 | 2.500 | 06/27/22 | 1,009,950 | |||||||||
| MassMutual Global Funding II(c)(3M USD LIBOR + 0.150%) | ||||||||||||
| 8,000,000 | 0.274 | 01/07/22 | 8,000,080 | |||||||||
| Metropolitan Life Global Funding I | ||||||||||||
| 575,000 | 1.950 | 01/13/23 | 582,579 | |||||||||
| 600,000 | 0.900 | 06/08/23 | 601,314 | |||||||||
| New York Life Global Funding | ||||||||||||
| 1,200,000 | 1.100 | 05/05/23 | 1,205,760 | |||||||||
| (3M USD LIBOR + 0.280%) | ||||||||||||
| 6,000,000 | 0.410 | (c) | 01/21/22 | 6,000,600 | ||||||||
| Pacific Life Global Funding II | ||||||||||||
| 4,025,000 | 0.500 | 09/23/23 | 3,998,113 | |||||||||
| Principal Life Global Funding II | ||||||||||||
| 2,150,000 | 0.500 | 01/08/24 | 2,128,414 | |||||||||
| Protective Life Global Funding | ||||||||||||
| 2,225,000 | 1.082 | 06/09/23 | 2,231,764 | |||||||||
| 2,100,000 | 0.631 | 10/13/23 | 2,088,702 | |||||||||
| 600,000 | 0.473 | 01/12/24 | 591,936 | |||||||||
| Reliance Standard Life Global Funding II | ||||||||||||
| 1,600,000 | 2.625 | 07/22/22 | 1,618,064 | |||||||||
| 275,000 | 2.150 | 01/21/23 | 279,029 | |||||||||
|
| ||||||||||||
| 38,947,214 | ||||||||||||
|
| ||||||||||||
| Internet(a)(b) – 0.2% | ||||||||||||
| Uber Technologies, Inc. | ||||||||||||
| 1,365,000 | 7.500 | 05/15/25 | 1,438,369 | |||||||||
|
| ||||||||||||
| Iron/Steel(a) – 0.1% | ||||||||||||
| Steel Dynamics, Inc. | ||||||||||||
| 1,240,000 | 2.400 | 06/15/25 | 1,272,104 | |||||||||
|
| ||||||||||||
| Machinery-Diversified – 0.4% | ||||||||||||
| John Deere Capital Corp. | ||||||||||||
| 400,000 | 1.200 | 04/06/23 | 402,304 | |||||||||
| Otis Worldwide Corp.(a)(c) (3M USD LIBOR + 0.450%) | ||||||||||||
| 1,525,000 | 0.583 | 04/05/23 | 1,525,015 | |||||||||
| Rockwell Automation, Inc.(a) | ||||||||||||
| 1,250,000 | 0.350 | 08/15/23 | 1,242,738 | |||||||||
|
| ||||||||||||
| 3,170,057 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Media – 3.0% | ||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) | ||||||||||||
| $ |
4,525,000 | 4.464 | % | 07/23/22 | $ 4,594,413 | |||||||
| 2,700,000 | 4.500 | 02/01/24 | 2,870,262 | |||||||||
| CSC Holdings LLC | ||||||||||||
| 1,370,000 | 5.250 | 06/01/24 | 1,428,225 | |||||||||
| DISH DBS Corp. | ||||||||||||
| 1,410,000 | 5.875 | 07/15/22 | 1,434,675 | |||||||||
| Fox Corp. | ||||||||||||
| 11,625,000 | 3.666 | 01/25/22 | 11,647,204 | |||||||||
| Sky Ltd.(b) | ||||||||||||
| 1,550,000 | 3.125 | 11/26/22 | 1,583,185 | |||||||||
| The Walt Disney Co. | ||||||||||||
| 825,000 | 3.350 | 03/24/25 | 879,145 | |||||||||
| Time Warner Entertainment Co. LP | ||||||||||||
| 2,200,000 | 8.375 | 03/15/23 | 2,390,124 | |||||||||
|
| ||||||||||||
| 26,827,233 | ||||||||||||
|
| ||||||||||||
| Mining(a)(b) – 0.2% | ||||||||||||
| Glencore Funding LLC | ||||||||||||
| 1,175,000 | 3.000 | 10/27/22 | 1,193,882 | |||||||||
| 675,000 | 1.625 | 09/01/25 | 669,013 | |||||||||
|
| ||||||||||||
| 1,862,895 | ||||||||||||
|
| ||||||||||||
| Miscellaneous Manufacturing – 0.8% | ||||||||||||
| Hillenbrand, Inc.(a) | ||||||||||||
| 1,380,000 | 5.750 | 06/15/25 | 1,447,275 | |||||||||
| Siemens Financieringsmaatschappij NV(b) | ||||||||||||
| 6,150,000 | 0.650 | 03/11/24 | 6,095,941 | |||||||||
|
| ||||||||||||
| 7,543,216 | ||||||||||||
|
| ||||||||||||
| Office(a)(b) – 0.2% | ||||||||||||
| Xerox Holdings Corp. | ||||||||||||
| 1,385,000 | 5.000 | 08/15/25 | 1,457,712 | |||||||||
|
| ||||||||||||
| 1,457,712 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Oil Field Services – 2.3% | ||||||||||||
| BP Capital Markets PLC | ||||||||||||
| $ |
4,516,000 | 2.500 | % | 11/06/22 | $ 4,591,778 | |||||||
| Canadian Natural Resources Ltd.(a) | ||||||||||||
| 825,000 | 2.050 | 07/15/25 | 833,770 | |||||||||
| Chevron Corp. | ||||||||||||
| 950,000 | 1.141 | 05/11/23 | 956,128 | |||||||||
| Exxon Mobil Corp.(a) | ||||||||||||
| 900,000 | 2.992 | 03/19/25 | 946,683 | |||||||||
| Lukoil International Finance B.V. | ||||||||||||
| 2,280,000 | 4.750 | 11/02/26 | 2,435,040 | |||||||||
| Phillips 66(a) | ||||||||||||
| 950,000 | 0.900 | 02/15/24 | 943,835 | |||||||||
| Pioneer Natural Resources Co.(a) | ||||||||||||
| 625,000 | 0.750 | 01/15/24 | 617,875 | |||||||||
| Qatar Energy(a)(b) | ||||||||||||
| 2,520,000 | 1.375 | 09/12/26 | 2,468,812 | |||||||||
| SA Global Sukuk Ltd.(a) | ||||||||||||
| 2,520,000 | 1.602 | 06/17/26 | 2,477,632 | |||||||||
| Suncor Energy, Inc. | ||||||||||||
| 2,700,000 | 2.800 | 05/15/23 | 2,763,531 | |||||||||
| TechnipFMC PLC(a)(b) | ||||||||||||
| 906,000 | 6.500 | 02/01/26 | 966,023 | |||||||||
|
| ||||||||||||
| 20,001,107 | ||||||||||||
|
| ||||||||||||
| Packaging – 0.7% | ||||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(a)(b) | ||||||||||||
| 1,395,000 | 5.250 | 04/30/25 | 1,443,825 | |||||||||
| Ball Corp. | ||||||||||||
| 2,065,000 | 4.000 | 11/15/23 | 2,155,344 | |||||||||
| Berry Global, Inc.(a) | ||||||||||||
| 2,100,000 | 0.950 | 02/15/24 | 2,078,664 | |||||||||
| 550,000 | 1.570 | 01/15/26 | 538,312 | |||||||||
|
| ||||||||||||
| 6,216,145 | ||||||||||||
|
| ||||||||||||
| Pharmaceuticals – 3.5% | ||||||||||||
| AbbVie, Inc. | ||||||||||||
| 1,606,000 | 3.200 | (a) | 11/06/22 | 1,632,981 | ||||||||
| 1,975,000 | 2.300 | 11/21/22 | 2,003,005 | |||||||||
| 7,750,000 | 2.600 | (a) | 11/21/24 | 8,038,067 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Pharmaceuticals – (continued) | ||||||||||||
| AstraZeneca PLC(a) | ||||||||||||
| $ |
2,000,000 | 3.500 | % | 08/17/23 | $ 2,086,260 | |||||||
| Bristol-Myers Squibb Co.(a) | ||||||||||||
| 1,450,000 | 0.537 | 11/13/23 | 1,442,620 | |||||||||
| Cigna Corp.(a) | ||||||||||||
| 4,000,000 | 3.050 | 11/30/22 | 4,077,320 | |||||||||
| 1,310,000 | 3.000 | 07/15/23 | 1,347,990 | |||||||||
| 1,357,000 | 3.750 | 07/15/23 | 1,412,393 | |||||||||
| 3,170,000 | 0.613 | 03/15/24 | 3,139,124 | |||||||||
| GlaxoSmithKline Capital PLC(a) | ||||||||||||
| 875,000 | 0.534 | 10/01/23 | 871,299 | |||||||||
| Herbalife Nutrition Ltd./HLF Financing, Inc.(a)(b) | ||||||||||||
| 2,940,000 | 7.875 | 09/01/25 | 3,131,100 | |||||||||
| PRA Health Sciences, Inc.(a)(b) | ||||||||||||
| 1,435,000 | 2.875 | 07/15/26 | 1,436,794 | |||||||||
|
| ||||||||||||
| 30,618,953 | ||||||||||||
|
| ||||||||||||
| Pipelines – 3.4% | ||||||||||||
| Enbridge, Inc. | ||||||||||||
| 4,000,000 | 4.000 | (a) | 10/01/23 | 4,177,920 | ||||||||
| 1,150,000 | 0.550 | 10/04/23 | 1,142,502 | |||||||||
| (SOFR + 0.400%) | ||||||||||||
| 600,000 | 0.450 | (c) | 02/17/23 | 599,418 | ||||||||
| Enterprise Products Operating LLC | ||||||||||||
| 1,150,000 | 3.500 | 02/01/22 | 1,152,634 | |||||||||
| 649,000 | 3.350 | (a) | 03/15/23 | 664,673 | ||||||||
| Kinder Morgan Energy Partners LP(a) | ||||||||||||
| 2,275,000 | 3.950 | 09/01/22 | 2,305,530 | |||||||||
| Kinder Morgan, Inc.(a)(b) | ||||||||||||
| 4,850,000 | 5.625 | 11/15/23 | 5,184,262 | |||||||||
| MPLX LP(a) | ||||||||||||
| 1,125,000 | 3.375 | 03/15/23 | 1,153,834 | |||||||||
| 4,874,000 | 4.500 | 07/15/23 | 5,077,441 | |||||||||
| NuStar Logistics LP(a) | ||||||||||||
| 1,360,000 | 6.000 | 06/01/26 | 1,479,000 | |||||||||
| Plains All American Pipeline LP/PAA Finance Corp.(a) | ||||||||||||
| 1,250,000 | 3.650 | 06/01/22 | 1,255,850 | |||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp.(a) | ||||||||||||
| 1,390,000 | 5.875 | 04/15/26 | 1,443,862 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Pipelines – (continued) | ||||||||||||
| The Williams Cos., Inc.(a) | ||||||||||||
| $ |
950,000 | 3.600 | % | 03/15/22 | $ 950,922 | |||||||
| 1,100,000 | 3.700 | 01/15/23 | 1,123,881 | |||||||||
| TransCanada PipeLines Ltd.(a) | ||||||||||||
| 2,275,000 | 1.000 | 10/12/24 | 2,259,120 | |||||||||
|
| ||||||||||||
| 29,970,849 | ||||||||||||
|
| ||||||||||||
| Real Estate Investment Trust – 0.5% | ||||||||||||
| American Tower Corp. | ||||||||||||
| 1,125,000 | 3.500 | 01/31/23 | 1,155,487 | |||||||||
| 1,675,000 | 3.000 | 06/15/23 | 1,722,235 | |||||||||
| 750,000 | 0.600 | 01/15/24 | 742,335 | |||||||||
| Crown Castle International Corp.(a) | ||||||||||||
| 700,000 | 1.350 | 07/15/25 | 692,202 | |||||||||
|
| ||||||||||||
| 4,312,259 | ||||||||||||
|
| ||||||||||||
| Retailing – 0.9% | ||||||||||||
| 7-Eleven, Inc.(a)(b) | ||||||||||||
| 950,000 | 0.625 | 02/10/23 | 946,134 | |||||||||
| 4,325,000 | 0.800 | 02/10/24 | 4,275,349 | |||||||||
| 400,000 | 0.950 | 02/10/26 | 387,280 | |||||||||
| Starbucks Corp. | ||||||||||||
| 1,974,000 | 1.300 | 05/07/22 | 1,980,119 | |||||||||
|
| ||||||||||||
| 7,588,882 | ||||||||||||
|
| ||||||||||||
| Savings & Loans(b) – 0.4% | ||||||||||||
| Nationwide Building Society | ||||||||||||
| 1,325,000 | 2.000 | 01/27/23 | 1,342,622 | |||||||||
| (3M USD LIBOR + 1.064%) | ||||||||||||
| 1,001,000 | 3.766 | (a)(c) | 03/08/24 | 1,031,160 | ||||||||
| (3M USD LIBOR + 1.181%) | ||||||||||||
| 1,175,000 | 3.622 | (a)(c) | 04/26/23 | 1,184,706 | ||||||||
|
| ||||||||||||
| 3,558,488 | ||||||||||||
|
| ||||||||||||
| Semiconductors – 1.6% | ||||||||||||
| Broadcom Corp./Broadcom Cayman Finance Ltd.(a) | ||||||||||||
| 3,600,000 | 3.625 | 01/15/24 | 3,767,436 | |||||||||
| Broadcom, Inc.(a) | ||||||||||||
| 5,225,000 | 3.625 | 10/15/24 | 5,527,528 | |||||||||
| 1,125,000 | 4.700 | 04/15/25 | 1,230,311 | |||||||||
| NXP B.V./NXP Funding LLC(b) | ||||||||||||
| 3,200,000 | 4.625 | 06/01/23 | 3,350,784 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Semiconductors – (continued) | ||||||||||||
| NXP BV / NXP Funding LLC / NXP USA Inc.(a)(b) | ||||||||||||
| $ |
275,000 | 2.700 | % | 05/01/25 | $ 284,108 | |||||||
|
| ||||||||||||
| 14,160,167 | ||||||||||||
|
| ||||||||||||
| Software(a) – 1.8% | ||||||||||||
| Fidelity National Information Services, Inc. | ||||||||||||
| 1,050,000 | 1.150 | 03/01/26 | 1,024,474 | |||||||||
| Fiserv, Inc. | ||||||||||||
| 825,000 | 3.800 | 10/01/23 | 862,810 | |||||||||
| 7,950,000 | 2.750 | 07/01/24 | 8,222,367 | |||||||||
| Infor, Inc.(b) | ||||||||||||
| 1,225,000 | 1.450 | 07/15/23 | 1,227,842 | |||||||||
| Intuit, Inc. | ||||||||||||
| 500,000 | 0.950 | 07/15/25 | 493,270 | |||||||||
| Oracle Corp. | ||||||||||||
| 1,400,000 | 2.500 | 04/01/25 | 1,434,020 | |||||||||
| VMware, Inc. | ||||||||||||
| 2,600,000 | 1.000 | 08/15/24 | 2,576,808 | |||||||||
|
| ||||||||||||
| 15,841,591 | ||||||||||||
|
| ||||||||||||
| Telecommunication Services – 3.8% | ||||||||||||
| AT&T, Inc. | ||||||||||||
| 1,075,000 | 3.000 | (a) | 06/30/22 | 1,083,697 | ||||||||
| 300,000 | 4.050 | 12/15/23 | 317,385 | |||||||||
| 5,400,000 | 0.900 | (a) | 03/25/24 | 5,378,508 | ||||||||
| 1,725,000 | 4.450 | (a) | 04/01/24 | 1,842,093 | ||||||||
| 3,100,000 | 3.950 | (a) | 01/15/25 | 3,316,318 | ||||||||
| 2,375,000 | 3.400 | (a) | 05/15/25 | 2,513,011 | ||||||||
| T-Mobile USA, Inc.(a) | ||||||||||||
| 8,800,000 | 3.500 | 04/15/25 | 9,325,624 | |||||||||
| The Bell Telephone Co. of Canada/Bell Canada | ||||||||||||
| 4,275,000 | 0.750 | 03/17/24 | 4,233,276 | |||||||||
| Verizon Communications, Inc. | ||||||||||||
| 4,525,000 | 0.750 | 03/22/24 | 4,510,746 | |||||||||
| 1,450,000 | 0.850 | (a) | 11/20/25 | 1,415,026 | ||||||||
|
| ||||||||||||
| 33,935,684 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Transportation(a) – 0.9% | ||||||||||||
| Canadian Pacific Railway Co. | ||||||||||||
| $ |
5,375,000 | 1.350 | % | 12/02/24 | $ 5,381,396 | |||||||
| Ryder System, Inc. | ||||||||||||
| 875,000 | 2.875 | 06/01/22 | 881,668 | |||||||||
| 1,000,000 | 2.500 | 09/01/22 | 1,010,600 | |||||||||
| United Parcel Service, Inc. | ||||||||||||
| 1,000,000 | 3.900 | 04/01/25 | 1,080,290 | |||||||||
|
| ||||||||||||
| 8,353,954 | ||||||||||||
|
| ||||||||||||
| Trucking & Leasing(a)(b) – 0.1% | ||||||||||||
| Penske Truck Leasing Co LP/PTL Finance Corp. | ||||||||||||
| 1,025,000 | 1.200 | 11/15/25 | 999,754 | |||||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $580,679,246) |
$579,885,263 | |||||||||||
|
| ||||||||||||
| Mortgage-Backed Obligations – 1.6% | ||||||||||||
| Collateralized Mortgage Obligations(b)(c) – 0.1% | ||||||||||||
| Sequential Floating Rate – 0.1% | ||||||||||||
| Connecticut Avenue Securities Trust Series 2021-R03, Class 1M2 (SOFR30A + 1.650%) | ||||||||||||
| $ |
442,000 | 1.700 | % | 12/25/41 | $ 442,353 | |||||||
| CSMC Series 2021-NQM8, Class A1 | ||||||||||||
| 360,000 | 1.841 | 10/25/66 | 359,703 | |||||||||
| Verus Securitization Trust Series 2021-8, Class A1 | ||||||||||||
| 264,000 | 1.824 | 11/25/66 | 263,842 | |||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 1,065,898 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities – 1.5% | ||||||||||||
| Sequential Fixed Rate – 0.9% | ||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 | ||||||||||||
| $ |
3,000,000 | 3.249 | % | 02/15/48 | $ 3,134,630 | |||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 | ||||||||||||
| 3,000,000 | 4.064 | 02/15/47 | 3,147,835 | |||||||||
| BANK Series 2017-BNK6, Class A3 | ||||||||||||
| 1,900,000 | 3.125 | 07/15/60 | 1,948,760 | |||||||||
|
| ||||||||||||
| 8,231,225 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Floating Rate(b)(c) – 0.6% | ||||||||||||
| ELP Commercial Mortgage Trust Series 2021-ELP, Class A (1M USD LIBOR + 0.701%) | ||||||||||||
| $ |
3,000,000 | 0.811 | % | 11/15/38 | $ 2,983,780 | |||||||
| BX Commercial Mortgage Trust Series 2021-CIP, Class A (1M USD LIBOR + 0.921%) | ||||||||||||
| 1,800,000 | 1.021 | 12/15/28 | 1,801,332 | |||||||||
|
| ||||||||||||
| 4,785,112 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 13,016,337 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $14,161,398) |
$ 14,082,235 | |||||||||||
|
| ||||||||||||
| Agency Debenture(c) – 0.2% | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.380%) | ||||||||||||
| $ |
1,900,000 | 0.430 | % | 05/08/23 | $ 1,908,588 | |||||||
| (Cost $1,900,000) | ||||||||||||
|
| ||||||||||||
| Asset-Backed Securities – 17.9% | ||||||||||||
| Automotive – 7.4% | ||||||||||||
| Ford Credit Auto Owner Trust Series 2019-1, Class A(b) | ||||||||||||
| $ |
2,600,000 | 3.520 | % | 07/15/30 | $ 2,722,646 | |||||||
| Ford Credit Auto Owner Trust Series 2020-1, Class A(b) | ||||||||||||
| 6,835,000 | 2.040 | 08/15/31 | 6,954,431 | |||||||||
| Ford Credit Floorplan Master Owner Trust A Series 2018-2, Class A | ||||||||||||
| 6,900,000 | 3.170 | 03/15/25 | 7,102,311 | |||||||||
| Ford Credit Floorplan Master Owner Trust A Series 2020-2, Class A | ||||||||||||
| 3,200,000 | 1.060 | 09/15/27 | 3,150,234 | |||||||||
| Ford Credit Floorplan Master Owner Trust Series 2019-4, Class A | ||||||||||||
| 3,625,000 | 2.440 | 09/15/26 | 3,735,868 | |||||||||
| GM Financial Consumer Automobile Receivables Trust 2021-4 ,Class A3 | ||||||||||||
| 5,700,000 | 0.680 | 09/16/26 | 5,651,997 | |||||||||
| GMF Floorplan Owner Revolving Trust Series 2019-2, Class A(b) | ||||||||||||
| 1,500,000 | 2.900 | 04/15/26 | 1,556,162 | |||||||||
| GMF Floorplan Owner Revolving Trust Series 2020-2, Class A(b) | ||||||||||||
| 1,500,000 | 0.690 | 10/15/25 | 1,489,402 | |||||||||
| Hyundai Auto Lease Securitization Trust Series 2021-B, Class A3(b) | ||||||||||||
| 1,550,000 | 0.330 | 06/17/24 | 1,540,409 | |||||||||
| Hyundai Auto Lease Securitization Trust Series 2021-C, Class A3(b) | ||||||||||||
| 7,600,000 | 0.380 | 09/16/24 | 7,536,606 | |||||||||
| Hyundai Auto Receivables Trust Series 2021-A, Class A3 | ||||||||||||
| 900,000 | 0.380 | 09/15/25 | 891,904 | |||||||||
| Mercedes-Benz Auto Lease Trust Series 2021-B, Class A3 | ||||||||||||
| 2,550,000 | 0.400 | 11/15/24 | 2,531,988 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Automotive – (continued) | ||||||||||||
| NextGear Floorplan Master Owner Trust Series 2021-1A, Class A(b) | ||||||||||||
| $ |
5,500,000 | 0.850 | % | 07/15/26 | $ 5,423,338 | |||||||
| Tesla Auto Lease Trust Series 2021-A, Class A3(b) | ||||||||||||
| 500,000 | 0.560 | 03/20/25 | 496,256 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A4(b) | ||||||||||||
| 1,800,000 | 0.660 | 03/20/25 | 1,785,781 | |||||||||
| Tesla Auto Lease Trust Series 2021-B, Class A3(b) | ||||||||||||
| 5,300,000 | 0.600 | 09/22/25 | 5,234,532 | |||||||||
| Toyota Auto Receivables 2021-D Owner Trust Series 2021-D, Class A3 | ||||||||||||
| 3,800,000 | 0.710 | 04/15/26 | 3,767,416 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A3(b) | ||||||||||||
| 1,975,000 | 0.390 | 04/22/24 | 1,964,889 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A4(b) | ||||||||||||
| 375,000 | 0.500 | 08/20/25 | 371,747 | |||||||||
| Toyota Lease Owner Trust Series 2021-B, Class A3(b) | ||||||||||||
| 1,550,000 | 0.420 | 10/21/24 | 1,536,099 | |||||||||
|
| ||||||||||||
| 65,444,016 | ||||||||||||
|
| ||||||||||||
| Collateralized Loan Obligations(b)(c) – 5.1% | ||||||||||||
| Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1 (3M USD LIBOR + 1.140%) | ||||||||||||
| 5,000,000 | 1.506 | 01/22/35 | 4,996,975 | |||||||||
| Barings CLO Ltd. Series 2016-2A, Class AR2 (3M USD LIBOR + 1.070%) | ||||||||||||
| 3,100,000 | 1.180 | 01/20/32 | 3,100,000 | |||||||||
| CFIP CLO Ltd. Series 2021-1A, Class A (3M USD LIBOR + 1.220%) | ||||||||||||
| 5,000,000 | 1.334 | 01/20/35 | 5,002,025 | |||||||||
| ICG Rhinebeck CLO Ltd. Series 2021-4A, Class A1 (3M USD LIBOR + 1.210%) | ||||||||||||
| 12,000,000 | 1.340 | 10/26/34 | 12,013,356 | |||||||||
| Northwoods Capital XVIII Ltd. Series 2019-18A, Class AR (3M USD LIBOR + 1.100%) | ||||||||||||
| 5,000,000 | 1.230 | 05/20/32 | 4,998,110 | |||||||||
| Wellfleet CLO Ltd. Series 2021-3A, Class A (3M USD LIBOR + 1.190%) | ||||||||||||
| 15,000,000 | 1.300 | 01/15/35 | 15,006,765 | |||||||||
|
| ||||||||||||
| 45,117,231 | ||||||||||||
|
| ||||||||||||
| Credit Card – 3.5% | ||||||||||||
| American Express Credit Account Master Trust Series 2019-2, Class A | ||||||||||||
| 2,050,000 | 2.670 | 11/15/24 | 2,063,881 | |||||||||
| Barclays Dryrock Issuance Trust Series 2021-1, Class A | ||||||||||||
| 6,200,000 | 0.630 | 07/15/27 | 6,113,899 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Credit Card – (continued) | ||||||||||||
| CARDS II Trust Series 2021-1A, Class A(b) | ||||||||||||
| $ |
4,075,000 | 0.602 | % | 04/15/27 | $ 4,025,234 | |||||||
| Evergreen Credit Card Trust Series 2019-2, Class A(b) | ||||||||||||
| 2,900,000 | 1.900 | 09/16/24 | 2,929,932 | |||||||||
| Evergreen Credit Card Trust Series 2021-1, Class A(b) | ||||||||||||
| 8,275,000 | 0.900 | 10/15/26 | 8,202,288 | |||||||||
| Master Credit Card Trust II Series 2020-1A, Class A(b) | ||||||||||||
| 3,600,000 | 1.990 | 09/21/24 | 3,657,158 | |||||||||
| Master Credit Card Trust Series 2021-1A, Class A(b) | ||||||||||||
| 3,900,000 | 0.530 | 11/21/25 | 3,842,241 | |||||||||
|
| ||||||||||||
| 30,834,633 | ||||||||||||
|
| ||||||||||||
| Home Equity(c) – 0.0% | ||||||||||||
| Centex Home Equity Loan Trust Series 2004-D, Class MV3 (1M USD LIBOR + 1.500%) | ||||||||||||
| 26,924 | 1.602 | 09/25/34 | 27,713 | |||||||||
|
| ||||||||||||
| Student Loan(c) – 1.9% | ||||||||||||
| Access Group, Inc. Series 2013-1, Class A(b) (1M USD LIBOR + 0.500%) | ||||||||||||
| 809,123 | 0.602 | 02/25/36 | 793,740 | |||||||||
| ECMC Group Student Loan Trust Series 2017-1A, Class A(b) (1M USD LIBOR + 1.200%) | ||||||||||||
| 1,441,102 | 1.303 | 12/27/66 | 1,465,309 | |||||||||
| Educational Services of America, Inc. Series 2014-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 748,472 | 0.803 | 02/25/39 | 744,765 | |||||||||
| Higher Education Funding I Series 2014-1, Class A(b) (3M USD LIBOR + 1.050%) | ||||||||||||
| 768,486 | 1.230 | 05/25/34 | 769,500 | |||||||||
| Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%) | ||||||||||||
| 885,103 | 1.024 | 07/25/45 | 887,823 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series 2021-1, Class A1B (1M USD LIBOR + 0.780%) | ||||||||||||
| 939,012 | 0.883 | 03/25/51 | 943,623 | |||||||||
| Navient Student Loan Trust Series 2017-2A, Class A(b) (1M USD LIBOR + 1.050%) | ||||||||||||
| 2,294,866 | 1.153 | 12/27/66 | 2,312,674 | |||||||||
| Navient Student Loan Trust Series 2017-4A, Class A2(b) (1M USD LIBOR + 0.500%) | ||||||||||||
| 749,050 | 0.603 | 09/27/66 | 749,953 | |||||||||
| Nelnet Student Loan Trust Series 2012-3A, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 2,670,614 | 0.802 | 02/25/45 | 2,687,165 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Student Loan(c) – (continued) | ||||||||||||
| Northstar Education Finance, Inc. Series 2012-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| $ |
452,912 | 0.803 | % | 12/26/31 | $ 454,712 | |||||||
| PHEAA Student Loan Trust Series 2014-3A, Class A(b) (1M USD LIBOR + 0.590%) | ||||||||||||
| 3,696,982 | 0.693 | 08/25/40 | 3,695,870 | |||||||||
| SLC Student Loan Center Series 2011-1, Class A(b) (1M USD LIBOR + 1.220%) | ||||||||||||
| 291,682 | 1.323 | 10/25/27 | 291,682 | |||||||||
| SLC Student Loan Trust Series 2007-1, Class A4 (3M USD LIBOR + 0.060%) | ||||||||||||
| 1,747,164 | 0.216 | 05/15/29 | 1,718,686 | |||||||||
|
| ||||||||||||
| 17,515,502 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $160,104,372) |
$158,939,095 | |||||||||||
|
| ||||||||||||
| Foreign Debt Obligations – 0.8% | ||||||||||||
| Sovereign – 0.8% | ||||||||||||
| Perusahaan Penerbit SBSN Indonesia III | ||||||||||||
| $ |
2,260,000 | 4.325 | % | 05/28/25 | $ 2,473,005 | |||||||
| Republic of Indonesia | ||||||||||||
| 2,210,000 | 4.750 | 01/08/26 | 2,463,183 | |||||||||
| Saudi Government International Bond | ||||||||||||
| 2,320,000 | 3.250 | 10/26/26 | 2,467,175 | |||||||||
|
| ||||||||||||
| TOTAL FOREIGN DEBT OBLIGATIONS (Cost $7,453,223) |
$ 7,403,363 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligation(a) – 0.9% | ||||||||||||
| New York – 0.9% | ||||||||||||
| Metropolitan Transportation Authority Revenue Note Taxable Series C | ||||||||||||
| $ |
7,560,000 | 0.777 | % | 11/15/22 | $ 7,566,390 | |||||||
| (Cost $7,560,000) | ||||||||||||
|
| ||||||||||||
| U.S. Treasury Obligation(d) – 0.1% | ||||||||||||
| United States Treasury Notes | ||||||||||||
| $ |
1,250,000 | 2.875 | % | 10/31/23 | $ 1,299,219 | |||||||
| (Cost $1,280,672) | ||||||||||||
|
| ||||||||||||
| Shares | Description | Value | ||||||||||
| Exchange Traded Fund – 3.4% | ||||||||||||
| SPDR Portfolio Short Term Corporate Bond ETF | ||||||||||||
| 961,084 | 0.000% | $ 29,764,771 | ||||||||||
| (Cost $30,180,440) | ||||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(e) – 0.0% | ||||||||||||
| Goldman Sachs Financial Square Money Market Fund - Institutional Shares | ||||||||||||
| 9,101 | 0.036% | $ 9,105 | ||||||||||
| (Cost $9,094) | ||||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $803,328,445) |
$800,858,029 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – 8.2% | ||||||||||||
| Certificates of Deposit – 2.9% | ||||||||||||
| Australia & New Zealand Banking Group Ltd.(b)(c) | ||||||||||||
| (3M USD LIBOR + 0.030%) | ||||||||||||
| $ |
7,000,000 | 0.215 | % | 03/08/22 | $ 7,001,562 | |||||||
| Bank of Nova Scotia(c) | ||||||||||||
| (SOFR + 0.150%) | ||||||||||||
| 3,000,000 | 0.200 | 03/17/22 | 3,000,247 | |||||||||
| Canadian Imperial Bank of Commerce(c) | ||||||||||||
| (3M USD LIBOR + 0.110%) | ||||||||||||
| 6,250,000 | 0.240 | 01/03/22 | 6,250,000 | |||||||||
| Collateralized Commercial Paper FLEX Co. LLC(b)(c) | ||||||||||||
| (SOFR + 0.300%) | ||||||||||||
| 5,495,000 | 0.350 | 12/01/22 | 5,495,001 | |||||||||
| Credit Suisse AG | ||||||||||||
| 4,000,000 | 0.590 | 03/17/23 | 3,989,522 | |||||||||
|
| ||||||||||||
| 25,736,332 | ||||||||||||
|
| ||||||||||||
| Commercial Paper(b)(f) – 4.3% | ||||||||||||
| At&T, Inc. | ||||||||||||
| 3,000,000 | 0.000 | 05/02/22 | 2,995,212 | |||||||||
| Barclays Capital, Inc. | ||||||||||||
| 5,000,000 | 0.000 | 01/24/22 | 4,999,683 | |||||||||
| Duke Energy Corp. | ||||||||||||
| 8,000,000 | 0.000 | 02/16/22 | 7,997,096 | |||||||||
| Enbridge, Inc. | ||||||||||||
| 1,000,000 | 0.000 | 03/17/22 | 999,225 | |||||||||
| Entergy Corp. | ||||||||||||
| 2,000,000 | 0.000 | 03/15/22 | 1,998,857 | |||||||||
| Natwest Markets PLC | ||||||||||||
| 750,000 | 0.000 | 03/01/22 | 749,625 | |||||||||
| Ridgefield Funding Co. | ||||||||||||
| 3,468,000 | 0.000 | 04/05/22 | 3,465,685 | |||||||||
| Telus Corp. | ||||||||||||
| 1,771,000 | 0.000 | 02/22/22 | 1,770,171 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Commercial Paper(b)(f) – (continued) | ||||||||||||
| Thermo Fisher Scientific, Inc. | ||||||||||||
| $ |
5,291,000 | 0.000 | % | 06/01/22 | $ 5,281,126 | |||||||
| VW Credit, Inc. | ||||||||||||
| 300,000 | 0.000 | 01/26/22 | 299,943 | |||||||||
| 4,000,000 | 0.000 | 08/26/22 | 3,986,646 | |||||||||
| Xcel Energy, Inc. | ||||||||||||
| 3,149,000 | 0.000 | 03/17/22 | 3,146,560 | |||||||||
|
| ||||||||||||
| 37,689,829 | ||||||||||||
|
| ||||||||||||
| Repurchase Agreements – 1.0% | ||||||||||||
| Bank of America Corp. | ||||||||||||
| 9,100,000 | 0.770 | 04/18/22 | 9,100,000 | |||||||||
| Maturity Value: $9,124,330 | ||||||||||||
| Next Reset Date: 01/01/22 | ||||||||||||
| Collateralized by various Common stocks, preferred securities and corporate obligations, 0.000% to 7.500%, due 06/01/23 – 09/01/27. The aggregate market value of the collateral, including accrued interest, was $9,959,650. | ||||||||||||
| (Cost $9,100,000) | ||||||||||||
|
| ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $72,538,304) |
$ 72,526,161 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 98.5% (Cost $875,866,749) |
$873,384,190 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.5% |
13,555,658 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $886,939,848 | |||||||||||
|
| ||||||||||||
| 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, 2021. | |
| (d) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (e) | Represents an affiliated issuer. | |
| (f) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Investment Abbreviations: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Indexes | |
| ETF | — Exchange Traded Fund | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| LP | — Limited Partnership | |
| PLC | — Public Limited Company | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
|
||||||||||||
| Long position contracts: |
| |||||||||||
| Eurodollars |
726 | 06/13/22 | $ | 180,420,075 | $ | (47,059 | ) | |||||
|
|
||||||||||||
| Short position contracts: |
| |||||||||||
| 2 Year U.S. Treasury Notes |
(625) | 03/31/22 | (136,357,423 | ) | 4,483 | |||||||
| 5 Year U.S. Treasury Notes |
(919) | 03/31/22 | (111,177,461 | ) | (479,681 | ) | ||||||
|
|
||||||||||||
| Total |
|
$ | (475,198 | ) | ||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
|
$ | (522,257 | ) | ||||||||
|
|
||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – 37.2% | ||||||||||||
| Collateralized Mortgage Obligations – 0.9% | ||||||||||||
| Interest Only(a) – 0.0% | ||||||||||||
| FNMA STRIPS Series 151, Class 2 | ||||||||||||
| $ |
11 | 9.500 | % | 07/25/22 | $ — | |||||||
|
| ||||||||||||
| Inverse Floaters(b) – 0.0% | ||||||||||||
| GNMA REMIC Series 2002-13, Class SB (-1x1M USD LIBOR + 37.567%) | ||||||||||||
| 5,140 | 37.065 | 02/16/32 | 6,249 | |||||||||
|
| ||||||||||||
| Regular Floater(b) – 0.0% | ||||||||||||
| FHLMC REMIC Series 1760, Class ZB (10 Year CMT - 0.600%) | ||||||||||||
| 15,580 | 1.000 | 05/15/24 | 15,605 | |||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 0.5% | ||||||||||||
| FHLMC REMIC Series 2329, Class ZA | ||||||||||||
| 185,942 | 6.500 | 06/15/31 | 205,368 | |||||||||
| FHLMC REMIC Series 4246, Class PT | ||||||||||||
| 61,081 | 6.500 | 02/15/36 | 69,514 | |||||||||
| FHLMC REMIC Series 4273, Class PD | ||||||||||||
| 338,262 | 6.500 | 11/15/43 | 391,909 | |||||||||
| FNMA REMIC Series 2011-52, Class GB | ||||||||||||
| 304,935 | 5.000 | 06/25/41 | 336,491 | |||||||||
| FNMA REMIC Series 2011-99, Class DB | ||||||||||||
| 298,493 | 5.000 | 10/25/41 | 328,757 | |||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| 41,057 | 7.000 | 10/25/42 | 46,869 | |||||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 175,721 | 7.000 | 07/25/42 | 207,913 | |||||||||
|
| ||||||||||||
| 1,586,821 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(b) – 0.4% | ||||||||||||
| CSMC Series 2021-NQM8, Class A1(c) | ||||||||||||
| 120,000 | 1.841 | 10/25/66 | 119,901 | |||||||||
| JPMorgan Mortgage Trust Series 2021-6, Class A3(c) | ||||||||||||
| 404,445 | 2.500 | 10/25/51 | 404,161 | |||||||||
| JPMorgan Mortgage Trust Series 2021-LTV2, Class A1(c) | ||||||||||||
| 645,000 | 2.520 | 05/25/52 | 645,377 | |||||||||
| Merrill Lynch Mortgage Investors Trust Series 2004-E, Class A2B (6M USD LIBOR + 0.720%) | ||||||||||||
| 67,413 | 0.875 | 11/25/29 | 64,274 | |||||||||
| Verus Securitization Trust Series 2021-8, Class A1(c) | ||||||||||||
| 101,000 | 1.824 | 11/25/66 | 100,939 | |||||||||
|
| ||||||||||||
| 1,334,652 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 2,943,327 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Commercial Mortgage-Backed Securities – 2.4% | ||||||||||||
| Sequential Fixed Rate – 1.3% | ||||||||||||
| BANK Series 2019-BN24, Class A3 | ||||||||||||
| $ |
1,400,000 | 2.960 | % | 11/15/62 | $ 1,483,600 | |||||||
| BANK Series 2020-BN29, Class A4 | ||||||||||||
| 600,000 | 1.997 | 11/15/53 | 591,868 | |||||||||
| BBCMS Mortgage Trust Series 2021-C12, Class A5 | ||||||||||||
| 950,000 | 2.689 | 11/15/54 | 979,506 | |||||||||
| Manhattan West Mortgage Trust Series 2020-1MW, Class A(c) | ||||||||||||
| 600,000 | 2.130 | 09/10/39 | 598,760 | |||||||||
| Wells Fargo Commercial Mortgage Trust Series 2021-C59, Class A5 | ||||||||||||
| 500,000 | 2.626 | 04/15/54 | 516,066 | |||||||||
|
| ||||||||||||
| 4,169,800 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(b) – 1.1% | ||||||||||||
| BX Trust Series 2021-ARIA, Class A(c) (1M USD LIBOR + 0.899%) | ||||||||||||
| 900,000 | 1.009 | 10/15/36 | 902,449 | |||||||||
| BANK Series 2021-BNK37, Class A5 | ||||||||||||
| 600,000 | 2.618 | 11/15/64 | 621,052 | |||||||||
| BANK Series 2021-BN31, Class AS | ||||||||||||
| 250,000 | 2.211 | 02/15/54 | 247,557 | |||||||||
| Extended Stay America Trust Series 2021-ESH, Class A(c) (1M USD LIBOR + 1.080%) | ||||||||||||
| 397,930 | 1.190 | 07/15/38 | 398,016 | |||||||||
| BXHPP Trust Series 2021-FILM, Class A(c) (1M USD LIBOR + 0.650%) | ||||||||||||
| 1,600,000 | 0.760 | 08/15/36 | 1,586,831 | |||||||||
|
| ||||||||||||
| 3,755,905 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 7,925,705 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 33.9% | ||||||||||||
| Adjustable Rate FHLMC(b) – 0.1% | ||||||||||||
| (1 Year CMT + 2.224%) | ||||||||||||
| $ |
1,883 | 2.349 | % | 11/01/32 | $ 1,976 | |||||||
| (1 Year CMT + 2.250%) | ||||||||||||
| 176,227 | 2.315 | 09/01/33 | 184,754 | |||||||||
|
| ||||||||||||
| 186,730 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate FNMA(b) – 0.2% | ||||||||||||
| (1 Year CMT + 2.195%) | ||||||||||||
| $ |
112,716 | 2.320 | % | 02/01/35 | $ 118,819 | |||||||
| (1 Year CMT + 2.234%) | ||||||||||||
| 6,945 | 2.344 | 06/01/33 | 7,306 | |||||||||
| (12M USD LIBOR + 1.488%) | ||||||||||||
| 120,328 | 1.738 | 09/01/35 | 125,885 | |||||||||
| (12M USD LIBOR + 1.608%) | ||||||||||||
| 197,108 | 1.858 | 10/01/33 | 206,149 | |||||||||
| (12M USD LIBOR + 1.670%) | ||||||||||||
| 15,510 | 1.920 | 11/01/32 | 16,181 | |||||||||
| (6M USD LIBOR + 1.413%) | ||||||||||||
| 229,817 | 1.538 | 05/01/33 | 237,696 | |||||||||
|
| ||||||||||||
| 712,036 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate GNMA(b) – 0.2% | ||||||||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| 5,112 | 1.875 | 06/20/23 | 5,135 | |||||||||
| 3,000 | 1.625 | 07/20/23 | 3,013 | |||||||||
| 2,870 | 1.625 | 08/20/23 | 2,883 | |||||||||
| 6,762 | 1.625 | 09/20/23 | 6,790 | |||||||||
| 2,868 | 2.000 | 03/20/24 | 2,893 | |||||||||
| 26,620 | 1.875 | 04/20/24 | 26,827 | |||||||||
| 3,693 | 1.875 | 05/20/24 | 3,727 | |||||||||
| 26,184 | 1.875 | 06/20/24 | 26,385 | |||||||||
| 6,067 | 2.000 | 06/20/24 | 6,121 | |||||||||
| 8,387 | 1.625 | 07/20/24 | 8,440 | |||||||||
| 10,412 | 2.000 | 07/20/24 | 10,507 | |||||||||
| 16,296 | 1.625 | 08/20/24 | 16,404 | |||||||||
| 9,420 | 2.000 | 08/20/24 | 9,510 | |||||||||
| 8,190 | 1.625 | 09/20/24 | 8,247 | |||||||||
| 10,284 | 2.125 | 11/20/24 | 10,391 | |||||||||
| 3,732 | 2.125 | 12/20/24 | 3,772 | |||||||||
| 9,015 | 2.500 | 12/20/24 | 9,166 | |||||||||
| 7,288 | 2.000 | 01/20/25 | 7,384 | |||||||||
| 4,593 | 2.000 | 02/20/25 | 4,656 | |||||||||
| 18,860 | 2.000 | 05/20/25 | 19,085 | |||||||||
| 17,366 | 2.000 | 07/20/25 | 17,583 | |||||||||
| 7,679 | 2.000 | 02/20/26 | 7,800 | |||||||||
| 373 | 1.625 | 07/20/26 | 377 | |||||||||
| 19,865 | 2.000 | 01/20/27 | 20,247 | |||||||||
| 7,129 | 2.000 | 02/20/27 | 7,262 | |||||||||
| 66,318 | 1.875 | 04/20/27 | 67,308 | |||||||||
| 6,907 | 1.875 | 05/20/27 | 7,014 | |||||||||
| 11,193 | 1.875 | 06/20/27 | 11,368 | |||||||||
| 3,441 | 2.125 | 11/20/27 | 3,493 | |||||||||
| 10,797 | 2.125 | 12/20/27 | 10,962 | |||||||||
| 23,390 | 2.000 | 01/20/28 | 23,888 | |||||||||
| 7,447 | 2.000 | 02/20/28 | 7,608 | |||||||||
| 7,916 | 2.000 | 03/20/28 | 8,088 | |||||||||
| 39,571 | 1.625 | 07/20/29 | 40,441 | |||||||||
| 16,557 | 1.625 | 08/20/29 | 16,925 | |||||||||
| 4,220 | 1.625 | 09/20/29 | 4,314 | |||||||||
| 21,556 | 2.125 | 10/20/29 | 21,966 | |||||||||
| 31,129 | 2.125 | 11/20/29 | 31,782 | |||||||||
| 5,674 | 2.125 | 12/20/29 | 5,809 | |||||||||
| 8,254 | 2.000 | 01/20/30 | 8,472 | |||||||||
| 2,644 | 2.000 | 02/20/30 | 2,714 | |||||||||
| 20,049 | 2.000 | 03/20/30 | 20,583 | |||||||||
| 22,619 | 1.875 | 04/20/30 | 23,087 | |||||||||
| 35,632 | 1.875 | 05/20/30 | 36,378 | |||||||||
| 30,942 | 2.000 | 05/20/30 | 31,675 | |||||||||
| 8,142 | 1.875 | 06/20/30 | 8,317 | |||||||||
| 52,343 | 2.000 | 07/20/30 | 53,597 | |||||||||
| 12,180 | 2.000 | 09/20/30 | 12,492 | |||||||||
| 21,243 | 2.125 | 10/20/30 | 21,807 | |||||||||
| 36,061 | 2.000 | 03/20/32 | 37,159 | |||||||||
|
| ||||||||||||
| 761,852 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| FHLMC – 0.2% | ||||||||||||
| $ |
56 | 6.500 | % | 08/01/22 | $ 56 | |||||||
| 14,635 | 6.500 | 07/01/28 | 15,268 | |||||||||
| 138,829 | 4.500 | 03/01/29 | 150,389 | |||||||||
| 3,211 | 8.000 | 07/01/30 | 3,464 | |||||||||
| 8,187 | 5.000 | 08/01/33 | 9,115 | |||||||||
| 1,287 | 5.000 | 09/01/33 | 1,433 | |||||||||
| 2,938 | 5.000 | 10/01/33 | 3,271 | |||||||||
| 1,960 | 5.000 | 11/01/34 | 2,203 | |||||||||
| 81,554 | 5.000 | 12/01/34 | 91,654 | |||||||||
| 5,215 | 5.000 | 07/01/35 | 5,861 | |||||||||
| 273 | 5.000 | 11/01/35 | 304 | |||||||||
| 11,216 | 5.000 | 12/01/35 | 12,527 | |||||||||
| 15,638 | 5.000 | 02/01/37 | 17,590 | |||||||||
| 1,344 | 5.000 | 03/01/38 | 1,511 | |||||||||
| 53,858 | 5.000 | 07/01/39 | 60,313 | |||||||||
| 6,786 | 4.000 | 06/01/40 | 7,397 | |||||||||
| 2,638 | 5.000 | 08/01/40 | 2,957 | |||||||||
| 939 | 4.500 | 11/01/40 | 1,035 | |||||||||
| 54,845 | 4.000 | 02/01/41 | 59,786 | |||||||||
| 1,211 | 5.000 | 04/01/41 | 1,359 | |||||||||
| 2,339 | 5.000 | 06/01/41 | 2,625 | |||||||||
| 106,054 | 5.000 | 07/01/41 | 119,021 | |||||||||
| 4,481 | 4.000 | 11/01/41 | 4,857 | |||||||||
| 5,427 | 3.000 | 05/01/42 | 5,720 | |||||||||
| 7,544 | 3.000 | 08/01/42 | 7,951 | |||||||||
| 9,151 | 3.000 | 01/01/43 | 9,650 | |||||||||
| 40,833 | 3.000 | 02/01/43 | 43,134 | |||||||||
|
| ||||||||||||
| 640,451 | ||||||||||||
|
| ||||||||||||
| FNMA – 0.1% | ||||||||||||
| 2,700 | 6.500 | 11/01/28 | 2,937 | |||||||||
| 28,435 | 7.000 | 07/01/31 | 32,622 | |||||||||
| 302,529 | 5.500 | 07/01/33 | 343,048 | |||||||||
|
| ||||||||||||
| 378,607 | ||||||||||||
|
| ||||||||||||
| GNMA – 14.3% | ||||||||||||
| 3,000,000 | 3.000 | TBA-30yr(d) | 3,100,092 | |||||||||
| 21,846 | 7.000 | 12/15/27 | 23,705 | |||||||||
| 7,132 | 6.500 | 08/15/28 | 7,690 | |||||||||
| 38,807 | 6.000 | 01/15/29 | 42,540 | |||||||||
| 58,611 | 7.000 | 10/15/29 | 64,142 | |||||||||
| 25,251 | 5.500 | 11/15/32 | 28,100 | |||||||||
| 408,332 | 5.500 | 12/15/32 | 461,256 | |||||||||
| 12,271 | 5.500 | 01/15/33 | 13,574 | |||||||||
| 28,009 | 5.500 | 02/15/33 | 31,522 | |||||||||
| 30,327 | 5.500 | 03/15/33 | 34,070 | |||||||||
| 31,279 | 5.500 | 07/15/33 | 34,963 | |||||||||
| 10,232 | 5.500 | 08/15/33 | 11,290 | |||||||||
| 8,167 | 5.500 | 09/15/33 | 9,053 | |||||||||
| 11,819 | 5.500 | 04/15/34 | 12,954 | |||||||||
| 8,254 | 5.500 | 05/15/34 | 8,964 | |||||||||
| 172,592 | 5.500 | 06/15/34 | 195,194 | |||||||||
| 127,859 | 5.500 | 09/15/34 | 145,027 | |||||||||
| 136,428 | 5.500 | 12/15/34 | 154,813 | |||||||||
| 86,592 | 5.500 | 01/15/35 | 98,612 | |||||||||
| 45,731 | 5.000 | 03/15/38 | 50,831 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| GNMA – (continued) | ||||||||||||
| $ |
3,538 | 4.000 | % | 02/20/41 | $ 3,813 | |||||||
| 5,496 | 4.000 | 11/20/41 | 5,925 | |||||||||
| 920 | 4.000 | 01/20/42 | 992 | |||||||||
| 2,949 | 4.000 | 04/20/42 | 3,186 | |||||||||
| 1,861 | 4.000 | 10/20/42 | 2,011 | |||||||||
| 208,306 | 4.000 | 08/20/43 | 225,062 | |||||||||
| 2,760 | 4.000 | 03/20/44 | 2,982 | |||||||||
| 3,353 | 4.000 | 05/20/44 | 3,622 | |||||||||
| 233,677 | 4.000 | 11/20/44 | 252,328 | |||||||||
| 1,050,303 | 4.000 | 06/20/45 | 1,133,149 | |||||||||
| 237,714 | 4.000 | 01/20/46 | 255,944 | |||||||||
| 1,628,262 | 3.500 | 04/20/47 | 1,708,971 | |||||||||
| 984,666 | 3.500 | 12/20/47 | 1,033,473 | |||||||||
| 188,594 | 4.500 | 02/20/48 | 201,472 | |||||||||
| 746,431 | 4.500 | 05/20/48 | 794,544 | |||||||||
| 414,098 | 4.500 | 08/20/48 | 440,207 | |||||||||
| 105,726 | 5.000 | 08/20/48 | 113,094 | |||||||||
| 3,412,462 | 4.500 | 09/20/48 | 3,626,553 | |||||||||
| 847,121 | 5.000 | 10/20/48 | 905,885 | |||||||||
| 496,750 | 5.000 | 11/20/48 | 531,171 | |||||||||
| 757,920 | 5.000 | 12/20/48 | 810,320 | |||||||||
| 727,551 | 4.500 | 01/20/49 | 772,287 | |||||||||
| 1,048,214 | 5.000 | 01/20/49 | 1,120,683 | |||||||||
| 1,198,172 | 4.000 | 02/20/49 | 1,264,412 | |||||||||
| 456,473 | 4.000 | 03/20/49 | 481,388 | |||||||||
| 120,039 | 4.500 | 03/20/49 | 127,354 | |||||||||
| 628,515 | 5.000 | 03/20/49 | 671,722 | |||||||||
| 434,518 | 4.000 | 05/20/49 | 458,098 | |||||||||
| 832,493 | 4.500 | 10/20/49 | 882,641 | |||||||||
| 2,852,600 | 3.000 | 11/20/49 | 2,959,225 | |||||||||
| 1,892,357 | 3.000 | 02/20/50 | 1,962,105 | |||||||||
| 191,705 | 3.500 | 01/20/51 | 199,651 | |||||||||
| 748,208 | 3.500 | 02/20/51 | 779,057 | |||||||||
| 980,218 | 3.500 | 05/20/51 | 1,021,687 | |||||||||
| 1,000,000 | 3.000 | 12/20/51 | 1,038,890 | |||||||||
| 7,000,000 | 2.500 | TBA-30yr(d) | 7,175,242 | |||||||||
| 8,000,000 | 3.000 | TBA-30yr(d) | 8,281,601 | |||||||||
| 1,000,000 | 3.500 | TBA-30yr(d) | 1,041,432 | |||||||||
|
| ||||||||||||
| 46,820,571 | ||||||||||||
|
| ||||||||||||
| UMBS – 5.6% | ||||||||||||
| 13,895 | 5.500 | 02/01/23 | 14,118 | |||||||||
| 35,441 | 5.500 | 08/01/23 | 36,337 | |||||||||
| 720 | 4.500 | 07/01/36 | 790 | |||||||||
| 1,046 | 4.500 | 04/01/39 | 1,152 | |||||||||
| 5,162 | 4.500 | 05/01/39 | 5,662 | |||||||||
| 2,151 | 4.000 | 08/01/39 | 2,344 | |||||||||
| 10,177 | 4.500 | 08/01/39 | 11,177 | |||||||||
| 195,866 | 4.500 | 12/01/39 | 215,067 | |||||||||
| 8,996 | 4.500 | 01/01/41 | 9,909 | |||||||||
| 87,447 | 4.500 | 05/01/41 | 94,810 | |||||||||
| 49,528 | 4.500 | 08/01/41 | 54,305 | |||||||||
| 69,473 | 4.500 | 08/01/42 | 76,391 | |||||||||
| 8,123 | 3.000 | 11/01/42 | 8,643 | |||||||||
| 122,591 | 3.000 | 12/01/42 | 130,441 | |||||||||
| 298,214 | 3.000 | 01/01/43 | 317,313 | |||||||||
| 51,661 | 3.000 | 02/01/43 | 54,969 | |||||||||
| 363,915 | 3.000 | 03/01/43 | 387,380 | |||||||||
| 606,888 | 3.000 | 04/01/43 | 646,890 | |||||||||
| 387,930 | 3.000 | 05/01/43 | 413,499 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| UMBS – (continued) | ||||||||||||
| $ |
69,363 | 3.000 | % | 06/01/43 | $ 73,934 | |||||||
| 599,073 | 3.000 | 07/01/43 | 638,560 | |||||||||
| 739,586 | 4.500 | 10/01/44 | 814,331 | |||||||||
| 631,918 | 4.500 | 04/01/45 | 699,784 | |||||||||
| 77,658 | 4.500 | 05/01/45 | 86,095 | |||||||||
| 290,322 | 4.500 | 06/01/45 | 319,663 | |||||||||
| 255,518 | 4.000 | 11/01/45 | 276,139 | |||||||||
| 76,429 | 4.000 | 03/01/46 | 82,533 | |||||||||
| 6,977 | 4.500 | 05/01/46 | 7,585 | |||||||||
| 48,420 | 4.000 | 06/01/46 | 52,246 | |||||||||
| 12,067 | 4.000 | 08/01/46 | 13,021 | |||||||||
| 68,647 | 4.500 | 08/01/46 | 74,496 | |||||||||
| 106,734 | 4.000 | 10/01/46 | 115,168 | |||||||||
| 42,807 | 4.500 | 06/01/47 | 47,324 | |||||||||
| 804,519 | 4.500 | 11/01/47 | 877,848 | |||||||||
| 268,417 | 4.000 | 12/01/47 | 292,734 | |||||||||
| 251,818 | 4.000 | 01/01/48 | 274,415 | |||||||||
| 887,862 | 4.000 | 02/01/48 | 964,369 | |||||||||
| 647,742 | 4.000 | 03/01/48 | 701,414 | |||||||||
| 768,450 | 4.000 | 06/01/48 | 836,086 | |||||||||
| 234,960 | 4.000 | 08/01/48 | 254,245 | |||||||||
| 1,210,230 | 5.000 | 11/01/48 | 1,342,432 | |||||||||
| 1,590,293 | 4.500 | 01/01/49 | 1,701,449 | |||||||||
| 455,592 | 4.500 | 03/01/49 | 487,152 | |||||||||
| 1,455,562 | 3.000 | 09/01/49 | 1,535,243 | |||||||||
| 1,469,623 | 3.000 | 12/01/49 | 1,539,395 | |||||||||
| 1,589,536 | 3.000 | 12/01/50 | 1,674,191 | |||||||||
|
| ||||||||||||
| 18,263,049 | ||||||||||||
|
| ||||||||||||
| UMBS, 30 Year, Single Family(d) – 13.2% | ||||||||||||
| 27,000,000 | 2.000 | TBA-30yr | 26,935,033 | |||||||||
| 7,000,000 | 2.500 | TBA-30yr | 7,147,659 | |||||||||
| 1,000,000 | 4.500 | TBA-30yr | 1,071,875 | |||||||||
| 8,000,000 | 3.000 | TBA-30yr | 8,290,938 | |||||||||
|
| ||||||||||||
| 43,445,505 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $111,208,801 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $121,282,358) |
$122,077,833 | |||||||||||
|
| ||||||||||||
| Agency Debentures – 22.8% | ||||||||||||
| FFCB | ||||||||||||
| $ |
2,180,000 | 3.430 | % | 12/06/28 | $ 2,435,343 | |||||||
| 720,000 | 5.270 | 05/01/29 | 899,410 | |||||||||
| FHLB | ||||||||||||
| 3,700,000 | 2.125 | 06/09/23 | 3,780,771 | |||||||||
| 2,100,000 | 3.375 | 09/08/23 | 2,192,673 | |||||||||
| 300,000 | 3.375 | 12/08/23 | 314,712 | |||||||||
| 15,150,000 | 0.500 | 04/14/25 | 14,875,179 | |||||||||
| FHLMC | ||||||||||||
| 16,670,000 | 0.375 | 04/20/23 | 16,636,993 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Agency Debentures – (continued) | ||||||||||||
| FNMA | ||||||||||||
| $ |
1,400,000 | 1.875 | % | 09/24/26 | $ 1,438,416 | |||||||
| 2,600,000 | 6.250 | 05/15/29 | 3,453,944 | |||||||||
| 2,000,000 | 0.875 | 08/05/30 | 1,885,260 | |||||||||
| 4,000,000 | 6.625 | 11/15/30 | 5,643,680 | |||||||||
| Israel Government AID Bond(e) | ||||||||||||
| 500,000 | 5.500 | 12/04/23 | 544,440 | |||||||||
| 700,000 | 5.500 | 04/26/24 | 772,513 | |||||||||
| Tennessee Valley Authority | ||||||||||||
| 20,150,000 | 0.750 | 05/15/25 | 19,877,572 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $74,110,360) |
$ 74,750,906 | |||||||||||
|
| ||||||||||||
| Asset-Backed Securities(b) – 1.8% | ||||||||||||
| Collateralized Loan Obligation(c) – 0.3% | ||||||||||||
| Towd Point Mortgage Trust Series 2017-4, Class A2 | ||||||||||||
| $ |
1,030,153 | 3.000 | % | 06/25/57 | $ 1,066,899 | |||||||
|
| ||||||||||||
| Student Loan – 1.5% | ||||||||||||
| ECMC Group Student Loan Trust Series 2018-2A, Class A(c) (1M USD LIBOR + 0.800%) | ||||||||||||
| 1,103,211 | 0.903 | 09/25/68 | 1,113,163 | |||||||||
| Higher Education Funding I Series 2014-1, Class A(c) (3M USD LIBOR + 1.050%) | ||||||||||||
| 678,076 | 1.230 | 05/25/34 | 678,970 | |||||||||
| Navient Student Loan Trust Series 2017-4A, Class A2(c) (1M USD LIBOR + 0.500%) | ||||||||||||
| 380,115 | 0.603 | 09/27/66 | 380,573 | |||||||||
| PHEAA Student Loan Trust Series 2016-1A, Class A(c) (1M USD LIBOR + 1.150%) | ||||||||||||
| 809,023 | 1.253 | 09/25/65 | 822,803 | |||||||||
| Scholar Funding Trust Series 2013-A, Class A(c) (1M USD LIBOR + 0.650%) | ||||||||||||
| 1,269,828 | 0.753 | 01/30/45 | 1,265,033 | |||||||||
| SLM Student Loan Trust Series 2008-5, Class A4 (3M USD LIBOR + 1.700%) | ||||||||||||
| 583,742 | 1.824 | 07/25/23 | 586,398 | |||||||||
|
| ||||||||||||
| 4,846,940 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $5,890,456) |
$ 5,913,839 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligation – 0.8% | ||||||||||||
| New Jersey – 0.8% | ||||||||||||
| New Jersey Economic Development Authority Series A | ||||||||||||
| $ |
2,000,000 | 7.425 | % | 02/15/29 | $ 2,513,664 | |||||||
| (Cost $2,000,000) | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – 41.5% | ||||||||||||
| United States Treasury Bonds | ||||||||||||
| $ |
900,000 | 3.125 | % | 11/15/41 | $ 1,081,688 | |||||||
| 3,500,000 | 3.750 | 11/15/43 | 4,630,938 | |||||||||
| 3,830,000 | 3.625 | 02/15/44 | 4,986,181 | |||||||||
| 9,390,000 | 3.375 | 05/15/44 | 11,828,466 | |||||||||
| 3,320,000 | 3.125 | 08/15/44 | 4,035,356 | |||||||||
| 6,400,000 | 2.875 | 11/15/46 | 7,579,000 | |||||||||
| 5,080,000 | 2.750 | 11/15/47 | 5,921,375 | |||||||||
| 530,000 | 2.375 | 11/15/49 | 582,834 | |||||||||
| 1,190,000 | 2.000 | 02/15/50 | 1,210,081 | |||||||||
| United States Treasury Notes | ||||||||||||
| 5,820,000 | 1.250 | 12/31/26 | 5,815,908 | |||||||||
| 5,770,000 | 1.375 | 12/31/28 | 5,745,658 | |||||||||
| 5,440,000 | 0.125 | 03/31/23 | 5,413,438 | |||||||||
| 11,340,000 | 0.375 | 07/15/24 | 11,200,022 | |||||||||
| 9,230,000 | 0.375 | 12/31/25 | 8,948,052 | |||||||||
| 6,710,000 | 0.750 | 03/31/26 | 6,584,188 | |||||||||
| 7,900,000 | 2.250 | 08/15/27 | 8,290,062 | |||||||||
| 1,220,000 | 0.750 | 01/31/28 | 1,175,298 | |||||||||
| 6,660,000 | 1.125 | 02/29/28 | 6,565,823 | |||||||||
| 6,430,000 | 1.250 | 03/31/28 | 6,375,245 | |||||||||
| 12,860,000 | 3.125 | 11/15/28 | 14,298,712 | |||||||||
| 2,900,000 | 2.375 | 05/15/29 | 3,092,125 | |||||||||
| 120,000 | 0.875 | 11/15/30 | 114,113 | |||||||||
| United States Treasury Strip Coupon(f) | ||||||||||||
| 6,400,000 | 0.000 | 11/15/35 | 4,951,769 | |||||||||
| 1,300,000 | 0.000 | 05/15/36 | 993,308 | |||||||||
| 6,000,000 | 0.000 | 11/15/37 | 4,428,153 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $131,573,834) |
$135,847,793 | |||||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Shares |
Dividend Rate |
Value | ||||||
| Investment Company(g) – 13.5% | ||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||
| 44,183,277 |
0.026% | $ 44,183,277 | ||||||
| (Cost $44,183,277) | ||||||||
|
| ||||||||
| TOTAL INVESTMENTS – 117.6% (Cost $379,040,285) |
$385,287,312 | |||||||
|
| ||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (17.6)% |
(57,540,824) | |||||||
|
| ||||||||
| NET ASSETS – 100.0% | $327,746,488 | |||||||
|
| ||||||||
| 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, 2021. | |
| (c) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| (d) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $63,043,872 which represents approximately 19.2% of the Fund’s net assets as of December 31, 2021. | |
| (e) | Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $1,316,953, which represents approximately 0.4% of the Fund’s net assets as of December 31, 2021. | |
| (f) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (g) | Represents an affiliated issuer. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Investment Abbreviations: | ||
| CMT | — Constant Maturity Treasury Indexes | |
| FFCB | — Federal Farm Credit Bank | |
| FHLB | — Federal Home Loan Bank | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| LIBOR | — London Interbank Offered Rate | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Funding Rate | |
| STRIPS | — Separate Trading of Registered Interest and Principal of Securities | |
|
| ||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At December 31, 2021, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(a) |
Settlement Date |
Principal Amount |
Value | |||||||||||
|
|
||||||||||||||||
| GNMA (Proceeds Receivable: $(1,055,703)) |
4.000 | % | TBA-30yr | 01/21/21 | $ | (1,000,000) | $ | (1,052,311) | ||||||||
|
|
||||||||||||||||
| (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, 2021, 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 |
19 | 03/22/22 | $ | 3,745,375 | $ | 14,689 | ||||||
| 2 Year U.S. Treasury Notes |
79 | 03/31/22 | 17,235,578 | (14,513 | ) | |||||||
| 10 Year U.S. Treasury Notes |
47 | 03/22/22 | 6,882,563 | 116,888 | ||||||||
|
|
||||||||||||
| Total |
|
$ | 117,064 | |||||||||
|
|
||||||||||||
| Short position contracts: |
| |||||||||||
| 5 Year U.S. Treasury Notes |
(22) | 03/31/22 | (2,661,484 | ) | 21 | |||||||
| 10 Year U.S. Treasury Notes |
(29) | 03/22/22 | (3,783,594 | ) | 1,292 | |||||||
| 20 Year U.S. Treasury Bonds |
(114) | 03/22/22 | (18,289,875 | ) | (272,928 | ) | ||||||
|
|
||||||||||||
| Total |
|
$ | (271,615 | ) | ||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
|
$ | (154,551 | ) | ||||||||
|
|
||||||||||||
SWAP CONTRACTS — At December 31, 2021, 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) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 1M LIBOR + 0.090%(a) |
3M LIBOR(a) | 07/25/24 | $ | 18,560 | $ | 4,261 | $ | 6,240 | $ | (1,979 | ) | |||||||||||
| 3M SOFR(b) |
1.000%(b) | 03/16/27 | 10 | (c) | (84 | ) | (27 | ) | (57 | ) | ||||||||||||
| 3M SOFR(b) |
1.530(b) | 09/22/31 | 2,920 | (c) | 1,907 | (35,098 | ) | 37,005 | ||||||||||||||
| 1.630(b) |
3M SOFR(b) | 09/22/36 | 3,550 | (c) | 7,467 | 32,457 | (24,990 | ) | ||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 13,551 | $ | 3,572 | $ | 9,979 | ||||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Payments made quarterly. |
| (b) | Payments made annually. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased and written options:
OVER-THE-COUNTERINTEREST RATE SWAPTIONS
| Description | Counterparty | Exercise Rate |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid (Received) by Fund |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Purchased option contracts |
| |||||||||||||||||||||||||||
| Calls |
| |||||||||||||||||||||||||||
| 6M IRS |
Citibank NA | $ | 0.465 | 02/22/2022 | 6,270,000 | $ | 6,270,000 | $ | 182 | $ | 7,984 | $ | (7,802 | ) | ||||||||||||||
| 6M IRS |
Citibank NA | 0.605 | 01/07/2022 | 6,120,000 | 6,120,000 | 1 | 17,733 | (17,732 | ) | |||||||||||||||||||
| 6M IRS |
Citibank NA | 0.855 | 03/23/2022 | 6,130,000 | 6,130,000 | 3,349 | 27,919 | (24,570 | ) | |||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 1.053 | 06/21/2022 | 3,780,000 | 3,780,000 | 9,149 | 33,727 | (24,578 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total purchased option contracts |
|
22,300,000 | $ | 22,300,000 | $ | 12,681 | $ | 87,363 | $ | (74,682 | ) | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Written option contracts |
| |||||||||||||||||||||||||||
| Calls |
| |||||||||||||||||||||||||||
| 6M IRS |
Citibank NA | 0.849 | 02/22/2022 | (1,980,000) | (1,980,000 | ) | (212 | ) | (7,984 | ) | 7,772 | |||||||||||||||||
| 6M IRS |
Citibank NA | 1.124 | 01/07/2022 | (1,980,000) | (1,980,000 | ) | (1 | ) | (17,663 | ) | 17,662 | |||||||||||||||||
| 6M IRS |
Citibank NA | 1.406 | 03/23/2022 | (1,990,000) | (1,990,000 | ) | (12,544 | ) | (27,906 | ) | 15,362 | |||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 1.378 | 06/21/2022 | (1,990,000) | (1,990,000 | ) | (18,595 | ) | (33,699 | ) | 15,104 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total written option contracts |
|
(7,940,000) | $ | (7,940,000 | ) | $ | (31,352 | ) | $ | (87,252 | ) | $ | 55,900 | |||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
|
14,360,000 | $ | 14,360,000 | $ | (18,671 | ) | $ | 111 | $ | (18,782 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – 31.1% | ||||||||||||
| Collateralized Mortgage Obligations – 20.5% | ||||||||||||
| Regular Floater(a) – 20.1% | ||||||||||||
| FHLMC REMIC Series 3371, Class FA (1M USD LIBOR + 0.600%) | ||||||||||||
| $ |
353,318 | 0.710 | % | 09/15/37 | $ 359,253 | |||||||
| FHLMC REMIC Series 3374, Class FT (1M USD LIBOR + 0.300%) | ||||||||||||
| 35,851 | 0.410 | 04/15/37 | 35,951 | |||||||||
| FHLMC REMIC Series 3545, Class FA (1M USD LIBOR + 0.850%) | ||||||||||||
| 72,146 | 0.960 | 06/15/39 | 73,552 | |||||||||
| FHLMC REMIC Series 4477, Class FG (1M USD LIBOR + 0.300%) | ||||||||||||
| 1,335,747 | 0.386 | 10/15/40 | 1,330,030 | |||||||||
| FHLMC REMIC Series 4508, Class CF (1M USD LIBOR + 0.400%) | ||||||||||||
| 1,433,862 | 0.510 | 09/15/45 | 1,442,774 | |||||||||
| FHLMC REMIC Series 4751, Class FA (1M USD LIBOR + 0.250%) | ||||||||||||
| 4,434,313 | 0.360 | 03/15/39 | 4,445,741 | |||||||||
| FHLMC REMIC Series 4936, Class FL (1M USD LIBOR + 0.500%) | ||||||||||||
| 1,055,771 | 0.602 | 12/25/49 | 1,063,573 | |||||||||
| FHLMC REMIC Series 4942, Class FA (1M USD LIBOR + 0.500%) | ||||||||||||
| 4,678,196 | 0.602 | 01/25/50 | 4,714,181 | |||||||||
| FHLMC STRIPS Series 237, Class F23 (1M USD LIBOR + 0.400%) | ||||||||||||
| 123,031 | 0.510 | 05/15/36 | 123,817 | |||||||||
| FHLMC STRIPS Series 350, Class F2 (1M USD LIBOR + 0.350%) | ||||||||||||
| 5,530,083 | 0.436 | 09/15/40 | 5,556,541 | |||||||||
| FNMA REMIC Series 1998-66, Class FC (1M USD LIBOR + 0.500%) | ||||||||||||
| 1,680 | 0.609 | 11/17/28 | 1,684 | |||||||||
| FNMA REMIC Series 2006-72, Class XF (1M USD LIBOR + 0.500%) | ||||||||||||
| 132,975 | 0.602 | 08/25/36 | 134,436 | |||||||||
| FNMA REMIC Series 2007-33, Class HF (1M USD LIBOR + 0.350%) | ||||||||||||
| 20,235 | 0.452 | 04/25/37 | 20,348 | |||||||||
| FNMA REMIC Series 2007-36, Class F (1M USD LIBOR + 0.230%) | ||||||||||||
| 425,097 | 0.332 | 04/25/37 | 424,923 | |||||||||
| FNMA REMIC Series 2008-22, Class FD (1M USD LIBOR + 0.840%) | ||||||||||||
| 196,729 | 0.942 | 04/25/48 | 202,892 | |||||||||
| FNMA REMIC Series 2009-66, Class FP (1M USD LIBOR + 0.900%) | ||||||||||||
| 6,164,786 | 1.002 | 09/25/39 | 6,286,276 | |||||||||
| FNMA REMIC Series 2009-75, Class MF (1M USD LIBOR + 1.150%) | ||||||||||||
| 339,294 | 1.252 | 09/25/39 | 345,859 | |||||||||
| FNMA REMIC Series 2010-123, Class FL (1M USD LIBOR + 0.430%) | ||||||||||||
| 600,181 | 0.532 | 11/25/40 | 605,512 | |||||||||
| FNMA REMIC Series 2010-8, Class FE (1M USD LIBOR + 0.790%) | ||||||||||||
| 3,297,078 | 0.892 | 02/25/40 | 3,379,235 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Regular Floater(a) – (continued) | ||||||||||||
| FNMA REMIC Series 2011-110, Class FE (1M USD LIBOR + 0.400%) | ||||||||||||
| $ |
556,111 | 0.502 | % | 04/25/41 | $ 557,793 | |||||||
| FNMA REMIC Series 2011-63, Class FG (1M USD LIBOR + 0.450%) | ||||||||||||
| 246,105 | 0.552 | 07/25/41 | 249,271 | |||||||||
| FNMA REMIC Series 2013-96, Class FW (1M USD LIBOR + 0.400%) | ||||||||||||
| 61,636 | 0.502 | 09/25/43 | 62,250 | |||||||||
| FNMA REMIC Series 2017-45, Class FA (1M USD LIBOR + 0.320%) | ||||||||||||
| 3,814,165 | 0.406 | 06/25/47 | 3,811,100 | |||||||||
| FNMA REMIC Series 2018-60, Class FK (1M USD LIBOR + 0.300%) | ||||||||||||
| 2,918,561 | 0.402 | 08/25/48 | 2,931,080 | |||||||||
| FNMA REMIC Series 2018-72, Class FB (1M USD LIBOR + 0.350%) | ||||||||||||
| 4,836,461 | 0.452 | 10/25/58 | 4,858,777 | |||||||||
|
| ||||||||||||
| 43,016,849 | ||||||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 0.2% | ||||||||||||
| FHLMC REMIC Series 4248, Class LM | ||||||||||||
| 277,117 | 6.500 | 05/15/41 | 316,614 | |||||||||
|
| ||||||||||||
| Sequential Floating Rate(a) – 0.2% | ||||||||||||
| FHLMC REMIC Series 3588, Class CW | ||||||||||||
| 523,160 | 2.145 | 10/15/37 | 514,648 | |||||||||
| FNMA REMIC Series 1997-20, Class F | ||||||||||||
| 10,352 | 0.609 | 03/25/27 | 10,383 | |||||||||
|
| ||||||||||||
| 525,031 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 43,858,494 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities(a) – 6.5% | ||||||||||||
| Regular Floater(b) – 4.1% | ||||||||||||
| EQUS Mortgage Trust Series 2021-EQAZ, Class A (1M USD LIBOR + 0.755%) | ||||||||||||
| $ |
550,000 | 0.865 | % | 10/15/38 | $ 547,778 | |||||||
| ELP Commercial Mortgage Trust Series 2021-ELP, Class A (1M USD LIBOR + 0.701%) | ||||||||||||
| 700,000 | 0.811 | 11/15/38 | 696,215 | |||||||||
| BX Trust Series 2021-BXMF, Class A(1M USD LIBOR + 0.636%) | ||||||||||||
| 700,000 | 0.726 | 10/15/26 | 691,645 | |||||||||
| BX Commercial Mortgage Trust Series 2021-21M, Class A (1M USD LIBOR + 0.730%) | ||||||||||||
| 650,000 | 0.840 | 10/15/36 | 644,302 | |||||||||
| BX Trust Series 2021-ARIA, Class A (1M USD LIBOR + 0.899%) | ||||||||||||
| 1,100,000 | 1.009 | 10/15/36 | 1,102,993 | |||||||||
| STWD Trust Series 2021-FLWR, Class A (1M USD LIBOR +0.577%) | ||||||||||||
| 1,300,000 | 0.687 | 07/15/36 | 1,285,635 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Regular Floater(b) – (continued) | ||||||||||||
| CIM Retail Portfolio Trust Series 2021-RETL, Class A (1M USD LIBOR + 1.400%) | ||||||||||||
| $ |
600,000 | 1.510 | % | 08/15/36 | $ 598,904 | |||||||
| BXHPP Trust Series 2021-FILM, Class A (1M USD LIBOR + 0.650%) | ||||||||||||
| 1,550,000 | 0.760 | 08/15/36 | 1,537,242 | |||||||||
| Commercial Mortgage Pass Through Certificates Series 2021-LBA, Class A (1M USD LIBOR + 0.690%) | ||||||||||||
| 800,000 | 0.800 | 03/15/38 | 793,267 | |||||||||
| ONE PARK Mortgage Trust Series 2021-PARK, Class A (1M USD LIBOR + 0.700%) | ||||||||||||
| 919,000 | 0.810 | 03/15/36 | 911,736 | |||||||||
|
| ||||||||||||
| 8,809,717 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate – 2.4% | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates Series KF19, Class A (1M USD LIBOR + 0.450%) | ||||||||||||
| 682,099 | 0.544 | 06/25/23 | 683,198 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates Series KF31, Class A (1M USD LIBOR + 0.370%) | ||||||||||||
| 489,920 | 0.464 | 04/25/24 | 490,605 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates Series KF32, Class A (1M USD LIBOR + 0.370%) | ||||||||||||
| 1,439,990 | 0.464 | 05/25/24 | 1,442,734 | |||||||||
| FHLMC Multifamily Structured Pass Through Certificates Series KF58, Class A (1M USD LIBOR + 0.500%) | ||||||||||||
| 922,700 | 0.594 | 01/25/26 | 926,561 | |||||||||
| FHLMC Multifamily Structured Pass Through Certificates Series KF60, Class A (1M USD LIBOR + 0.490%) | ||||||||||||
| 706,762 | 0.584 | 02/25/26 | 708,674 | |||||||||
| Great Wolf Trust Series 2019-WOLF, Class A(b) (1M USD LIBOR + 1.034%) | ||||||||||||
| 600,000 | 1.144 | 12/15/36 | 599,093 | |||||||||
| KKR Industrial Portfolio Trust Series 2021-KDIP, Class AKKR Industrial Portfolio Trust Series 2021-KDIP, Class A(b) (1M USD LIBOR + 0.550%) | ||||||||||||
| 277,666 | 0.660 | 12/15/37 | 275,931 | |||||||||
| BX Series 2021-MFM1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 100,000 | 0.810 | 01/15/34 | 99,340 | |||||||||
|
| ||||||||||||
| 5,226,136 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 14,035,853 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Federal Agencies – 4.1% | ||||||||||||
| Adjustable Rate FHLMC(a) – 0.6% | ||||||||||||
| (3 Year CMT + 2.541%) | ||||||||||||
| $ |
175,132 | 2.938 | % | 08/01/28 | $ 175,013 | |||||||
| (6M CMT + 2.268%) | ||||||||||||
| 26,550 | 2.393 | 05/01/29 | 26,992 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 4,030 | 4.008 | 06/01/29 | 4,265 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 7,705 | 1.513 | 04/01/30 | 7,824 | |||||||||
| (COF + 1.248%) | ||||||||||||
| 6,122 | 4.387 | 06/01/30 | 6,515 | |||||||||
| (12M MTA + 2.155%) | ||||||||||||
| 3,828 | 2.733 | 06/01/31 | 3,986 | |||||||||
| (12M USD LIBOR + 1.860%) | ||||||||||||
| 381,149 | 2.110 | 05/01/34 | 399,571 | |||||||||
| (12M USD LIBOR + 1.750%) | ||||||||||||
| 243,841 | 2.000 | 05/01/35 | 256,594 | |||||||||
| (3 Year CMT + 2.114%) | ||||||||||||
| 4,029 | 6.223 | 05/01/35 | 4,192 | |||||||||
| (1 Year CMT + 2.265%) | ||||||||||||
| 434,411 | 2.287 | 01/01/38 | 457,354 | |||||||||
|
| ||||||||||||
| 1,342,306 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate FNMA(a) – 3.2% | ||||||||||||
| (6M USD LIBOR + 1.750%) | ||||||||||||
| 1,893 | 1.875 | 02/01/23 | 1,898 | |||||||||
| (6M USD LIBOR + 1.925%) | ||||||||||||
| 15,786 | 2.175 | 01/01/24 | 15,931 | |||||||||
| (6M USD LIBOR + 1.925%) | ||||||||||||
| 28,908 | 2.050 | 03/01/24 | 29,190 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 3,039 | 2.965 | 06/01/27 | 3,139 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 2,630 | 4.250 | 12/01/27 | 2,785 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 2,675 | 4.485 | 01/01/28 | 2,848 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 1,433 | 1.627 | 06/01/29 | 1,453 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 3,099 | 2.200 | 06/01/29 | 3,198 | |||||||||
| (1 Year CMT + 2.265%) | ||||||||||||
| 264,395 | 2.359 | 07/01/33 | 277,178 | |||||||||
| (1 Year CMT + 2.360%) | ||||||||||||
| 89,228 | 2.423 | 11/01/34 | 93,957 | |||||||||
| (COF + 1.253%) | ||||||||||||
| 1,378 | 3.994 | 05/01/36 | 1,458 | |||||||||
| (12M USD LIBOR + 1.983%) | ||||||||||||
| 418,807 | 2.296 | 03/01/37 | 443,576 | |||||||||
| (12M MTA + 1.400%) | ||||||||||||
| 4,458 | 1.483 | 06/01/40 | 4,557 | |||||||||
| (12M MTA + 1.400%) | ||||||||||||
| 18,448 | 1.484 | 06/01/40 | 18,853 | |||||||||
| (12M MTA + 1.200%) | ||||||||||||
| 3,073 | 1.284 | 02/01/41 | 3,123 | |||||||||
| (12M USD LIBOR + 1.734%) | ||||||||||||
| 5,498,877 | 2.053 | 02/01/41 | 5,795,698 | |||||||||
| (12M USD LIBOR + 1.550%) | ||||||||||||
| 112,730 | 1.800 | 09/01/44 | 117,325 | |||||||||
|
| ||||||||||||
| 6,816,167 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate GNMA(a) – 0.3% | ||||||||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| $ |
300,516 | 1.875 | % | 04/20/33 | $ 310,431 | |||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| 57,991 | 1.875 | 05/20/33 | 59,904 | |||||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| 195,364 | 1.625 | 08/20/34 | 201,311 | |||||||||
|
| ||||||||||||
| 571,646 | ||||||||||||
|
| ||||||||||||
| FHLMC – 0.0% | ||||||||||||
| 2,700 | 7.000 | 05/01/22 | 2,712 | |||||||||
| 2,016 | 7.000 | 06/01/22 | 2,018 | |||||||||
| 138 | 4.500 | 05/01/23 | 141 | |||||||||
|
| ||||||||||||
| 4,871 | ||||||||||||
|
| ||||||||||||
| FNMA(a) – 0.0% | ||||||||||||
| 80 | 1.906 | 05/20/22 | 80 | |||||||||
| 10,232 | 1.887 | 06/20/24 | 10,264 | |||||||||
|
| ||||||||||||
| 10,344 | ||||||||||||
|
| ||||||||||||
| GNMA – 0.0% | ||||||||||||
| 6,786 | 7.000 | 04/15/26 | 7,304 | |||||||||
|
| ||||||||||||
| UMBS – 0.0% | ||||||||||||
| 25 | 7.000 | 02/01/22 | 25 | |||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $ 8,752,663 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $66,600,510) |
$ 66,647,010 | |||||||||||
|
| ||||||||||||
| Asset-Backed Securities(a) – 41.4% | ||||||||||||
| Automotive – 0.7% | ||||||||||||
| Ford Credit Floorplan Master Owner Trust A Series 2020-1, Class A2 (1M USD LIBOR + 0.500%) | ||||||||||||
| $ |
1,500,000 | 0.610 | % | 09/15/25 | $ 1,507,444 | |||||||
|
| ||||||||||||
| Collateralized Loan Obligations(b) – 23.8% | ||||||||||||
| AIG CLO Series 2021-1A, Class A (3M USD LIBOR + 1.100%) | ||||||||||||
| 2,100,000 | 1.228 | 04/22/34 | 2,088,574 | |||||||||
| Anchorage Capital CLO 15 Ltd. Series 2020-15A, Class AR (3M USD LIBOR + 1.200%) | ||||||||||||
| 1,300,000 | 1.332 | 07/20/34 | 1,301,204 | |||||||||
| Anchorage Capital CLO 18 Ltd. Series 2021-18A, Class A1 (3M USD LIBOR + 1.150%) | ||||||||||||
| 4,000,000 | 1.274 | 04/15/34 | 4,000,508 | |||||||||
| Anchorage Capital CLO Ltd. Series 2014-4RA, Class A (3M USD LIBOR + 1.050%) | ||||||||||||
| 3,600,000 | 1.186 | 01/28/31 | 3,601,674 | |||||||||
| BSPDF Issuer Ltd. Series 2021-FL1, Class A (1M USD LIBOR + 1.200%) | ||||||||||||
| 1,000,000 | 1.310 | 10/15/36 | 995,647 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Collateralized Loan Obligations(b) – (continued) | ||||||||||||
| CarVal CLO IV Ltd. Series 2021-1A, Class A1A (3M USD LIBOR + 1.180%) | ||||||||||||
| $ |
2,600,000 | 1.313 | % | 07/20/34 | $ 2,600,455 | |||||||
| CBAM Ltd. Series 2017-2A, Class AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 5,000,000 | 1.312 | 07/17/34 | 5,003,840 | |||||||||
| Cedar Funding VII Clo Ltd. Series 18-7A, Class A1 (3M USD LIBOR + 1.000%) | ||||||||||||
| 3,000,000 | 1.132 | 01/20/31 | 3,000,477 | |||||||||
| Dryden 64 CLO, Ltd. Series 2018-64A Class A (3M USD LIBOR + 0.970%) | ||||||||||||
| 5,950,000 | 1.092 | 04/18/31 | 5,950,048 | |||||||||
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A (3M USD LIBOR + 0.750%) | ||||||||||||
| 5,172,361 | 0.874 | 04/15/29 | 5,172,485 | |||||||||
| Madison Park Funding XXXVII Ltd. Series 2019-37A, Class AR (3M USD LIBOR + 1.070%) | ||||||||||||
| 1,000,000 | 1.194 | 07/15/33 | 1,000,052 | |||||||||
| OCP CLO Ltd. Series 2014-5A, Class A1R (3M USD LIBOR + 1.080%) | ||||||||||||
| 2,600,000 | 1.205 | 04/26/31 | 2,600,577 | |||||||||
| Octagon Investment Partners 07/34 1 Series 2021-1A, Class A1 (3M USD LIBOR + 1.120%) | ||||||||||||
| 1,000,000 | 1.253 | 07/15/34 | 997,162 | |||||||||
| OHA Credit Funding 3 Ltd. Series 2019-3A, Class AR (3M USD LIBOR + 1.140%) | ||||||||||||
| 2,500,000 | 1.272 | 07/02/35 | 2,499,995 | |||||||||
| Pikes Peak Clo 2 Series 2018-2A, Class AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 6,700,000 | 1.404 | 10/18/34 | 6,702,358 | |||||||||
| Towd Point Mortgage Trust Series 2016-3, Class A1 | ||||||||||||
| 13,055 | 2.250 | 04/25/56 | 13,067 | |||||||||
| Trysail CLO Ltd. Series 2021-1A, Class A1 (3M USD LIBOR + 1.320%) | ||||||||||||
| 1,400,000 | 1.452 | 07/20/32 | 1,400,000 | |||||||||
| Wellfleet CLO X Ltd. Series 2019-XA, Class A1R (3M USD LIBOR + 1.170%) | ||||||||||||
| 1,750,000 | 1.302 | 07/20/32 | 1,749,997 | |||||||||
| Zais CLO 15 Ltd. Series 2020-15A, Class A1R (3M USD LIBOR + 1.350%) | ||||||||||||
| 475,000 | 1.486 | 07/28/32 | 474,456 | |||||||||
|
| ||||||||||||
| 51,152,576 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Credit Card – 13.4% | ||||||||||||
| American Express Credit Account Master Trust Series 2017-2, Class A (1M USD LIBOR + 0.450%) | ||||||||||||
| $ |
3,700,000 | 0.560 | % | 09/16/24 | $ 3,701,674 | |||||||
| Citibank Credit Card Issuance Trust Series 2017-A5, Class A5 (1M USD LIBOR + 0.620%) | ||||||||||||
| 8,100,000 | 0.724 | 04/22/26 | 8,188,511 | |||||||||
| Citibank Credit Card Issuance Trust Series 2017-A7, Class A7 (1M USD LIBOR + 0.370%) | ||||||||||||
| 4,300,000 | 0.473 | 08/08/24 | 4,307,236 | |||||||||
| Citibank Credit Card Issuance Trust Series 2018-A2, Class A2 (1M USD LIBOR + 0.330%) | ||||||||||||
| 960,000 | 0.434 | 01/20/25 | 962,344 | |||||||||
| Discover Card Execution Note Trust Series 2017-A1, Class A1 (1M USD LIBOR + 0.490%) | ||||||||||||
| 375,000 | 0.600 | 07/15/24 | 375,061 | |||||||||
| Golden Credit Card Trust Series 2017-4A, Class A(b) (1M USD LIBOR + 0.520%) | ||||||||||||
| 11,200,000 | 0.630 | 07/15/24 | 11,228,582 | |||||||||
|
| ||||||||||||
| 28,763,408 | ||||||||||||
|
| ||||||||||||
| Student Loan – 3.5% | ||||||||||||
| Educational Services of America, Inc. Series 2012-1, Class A1(b) (1M USD LIBOR + 1.150%) | ||||||||||||
| 503,737 | 1.253 | 09/25/40 | 504,650 | |||||||||
| Educational Services of America, Inc. Series 2014-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 837,001 | 0.803 | 02/25/39 | 832,856 | |||||||||
| Goal Capital Funding Trust Series 2010-1, Class A(b) (3M USD LIBOR + 0.700%) | ||||||||||||
| 24,325 | 0.880 | 08/25/48 | 24,327 | |||||||||
| Higher Education Funding I Series 2014-1, Class A(b) (3M USD LIBOR + 1.050%) | ||||||||||||
| 745,884 | 1.230 | 05/25/34 | 746,867 | |||||||||
| Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%) | ||||||||||||
| 701,978 | 1.024 | 07/25/45 | 704,136 | |||||||||
| Knowledgeworks Foundation Student Loan Series 2010-1, Class A (3M USD LIBOR + 0.950%) | ||||||||||||
| 711,136 | 1.130 | 02/25/42 | 707,910 | |||||||||
| Massachusetts Educational Financing Authority Series 2008-1, Class A1 (3M USD LIBOR + 0.950%) | ||||||||||||
| 230,421 | 1.074 | 04/25/38 | 232,043 | |||||||||
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2 (1M USD LIBOR + 1.000%) | ||||||||||||
| 783,133 | 1.104 | 05/20/30 | 783,132 | |||||||||
| Northstar Education Finance, Inc. Series 2012-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 197,824 | 0.803 | 12/26/31 | 198,610 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Student Loan – (continued) | ||||||||||||
| Rhode Island Student Loan Authority Series 2012-1, Class A1 (1M USD LIBOR + 0.900%) | ||||||||||||
| $ |
855,820 | 0.999 | % | 07/01/31 | $ 858,206 | |||||||
| SLC Student Loan Center Series 2011-1, Class A(b) (1M USD LIBOR + 1.220%) | ||||||||||||
| 51,097 | 1.323 | 10/25/27 | 51,097 | |||||||||
| SLC Student Loan Trust Series 2010-1, Class A (3M USD LIBOR + 0.875%) | ||||||||||||
| 361,966 | 1.053 | 11/25/42 | 363,505 | |||||||||
| SLM Student Loan Trust Series 2008-5, Class A4 (3M USD LIBOR + 1.700%) | ||||||||||||
| 190,839 | 1.824 | 07/25/23 | 191,707 | |||||||||
| Utah State Board of Regents Series 2015-1, Class A (1M USD LIBOR + 0.600%) | ||||||||||||
| 1,235,336 | 0.692 | 02/25/43 | 1,234,629 | |||||||||
|
| ||||||||||||
| 7,433,675 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $88,629,647) |
$ 88,857,103 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligations – 4.5% | ||||||||||||
| Alabama(c) – 0.1% | ||||||||||||
| Alabama Federal Aid Highway Finance Authority ALABAMA FEDERAL AID Series 2021 | ||||||||||||
| $ |
360,000 | 0.449 | % | 09/01/23 | $ 357,777 | |||||||
|
| ||||||||||||
| Florida – 0.3% | ||||||||||||
| County of Palm Beach FL Revenue Bonds Taxaable (Refunding) Series B | ||||||||||||
| 635,000 | 0.500 | 12/01/24 | 623,683 | |||||||||
|
| ||||||||||||
| Massachusetts(c) – 0.4% | ||||||||||||
| Massachusetts School Building Revenue Bonds Taxaable (Refunding) Series B | ||||||||||||
| 815,000 | 0.618 | 08/15/23 | 812,759 | |||||||||
|
| ||||||||||||
| Rhode Island(a)(c) – 0.1% | ||||||||||||
| Rhode Island Student Loan Authority RB (Taxable - FFELP Loan Backed) Series 2014-1 (1M USD LIBOR + 0.000%) | ||||||||||||
| 225,542 | 0.799 | 10/02/28 | 224,732 | |||||||||
|
| ||||||||||||
| Tennessee – 0.5% | ||||||||||||
| State of Tennessee GO Bonds Taxable (Refunding) Series B | ||||||||||||
| 1,015,000 | 0.386 | 11/01/23 | 1,009,420 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||
| Municipal Debt Obligations – (continued) | ||||||||||
| Utah(a) – 2.4% | ||||||||||
| Utah State Board of Regents RB (Taxable-Student Loan) Series 2012-1 (1M USD LIBOR + 0.000%) | ||||||||||
| $ |
5,133,447 | 0.852 | % | 12/26/31 | $ 5,142,331 | |||||
|
| ||||||||||
| Washington – 0.7% | ||||||||||
| Washington State GO Improvement & Power District Electric Systems Series 2021 | ||||||||||
| 1,620,000 | 0.210 | 08/01/23 | 1,604,927 | |||||||
|
| ||||||||||
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $9,829,009) |
$ 9,775,629 | |||||||||
|
| ||||||||||
| U.S. Treasury Obligations(a) – 11.0% | ||||||||||
| United States Treasury Floating Rate Note | ||||||||||
| (3M Treasury money market yield + 0.049%) | ||||||||||
| $ |
10,000,000 | 0.134 | % | 01/31/23 | $ 10,004,791 | |||||
| (3M Treasury money market yield + 0.034%) | ||||||||||
| 13,500,000 | 0.119 | 04/30/23 | 13,504,018 | |||||||
|
| ||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $23,503,987) |
$ 23,508,809 | |||||||||
|
| ||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $188,563,153) |
$188,788,551 | |||||||||
|
| ||||||||||
| Short-term Investments – 11.0% | ||||||||||
| Certificates of Deposit – 10.3% | ||||||||||
| Australia & New Zealand Banking Group Ltd.(a)(b) | ||||||||||
| (SOFR + 0.120%) | ||||||||||
| $ |
3,000,000 | 0.170 | % | 02/28/22 | $ 3,000,202 | |||||
| Bank of Nova Scotia(a) | ||||||||||
| (SOFR + 0.160%) | ||||||||||
| 2,000,000 | 0.210 | 02/28/22 | 2,000,200 | |||||||
| (SOFR + 0.180%) | ||||||||||
| 2,500,000 | 0.230 | 05/11/22 | 2,500,354 | |||||||
| Canadian Imperial Bank of Commerce(a) | ||||||||||
| (3M USD LIBOR + 0.050%) | ||||||||||
| 1,500,000 | 0.251 | 06/13/22 | 1,500,344 | |||||||
| Credit Industriel ET Commercial | ||||||||||
| 500,000 | 0.240 | 03/24/22 | 500,133 | |||||||
| Mizuho Bank Ltd. | ||||||||||
| 2,500,000 | 0.190 | 02/28/22 | 2,500,134 | |||||||
| National Australia Bank Ltd.(a)(b) | ||||||||||
| (FEDL01 + 0.150%) | ||||||||||
| 2,500,000 | 0.230 | 05/20/22 | 2,500,000 | |||||||
|
| ||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||
| Short-term Investments – (continued) | ||||||||||
| Certificates of Deposit – (continued) | ||||||||||
| Natixis SA(a) | ||||||||||
| (3M USD LIBOR + 0.070%) | ||||||||||
| $ |
2,500,000 | 0.203 | % | 01/05/22 | $ 2,500,009 | |||||
| Standard Chartered Bank(a) | ||||||||||
| (3M USD LIBOR + 0.060%) | ||||||||||
| 2,500,000 | 0.274 | 03/18/22 | 2,500,320 | |||||||
| Toronto-Dominion Bank(a) | ||||||||||
| (FEDL01 + 0.160%) | ||||||||||
| 2,500,000 | 0.240 | 06/20/22 | 2,500,116 | |||||||
|
| ||||||||||
| 22,001,812 | ||||||||||
|
| ||||||||||
| Commercial Paper(b)(d) – 0.7% | ||||||||||
| Honeywell International, Inc. | ||||||||||
| 1,545,000 | 0.000 | 05/20/22 | 1,544,099 | |||||||
|
| ||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $23,544,065) |
$ 23,545,911 | |||||||||
|
| ||||||||||
| TOTAL INVESTMENTS – 99.0% (Cost $212,107,218) |
$212,334,462 | |||||||||
|
| ||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.0% |
2,052,095 | |||||||||
|
| ||||||||||
| NET ASSETS – 100.0% | $214,386,557 | |||||||||
|
| ||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2021. | |
| (b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| (c) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S.Dollar | |
| Investment Abbreviations: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Indexes | |
| COF | — Cost of Funds Index | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| GO | — General Obligation | |
| LIBOR | — London Interbank Offered Rate | |
| MTA | — Monthly Treasury Average | |
| RB | — Revenue Bond | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Funding Rate | |
| STRIPS | — Separate Trading of Registered Interest and Principal of Securities | |
| UMBS | — Uniform Mortgage Backed Securities | |
|
| ||
GOLDMAN SACHS HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2021, 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 |
12 | 03/31/22 | $ | 2,618,063 | $ | (2,225 | ) | |||||
| 10 Year U.S. Treasury Notes |
58 | 03/22/22 | 7,567,187 | 89,889 | ||||||||
| 20 Year U.S. Treasury Bonds |
2 | 03/22/22 | 320,875 | 4,821 | ||||||||
|
|
||||||||||||
| Total |
$ | 92,485 | ||||||||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| Ultra 10 Year U.S. Treasury Notes |
(26) | 03/22/22 | (3,807,375 | ) | (63,774 | ) | ||||||
| Ultra Long U.S. Treasury Bonds |
(1) | 03/22/22 | (197,125 | ) | (4,243 | ) | ||||||
| 5 Year U.S. Treasury Notes |
(109) | 03/31/22 | (13,186,445 | ) | (56,894 | ) | ||||||
|
|
||||||||||||
| Total |
$ | (124,911 | ) | |||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | (32,426 | ) | |||||||||
|
|
||||||||||||
SWAP CONTRACTS — At December 31, 2021, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Fund |
Termination Date |
Notional (000s) |
Market Value |
Upfront Premium Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||
|
|
||||||||||||||||||||
| 1M LIBOR + 0.090%(a) |
3M LIBOR(a) | 07/25/24 | $ | 19,400 | $ | 4,454 | $ | 6,519 | $ | (2,065 | ) | |||||||||
| 3M SOFR(b) |
1.530%(b) | 09/22/31 | 2,480 | (c) | 1,620 | (29,809 | ) | 31,429 | ||||||||||||
| 1.630(b) |
3M SOFR(b) | 09/22/36 | 3,010 | (c) | 6,331 | 27,519 | (21,188 | ) | ||||||||||||
|
|
||||||||||||||||||||
| TOTAL |
$ | 12,405 | $ | 4,229 | $ | 8,176 | ||||||||||||||
|
|
||||||||||||||||||||
| (a) | Payments made quarterly. |
| (b) | Payments made annually. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – 97.4% | ||||||||||||
| United States Treasury Inflation Indexed Bonds | ||||||||||||
| $ |
2,581,296 | 0.250 | % | 02/15/50 | $ 3,118,275 | |||||||
| 15,480,014 | 2.125 | (a) | 02/15/40 | 23,662,642 | ||||||||
| 22,234,260 | 1.375 | 02/15/44 | 31,655,201 | |||||||||
| 17,848,752 | 0.750 | 02/15/45 | 22,917,658 | |||||||||
| 11,213,300 | 1.000 | 02/15/48 | 15,688,211 | |||||||||
| 1,977,966 | 1.000 | 02/15/49 | 2,800,576 | |||||||||
| 8,178,093 | 0.125 | 02/15/51 | 9,673,184 | |||||||||
| United States Treasury Inflation Indexed Notes | ||||||||||||
| 8,079,760 | 0.375 | 07/15/23 | 8,495,381 | |||||||||
| 35,720,776 | 0.125 | 10/15/26 | 38,877,870 | |||||||||
| 28,631,244 | 0.125 | 01/15/23 | 29,565,807 | |||||||||
| 55,147,914 | 0.500 | 04/15/24 | 58,803,108 | |||||||||
| 33,302,784 | 0.125 | 10/15/24 | 35,573,922 | |||||||||
| 2,334,900 | 0.250 | 01/15/25 | 2,501,577 | |||||||||
| 16,593,060 | 0.125 | 04/15/25 | 17,757,351 | |||||||||
| 15,858,008 | 0.375 | 07/15/25 | 17,232,927 | |||||||||
| 4,131,242 | 0.625 | 01/15/26 | 4,539,586 | |||||||||
| 17,713,920 | 0.125 | 04/15/26 | 19,125,829 | |||||||||
| 18,930,248 | 0.125 | 07/15/26 | 20,568,788 | |||||||||
| 18,429,831 | 0.375 | 01/15/27 | 20,288,126 | |||||||||
| 14,243,040 | 0.375 | 07/15/27 | 15,816,736 | |||||||||
| 14,685,231 | 0.500 | 01/15/28 | 16,438,060 | |||||||||
| 19,839,456 | 0.750 | 07/15/28 | 22,729,814 | |||||||||
| 48,184,400 | 0.875 | 01/15/29 | 55,737,577 | |||||||||
| 8,539,979 | 0.250 | 07/15/29 | 9,568,024 | |||||||||
| 15,745,954 | 0.125 | 07/15/30 | 17,604,400 | |||||||||
| 15,466,069 | 0.125 | 01/15/31 | 17,301,749 | |||||||||
| 28,887,320 | 0.125 | 07/15/31 | 32,442,404 | |||||||||
| United States Treasury Notes | ||||||||||||
| 5,280,000 | 1.250 | 12/31/26 | 5,276,288 | |||||||||
| 5,280,000 | 1.375 | 12/31/28 | 5,257,725 | |||||||||
| 6,950,000 | 3.125 | 11/15/28 | 7,727,531 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $550,614,626) |
$588,746,327 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||
| Investment Company(b) – 1.3% | ||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||
|
7,855,988 |
0.026% | $ 7,855,988 | ||||||||
| (Cost $7,855,988) | ||||||||||
|
| ||||||||||
| TOTAL INVESTMENTS – 98.7% (Cost $558,470,614) |
$596,602,315 | |||||||||
|
| ||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.3% |
7,640,269 | |||||||||
|
| ||||||||||
| NET ASSETS — 100.0% | $604,242,584 | |||||||||
|
| ||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (b) | Represents an affiliated issuer. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S.Dollar | |
| Investment Abbreviations: | ||
| LIBOR | — London Interbank Offered Rate | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
|
||||||||||||
| Long position contracts: |
| |||||||||||
| Ultra Long U.S. Treasury Bonds |
10 | 03/22/22 | $ | 1,971,250 | $ | (174 | ) | |||||
| 2 Year U.S. Treasury Notes |
160 | 03/31/22 | 34,907,500 | (19,372 | ) | |||||||
| 10 Year U.S. Treasury Notes |
448 | 03/22/22 | 58,450,000 | 503,254 | ||||||||
|
|
||||||||||||
| Total |
|
$ | 483,708 | |||||||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| 5 Year U.S. Treasury Notes |
(332) | 03/31/22 | (40,164,219 | ) | 3,396 | |||||||
| 20 Year U.S. Treasury Bonds |
(42) | 03/22/22 | (6,738,375 | ) | (100,553 | ) | ||||||
| Ultra 10 Year U.S. Treasury Notes |
(146) | 03/22/22 | (21,379,875 | ) | (124,761 | ) | ||||||
|
|
||||||||||||
| Total |
|
$ | (221,918 | ) | ||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
|
$ | 261,790 | |||||||||
|
|
||||||||||||
SWAP CONTRACTS — At December 31, 2021, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Fund |
Termination Date |
Notional Amount (000s) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 2.251%(a) |
12M LIBOR(a) | 02/20/24 | $ | 13,700 | $ | 743,437 | $ | 51 | $ | 743,386 | ||||||||||||
| 1M LIBOR + 1.000(b) |
3M LIBOR(b) | 07/25/24 | 51,300 | 11,779 | 17,232 | (5,453 | ) | |||||||||||||||
| 2.104(a) |
12M LIBOR(a) | 12/14/24 | 10,000 | 735,006 | 56 | 734,950 | ||||||||||||||||
| 2.007(a) |
12M LIBOR(a) | 02/07/26 | 6,300 | 547,812 | 49 | 547,763 | ||||||||||||||||
| 12M SOFR(c) |
1.000%(c) | 03/16/27 | 20 | (d) | (167 | ) | (54 | ) | (113 | ) | ||||||||||||
| 12M LIBOR(a) |
2.103(a) | 02/07/29 | 6,300 | (607,003 | ) | 68 | (607,071 | ) | ||||||||||||||
| 1.250(c) |
12M SOFR(c) | 03/16/29 | 11,130 | (d) | 3,379 | (83,140 | ) | 86,519 | ||||||||||||||
| 12M SOFR(c) |
1.530(c) | 09/22/31 | 11,720 | (d) | 7,655 | 1,476 | 6,179 | |||||||||||||||
| 1.630(c) |
12M SOFR(c) | 09/22/36 | 14,130 | (d) | 29,719 | 4,648 | 25,071 | |||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 1,471,617 | $ | (59,614 | ) | $ | 1,531,231 | |||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Payments made at maturity. |
| (b) | Payments made quarterly. |
| (c) | Payments made annually. |
| (d) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
| Description | Counterparty | Exercise Rate |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid (Received) by Fund |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Purchased option contracts |
| |||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||||
| 6M IRS |
Citibank NA | 0.465 | % | 02/22/2022 | 5,670,000 | $ | 5,670,000 | $ | 164 | $ | 7,220 | $ | (7,056 | ) | ||||||||||||||||
| 6M IRS |
Citibank NA | 0.605 | 01/07/2022 | 5,520,000 | 5,520,000 | 1 | 15,994 | (15,993 | ) | |||||||||||||||||||||
| 6M IRS |
Citibank NA | 0.855 | 03/23/2022 | 5,450,000 | 5,450,000 | 2,977 | 24,822 | (21,845 | ) | |||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 1.053 | 06/21/2022 | 3,340,000 | 3,340,000 | 8,085 | 29,801 | (21,716 | ) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Total purchased option contracts |
|
19,980,000 | $ | 19,980,000 | $ | 11,227 | $ | 77,837 | $ | (66,610 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Written option contracts |
|
|||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||||
| 6M IRS |
Citibank NA | 0.849 | 02/22/2022 | (1,790,000) | (1,790,000 | ) | (192 | ) | (7,218 | ) | 7,026 | |||||||||||||||||||
| 6M IRS |
Citibank NA | 1.124 | 01/07/2022 | (1,790,000) | (1,790,000 | ) | (1 | ) | (15,968 | ) | 15,967 | |||||||||||||||||||
| 6M IRS |
Citibank NA | 1.406 | 03/23/2022 | (1,770,000) | (1,770,000 | ) | (11,157 | ) | (24,821 | ) | 13,664 | |||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 1.378 | 06/21/2022 | (1,760,000) | (1,760,000 | ) | (16,446 | ) | (29,804 | ) | 13,358 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Total written option contracts |
|
(7,110,000) | $ | (7,110,000 | ) | $ | (27,796 | ) | $ | (77,811 | ) | $ | 50,015 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| TOTAL |
12,870,000 | $ | 12,870,000 | $ | (16,569 | ) | $ | 26 | $ | (16,595 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 46.4% | ||||||||||||
| Advertising(a)(b) – 0.2% | ||||||||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp. | ||||||||||||
| $ |
4,405,000 | 6.250 | % | 06/15/25 | $ 4,608,731 | |||||||
|
| ||||||||||||
| Aerospace & Defense(a) – 1.3% | ||||||||||||
| Howmet Aerospace, Inc. | ||||||||||||
| 1,491,000 | 5.125 | 10/01/24 | 1,606,552 | |||||||||
| 1,265,000 | 6.875 | 05/01/25 | 1,451,588 | |||||||||
| Teledyne Technologies, Inc. | ||||||||||||
| 9,375,000 | 1.600 | 04/01/26 | 9,285,375 | |||||||||
| The Boeing Co. | ||||||||||||
| 5,375,000 | 1.167 | 02/04/23 | 5,375,914 | |||||||||
| 11,850,000 | 4.875 | 05/01/25 | 12,976,579 | |||||||||
| 5,400,000 | 2.600 | 10/30/25 | 5,539,158 | |||||||||
|
| ||||||||||||
| 36,235,166 | ||||||||||||
|
| ||||||||||||
| Agriculture(a) – 0.3% | ||||||||||||
| BAT International Finance PLC | ||||||||||||
| 8,000,000 | 1.668 | 03/25/26 | 7,862,240 | |||||||||
|
| ||||||||||||
| Airlines(a) – 0.1% | ||||||||||||
| Delta Air Lines, Inc. | ||||||||||||
| 1,960,000 | 3.800 | 04/19/23 | 1,999,200 | |||||||||
|
| ||||||||||||
| Automotive – 2.6% | ||||||||||||
| Clarios Global LP(a)(b) | ||||||||||||
| 2,538,000 | 6.750 | 05/15/25 | 2,655,383 | |||||||||
| Clarios Global LP/Clarios US Finance Co.(a)(b) | ||||||||||||
| 120,000 | 8.500 | 05/15/27 | 126,900 | |||||||||
| Ford Motor Credit Co. LLC | ||||||||||||
| 4,105,000 | 2.979 | (a) | 08/03/22 | 4,129,490 | ||||||||
| 600,000 | 4.140 | (a) | 02/15/23 | 614,923 | ||||||||
| 650,000 | 3.096 | 05/04/23 | 661,202 | |||||||||
| 285,000 | 4.375 | 08/06/23 | 296,004 | |||||||||
| 250,000 | 4.687 | (a) | 06/09/25 | 268,577 | ||||||||
| General Motors Co. | ||||||||||||
| 6,064,000 | 5.400 | 10/02/23 | 6,494,362 | |||||||||
| General Motors Financial Co, Inc. | ||||||||||||
| 11,375,000 | 5.100 | (a) | 01/17/24 | 12,197,526 | ||||||||
| 9,400,000 | 1.050 | 03/08/24 | 9,349,992 | |||||||||
| 8,800,000 | 1.500 | (a) | 06/10/26 | 8,663,776 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Automotive – (continued) | ||||||||||||
| General Motors Financial Co., Inc. | ||||||||||||
| $ |
6,500,000 | 3.550 | % | 07/08/22 | $ 6,594,770 | |||||||
| 846,000 | 3.700 | (a) | 05/09/23 | 871,414 | ||||||||
| 2,450,000 | 1.700 | 08/18/23 | 2,473,226 | |||||||||
| 1,100,000 | 3.950 | (a) | 04/13/24 | 1,158,421 | ||||||||
| Hyundai Capital America(b) | ||||||||||||
| 4,000,000 | 1.150 | 11/10/22 | 4,002,160 | |||||||||
| The Goodyear Tire & Rubber Co.(a) | ||||||||||||
| 3,235,000 | 9.500 | 05/31/25 | 3,485,713 | |||||||||
| Volkswagen Group of America Finance LLC(b) | ||||||||||||
| 2,325,000 | 2.900 | 05/13/22 | 2,342,019 | |||||||||
| 3,775,000 | 0.750 | 11/23/22 | 3,774,547 | |||||||||
| ZF North America Capital, Inc.(b) | ||||||||||||
| 900,000 | 4.750 | 04/29/25 | 964,125 | |||||||||
|
| ||||||||||||
| 71,124,530 | ||||||||||||
|
| ||||||||||||
| Banks – 13.0% | ||||||||||||
| Banco do Brasil SA | ||||||||||||
| 3,350,000 | 4.750 | 03/20/24 | 3,505,566 | |||||||||
| Banco Santander SA | ||||||||||||
| 1,800,000 | 3.848 | 04/12/23 | 1,863,108 | |||||||||
| 2,600,000 | 2.706 | 06/27/24 | 2,689,830 | |||||||||
| 1,600,000 | 2.746 | 05/28/25 | 1,655,056 | |||||||||
| Bank of America Corp. | ||||||||||||
| 4,345,000 | 4.200 | 08/26/24 | 4,655,928 | |||||||||
| 9,025,000 | 4.000 | 01/22/25 | 9,651,064 | |||||||||
| 23,950,000 | 3.950 | 04/21/25 | 25,608,058 | |||||||||
| (3M USD LIBOR + 0.790%) | ||||||||||||
| 11,000,000 | 3.004 | (a)(c) | 12/20/23 | 11,227,700 | ||||||||
| (3M USD LIBOR + 0.940%) | ||||||||||||
| 1,175,000 | 3.864 | (a)(c) | 07/23/24 | 1,224,421 | ||||||||
| (SOFR + 0.910%) | ||||||||||||
| 15,175,000 | 0.981 | (a)(c) | 09/25/25 | 14,997,149 | ||||||||
| Barclays PLC(a)(c) | ||||||||||||
| (3M USD LIBOR + 1.380%) | ||||||||||||
| 2,550,000 | 1.535 | 05/16/24 | 2,581,289 | |||||||||
| (3M USD LIBOR + 1.400%) | ||||||||||||
| 2,625,000 | 4.610 | 02/15/23 | 2,636,130 | |||||||||
| (3M USD LIBOR + 1.610%) | ||||||||||||
| 1,850,000 | 3.932 | 05/07/25 | 1,947,199 | |||||||||
| (SOFR + 2.714%) | ||||||||||||
| 3,600,000 | 2.852 | 05/07/26 | 3,710,952 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| BNP Paribas SA(b) | ||||||||||||
| $ |
10,000,000 | 4.375 | % | 09/28/25 | $ 10,832,800 | |||||||
| (SOFR + 2.074%) | ||||||||||||
| 3,275,000 | 2.219 | (a)(c) | 06/09/26 | 3,308,569 | ||||||||
| BPCE SA(b) | ||||||||||||
| 2,921,000 | 4.000 | 09/12/23 | 3,056,534 | |||||||||
| 850,000 | 2.375 | 01/14/25 | 864,994 | |||||||||
| (SOFR + 1.520%) | ||||||||||||
| 3,675,000 | 1.652 | (a)(c) | 10/06/26 | 3,623,403 | ||||||||
| CIT Bank NA(a)(c) (SOFR + 1.715%) | ||||||||||||
| 1,050,000 | 2.969 | 09/27/25 | 1,080,944 | |||||||||
| CIT Group, Inc.(a) | ||||||||||||
| 125,000 | 4.750 | 02/16/24 | 132,188 | |||||||||
| (SOFR + 3.827%) | ||||||||||||
| 5,210,000 | 3.929 | (c) | 06/19/24 | 5,398,862 | ||||||||
| Citigroup, Inc. | ||||||||||||
| 5,065,000 | 3.500 | 05/15/23 | 5,237,818 | |||||||||
| 1,525,000 | 3.875 | 03/26/25 | 1,625,711 | |||||||||
| 1,375,000 | 4.400 | 06/10/25 | 1,498,283 | |||||||||
| 1,800,000 | 4.600 | 03/09/26 | 1,987,542 | |||||||||
| (3M USD LIBOR + 0.950%) | ||||||||||||
| 3,750,000 | 2.876 | (a)(c) | 07/24/23 | 3,793,500 | ||||||||
| (3M USD LIBOR + 1.023%) | ||||||||||||
| 1,045,000 | 4.044 | (a)(c) | 06/01/24 | 1,089,935 | ||||||||
| (SOFR + 0.686%) | ||||||||||||
| 3,700,000 | 0.776 | (a)(c) | 10/30/24 | 3,676,357 | ||||||||
| (SOFR + 2.842%) | ||||||||||||
| 11,250,000 | 3.106 | (a)(c) | 04/08/26 | 11,794,837 | ||||||||
| Credit Agricole SA | ||||||||||||
| 5,700,000 | 4.375 | 03/17/25 | 6,134,055 | |||||||||
| Credit Suisse AG | ||||||||||||
| 9,400,000 | 6.500 | (b) | 08/08/23 | 10,124,364 | ||||||||
| 675,000 | 2.950 | 04/09/25 | 706,880 | |||||||||
| Credit Suisse Group AG(a)(b)(c) | ||||||||||||
| (3M USD LIBOR + 1.240%) | ||||||||||||
| 2,100,000 | 4.207 | 06/12/24 | 2,186,730 | |||||||||
| (SOFR + 2.044%) | ||||||||||||
| 9,600,000 | 2.193 | 06/05/26 | 9,659,808 | |||||||||
| Deutsche Bank AG(a)(c) (SOFR + 2.159%) | ||||||||||||
| 1,525,000 | 2.222 | 09/18/24 | 1,545,100 | |||||||||
| Fifth Third Bancorp(a) | ||||||||||||
| 690,000 | 2.375 | 01/28/25 | 708,168 | |||||||||
| First Horizon Corp.(a) | ||||||||||||
| 2,735,000 | 3.550 | 05/26/23 | 2,819,047 | |||||||||
| 1,500,000 | 4.000 | 05/26/25 | 1,604,940 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| HSBC Holdings PLC(a)(c) | ||||||||||||
| (3M USD LIBOR + 1.000%) | ||||||||||||
| $ |
1,300,000 | 1.160 | % | 05/18/24 | $ 1,311,648 | |||||||
| (SOFR + 1.538%) | ||||||||||||
| 8,675,000 | 1.645 | 04/18/26 | 8,614,709 | |||||||||
| ING Groep NV(b) | ||||||||||||
| 5,000,000 | 4.625 | 01/06/26 | 5,559,750 | |||||||||
| (1 Year CMT + 1.100%) | ||||||||||||
| 4,750,000 | 1.400 | (a)(c) | 07/01/26 | 4,696,752 | ||||||||
| JPMorgan Chase & Co.(a)(c) | ||||||||||||
| (3M USD LIBOR + 0.730%) | ||||||||||||
| 7,490,000 | 3.559 | 04/23/24 | 7,736,271 | |||||||||
| (3M USD LIBOR + 0.890%) | ||||||||||||
| 350,000 | 3.797 | 07/23/24 | 364,774 | |||||||||
| (3M USD LIBOR + 1.000%) | ||||||||||||
| 2,950,000 | 4.023 | 12/05/24 | 3,107,323 | |||||||||
| (SOFR + 0.420%) | ||||||||||||
| 5,150,000 | 0.563 | 02/16/25 | 5,079,960 | |||||||||
| (SOFR + 0.800%) | ||||||||||||
| 9,200,000 | 1.045 | 11/19/26 | 8,961,996 | |||||||||
| (SOFR + 1.850%) | ||||||||||||
| 6,360,000 | 2.083 | 04/22/26 | 6,456,672 | |||||||||
| Lloyds Banking Group PLC | ||||||||||||
| 4,400,000 | 4.050 | 08/16/23 | 4,608,604 | |||||||||
| 1,525,000 | 4.500 | 11/04/24 | 1,642,989 | |||||||||
| (1 Year CMT + 1.100%) | ||||||||||||
| 3,275,000 | 1.326 | (a)(c) | 06/15/23 | 3,280,829 | ||||||||
| (3M USD LIBOR + 1.249%) | ||||||||||||
| 1,375,000 | 2.858 | (a)(c) | 03/17/23 | 1,380,459 | ||||||||
| Macquarie Group Ltd.(a)(b)(c) (SOFR + 1.069%) | ||||||||||||
| 2,100,000 | 1.340 | 01/12/27 | 2,044,140 | |||||||||
| Mitsubishi UFJ Financial Group, Inc. | ||||||||||||
| 3,425,000 | 3.407 | 03/07/24 | 3,586,454 | |||||||||
| 3,025,000 | 1.412 | 07/17/25 | 3,005,579 | |||||||||
| Morgan Stanley(a)(c)(SOFR + 0.509%) | ||||||||||||
| 7,625,000 | 0.791 | 01/22/25 | 7,552,181 | |||||||||
| Morgan Stanley, Inc. | ||||||||||||
| 1,125,000 | 4.875 | 11/01/22 | 1,163,273 | |||||||||
| 6,250,000 | 4.100 | 05/22/23 | 6,511,062 | |||||||||
| 5,000,000 | 5.000 | 11/24/25 | 5,596,900 | |||||||||
| (3M USD LIBOR + 0.847%) | ||||||||||||
| 5,175,000 | 3.737 | (a)(c) | 04/24/24 | 5,356,021 | ||||||||
| (SOFR + 0.525%) | ||||||||||||
| 3,700,000 | 0.790 | (a)(c) | 05/30/25 | 3,651,160 | ||||||||
| (SOFR + 0.720%) | ||||||||||||
| 4,025,000 | 0.985 | (a)(c) | 12/10/26 | 3,904,532 | ||||||||
| (SOFR + 0.745%) | ||||||||||||
| 2,125,000 | 0.864 | (a)(c) | 10/21/25 | 2,095,951 | ||||||||
| (SOFR + 1.990%) | ||||||||||||
| 10,675,000 | 2.188 | (a)(c) | 04/28/26 | 10,883,696 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Natwest Group PLC | ||||||||||||
| $ |
3,454,000 | 6.000 | % | 12/19/23 | $ 3,750,585 | |||||||
| (1 Year CMT + 2.150%) | ||||||||||||
| 1,325,000 | 2.359 | (a)(c) | 05/22/24 | 1,346,187 | ||||||||
| (3M USD LIBOR + 1.550%) | ||||||||||||
| 2,525,000 | 4.519 | (a)(c) | 06/25/24 | 2,642,261 | ||||||||
| (3M USD LIBOR + 1.762%) | ||||||||||||
| 1,175,000 | 4.269 | (a)(c) | 03/22/25 | 1,244,407 | ||||||||
| Santander UK Group Holdings PLC(a)(c) (SOFR + 0.787%) | ||||||||||||
| 9,700,000 | 1.089 | 03/15/25 | 9,613,379 | |||||||||
| Standard Chartered PLC(a)(b)(c) | ||||||||||||
| (1 year CMT + 0.780%) | ||||||||||||
| 2,275,000 | 0.991 | 01/12/25 | 2,250,680 | |||||||||
| (1 Year CMT + 1.170%) | ||||||||||||
| 3,175,000 | 1.319 | 10/14/23 | 3,179,159 | |||||||||
| (3M USD LIBOR + 1.080%) | ||||||||||||
| 4,050,000 | 3.885 | 03/15/24 | 4,175,226 | |||||||||
| (3M USD LIBOR + 1.150%) | ||||||||||||
| 1,275,000 | 4.247 | 01/20/23 | 1,276,849 | |||||||||
| Sumitomo Mitsui Financial Group, Inc. | ||||||||||||
| 1,925,000 | 1.474 | 07/08/25 | 1,914,528 | |||||||||
| 4,275,000 | 0.948 | 01/12/26 | 4,146,280 | |||||||||
| Turkiye Vakiflar Bankasi TAO | ||||||||||||
| 200,000 | 8.125 | 03/28/24 | 199,913 | |||||||||
| 380,000 | 5.250 | (b) | 02/05/25 | 349,434 | ||||||||
| 530,000 | 6.500 | (b) | 01/08/26 | 495,550 | ||||||||
| UniCredit SpA(b) | ||||||||||||
| 1,000,000 | 6.572 | 01/14/22 | 1,001,690 | |||||||||
| Wells Fargo & Co. | ||||||||||||
| 6,063,000 | 4.480 | 01/16/24 | 6,456,367 | |||||||||
| (SOFR + 2.000%) | ||||||||||||
| 7,200,000 | 2.188 | (a)(c) | 04/30/26 | 7,336,008 | ||||||||
|
| ||||||||||||
| 351,977,007 | ||||||||||||
|
| ||||||||||||
| Beverages – 0.7% | ||||||||||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.(a) | ||||||||||||
| 9,900,000 | 3.650 | 02/01/26 | 10,679,427 | |||||||||
| Constellation Brands, Inc. | ||||||||||||
| 800,000 | 3.200 | (a) | 02/15/23 | 818,352 | ||||||||
| 8,181,000 | 4.250 | 05/01/23 | 8,532,619 | |||||||||
|
| ||||||||||||
| 20,030,398 | ||||||||||||
|
| ||||||||||||
| Biotechnology – 0.1% | ||||||||||||
| Royalty Pharma PLC | ||||||||||||
| 3,700,000 | 0.750 | 09/02/23 | 3,676,209 | |||||||||
|
| ||||||||||||
| Building Materials(a) – 0.6% | ||||||||||||
| Carrier Global Corp. | ||||||||||||
| 15,325,000 | 2.242 | 02/15/25 | 15,700,922 | |||||||||
| JELD-WEN, Inc.(b) | ||||||||||||
| 125,000 | 4.875 | 12/15/27 | 128,437 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Building Materials(a) – (continued) | ||||||||||||
| Summit Materials LLC/Summit Materials Finance Corp.(b) | ||||||||||||
| $ |
115,000 | 6.500 | % | 03/15/27 | $ 119,313 | |||||||
|
| ||||||||||||
| 15,948,672 | ||||||||||||
|
| ||||||||||||
| Chemicals – 0.7% | ||||||||||||
| Celanese US Holdings LLC(a) | ||||||||||||
| 900,000 | 3.500 | 05/08/24 | 940,266 | |||||||||
| International Flavors & Fragrances, Inc.(b) | ||||||||||||
| 1,075,000 | 0.697 | 09/15/22 | 1,074,591 | |||||||||
| 5,225,000 | 1.230 | (a) | 10/01/25 | 5,117,731 | ||||||||
| Methanex Corp.(a) | ||||||||||||
| 3,500,000 | 4.250 | 12/01/24 | 3,675,000 | |||||||||
| OCI NV(a)(b) | ||||||||||||
| 1,043,000 | 4.625 | 10/15/25 | 1,083,416 | |||||||||
| Sasol Financing International Ltd. | ||||||||||||
| 400,000 | 4.500 | 11/14/22 | 404,520 | |||||||||
| Sasol Financing USA LLC(a) | ||||||||||||
| 450,000 | 5.875 | 03/27/24 | 468,585 | |||||||||
| SPCM SA(a)(b) | ||||||||||||
| 1,650,000 | 3.125 | 03/15/27 | 1,654,125 | |||||||||
| Tronox, Inc.(a)(b) | ||||||||||||
| 4,400,000 | 6.500 | 05/01/25 | 4,587,000 | |||||||||
|
| ||||||||||||
| 19,005,234 | ||||||||||||
|
| ||||||||||||
| Commercial Services – 0.9% | ||||||||||||
| Global Payments, Inc.(a) | ||||||||||||
| 3,800,000 | 3.750 | 06/01/23 | 3,916,204 | |||||||||
| 3,175,000 | 1.200 | 03/01/26 | 3,089,307 | |||||||||
| IHS Markit Ltd.(a) | ||||||||||||
| 4,343,000 | 5.000 | (b) | 11/01/22 | 4,447,623 | ||||||||
| 2,475,000 | 3.625 | 05/01/24 | 2,594,641 | |||||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | ||||||||||||
| 7,400,000 | 5.250 | 04/15/24 | 7,844,000 | |||||||||
| The ADT Security Corp. | ||||||||||||
| 2,050,000 | 4.125 | 06/15/23 | 2,114,063 | |||||||||
|
| ||||||||||||
| 24,005,838 | ||||||||||||
|
| ||||||||||||
| Computers(a) – 1.3% | ||||||||||||
| Dell International LLC/EMC Corp. | ||||||||||||
| 2,887,000 | 5.450 | 06/15/23 | 3,048,932 | |||||||||
| 4,775,000 | 4.000 | 07/15/24 | 5,070,238 | |||||||||
| 10,665,000 | 5.850 | 07/15/25 | 12,097,203 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Computers(a) – (continued) | ||||||||||||
| Hewlett Packard Enterprise Co. | ||||||||||||
| $ |
800,000 | 4.400 | % | 10/15/22 | $ 818,224 | |||||||
| 475,000 | 2.250 | 04/01/23 | 482,433 | |||||||||
| 4,998,000 | 4.450 | 10/02/23 | 5,275,889 | |||||||||
| 3,100,000 | 1.450 | 04/01/24 | 3,118,662 | |||||||||
| NetApp, Inc. | ||||||||||||
| 1,300,000 | 1.875 | 06/22/25 | 1,314,222 | |||||||||
| Western Digital Corp. | ||||||||||||
| 2,770,000 | 4.750 | 02/15/26 | 3,026,225 | |||||||||
|
| ||||||||||||
| 34,252,028 | ||||||||||||
|
| ||||||||||||
| Diversified Financial Services – 2.6% | ||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust(a) | ||||||||||||
| 1,500,000 | 4.125 | 07/03/23 | 1,559,475 | |||||||||
| 640,000 | 6.500 | 07/15/25 | 731,872 | |||||||||
| Air Lease Corp. | ||||||||||||
| 1,975,000 | 3.500 | 01/15/22 | 1,976,659 | |||||||||
| 5,000,000 | 2.625 | (a) | 07/01/22 | 5,039,800 | ||||||||
| 2,375,000 | 2.250 | 01/15/23 | 2,405,186 | |||||||||
| 3,586,000 | 2.750 | (a) | 01/15/23 | 3,644,380 | ||||||||
| 1,500,000 | 2.300 | (a) | 02/01/25 | 1,522,440 | ||||||||
| 1,100,000 | 3.375 | (a) | 07/01/25 | 1,149,775 | ||||||||
| 5,175,000 | 1.875 | (a) | 08/15/26 | 5,096,029 | ||||||||
| Ally Financial, Inc. | ||||||||||||
| 1,975,000 | 4.125 | 02/13/22 | 1,982,566 | |||||||||
| 1,300,000 | 4.625 | 05/19/22 | 1,319,396 | |||||||||
| 12,175,000 | 1.450 | (a) | 10/02/23 | 12,217,247 | ||||||||
| Aviation Capital Group LLC(a)(b) | ||||||||||||
| 1,725,000 | 1.950 | 01/30/26 | 1,686,343 | |||||||||
| Avolon Holdings Funding Ltd.(a)(b) | ||||||||||||
| 1,025,000 | 3.625 | 05/01/22 | 1,032,380 | |||||||||
| 3,925,000 | 5.500 | 01/15/23 | 4,069,048 | |||||||||
| 1,075,000 | 3.950 | 07/01/24 | 1,126,009 | |||||||||
| 2,075,000 | 2.875 | 02/15/25 | 2,118,264 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Diversified Financial Services – (continued) | ||||||||||||
| Capital One Bank USA NA(a)(c) (SOFR + 0.616%) | ||||||||||||
| $ |
3,775,000 | 2.014 | % | 01/27/23 | $ 3,778,284 | |||||||
| Capital One Financial Corp.(a) | ||||||||||||
| 850,000 | 3.900 | 01/29/24 | 895,348 | |||||||||
| Huarong Finance 2019 Co. Ltd. | ||||||||||||
| 380,000 | 3.750 | 05/29/24 | 383,800 | |||||||||
| Huarong Finance II Co. Ltd. | ||||||||||||
| 270,000 | 5.500 | 01/16/25 | 283,500 | |||||||||
| International Lease Finance Corp. | ||||||||||||
| 2,125,000 | 8.625 | 01/15/22 | 2,129,845 | |||||||||
| LD Holdings Group LLC(a)(b) | ||||||||||||
| 3,610,000 | 6.500 | 11/01/25 | 3,537,800 | |||||||||
| Navient Corp. | ||||||||||||
| 915,000 | 5.500 | 01/25/23 | 949,313 | |||||||||
| OneMain Finance Corp. | ||||||||||||
| 4,285,000 | 5.625 | 03/15/23 | 4,483,181 | |||||||||
| Park Aerospace Holdings Ltd.(a)(b) | ||||||||||||
| 900,000 | 5.250 | 08/15/22 | 920,628 | |||||||||
| PennyMac Financial Services, Inc.(a)(b) | ||||||||||||
| 2,160,000 | 5.375 | 10/15/25 | 2,214,000 | |||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(a)(b) | ||||||||||||
| 1,930,000 | 2.875 | 10/15/26 | 1,926,848 | |||||||||
| The Western Union Co.(a) | ||||||||||||
| 1,025,000 | 2.850 | 01/10/25 | 1,061,726 | |||||||||
|
| ||||||||||||
| 71,241,142 | ||||||||||||
|
| ||||||||||||
| Electrical – 1.6% | ||||||||||||
| Avangrid, Inc.(a) | ||||||||||||
| 1,375,000 | 3.200 | 04/15/25 | 1,446,665 | |||||||||
| Berkshire Hathaway Energy Co.(a) | ||||||||||||
| 1,225,000 | 4.050 | 04/15/25 | 1,326,712 | |||||||||
| DTE Energy Co. | ||||||||||||
| 645,000 | 2.250 | 11/01/22 | 653,088 | |||||||||
| 3,375,000 | 1.050 | (a) | 06/01/25 | 3,312,191 | ||||||||
| Enel Finance International NV(a)(b) | ||||||||||||
| 7,875,000 | 1.375 | 07/12/26 | 7,685,921 | |||||||||
| Entergy Corp.(a) | ||||||||||||
| 2,800,000 | 0.900 | 09/15/25 | 2,717,848 | |||||||||
| ITC Holdings Corp.(a) | ||||||||||||
| 4,050,000 | 2.700 | 11/15/22 | 4,112,249 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Electrical – (continued) | ||||||||||||
| NRG Energy, Inc.(a)(b) | ||||||||||||
| $ |
4,525,000 | 3.750 | % | 06/15/24 | $ 4,728,308 | |||||||
| 2,855,000 | 5.250 | 06/15/29 | 3,033,438 | |||||||||
| Pacific Gas & Electric Co.(a) | ||||||||||||
| 5,575,000 | 1.750 | 06/16/22 | 5,571,153 | |||||||||
| Southern Power Co.(a) | ||||||||||||
| 1,450,000 | 0.900 | 01/15/26 | 1,403,136 | |||||||||
| Vistra Operations Co. LLC(a)(b) | ||||||||||||
| 3,325,000 | 3.550 | 07/15/24 | 3,428,574 | |||||||||
| 2,965,000 | 5.000 | 07/31/27 | 3,068,775 | |||||||||
|
| ||||||||||||
| 42,488,058 | ||||||||||||
|
| ||||||||||||
| Electrical Components & Equipment(a)(b) – 0.1% | ||||||||||||
| Wesco Distribution, Inc. | ||||||||||||
| 2,845,000 | 7.125 | 06/15/25 | 3,008,588 | |||||||||
|
| ||||||||||||
| Energy-Alternate Sources(a)(b) – 0.0% | ||||||||||||
| Greenko Dutch B.V. | ||||||||||||
| 197,000 | 3.850 | 03/29/26 | 198,970 | |||||||||
|
| ||||||||||||
| Engineering & Construction(a) – 0.1% | ||||||||||||
| AECOM | ||||||||||||
| 2,750,000 | 5.125 | 03/15/27 | 2,983,750 | |||||||||
|
| ||||||||||||
| Entertainment(a)(b) – 0.3% | ||||||||||||
| Banijay Entertainment SASU | ||||||||||||
| 930,000 | 5.375 | 03/01/25 | 952,088 | |||||||||
| Caesars Entertainment, Inc. | ||||||||||||
| 1,895,000 | 6.250 | 07/01/25 | 1,982,644 | |||||||||
| Caesars Resort Collection LLC/CRC Finco, Inc. | ||||||||||||
| 4,410,000 | 5.750 | 07/01/25 | 4,602,937 | |||||||||
|
| ||||||||||||
| 7,537,669 | ||||||||||||
|
| ||||||||||||
| Environmental(a)(b) – 0.3% | ||||||||||||
| GFL Environmental, Inc. | ||||||||||||
| 3,880,000 | 3.750 | 08/01/25 | 3,938,200 | |||||||||
| 4,860,000 | 5.125 | 12/15/26 | 5,066,550 | |||||||||
|
| ||||||||||||
| 9,004,750 | ||||||||||||
|
| ||||||||||||
| Food & Drug Retailing – 0.5% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertson’s LLC(a)(b) | ||||||||||||
| 3,630,000 | 3.250 | 03/15/26 | 3,698,062 | |||||||||
| 110,000 | 7.500 | 03/15/26 | 117,563 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Food & Drug Retailing – (continued) | ||||||||||||
| B&G Foods, Inc.(a) | ||||||||||||
| $ |
2,050,000 | 5.250 | % | 04/01/25 | $ 2,093,563 | |||||||
| General Mills, Inc.(c) (3M USD LIBOR + 1.010%) | ||||||||||||
| 2,175,000 | 1.132 | 10/17/23 | 2,202,361 | |||||||||
| Mondelez International, Inc.(a) | ||||||||||||
| 2,325,000 | 1.500 | 05/04/25 | 2,329,696 | |||||||||
| Performance Food Group, Inc.(a)(b) | ||||||||||||
| 3,020,000 | 6.875 | 05/01/25 | 3,163,450 | |||||||||
| US Foods, Inc.(a)(b) | ||||||||||||
| 1,055,000 | 6.250 | 04/15/25 | 1,098,519 | |||||||||
|
| ||||||||||||
| 14,703,214 | ||||||||||||
|
| ||||||||||||
| Gaming – 0.2% | ||||||||||||
| MGM Resorts International | ||||||||||||
| 625,000 | 7.750 | 03/15/22 | 632,812 | |||||||||
| 2,040,000 | 6.750 | (a) | 05/01/25 | 2,139,450 | ||||||||
| 3,511,000 | 5.750 | (a) | 06/15/25 | 3,778,714 | ||||||||
|
| ||||||||||||
| 6,550,976 | ||||||||||||
|
| ||||||||||||
| Gas(a) – 0.4% | ||||||||||||
| NiSource, Inc. | ||||||||||||
| 11,050,000 | 0.950 | 08/15/25 | 10,768,888 | |||||||||
|
| ||||||||||||
| Healthcare Providers & Services – 0.4% | ||||||||||||
| Centene Corp.(a) | ||||||||||||
| 1,900,000 | 4.250 | 12/15/27 | 1,987,571 | |||||||||
| Children’s Hospital of Orange County | ||||||||||||
| 934,000 | 0.650 | 11/01/23 | 920,564 | |||||||||
| HCA, Inc. | ||||||||||||
| 3,384,000 | 5.875 | 05/01/23 | 3,578,580 | |||||||||
| 1,330,000 | 5.375 | 02/01/25 | 1,456,350 | |||||||||
| SSM Health Care Corp.(a) | ||||||||||||
| 2,335,000 | 3.688 | 06/01/23 | 2,403,077 | |||||||||
| Tenet Healthcare Corp. | ||||||||||||
| 500,000 | 6.750 | 06/15/23 | 534,375 | |||||||||
|
| ||||||||||||
| 10,880,517 | ||||||||||||
|
| ||||||||||||
| Household Products(a) – 0.0% | ||||||||||||
| Spectrum Brands, Inc. | ||||||||||||
| 114,000 | 5.750 | 07/15/25 | 116,423 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Housewares(a) – 0.1% | ||||||||||||
| Newell Brands, Inc. | ||||||||||||
| $ |
2,770,000 | 4.875 | % | 06/01/25 | $ 3,008,913 | |||||||
|
| ||||||||||||
| Insurance – 0.4% | ||||||||||||
| American International Group, Inc. | ||||||||||||
| 1,875,000 | 4.125 | 02/15/24 | 1,991,100 | |||||||||
| 2,000,000 | 2.500 | (a) | 06/30/25 | 2,064,080 | ||||||||
| Athene Global Funding(b) | ||||||||||||
| 1,875,000 | 0.950 | 01/08/24 | 1,863,750 | |||||||||
| 1,725,000 | 1.450 | 01/08/26 | 1,702,523 | |||||||||
| Equitable Financial Life Global Funding(b) | ||||||||||||
| 1,550,000 | 1.400 | 07/07/25 | 1,534,438 | |||||||||
| Great-West Lifeco US Finance 2020 LP(a)(b) | ||||||||||||
| 2,000,000 | 0.904 | 08/12/25 | 1,942,740 | |||||||||
| Reliance Standard Life Global Funding II(b) | ||||||||||||
| 1,025,000 | 2.150 | 01/21/23 | 1,040,016 | |||||||||
|
| ||||||||||||
| 12,138,647 | ||||||||||||
|
| ||||||||||||
| Internet – 1.2% | ||||||||||||
| eBay, Inc.(a) | ||||||||||||
| 4,825,000 | 1.400 | 05/10/26 | 4,752,673 | |||||||||
| Expedia Group, Inc.(a) | ||||||||||||
| 14,850,000 | 3.600 | 12/15/23 | 15,438,060 | |||||||||
| 1,675,000 | 4.500 | 08/15/24 | 1,788,582 | |||||||||
| 1,790,000 | 5.000 | 02/15/26 | 1,996,584 | |||||||||
| Netflix, Inc. | ||||||||||||
| 3,265,000 | 5.875 | 02/15/25 | 3,664,146 | |||||||||
| Uber Technologies, Inc.(a)(b) | ||||||||||||
| 4,340,000 | 7.500 | 05/15/25 | 4,573,275 | |||||||||
|
| ||||||||||||
| 32,213,320 | ||||||||||||
|
| ||||||||||||
| Iron/Steel(a) – 0.0% | ||||||||||||
| Steel Dynamics, Inc. | ||||||||||||
| 345,000 | 2.400 | 06/15/25 | 353,932 | |||||||||
|
| ||||||||||||
| Lodging(a) – 0.1% | ||||||||||||
| Marriott International, Inc. | ||||||||||||
| 1,650,000 | 3.600 | 04/15/24 | 1,727,996 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Machinery - Construction & Mining(a)(b) – 0.0% | ||||||||||||
| The Manitowoc Co., Inc. | ||||||||||||
| $ |
125,000 | 9.000 | % | 04/01/26 | $ 132,188 | |||||||
|
| ||||||||||||
| Machinery-Diversified(a) – 0.4% | ||||||||||||
| Husky III Holding Ltd.(b)(d) (PIK 13.750%, Cash 13.000%) | ||||||||||||
| 1,104,000 | 13.000 | 02/15/25 | 1,167,480 | |||||||||
| Mueller Water Products, Inc.(b) | ||||||||||||
| 2,985,000 | 4.000 | 06/15/29 | 3,022,312 | |||||||||
| Otis Worldwide Corp. | ||||||||||||
| 4,000,000 | 2.056 | 04/05/25 | 4,076,440 | |||||||||
| (3M USD LIBOR + 0.450%) | ||||||||||||
| 3,000,000 | 0.583 | (c) | 04/05/23 | 3,000,030 | ||||||||
|
| ||||||||||||
| 11,266,262 | ||||||||||||
|
| ||||||||||||
| Media – 2.0% | ||||||||||||
| AMC Networks, Inc.(a) | ||||||||||||
| 4,486,000 | 4.750 | 08/01/25 | 4,575,720 | |||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp.(a)(b) | ||||||||||||
| 4,575,000 | 4.000 | 03/01/23 | 4,575,000 | |||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital(a) | ||||||||||||
| 1,650,000 | 4.464 | 07/23/22 | 1,675,311 | |||||||||
| 2,900,000 | 4.500 | 02/01/24 | 3,082,874 | |||||||||
| 8,925,000 | 4.908 | 07/23/25 | 9,830,352 | |||||||||
| (3M USD LIBOR + 1.650%) | ||||||||||||
| 1,275,000 | 1.782 | (c) | 02/01/24 | 1,301,507 | ||||||||
| CSC Holdings LLC | ||||||||||||
| 4,120,000 | 5.250 | 06/01/24 | 4,295,100 | |||||||||
| DISH DBS Corp. | ||||||||||||
| 410,000 | 5.875 | 07/15/22 | 417,175 | |||||||||
| 5,065,000 | 5.875 | 11/15/24 | 5,197,957 | |||||||||
| Scripps Escrow, Inc.(a)(b) | ||||||||||||
| 120,000 | 5.875 | 07/15/27 | 125,550 | |||||||||
| The Walt Disney Co. | ||||||||||||
| 8,900,000 | 3.000 | 09/15/22 | 9,052,190 | |||||||||
| Time Warner Entertainment Co. LP | ||||||||||||
| 9,179,000 | 8.375 | 03/15/23 | 9,972,249 | |||||||||
|
| ||||||||||||
| 54,100,985 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Mining – 0.2% | ||||||||||||
| Glencore Funding LLC(a)(b) | ||||||||||||
| $ |
625,000 | 3.000 | % | 10/27/22 | $ 635,044 | |||||||
| 4,200,000 | 1.625 | 09/01/25 | 4,162,746 | |||||||||
| Vedanta Resources Finance II PLC(a)(b) | ||||||||||||
| 340,000 | 8.950 | 03/11/25 | 332,350 | |||||||||
| Vedanta Resources Ltd. | ||||||||||||
| 220,000 | 7.125 | 05/31/23 | 212,410 | |||||||||
| 200,000 | 6.125 | (a) | 08/09/24 | 174,350 | ||||||||
|
| ||||||||||||
| 5,516,900 | ||||||||||||
|
| ||||||||||||
| Miscellaneous Manufacturing – 0.4% | ||||||||||||
| General Electric Co. | ||||||||||||
| 7,900,000 | 2.700 | 10/09/22 | 8,019,843 | |||||||||
| Hillenbrand, Inc.(a) | ||||||||||||
| 890,000 | 5.750 | 06/15/25 | 933,388 | |||||||||
| Parker-Hannifin Corp.(a) | ||||||||||||
| 625,000 | 2.700 | 06/14/24 | 645,875 | |||||||||
|
| ||||||||||||
| 9,599,106 | ||||||||||||
|
| ||||||||||||
| Multi-National(a)(b) – 0.1% | ||||||||||||
| The African Export-Import Bank | ||||||||||||
| 1,050,000 | 2.634 | 05/17/26 | 1,053,129 | |||||||||
| 1,130,000 | 3.798 | 05/17/31 | 1,153,323 | |||||||||
|
| ||||||||||||
| 2,206,452 | ||||||||||||
|
| ||||||||||||
| Office(a)(b) – 0.2% | ||||||||||||
| Xerox Holdings Corp. | ||||||||||||
| 4,495,000 | 5.000 | 08/15/25 | 4,730,988 | |||||||||
|
| ||||||||||||
| Oil Field Services – 1.0% | ||||||||||||
| Canadian Natural Resources Ltd.(a) | ||||||||||||
| 1,400,000 | 2.950 | 01/15/23 | 1,425,928 | |||||||||
| 1,875,000 | 2.050 | 07/15/25 | 1,894,931 | |||||||||
| Continental Resources, Inc.(a) | ||||||||||||
| 6,800,000 | 3.800 | 06/01/24 | 7,080,500 | |||||||||
| Devon Energy Corp.(a) | ||||||||||||
| 120,000 | 5.250 | 09/15/24 | 129,831 | |||||||||
| EQT Corp.(a) | ||||||||||||
| 2,625,000 | 6.625 | 02/01/25 | 2,953,125 | |||||||||
| Exxon Mobil Corp.(a) | ||||||||||||
| 1,850,000 | 2.992 | 03/19/25 | 1,945,960 | |||||||||
| Petroleos Mexicanos(a)(b) | ||||||||||||
| 210,000 | 6.875 | 10/16/25 | 229,425 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Oil Field Services – (continued) | ||||||||||||
| Phillips 66(a) | ||||||||||||
| $ |
3,200,000 | 0.900 | % | 02/15/24 | $ 3,179,232 | |||||||
| Suncor Energy, Inc. | ||||||||||||
| 3,375,000 | 2.800 | 05/15/23 | 3,454,414 | |||||||||
| TechnipFMC PLC(a)(b) | ||||||||||||
| 2,570,000 | 6.500 | 02/01/26 | 2,740,263 | |||||||||
| Transocean Sentry Ltd.(a)(b) | ||||||||||||
| 1,583,002 | 5.375 | 05/15/23 | 1,523,639 | |||||||||
| USA Compression Partners LP/USA Compression Finance Corp.(a) | ||||||||||||
| 120,000 | 6.875 | 04/01/26 | 124,800 | |||||||||
|
| ||||||||||||
| 26,682,048 | ||||||||||||
|
| ||||||||||||
| Packaging – 0.6% | ||||||||||||
| Ball Corp. | ||||||||||||
| 5,413,000 | 4.000 | 11/15/23 | 5,649,819 | |||||||||
| Berry Global, Inc.(a) | ||||||||||||
| 5,500,000 | 0.950 | 02/15/24 | 5,444,120 | |||||||||
| 3,200,000 | 1.570 | 01/15/26 | 3,132,000 | |||||||||
| Silgan Holdings, Inc.(a)(b) | ||||||||||||
| 1,925,000 | 1.400 | 04/01/26 | 1,874,661 | |||||||||
|
| ||||||||||||
| 16,100,600 | ||||||||||||
|
| ||||||||||||
| Pharmaceuticals – 2.1% | ||||||||||||
| AbbVie, Inc. | ||||||||||||
| 2,963,000 | 2.900 | 11/06/22 | 3,017,164 | |||||||||
| 4,209,000 | 3.200 | (a) | 11/06/22 | 4,279,711 | ||||||||
| 7,800,000 | 3.850 | (a) | 06/15/24 | 8,246,706 | ||||||||
| 16,250,000 | 2.600 | (a) | 11/21/24 | 16,854,012 | ||||||||
| Bausch Health Americas, Inc.(a)(b) | ||||||||||||
| 110,000 | 9.250 | 04/01/26 | 116,050 | |||||||||
| Bausch Health Cos., Inc.(a)(b) | ||||||||||||
| 599,000 | 6.125 | 04/15/25 | 609,483 | |||||||||
| Bayer US Finance II LLC(a)(b)(c) (3M USD LIBOR + 1.010%) | ||||||||||||
| 4,150,000 | 1.213 | 12/15/23 | 4,174,526 | |||||||||
| Becton Dickinson & Co.(a) | ||||||||||||
| 544,000 | 3.363 | 06/06/24 | 569,584 | |||||||||
| 5,800,000 | 3.734 | 12/15/24 | 6,168,996 | |||||||||
| Elanco Animal Health, Inc.(a) | ||||||||||||
| 500,000 | 5.272 | 08/28/23 | 529,626 | |||||||||
| Herbalife Nutrition Ltd./HLF Financing, Inc.(a)(b) | ||||||||||||
| 7,435,000 | 7.875 | 09/01/25 | 7,918,275 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Pharmaceuticals – (continued) | ||||||||||||
| McKesson Corp.(a) | ||||||||||||
| $ |
675,000 | 2.700 | % | 12/15/22 | $ 684,464 | |||||||
| PRA Health Sciences, Inc.(a)(b) | ||||||||||||
| 3,144,000 | 2.875 | 07/15/26 | 3,147,930 | |||||||||
|
| ||||||||||||
| 56,316,527 | ||||||||||||
|
| ||||||||||||
| Pipelines(a) – 2.0% | ||||||||||||
| Cheniere Energy Partners LP | ||||||||||||
| 2,835,000 | 4.500 | 10/01/29 | 3,026,362 | |||||||||
| DCP Midstream Operating LP | ||||||||||||
| 2,690,000 | 5.625 | 07/15/27 | 3,053,150 | |||||||||
| Energy Transfer LP | ||||||||||||
| 10,075,000 | 3.600 | 02/01/23 | 10,282,746 | |||||||||
| Energy Transfer LP/Regency Energy Finance Corp. | ||||||||||||
| 150,000 | 4.500 | 11/01/23 | 157,358 | |||||||||
| EQM Midstream Partners LP | ||||||||||||
| 1,265,000 | 4.750 | 07/15/23 | 1,315,600 | |||||||||
| Kinder Morgan, Inc.(b) | ||||||||||||
| 4,550,000 | 5.625 | 11/15/23 | 4,863,586 | |||||||||
| MPLX LP | ||||||||||||
| 2,050,000 | 3.500 | 12/01/22 | 2,093,542 | |||||||||
| 2,530,000 | 4.500 | 07/15/23 | 2,635,602 | |||||||||
| 1,225,000 | 4.875 | 12/01/24 | 1,331,257 | |||||||||
| 8,300,000 | 1.750 | 03/01/26 | 8,242,896 | |||||||||
| NGPL PipeCo LLC(b) | ||||||||||||
| 410,000 | 4.875 | 08/15/27 | 456,203 | |||||||||
| NuStar Logistics LP | ||||||||||||
| 6,820,000 | 5.750 | 10/01/25 | 7,297,400 | |||||||||
| Plains All American Pipeline LP/PAA Finance Corp. | ||||||||||||
| 4,125,000 | 2.850 | 01/31/23 | 4,184,441 | |||||||||
| Sabine Pass Liquefaction LLC | ||||||||||||
| 225,000 | 5.625 | 04/15/23 | 235,510 | |||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||||||
| 2,720,000 | 6.875 | 01/15/29 | 3,032,800 | |||||||||
| The Williams Cos., Inc. | ||||||||||||
| 2,025,000 | 3.600 | 03/15/22 | 2,026,964 | |||||||||
|
| ||||||||||||
| 54,235,417 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Real Estate(a) – 0.3% | ||||||||||||
| Realogy Group LLC/Realogy Co-Issuer Corp.(b) | ||||||||||||
| $ |
6,435,000 | 7.625 | % | 06/15/25 | $ 6,829,144 | |||||||
| Sunac China Holdings Ltd. | ||||||||||||
| 200,000 | 6.500 | 01/10/25 | 125,938 | |||||||||
| Zhenro Properties Group Ltd. | ||||||||||||
| 200,000 | 6.700 | 08/04/26 | 127,937 | |||||||||
|
| ||||||||||||
| 7,083,019 | ||||||||||||
|
| ||||||||||||
| Real Estate Investment Trust(a) – 1.3% | ||||||||||||
| American Tower Corp. | ||||||||||||
| 1,325,000 | 3.375 | 05/15/24 | 1,384,837 | |||||||||
| 1,150,000 | 2.400 | 03/15/25 | 1,181,303 | |||||||||
| 1,400,000 | 1.300 | 09/15/25 | 1,379,434 | |||||||||
| Crown Castle International Corp. | ||||||||||||
| 1,750,000 | 1.350 | 07/15/25 | 1,730,505 | |||||||||
| 8,300,000 | 4.450 | 02/15/26 | 9,088,832 | |||||||||
| MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | ||||||||||||
| 4,830,000 | 5.625 | 05/01/24 | 5,162,062 | |||||||||
| National Retail Properties, Inc. | ||||||||||||
| 435,000 | 3.900 | 06/15/24 | 459,747 | |||||||||
| Realty Income Corp. | ||||||||||||
| 4,265,000 | 4.600 | 02/06/24 | 4,535,017 | |||||||||
| SL Green Operating Partnership LP | ||||||||||||
| 2,575,000 | 3.250 | 10/15/22 | 2,614,295 | |||||||||
| Ventas Realty LP | ||||||||||||
| 1,375,000 | 3.500 | 04/15/24 | 1,440,230 | |||||||||
| VICI Properties LP/VICI Note Co., Inc.(b) | ||||||||||||
| 4,590,000 | 3.500 | 02/15/25 | 4,670,325 | |||||||||
| WP Carey, Inc. | ||||||||||||
| 285,000 | 4.600 | 04/01/24 | 302,966 | |||||||||
| 230,000 | 4.000 | 02/01/25 | 245,194 | |||||||||
|
| ||||||||||||
| 34,194,747 | ||||||||||||
|
| ||||||||||||
| Retailing(a) – 0.5% | ||||||||||||
| Lowe’s Cos, Inc. | ||||||||||||
| 7,825,000 | 4.000 | 04/15/25 | 8,480,735 | |||||||||
| Nordstrom, Inc. | ||||||||||||
| 3,000,000 | 2.300 | 04/08/24 | 3,000,000 | |||||||||
| Yum! Brands, Inc.(b) | ||||||||||||
| 1,875,000 | 7.750 | 04/01/25 | 1,973,437 | |||||||||
|
| ||||||||||||
| 13,454,172 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Savings & Loans(a)(b)(c) – 0.2% | ||||||||||||
| Nationwide Building Society | ||||||||||||
| (3M USD LIBOR + 1.064%) | ||||||||||||
| $ |
3,206,000 | 3.766 | % | 03/08/24 | $ 3,302,597 | |||||||
| (3M USD LIBOR + 1.181%) | ||||||||||||
| 2,075,000 | 3.622 | 04/26/23 | 2,092,139 | |||||||||
|
| ||||||||||||
| 5,394,736 | ||||||||||||
|
| ||||||||||||
| Semiconductors – 1.1% | ||||||||||||
| Broadcom Corp./Broadcom Cayman Finance Ltd.(a) | ||||||||||||
| 9,580,000 | 3.625 | 01/15/24 | 10,025,566 | |||||||||
| Broadcom, Inc.(a) | ||||||||||||
| 5,250,000 | 3.625 | 10/15/24 | 5,553,975 | |||||||||
| 6,625,000 | 4.700 | 04/15/25 | 7,245,166 | |||||||||
| Microchip Technology, Inc. | ||||||||||||
| 1,800,000 | 2.670 | 09/01/23 | 1,839,654 | |||||||||
| NXP B.V./NXP Funding LLC(b) | ||||||||||||
| 2,440,000 | 4.625 | 06/01/23 | 2,554,973 | |||||||||
| NXP BV / NXP Funding LLC / NXP USA Inc.(a)(b) | ||||||||||||
| 250,000 | 2.700 | 05/01/25 | 258,280 | |||||||||
| Skyworks Solutions, Inc.(a) | ||||||||||||
| 2,425,000 | 1.800 | 06/01/26 | 2,402,011 | |||||||||
|
| ||||||||||||
| 29,879,625 | ||||||||||||
|
| ||||||||||||
| Software(a) – 0.7% | ||||||||||||
| Fair Isaac Corp.(b) | ||||||||||||
| 2,705,000 | 5.250 | 05/15/26 | 2,965,356 | |||||||||
| Fidelity National Information Services, Inc. | ||||||||||||
| 4,025,000 | 1.150 | 03/01/26 | 3,927,152 | |||||||||
| Infor, Inc.(b) | ||||||||||||
| 1,025,000 | 1.450 | 07/15/23 | 1,027,378 | |||||||||
| 1,075,000 | 1.750 | 07/15/25 | 1,069,872 | |||||||||
| Oracle Corp. | ||||||||||||
| 2,825,000 | 2.500 | 04/01/25 | 2,893,648 | |||||||||
| PTC, Inc.(b) | ||||||||||||
| 2,085,000 | 3.625 | 02/15/25 | 2,111,063 | |||||||||
| Roper Technologies, Inc. | ||||||||||||
| 975,000 | 2.350 | 09/15/24 | 1,001,325 | |||||||||
| VMware, Inc. | ||||||||||||
| 2,575,000 | 1.000 | 08/15/24 | 2,552,031 | |||||||||
|
| ||||||||||||
| 17,547,825 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Telecommunication Services – 2.8% | ||||||||||||
| AT&T, Inc.(a) | ||||||||||||
| $ |
1,850,000 | 4.450 | % | 04/01/24 | $ 1,975,578 | |||||||
| 11,320,000 | 3.950 | 01/15/25 | 12,109,910 | |||||||||
| 5,150,000 | 3.400 | 05/15/25 | 5,449,266 | |||||||||
| CommScope Technologies LLC(a)(b) | ||||||||||||
| 112,000 | 6.000 | 06/15/25 | 112,000 | |||||||||
| Level 3 Financing, Inc.(a) | ||||||||||||
| 1,925,000 | 5.375 | 05/01/25 | 1,961,094 | |||||||||
| Lumen Technologies, Inc(a) | ||||||||||||
| 1,005,000 | 7.500 | 04/01/24 | 1,100,475 | |||||||||
| SoftBank Group Corp.(a) | ||||||||||||
| 200,000 | 5.125 | 09/19/27 | 201,000 | |||||||||
| Sprint Communications, Inc. | ||||||||||||
| 770,000 | 6.000 | 11/15/22 | 798,875 | |||||||||
| Sprint Corp. | ||||||||||||
| 2,840,000 | 7.875 | 09/15/23 | 3,124,000 | |||||||||
| T-Mobile USA, Inc.(a) | ||||||||||||
| 9,750,000 | 4.000 | 04/15/22 | 9,823,125 | |||||||||
| 21,574,000 | 3.500 | 04/15/25 | 22,862,615 | |||||||||
| 5,450,000 | 1.500 | 02/15/26 | 5,392,884 | |||||||||
| 2,614,000 | 2.250 | 02/15/26 | 2,617,636 | |||||||||
| Telecom Italia SpA(b) | ||||||||||||
| 5,615,000 | 5.303 | 05/30/24 | 5,860,656 | |||||||||
| Verizon Communications, Inc.(a) | ||||||||||||
| 2,650,000 | 0.850 | 11/20/25 | 2,586,082 | |||||||||
|
| ||||||||||||
| 75,975,196 | ||||||||||||
|
| ||||||||||||
| Toys/Games/Hobbies(a)(b) – 0.1% | ||||||||||||
| Mattel, Inc. | ||||||||||||
| 2,815,000 | 5.875 | 12/15/27 | 3,022,606 | |||||||||
|
| ||||||||||||
| Transportation(a) – 0.1% | ||||||||||||
| United Parcel Service, Inc. | ||||||||||||
| 1,925,000 | 3.900 | 04/01/25 | 2,079,558 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Trucking & Leasing(a)(b) – 0.2% | ||||||||||||
| Penske Truck Leasing Co LP/PTL Finance Corp. | ||||||||||||
| $ |
4,950,000 | 1.200 | % | 11/15/25 | $ 4,828,082 | |||||||
| SMBC Aviation Capital Finance DAC | ||||||||||||
| 1,200,000 | 3.550 | 04/15/24 | 1,253,352 | |||||||||
|
| ||||||||||||
| 6,081,434 | ||||||||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $1,256,049,485) |
$1,255,251,397 | |||||||||||
|
| ||||||||||||
| Mortgage-Backed Obligations – 12.3% | ||||||||||||
| Collateralized Mortgage Obligations – 2.7% | ||||||||||||
| Interest Only(e) – 0.5% | ||||||||||||
| FHLMC REMIC Series 3852, Class SW(c) (-1x 1M USD LIBOR + 6.000%) | ||||||||||||
| $ |
317,508 | 5.890 | % | 05/15/41 | $ 47,291 | |||||||
| FHLMC REMIC Series 4314, Class SE(c) (-1x 1M USD LIBOR + 6.050%) | ||||||||||||
| 292,900 | 5.940 | 03/15/44 | 42,352 | |||||||||
| FHLMC REMIC Series 4468, Class SY(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 486,335 | 5.990 | 05/15/45 | 86,298 | |||||||||
| FHLMC REMIC Series 4583, Class ST(c) (-1x 1M USD LIBOR + 6.000%) | ||||||||||||
| 329,552 | 5.890 | 05/15/46 | 54,630 | |||||||||
| FHLMC REMIC Series 4905, Class SA(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 679,192 | 5.998 | 08/25/49 | 115,993 | |||||||||
| FHLMC REMIC Series 4929, Class SC(c) (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 613,691 | 5.948 | 10/25/48 | 92,536 | |||||||||
| FHLMC REMIC Series 4980, Class KI | ||||||||||||
| 6,302,224 | 4.500 | 06/25/50 | 935,788 | |||||||||
| FHLMC REMIC Series 4991, Class IE | ||||||||||||
| 3,062,897 | 5.000 | 07/25/50 | 428,416 | |||||||||
| FHLMC REMIC Series 4998, Class GI | ||||||||||||
| 4,223,104 | 4.000 | 08/25/50 | 657,432 | |||||||||
| FHLMC REMIC Series 5009, Class DI | ||||||||||||
| 2,208,749 | 2.000 | 09/25/50 | 218,651 | |||||||||
| FHLMC REMIC Series 5012, Class DI | ||||||||||||
| 835,026 | 4.000 | 09/25/50 | 128,439 | |||||||||
| FHLMC REMIC Series 5020, Class IH | ||||||||||||
| 2,010,011 | 3.000 | 08/25/50 | 244,026 | |||||||||
| FNMA REMIC Series 2010-135, Class AS(c) (-1x 1M USD LIBOR + 5.950%) | ||||||||||||
| 84,163 | 5.848 | 12/25/40 | 12,643 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Interest Only(e) – (continued) | ||||||||||||
| FNMA REMIC Series 2016-1, Class SJ(c) (-1x 1M USD LIBOR + 6.150%) | ||||||||||||
| $ |
439,094 | 6.048 | % | 02/25/46 | $ 72,914 | |||||||
| FNMA REMIC Series 2017-31, Class SG(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 557,688 | 5.998 | 05/25/47 | 100,235 | |||||||||
| FNMA REMIC Series 2017-86, Class SB(c) (-1x 1M USD LIBOR + 6.150%) | ||||||||||||
| 379,866 | 6.048 | 11/25/47 | 64,192 | |||||||||
| FNMA REMIC Series 2018-17, Class CS(c) (-1x 1M USD LIBOR + 3.450%) | ||||||||||||
| 2,313,815 | 2.500 | 03/25/48 | 132,025 | |||||||||
| FNMA REMIC Series 2020-49, Class IO | ||||||||||||
| 479,216 | 4.000 | 07/25/50 | 72,114 | |||||||||
| FNMA REMIC Series 2020-49, Class KS(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 3,493,249 | 5.998 | 07/25/50 | 633,499 | |||||||||
| FNMA REMIC Series 2020-60, Class KI | ||||||||||||
| 2,372,981 | 2.000 | 09/25/50 | 243,527 | |||||||||
| FNMA REMIC Series 2020-60, Class NI | ||||||||||||
| 775,492 | 4.000 | 09/25/50 | 119,022 | |||||||||
| FNMA REMIC Series 2020-62, Class GI | ||||||||||||
| 3,612,452 | 4.000 | 06/25/48 | 594,958 | |||||||||
| GNMA REMIC Series 2020-61, Class SW(c) (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 2,882,804 | 5.946 | 08/20/49 | 376,454 | |||||||||
| GNMA REMIC Series 2013-124, Class CS(c) (-1x 1M USD LIBOR + 6.050%) | ||||||||||||
| 306,360 | 5.946 | 08/20/43 | 58,133 | |||||||||
| GNMA REMIC Series 2013-152, Class TS(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 116,433 | 5.996 | 06/20/43 | 20,207 | |||||||||
| GNMA REMIC Series 2014-117, Class SJ(c) (-1x 1M USD LIBOR + 5.600%) | ||||||||||||
| 861,426 | 5.496 | 08/20/44 | 138,205 | |||||||||
| GNMA REMIC Series 2014-132, Class SL(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 254,999 | 5.996 | 10/20/43 | 25,228 | |||||||||
| GNMA REMIC Series 2014-162, Class SA(c) (-1x 1M USD LIBOR + 5.600%) | ||||||||||||
| 115,208 | 5.496 | 11/20/44 | 16,827 | |||||||||
| GNMA REMIC Series 2015-111, Class IM | ||||||||||||
| 372,758 | 4.000 | 08/20/45 | 44,113 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Interest Only(e) – (continued) | ||||||||||||
| GNMA REMIC Series 2015-123, Class SP(c) (-1x 1M USD LIBOR + 6.250%) | ||||||||||||
| $ |
204,142 | 6.146 | % | 09/20/45 | $ 35,890 | |||||||
| GNMA REMIC Series 2016-109, Class IH | ||||||||||||
| 983,831 | 4.000 | 10/20/45 | 110,614 | |||||||||
| GNMA REMIC Series 2016-27, Class IA | ||||||||||||
| 134,446 | 4.000 | 06/20/45 | 12,451 | |||||||||
| GNMA REMIC Series 2017-112, Class SJ(c) (-1x 1M USD LIBOR + 5.660%) | ||||||||||||
| 202,412 | 5.556 | 07/20/47 | 27,684 | |||||||||
| GNMA REMIC Series 2018-122, Class HS(c) (-1x 1M USD LIBOR + 6.200%) | ||||||||||||
| 471,427 | 6.096 | 09/20/48 | 75,414 | |||||||||
| GNMA REMIC Series 2018-122, Class SE(c) (-1x 1M USD LIBOR + 6.200%) | ||||||||||||
| 438,202 | 6.096 | 09/20/48 | 61,747 | |||||||||
| GNMA REMIC Series 2018-139, Class SQ(c) (-1x 1M USD LIBOR + 6.150%) | ||||||||||||
| 453,793 | 6.046 | 10/20/48 | 57,999 | |||||||||
| GNMA REMIC Series 2018-147, Class SA(c) (-1x 1M USD LIBOR + 6.200%) | ||||||||||||
| 2,334,703 | 6.096 | 10/20/48 | 345,330 | |||||||||
| GNMA REMIC Series 2019-1, Class SN(c) (-1x 1M USD LIBOR + 6.050%) | ||||||||||||
| 466,871 | 5.946 | 01/20/49 | 60,052 | |||||||||
| GNMA REMIC Series 2019-110, Class PS(c) (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 4,343,191 | 5.946 | 09/20/49 | 715,075 | |||||||||
| GNMA REMIC Series 2019-110, Class SD(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 490,187 | 5.996 | 09/20/49 | 65,455 | |||||||||
| GNMA REMIC Series 2019-110, Class SE(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 477,909 | 5.996 | 09/20/49 | 61,071 | |||||||||
| GNMA REMIC Series 2019-151, Class NI | ||||||||||||
| 1,844,960 | 3.500 | 10/20/49 | 174,449 | |||||||||
| GNMA REMIC Series 2019-153, Class EI | ||||||||||||
| 15,221,865 | 4.000 | 12/20/49 | 2,080,483 | |||||||||
| GNMA REMIC Series 2019-20, Class SF(c) (-1x 1M USD LIBOR + 3.790%) | ||||||||||||
| 966,946 | 3.686 | 02/20/49 | 67,087 | |||||||||
| GNMA REMIC Series 2019-69, Class S(c) (-1x 1M USD LIBOR + 3.270%) | ||||||||||||
| 1,226,949 | 3.166 | 06/20/49 | 69,534 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Interest Only(e) – (continued) | ||||||||||||
| GNMA REMIC Series 2019-78, Class SE(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| $ |
217,511 | 5.996 | % | 06/20/49 | $ 27,434 | |||||||
| GNMA REMIC Series 2019-97, Class SC(c) (-1x 1M USD LIBOR + 6.100%) | ||||||||||||
| 357,660 | 5.996 | 08/20/49 | 48,939 | |||||||||
| GNMA REMIC Series 2020-146, Class IM | ||||||||||||
| 500,929 | 2.500 | 10/20/50 | 54,865 | |||||||||
| GNMA REMIC Series 2020-146, Class KI | ||||||||||||
| 4,773,709 | 2.500 | 10/20/50 | 433,037 | |||||||||
| GNMA REMIC Series 2020-151, Class MI | ||||||||||||
| 8,286,692 | 2.500 | 10/20/50 | 931,601 | |||||||||
| GNMA REMIC Series 2020-173, Class AI | ||||||||||||
| 1,220,151 | 2.500 | 11/20/50 | 62,871 | |||||||||
| GNMA REMIC Series 2020-21, Class SA(c) (-1x 1M USD LIBOR + 6.050%) | ||||||||||||
| 1,727,565 | 5.946 | 02/20/50 | 268,843 | |||||||||
| GNMA REMIC Series 2020-55, Class AS(c) (-1x 1M USD LIBOR + 6.050%) | ||||||||||||
| 10,645,823 | 5.946 | 04/20/50 | 1,686,636 | |||||||||
| GNMA REMIC Series 2020-61, Class GI | ||||||||||||
| 3,142,118 | 5.000 | 05/20/50 | 348,013 | |||||||||
| GNMA REMIC Series 2020-78, Class DI | ||||||||||||
| 2,060,348 | 4.000 | 06/20/50 | 241,957 | |||||||||
| GNMA REMIC Series 2020-79, Class AI | ||||||||||||
| 231,235 | 4.000 | 06/20/50 | 28,034 | |||||||||
| GNMA Series 2019-111, Class AS(c) (-1X 1M USD LIBOR + 6.150%) | ||||||||||||
| 2,293,580 | 6.046 | 01/20/49 | 299,441 | |||||||||
| GNMA Series 2020-55, Class PI | ||||||||||||
| 937,824 | 3.500 | 04/20/50 | 113,378 | |||||||||
|
| ||||||||||||
| 14,341,532 | ||||||||||||
|
| ||||||||||||
| Regular Floater(c) – 0.0% | ||||||||||||
| FNMA REMIC Series 2007-33, Class HF (1M USD LIBOR + 0.350%) | ||||||||||||
| 10,424 | 0.452 | 04/25/37 | 10,482 | |||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 0.3% | ||||||||||||
| FHLMC REMIC Series 4619, Class NA | ||||||||||||
| 956,331 | 3.000 | 03/15/44 | 1,001,183 | |||||||||
| FHLMC REMIC Series 4630, Class MC | ||||||||||||
| 667,601 | 4.000 | 08/15/54 | 698,538 | |||||||||
| FHLMC REMIC Series 4649, Class ML | ||||||||||||
| 4,620,949 | 4.000 | 11/15/54 | 4,834,123 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Fixed Rate – (continued) | ||||||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| $ |
13,686 | 7.000 | % | 10/25/42 | $ 15,623 | |||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 46,242 | 7.000 | 07/25/42 | 54,714 | |||||||||
|
| ||||||||||||
| 6,604,181 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(b)(c) – 1.9% | ||||||||||||
| Bellemeade Re Ltd. Series 2021-2A, Class M1B (SOFR30A + 1.500%) | ||||||||||||
| 1,400,000 | 1.550 | 06/25/31 | 1,400,017 | |||||||||
| Connecticut Avenue Securities Trust Series 2021-R03, Class 1B1 (SOFR30A + 2.750%) | ||||||||||||
| 1,556,000 | 2.800 | 12/25/41 | 1,557,464 | |||||||||
| Connecticut Avenue Securities Trust Series 2021-R01, Class 1B1 (SOFR30A + 3.100%) | ||||||||||||
| 4,622,000 | 3.150 | 10/25/41 | 4,638,110 | |||||||||
| CSMC Series 2021-NQM8, Class A1 | ||||||||||||
| 960,000 | 1.841 | 10/25/66 | 959,207 | |||||||||
| Fannie Mae Connecticut Avenue Securities Series 2021-R02, Class 2B1 (SOFR30A + 3.300%) | ||||||||||||
| 4,100,000 | 3.350 | 11/25/41 | 4,121,657 | |||||||||
| FHLMC STACR Debt Notes Series 2020-HQA5, Class B1 (SOFR30A + 4.000%) | ||||||||||||
| 2,728,000 | 4.050 | 11/25/50 | 2,848,776 | |||||||||
| FHLMC STACR Debt Notes Series 2020-HQA5, Class M2 (SOFR30A + 2.600%) | ||||||||||||
| 3,884,337 | 2.650 | 11/25/50 | 3,921,902 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA2, Class B1 (1M USD LIBOR + 2.500%) | ||||||||||||
| 1,130,000 | 2.603 | 02/25/50 | 1,132,246 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA2, Class M2 (1M USD LIBOR + 1.850%) | ||||||||||||
| 1,400,776 | 1.953 | 02/25/50 | 1,405,419 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA3, Class B1 (1M USD LIBOR + 5.100%) | ||||||||||||
| 605,000 | 5.203 | 06/25/50 | 626,068 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA4, Class M2 (1M USD LIBOR + 3.750%) | ||||||||||||
| 539,663 | 3.853 | 08/25/50 | 542,803 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA5, Class B1 (SOFR30A + 4.800%) | ||||||||||||
| 4,308,000 | 4.850 | 10/25/50 | 4,558,143 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA5, Class M2 (SOFR30A + 2.800%) | ||||||||||||
| 1,347,501 | 2.850 | 10/25/50 | 1,358,023 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Floating Rate(b)(c) – (continued) | ||||||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA6, Class B1 (SOFR30A + 3.000%) | ||||||||||||
| $ |
2,415,000 | 3.050 | % | 12/25/50 | $ 2,442,848 | |||||||
| FHLMC STACR REMIC Trust Series 2020-HQA4, Class M2 (1M USD LIBOR + 3.150%) | ||||||||||||
| 659,857 | 3.253 | 09/25/50 | 662,218 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-DNA1, Class M2 (SOFR30A + 1.800%) | ||||||||||||
| 270,000 | 1.850 | 01/25/51 | 270,640 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-DNA6, Class B1 (SOFR30A + 3.400%) | ||||||||||||
| 3,716,000 | 3.450 | 10/25/41 | 3,738,680 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-HQA1, Class B1 (SOFR30A + 3.000%) | ||||||||||||
| 3,530,000 | 3.050 | 08/25/33 | 3,537,641 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-HQA2, Class M2 (SOFR30A + 2.050%) | ||||||||||||
| 2,510,000 | 2.100 | 12/25/33 | 2,516,411 | |||||||||
| FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA7, Class B1 (SOFR30A + 3.650%) | ||||||||||||
| 1,888,000 | 3.700 | 11/25/41 | 1,917,778 | |||||||||
| JPMorgan Mortgage Trust Series 2021-LTV2, Class A1 | ||||||||||||
| 5,450,000 | 2.520 | 05/25/52 | 5,453,187 | |||||||||
| New Residential Mortgage Loan Trust Series 2015-1A, Class A1 | ||||||||||||
| 123,743 | 3.750 | 05/28/52 | 130,023 | |||||||||
| Verus Securitization Trust Series 2021-8, Class A1 | ||||||||||||
| 690,000 | 1.824 | 11/25/66 | 689,587 | |||||||||
|
| ||||||||||||
| 50,428,848 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 71,385,043 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities – 0.7% | ||||||||||||
| Sequential Fixed Rate(b) – 0.4% | ||||||||||||
| BANK Series 2017-BNK9, Class D | ||||||||||||
| 700,000 | 2.800 | 11/15/54 | 612,879 | |||||||||
| BANK Series 2018-BN15, Class D | ||||||||||||
| 1,170,000 | 3.000 | 11/15/61 | 963,635 | |||||||||
| Cantor Commercial Real Estate Lending Series 2019-CF2, Class E | ||||||||||||
| 1,200,000 | 2.500 | 11/15/52 | 928,030 | |||||||||
| Citigroup Commercial Mortgage Trust Series 2017-P8, Class D | ||||||||||||
| 1,500,000 | 3.000 | 09/15/50 | 1,293,583 | |||||||||
| JPMBD Commercial Mortgage Trust Series 2017-C7, Class D | ||||||||||||
| 980,000 | 3.000 | 10/15/50 | 911,817 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Fixed Rate(b) – (continued) | ||||||||||||
| Morgan Stanley Capital I Trust Series 2018-L1, Class D | ||||||||||||
| $ |
2,200,000 | 3.000 | % | 10/15/51 | $ 1,874,833 | |||||||
| Wells Fargo Commercial Mortgage Trust Series 2017-C38, Class D | ||||||||||||
| 1,000,000 | 3.000 | 07/15/50 | 880,700 | |||||||||
| Wells Fargo Commercial Mortgage Trust Series 2017-RB1, Class D | ||||||||||||
| 1,748,000 | 3.401 | 03/15/50 | 1,596,532 | |||||||||
| Wells Fargo Commercial Mortgage Trust Series 2017-RC1, Class D | ||||||||||||
| 900,000 | 3.250 | 01/15/60 | 790,287 | |||||||||
|
| ||||||||||||
| 9,852,296 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate – 0.3% | ||||||||||||
| Citigroup Commercial Mortgage Trust Series 2016-GC36, Class C(c) | ||||||||||||
| 1,200,000 | 4.750 | 02/10/49 | 1,222,638 | |||||||||
| Citigroup Commercial Mortgage Trust Series 2015-P1, Class C(c) | ||||||||||||
| 1,949,000 | 4.369 | 09/15/48 | 2,031,678 | |||||||||
| DBJPM 17-C6 Mortgage Trust Series 2017-C6, Class D(b)(c) | ||||||||||||
| 1,000,000 | 3.218 | 06/10/50 | 921,771 | |||||||||
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4, | ||||||||||||
| 1,545,000 | 3.071 | 12/15/49 | 1,370,368 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class D(b)(c) | ||||||||||||
| 550,000 | 4.144 | 07/15/50 | 543,494 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C26, Class D(b) | ||||||||||||
| 500,000 | 3.060 | 10/15/48 | 472,821 | |||||||||
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25, Class D(b)(c) | ||||||||||||
| 2,319,000 | 3.041 | 12/15/59 | 2,098,859 | |||||||||
|
| ||||||||||||
| 8,661,629 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 18,513,925 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 8.9% | ||||||||||||
| GNMA – 3.2% | ||||||||||||
| 11,000,000 | 3.000 | TBA-30yr(f) | 11,367,005 | |||||||||
| 1,866,385 | 4.500 | 08/20/47 | 2,006,663 | |||||||||
| 321,276 | 5.000 | 03/20/48 | 345,903 | |||||||||
| 211,453 | 5.000 | 08/20/48 | 226,187 | |||||||||
| 524,775 | 4.500 | 09/20/48 | 557,699 | |||||||||
| 698,246 | 5.000 | 11/20/48 | 746,629 | |||||||||
| 1,471,947 | 4.500 | 12/20/48 | 1,562,684 | |||||||||
| 3,204,152 | 5.000 | 12/20/48 | 3,425,673 | |||||||||
| 2,652,104 | 4.500 | 01/20/49 | 2,815,176 | |||||||||
| 4,173,604 | 5.000 | 01/20/49 | 4,462,149 | |||||||||
| 1,559,145 | 4.500 | 03/20/49 | 1,654,161 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| GNMA – (continued) | ||||||||||||
| $ |
433,765 | 5.000 | % | 03/20/49 | $ 463,584 | |||||||
| 39,510 | 5.000 | 04/20/49 | 42,210 | |||||||||
| 1,721,812 | 3.000 | 08/20/49 | 1,787,961 | |||||||||
| 61,639 | 5.000 | 08/20/49 | 65,790 | |||||||||
| 832,493 | 4.500 | 10/20/49 | 882,641 | |||||||||
| 1,590,798 | 5.000 | 12/20/49 | 1,708,923 | |||||||||
| 91,942 | 5.000 | 02/20/50 | 98,990 | |||||||||
| 491,189 | 3.000 | 06/20/51 | 508,874 | |||||||||
| 1,990,778 | 3.000 | 11/20/51 | 2,067,241 | |||||||||
| 5,000,000 | 3.000 | 12/20/51 | 5,194,449 | |||||||||
| 20,000,000 | 2.000 | TBA-30yr(f) | 20,192,706 | |||||||||
| 1,000,000 | 2.500 | TBA-30yr(f) | 1,025,035 | |||||||||
| 24,000,000 | 3.000 | TBA-30yr(f) | 24,844,802 | |||||||||
|
| ||||||||||||
| 88,053,135 | ||||||||||||
|
| ||||||||||||
| UMBS – 1.1% | ||||||||||||
| 5,536 | 5.000 | 12/01/22 | 5,605 | |||||||||
| 7,305 | 5.000 | 05/01/23 | 7,921 | |||||||||
| 9,608 | 5.000 | 03/01/25 | 10,447 | |||||||||
| 7,465 | 5.000 | 11/01/26 | 8,179 | |||||||||
| 7,312 | 5.000 | 07/01/27 | 8,016 | |||||||||
| 129,705 | 4.500 | 07/01/47 | 139,824 | |||||||||
| 663,064 | 5.000 | 01/01/48 | 724,342 | |||||||||
| 750,900 | 4.500 | 02/01/48 | 804,524 | |||||||||
| 334,880 | 5.000 | 04/01/48 | 364,147 | |||||||||
| 4,953,772 | 4.500 | 05/01/48 | 5,329,048 | |||||||||
| 1,803,066 | 4.500 | 06/01/48 | 1,935,151 | |||||||||
| 1,125,645 | 4.500 | 07/01/48 | 1,210,431 | |||||||||
| 308,462 | 4.500 | 08/01/48 | 331,444 | |||||||||
| 1,761,298 | 4.500 | 09/01/48 | 1,892,407 | |||||||||
| 102,831 | 4.500 | 12/01/48 | 110,138 | |||||||||
| 343,018 | 4.500 | 01/01/49 | 366,993 | |||||||||
| 611,660 | 4.500 | 01/01/49 | 658,092 | |||||||||
| 384,428 | 4.500 | 02/01/49 | 411,389 | |||||||||
| 10,359,090 | 4.500 | 03/01/49 | 11,078,459 | |||||||||
| 3,148,058 | 4.500 | 04/01/49 | 3,373,084 | |||||||||
| 294,254 | 4.500 | 04/01/49 | 314,934 | |||||||||
| 61,472 | 4.500 | 09/01/49 | 65,783 | |||||||||
| 124,744 | 4.500 | 09/01/49 | 134,227 | |||||||||
| 501,915 | 4.500 | 02/01/50 | 537,743 | |||||||||
| 76,797 | 4.500 | 03/01/50 | 82,635 | |||||||||
|
| ||||||||||||
| 29,904,963 | ||||||||||||
|
| ||||||||||||
| UMBS, 30 Year, Single Family(f) – 4.6% | ||||||||||||
| 3,000,000 | 2.000 | TBA-30yr | 2,992,781 | |||||||||
| 24,000,000 | 2.500 | TBA-30yr | 24,506,261 | |||||||||
| 23,000,000 | 3.000 | TBA-30yr | 23,836,446 | |||||||||
| 37,000,000 | 3.500 | TBA-30yr | 38,965,632 | |||||||||
| 25,000,000 | 4.500 | TBA-30yr | 26,796,875 | |||||||||
| 6,000,000 | 5.000 | TBA-30yr | 6,532,507 | |||||||||
|
| ||||||||||||
| 123,630,502 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $ 241,588,600 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $330,218,608) |
$ 331,487,568 | |||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – 10.5% | ||||||||||||
| Automotive – 1.7% | ||||||||||||
| Ford Credit Floorplan Master Owner Trust Series 2019-4, Class A | ||||||||||||
| $ |
3,750,000 | 2.440 | % | 09/15/26 | $ 3,864,691 | |||||||
| GMF Floorplan Owner Revolving Trust Series 2019-2, Class A(b) | ||||||||||||
| 2,785,000 | 2.900 | 04/15/26 | 2,889,274 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A3(b) | ||||||||||||
| 2,200,000 | 0.560 | 03/20/25 | 2,183,526 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A4(b) | ||||||||||||
| 5,400,000 | 0.660 | 03/20/25 | 5,357,342 | |||||||||
| Tesla Auto Lease Trust Series 2021-B, Class A3(b) | ||||||||||||
| 10,200,000 | 0.600 | 09/22/25 | 10,074,005 | |||||||||
| Toyota Auto Receivables Owner Trust Series 2021-D, Class A3 | ||||||||||||
| 9,600,000 | 0.710 | 04/15/26 | 9,517,682 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A3(b) | ||||||||||||
| 7,175,000 | 0.390 | 04/22/24 | 7,138,268 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A4(b) | ||||||||||||
| 1,400,000 | 0.500 | 08/20/25 | 1,387,855 | |||||||||
| Toyota Lease Owner Trust Series 2021-B, Class A3(b) | ||||||||||||
| 2,250,000 | 0.420 | 10/21/24 | 2,229,821 | |||||||||
|
| ||||||||||||
| 44,642,464 | ||||||||||||
|
| ||||||||||||
| Collateralized Loan Obligations(b)(c) – 8.5% | ||||||||||||
| Anchorage Capital CLO 15 Ltd. Series 2020-15A, Class AR (3M USD LIBOR + 1.200%) | ||||||||||||
| 7,600,000 | 1.332 | 07/20/34 | 7,607,038 | |||||||||
| Apex Credit CLO II LLC Series 2020-1A, Class A1N(3M USD LIBOR + 1.570%) | ||||||||||||
| 5,000,000 | 1.702 | 10/20/31 | 5,000,680 | |||||||||
| Atlas Senior Loan Fund XVII Ltd. Series 2021-17A, Class A (3M USD LIBOR + 1.200%) | ||||||||||||
| 8,200,000 | 1.320 | 10/20/34 | 8,199,902 | |||||||||
| Balboa Bay Loan Funding Ltd. Series 2021-2A, Class A1 (3M USD LIBOR + 1.170%) | ||||||||||||
| 12,500,000 | 1.382 | 01/20/35 | 12,507,625 | |||||||||
| Barings CLO Ltd. IV Series 2020-4A, Class D1 (3M USD LIBOR + 3.700%) | ||||||||||||
| 2,250,000 | 3.832 | 01/20/32 | 2,250,855 | |||||||||
| BSPRT Issuer Ltd. Series 2018 FL4, Class A (1M USD LIBOR + 1.050%) | ||||||||||||
| 794,470 | 1.160 | 09/15/35 | 794,474 | |||||||||
| Cathedral Lake VII Ltd. Series 2021-7RA, Class C(3M USD LIBOR + 2.570%) | ||||||||||||
| 1,825,000 | 2.694 | 01/15/32 | 1,800,169 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Collateralized Loan Obligations(b)(c) – (continued) | ||||||||||||
| Cathedral Lake VII Ltd. Series 2021-7RA, Class D (3M USD LIBOR + 4.280%) | ||||||||||||
| $ |
3,500,000 | 4.404 | % | 01/15/32 | $ 3,500,028 | |||||||
| Crown City CLO I Series 2020-1A, Class A1AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 2,500,000 | 1.322 | 07/20/34 | 2,498,598 | |||||||||
| Crown City CLO II Series 2020-2A, Class C (3M USD LIBOR + 3.820%) | ||||||||||||
| 2,000,000 | 3.952 | 01/20/32 | 1,989,448 | |||||||||
| Gulf Stream Meridian 3, Ltd. Series 2021-IIIA, Class A2 (3M USD LIBOR + 1.750%) | ||||||||||||
| 3,000,000 | 1.874 | 04/15/34 | 2,995,905 | |||||||||
| HalseyPoint CLO 2 Ltd. Series 2020-2A, Class A1 (3M USD LIBOR + 1.860%) | ||||||||||||
| 5,250,000 | 1.992 | 07/20/31 | 5,251,701 | |||||||||
| HalseyPoint CLO 3 Ltd. Series 2020-3A, Class A1A (3M USD LIBOR + 1.450%) | ||||||||||||
| 17,500,000 | 1.579 | 11/30/32 | 17,535,980 | |||||||||
| HalseyPoint CLO I Ltd. Series 2019-1A, Class A1A1 (3M USD LIBOR + 1.350%) | ||||||||||||
| 3,500,000 | 1.482 | 01/20/33 | 3,500,847 | |||||||||
| Hayfin US XIV, Ltd. Series 2021-14A, Class A1 (3M USD LIBOR + 1.230%) | ||||||||||||
| 16,800,000 | 1.379 | 07/20/34 | 16,815,523 | |||||||||
| ICG Rhinebeck CLO Ltd. Series 2021-4A, Class A1 (3M USD LIBOR + 1.210%) | ||||||||||||
| 8,000,000 | 1.340 | 10/26/34 | 8,008,904 | |||||||||
| ICG US CLO 2016-1 Ltd. Series 2016-1A, Class CRR (3M USD LIBOR + 3.650%) | ||||||||||||
| 2,000,000 | 3.779 | 04/29/34 | 1,985,042 | |||||||||
| Jamestown CLO XVI Ltd. Series 2021-16A, Class A (3M USD LIBOR + 1.200%) | ||||||||||||
| 3,000,000 | 1.325 | 07/25/34 | 3,001,386 | |||||||||
| LCM 26, Ltd. Series 2026-A, Class A1(3M USD LIBOR + 1.070%) | ||||||||||||
| 8,400,000 | 1.202 | 01/20/31 | 8,400,874 | |||||||||
| LCM XX LP Series 2020-A, Class AR (3M USD LIBOR + 1.040%) | ||||||||||||
| 3,098,832 | 1.172 | 10/20/27 | 3,099,204 | |||||||||
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A (3M USD LIBOR + 0.750%) | ||||||||||||
| 16,113,895 | 0.874 | 04/15/29 | 16,114,281 | |||||||||
| Marathon CLO XIII Ltd. Series 2019-1A, Class AANR (3M USD LIBOR + 1.320%) | ||||||||||||
| 12,000,000 | 1.444 | 04/15/32 | 11,977,176 | |||||||||
| Marble Point CLO XIX Ltd. Series 2020-3A, Class D (3M USD LIBOR + 3.900%) | ||||||||||||
| 2,200,000 | 4.024 | 01/19/34 | 2,210,032 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Collateralized Loan Obligations(b)(c) – (continued) | ||||||||||||
| Marble Point CLO XVII Ltd. Series 2020-1A, Class A (3M USD LIBOR + 1.300%) | ||||||||||||
| $ |
6,000,000 | 1.432 | % | 04/20/33 | $ 6,001,446 | |||||||
| MidOcean Credit CLO VI Series 2016-6A, Class D1R (3M USD LIBOR + 3.520%) | ||||||||||||
| 3,800,000 | 3.652 | 04/20/33 | 3,732,048 | |||||||||
| MJX Venture Management II LLC Series 2017-28RR, Class A1 (3M USD LIBOR + 1.280%) | ||||||||||||
| 4,171,053 | 1.410 | 07/22/30 | 4,145,676 | |||||||||
| Newark BSL CLO 1 Ltd. Series 2016-1A, Class A1R (3M USD LIBOR + 1.100%) | ||||||||||||
| 3,000,000 | 1.235 | 12/21/29 | 3,000,465 | |||||||||
| Northwoods Capital XVIII Ltd. Series 2019-18A, Class AR (3M USD LIBOR + 1.100%) | ||||||||||||
| 10,600,000 | 1.230 | 05/20/32 | 10,595,993 | |||||||||
| Octagon Investment Partners XIV Ltd. Series 2012-1A, Class CRR (3M USD LIBOR + 3.900%) | ||||||||||||
| 3,700,000 | 4.024 | 07/15/29 | 3,653,839 | |||||||||
| OZLM Ltd.Series 2015-14A, Class CRR (3M USD LIBOR + 3.390%) | ||||||||||||
| 5,400,000 | 3.514 | 07/15/34 | 5,262,959 | |||||||||
| Parallel Ltd. Series 2015-1A, Class AR(3M USD LIBOR + 0.850%) | ||||||||||||
| 59,685 | 0.982 | 07/20/27 | 59,685 | |||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2021-1 Series 2021-1A, Class A1A (3M USD LIBOR + 1.390%) | ||||||||||||
| 11,000,000 | 1.522 | 01/20/34 | 11,025,575 | |||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2021-1 Series 2021-1A, Class C(3M USD LIBOR + 3.800%) | ||||||||||||
| 3,000,000 | 3.932 | 01/20/34 | 3,010,272 | |||||||||
| PPM CLO 4 Ltd. Series 2020-4A, Class AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 7,000,000 | 1.350 | 10/18/34 | 6,995,891 | |||||||||
| Recette CLO Ltd. Series 2015-1A, Class ARR(3M USD LIBOR + 1.080%) | ||||||||||||
| 4,550,000 | 1.212 | 04/20/34 | 4,527,386 | |||||||||
| Steele Creek CLO Ltd. Series 2019-1A, Class D (3M USD LIBOR + 4.100%) | ||||||||||||
| 5,150,000 | 4.224 | 04/15/32 | 5,071,905 | |||||||||
| THL Credit Wind River CLO Ltd. Series 2017-1A, Class DR (3M USD LIBOR + 3.720%) | ||||||||||||
| 3,950,000 | 3.842 | 04/18/36 | 3,950,024 | |||||||||
| Tralee CLO VII Ltd. Series 2021-7A, Class D (3M USD LIBOR + 3.180%) | ||||||||||||
| 4,950,000 | 3.304 | 04/25/34 | 4,785,249 | |||||||||
| Venture 36 CLO Ltd. Series 2019-36A, Class D (3M USD LIBOR + 4.150%) | ||||||||||||
| 2,500,000 | 4.282 | 04/20/32 | 2,504,268 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Collateralized Loan Obligations(b)(c) – (continued) | ||||||||||||
| Zais CLO 13 Ltd. Series 2019-13A, Class A1A (3M USD LIBOR + 1.490%) | ||||||||||||
| $ |
3,000,000 | 1.614 | % | 07/15/32 | $ 3,001,452 | |||||||
| Zais CLO 15 Ltd. Series 2020-15A, Class A1R (3M USD LIBOR + 1.350%) | ||||||||||||
| 2,625,000 | 1.486 | 07/28/32 | 2,621,994 | |||||||||
|
| ||||||||||||
| 230,991,799 | ||||||||||||
|
| ||||||||||||
| Student Loan(c) – 0.3% | ||||||||||||
| Educational Services of America, Inc. Series 2012-1, Class A1(b) (1M USD LIBOR + 1.150%) | ||||||||||||
| 13,256 | 1.253 | 09/25/40 | 13,280 | |||||||||
| Educational Services of America, Inc. Series 2014-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 354,116 | 0.803 | 02/25/39 | 352,362 | |||||||||
| Educational Services of America, Inc. Series 2015-2, Class A(b) (1M USD LIBOR + 1.000%) | ||||||||||||
| 236,280 | 1.103 | 12/25/56 | 237,714 | |||||||||
| Higher Education Funding I Series 2014-1, Class A(b) (3M USD LIBOR + 1.050%) | ||||||||||||
| 2,794,578 | 1.230 | 05/25/34 | 2,798,263 | |||||||||
| Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%) | ||||||||||||
| 1,159,790 | 1.024 | 07/25/45 | 1,163,355 | |||||||||
| Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2 (1M USD LIBOR + 1.000%) | ||||||||||||
| 587,350 | 1.104 | 05/20/30 | 587,350 | |||||||||
| Northstar Education Finance, Inc. Series 2012-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 36,441 | 0.803 | 12/26/31 | 36,586 | |||||||||
| Pennsylvania Higher Education Assistance Agency Series 12-1A, Class A1(b) (1M USD LIBOR + 0.550%) | ||||||||||||
| 26,897 | 0.653 | 05/25/57 | 26,513 | |||||||||
| PHEAA Student Loan Trust Series 2016-1A, Class A(b) (1M USD LIBOR + 1.150%) | ||||||||||||
| 963,123 | 1.253 | 09/25/65 | 979,528 | |||||||||
| SLC Student Loan Center Series 2011-1, Class A(b) (1M USD LIBOR + 1.220%) | ||||||||||||
| 320,779 | 1.323 | 10/25/27 | 320,779 | |||||||||
| SLC Student Loan Trust Series 2005-3, Class A3 (3M USD LIBOR + 0.120%) | ||||||||||||
| 362,277 | 0.323 | 06/15/29 | 361,414 | |||||||||
| SLM Student Loan Trust Series 2005-5, Class A4 (3M USD LIBOR + 0.140%) | ||||||||||||
| 524,635 | 0.264 | 10/25/28 | 522,601 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities – (continued) | ||||||||||||
| Student Loan(c) – (continued) | ||||||||||||
| SLM Student Loan Trust Series 2008-4, Class A4 (3M USD LIBOR + 1.650%) | ||||||||||||
| $ |
223,559 | 1.774 | % | 07/25/22 | $ 226,006 | |||||||
|
| ||||||||||||
| 7,625,751 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $283,255,087) |
$ 283,260,014 | |||||||||||
|
| ||||||||||||
| Foreign Debt Obligations – 6.2% | ||||||||||||
| Sovereign – 6.2% | ||||||||||||
| Abu Dhabi Government International Bond | ||||||||||||
| $ |
870,000 | 2.500 | % | 10/11/22 | 884,029 | |||||||
| Japan Treasury Discount Bill(g) | ||||||||||||
| JPY |
8,439,000,000 | 0.000 | 01/06/22 | 73,364,204 | ||||||||
| 7,575,000,000 | 0.000 | 01/17/22 | 65,855,020 | |||||||||
| Perusahaan Penerbit SBSN Indonesia III | ||||||||||||
| $ |
3,530,000 | 2.300 | (b) | 06/23/25 | 3,618,250 | |||||||
| 4,310,000 | 2.300 | 06/23/25 | 4,417,750 | |||||||||
| 7,550,000 | 1.500 | (b) | 06/09/26 | 7,519,328 | ||||||||
| Republic of Colombia(a) | ||||||||||||
| 5,690,000 | 4.000 | 02/26/24 | 5,877,770 | |||||||||
| Republic of Indonesia | ||||||||||||
| 200,000 | 5.875 | 01/15/24 | 218,788 | |||||||||
| EUR |
250,000 | 2.150 | (b) | 07/18/24 | 297,486 | |||||||
| Republic of Qatar(b) | ||||||||||||
| $ |
1,840,000 | 3.375 | 03/14/24 | 1,925,905 | ||||||||
| 690,000 | 3.400 | 04/16/25 | 731,529 | |||||||||
| Republic of Turkey | ||||||||||||
| 200,000 | 4.250 | 03/13/25 | 184,725 | |||||||||
| Saudi Government International Bond(b) | ||||||||||||
| 800,000 | 2.900 | 10/22/25 | 836,750 | |||||||||
| Ukraine Government Bond | ||||||||||||
| 2,590,000 | 8.994 | 02/01/24 | 2,576,241 | |||||||||
|
| ||||||||||||
| TOTAL FOREIGN DEBT OBLIGATIONS (Cost $170,902,908) |
$ 168,307,775 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligations – 4.1% | ||||||||||||
| Alabama – 0.1% | ||||||||||||
| Alabama Federal Aid Highway Finance Authority Series 2021(a) | ||||||||||||
| $ |
1,260,000 | 0.449 | % | 09/01/23 | $ 1,252,219 | |||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Municipal Debt Obligations – (continued) | ||||||||||||
| Alabama – (continued) | ||||||||||||
| Hoover City Board of Education Taxable (Refunding) 2021 | ||||||||||||
| $ |
835,000 | 0.321 | % | 02/15/23 | $ 833,487 | |||||||
| 1,180,000 | 0.555 | 02/15/24 | 1,172,792 | |||||||||
|
| ||||||||||||
| 3,258,498 | ||||||||||||
|
| ||||||||||||
| Arizona – 0.2% | ||||||||||||
| Arizona Board of Regents COPS Bonds Taxable (Refunding) Series 2021(a) | ||||||||||||
| 750,000 | 0.492 | 06/01/23 | 746,696 | |||||||||
| 455,000 | 0.769 | 06/01/24 | 450,966 | |||||||||
| Arizona State Pension Fund COPS Bonds Taxable Series B(a) | ||||||||||||
| 2,885,000 | 0.459 | 07/01/24 | 2,838,758 | |||||||||
| County of Pima AZ Revenue Bonds Taxable Series 2021 | ||||||||||||
| 865,000 | 0.520 | 05/01/24 | 854,260 | |||||||||
|
| ||||||||||||
| 4,890,680 | ||||||||||||
|
| ||||||||||||
| California – 0.2% | ||||||||||||
| City of San Francisco CA Public Utilities Commission Water Revenue Bonds Series 2010(a) | ||||||||||||
| 1,435,000 | 4.900 | 11/01/22 | 1,487,398 | |||||||||
| Huntington Beach Pension Fund Taxable Series 2021(a) | ||||||||||||
| 560,000 | 0.381 | 06/15/23 | 556,857 | |||||||||
| Los Angeles Department of Water & Power Water System Revenue Series 2009(a) | ||||||||||||
| 745,000 | 5.281 | 07/01/23 | 794,331 | |||||||||
| Los Angeles Municipal Improvement Corp. Taxable (Refunding) Series A(a) | ||||||||||||
| 855,000 | 0.319 | 11/01/22 | 854,291 | |||||||||
| Riverside Cnty Ca Infrastructu Rvrfac 11/23 Fixed 0.548 | ||||||||||||
| 1,600,000 | 0.548 | 11/01/23 | 1,589,838 | |||||||||
| San Francisco City & County Airport Commission RB Refunding for San Francisco International Airport Series 2019 C(a) | ||||||||||||
| 380,000 | 3.146 | 05/01/23 | 391,893 | |||||||||
|
| ||||||||||||
| 5,674,608 | ||||||||||||
|
| ||||||||||||
| Connecticut – 0.1% | ||||||||||||
| Connecticut State GO Bonds Series A | ||||||||||||
| 3,000,000 | 3.130 | 01/15/24 | 3,122,388 | |||||||||
| Town of West Hartford CT GO Bonds Taxable (Refunding) Series B | ||||||||||||
| 235,000 | 0.466 | 07/01/23 | 233,956 | |||||||||
|
| ||||||||||||
| 3,356,344 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Municipal Debt Obligations – (continued) | ||||||||||||
| Florida – 0.2% | ||||||||||||
| County of Palm Beach FL Revenue Bonds Taxaable (Refunding) Series B | ||||||||||||
| $ |
5,625,000 | 0.500 | % | 12/01/24 | $ 5,524,753 | |||||||
|
| ||||||||||||
| Iowa – 0.3% | ||||||||||||
| Iowa Hospitals & Clinics Board of Regents Taxable (Refunding) Series 2021 | ||||||||||||
| 7,520,000 | 0.200 | 10/01/22 | 7,507,308 | |||||||||
|
| ||||||||||||
| Maryland – 0.1% | ||||||||||||
| Maryland State Department of Transportation RB Series A | ||||||||||||
| 1,240,000 | 0.526 | 08/01/24 | 1,220,957 | |||||||||
| State of Maryland Department of Transportation Revenue Bonds Taxable (Refunding) Series A | ||||||||||||
| 2,470,000 | 0.361 | 08/01/23 | 2,452,459 | |||||||||
|
| ||||||||||||
| 3,673,416 | ||||||||||||
|
| ||||||||||||
| Massachusetts – 0.1% | ||||||||||||
| Massachusetts State GO Bonds Series B | ||||||||||||
| 230,000 | 0.275 | 11/15/22 | 229,348 | |||||||||
| University of Massachusetts Building Authority Revenue Bonds Series 2010(a) | ||||||||||||
| 2,915,000 | 4.350 | 11/01/24 | 3,175,407 | |||||||||
|
| ||||||||||||
| 3,404,755 | ||||||||||||
|
| ||||||||||||
| Missouri(a) – 0.3% | ||||||||||||
| The Curators of the University of Missouri Revenue Bonds Taxable (Refunding) Series 2010 | ||||||||||||
| 8,385,000 | 1.466 | 11/01/23 | 8,481,426 | |||||||||
|
| ||||||||||||
| New York – 1.8% | ||||||||||||
| Long Island Power Authority Electric System Taxable (Refunding) | ||||||||||||
| 1,265,000 | 0.359 | 03/01/23 | 1,259,639 | |||||||||
| Metropolitan Transportation Authority Revenue Note Taxable Series C(a) | ||||||||||||
| 19,910,000 | 0.777 | 11/15/22 | 19,926,828 | |||||||||
| New York City Transitional Finance Authority Building Aid Revenue Taxable (Refunding) Series S-1B(a) | ||||||||||||
| 12,925,000 | 0.380 | 07/15/23 | 12,840,543 | |||||||||
| New York State Dormitory Authority Bonds Taxable (Refunding) | ||||||||||||
| 4,725,000 | 0.207 | 03/15/22 | 4,724,212 | |||||||||
| 1,755,000 | 0.307 | 03/15/23 | 1,746,546 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Municipal Debt Obligations – (continued) | ||||||||||||
| New York – (continued) | ||||||||||||
| New York State Urban Development Corp Revenue Bonds Taxable (Refunding) Series 2017(a) | ||||||||||||
| $ |
1,135,000 | 2.100 | % | 03/15/22 | $ 1,139,268 | |||||||
| Port Authority of New York & New Jersey Revenue Bonds Taxable | ||||||||||||
| 7,450,000 | 1.086 | 07/01/23 | 7,489,701 | |||||||||
|
| ||||||||||||
| 49,126,737 | ||||||||||||
|
| ||||||||||||
| Ohio(a)(c) – 0.1% | ||||||||||||
| Access to Loans for Learning Student Loan Corp. Series 2019 A-3 | ||||||||||||
| 1,713,263 | 0.924 | 04/25/37 | 1,710,473 | |||||||||
|
| ||||||||||||
| Oregon – 0.1% | ||||||||||||
| Oregon Education Districts GO Bonds Taxable Series A | ||||||||||||
| 25,000 | 0.182 | 06/30/22 | 24,986 | |||||||||
| 40,000 | 0.312 | 06/30/23 | 39,779 | |||||||||
| Port of Morrow Revenue Bonds Taxable Series 2015(a) | ||||||||||||
| 3,305,000 | 3.097 | 09/01/23 | 3,430,647 | |||||||||
|
| ||||||||||||
| 3,495,412 | ||||||||||||
|
| ||||||||||||
| Pennsylvania(a) – 0.1% | ||||||||||||
| Pennsylvania State University Bonds Taxable Series D | ||||||||||||
| 1,070,000 | 1.353 | 09/01/23 | 1,078,582 | |||||||||
|
| ||||||||||||
| Tennessee – 0.4% | ||||||||||||
| State of Tennessee GO Bonds Taxable (Refunding) Series B | ||||||||||||
| 9,865,000 | 0.386 | 11/01/23 | 9,810,770 | |||||||||
|
| ||||||||||||
| Texas – 0.0% | ||||||||||||
| County of Nueces TX GO Bonds Taxable (Refunding)Series B | ||||||||||||
| 260,000 | 0.516 | 02/15/24 | 257,497 | |||||||||
|
| ||||||||||||
| Wisconsin(a) – 0.0% | ||||||||||||
| Wisconsin Department of Transportation Revenue Bonds Series 2020 | ||||||||||||
| 425,000 | 0.624 | 07/01/24 | 420,010 | |||||||||
|
| ||||||||||||
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $112,103,788) |
$ 111,671,269 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 7.6% | ||||||||||||
| United States Treasury Notes | ||||||||||||
| $ |
28,220,000 | 1.375 | % | 12/31/28 | $ 28,100,947 | |||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – (continued) | ||||||||||||
| United States Treasury Notes | ||||||||||||
| $ |
100,000 | 1.875 | %(h) | 02/28/22 | $ 100,273 | |||||||
| 88,290,000 | 0.875 | 06/30/26 | 86,910,469 | |||||||||
| 28,360,000 | 1.250 | 12/31/26 | 28,340,060 | |||||||||
| 610,000 | 0.500 | (h) | 04/30/27 | 585,266 | ||||||||
| 59,980,000 | 1.250 | 06/30/28 | 59,384,886 | |||||||||
| 850,000 | 2.875 | (h) | 08/15/28 | 928,625 | ||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $204,280,849) |
$ 204,350,526 | |||||||||||
|
| ||||||||||||
| Shares | Description | Value | ||||||||||
| Exchange Traded Funds(i) – 2.0% | ||||||||||||
| 754,343 | |
Goldman Sachs Access High Yield Corporate Bond ETF |
$ 37,505,934 | |||||||||
| |
347,570 |
|
|
Goldman Sachs Access Investment Grade Corporate 1-5 Year Bond ETF |
17,232,521 | |||||||
|
| ||||||||||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $54,077,836) |
$ 54,738,455 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(i) – 3.5% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 94,986,728 | 0.026 % | $ 94,986,728 | ||||||||||
| (Cost $94,986,728) |
|
|||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $2,505,875,289) |
$2,504,053,732 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – 10.9% | ||||||||||||
| Certificates of Deposit – 3.1% | ||||||||||||
| Bank of Montreal(b)(c) (SOFR + 0.300%) | ||||||||||||
| $ |
4,256,000 | 0.350 | % | 01/09/23 | $ 4,256,000 | |||||||
| Bank of Nova Scotia(c) (SOFR + 0.150%) | ||||||||||||
| 6,000,000 | 0.200 | 03/17/22 | 6,000,493 | |||||||||
| Bayerische Landesbank | ||||||||||||
| 10,000,000 | 0.900 | 06/27/23 | 10,059,573 | |||||||||
| Collateralized Commercial Paper FLEX Co. LLC(b)(c) (SOFR + 0.300%) | ||||||||||||
| 14,386,000 | 0.350 | 12/01/22 | 14,386,005 | |||||||||
| Credit Industriel ET Commercial | ||||||||||||
| 20,550,000 | 0.260 | 06/01/22 | 20,556,933 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Certificates of Deposit – (continued) | ||||||||||||
| Credit Suisse AG | ||||||||||||
| $ |
10,678,000 | 0.590 | % | 03/17/23 | $ 10,650,029 | |||||||
| MUFG Bank Ltd. | ||||||||||||
| 15,750,000 | 0.150 | 01/11/22 | 15,750,443 | |||||||||
|
| ||||||||||||
| 81,659,476 | ||||||||||||
|
| ||||||||||||
| Commercial Paper(g) – 6.8% | ||||||||||||
| American Electric Power Co., Inc.(b) | ||||||||||||
| 20,000,000 | 0.000 | 02/14/22 | 19,992,375 | |||||||||
| Barclays Capital, Inc.(b) | ||||||||||||
| 500,000 | 0.000 | 01/24/22 | 499,968 | |||||||||
| Barton Capital Corp..(b) | ||||||||||||
| 13,318,000 | 0.000 | 03/01/22 | 13,313,339 | |||||||||
| BPCE SA(b) | ||||||||||||
| 14,511,000 | 0.000 | 03/07/22 | 14,506,610 | |||||||||
| Brighthouse Financial Short Term funding LLC(b) | ||||||||||||
| 25,000,000 | 0.000 | 01/06/22 | 24,999,625 | |||||||||
| Danaher Corp.(b) | ||||||||||||
| 3,718,000 | 0.000 | 01/03/22 | 3,717,952 | |||||||||
| Disney (Walt) Co. The(b) | ||||||||||||
| 250,000 | 0.000 | 06/15/22 | 249,601 | |||||||||
| 250,000 | 0.000 | 06/30/22 | 249,546 | |||||||||
| Enbridge, Inc.(b) | ||||||||||||
| 8,000,000 | 0.000 | 03/17/22 | 7,993,802 | |||||||||
| Enel Finance America LLC(b) | ||||||||||||
| 1,000,000 | 0.000 | 02/16/22 | 999,606 | |||||||||
| Entergy Corp.(b) | ||||||||||||
| 8,750,000 | 0.000 | 03/15/22 | 8,745,000 | |||||||||
| Ionic Capital II Trust | ||||||||||||
| 20,000,000 | 0.000 | 02/04/22 | 19,997,278 | |||||||||
| Ionic Capital III Trust | ||||||||||||
| 4,500,000 | 0.000 | 02/24/22 | 4,498,714 | |||||||||
| Macquarie Bank Ltd.(b) | ||||||||||||
| 9,633,000 | 0.000 | 03/15/22 | 9,628,485 | |||||||||
| Mitsubishi UFJ Trust & Banking Corp.(b) | ||||||||||||
| 13,000,000 | 0.000 | 03/01/22 | 12,996,750 | |||||||||
| Natwest Markets PLC(b) | ||||||||||||
| 2,750,000 | 0.000 | 03/01/22 | 2,748,625 | |||||||||
| Ridgefield Funding Co.(b) | ||||||||||||
| 3,604,000 | 0.000 | 04/05/22 | 3,601,594 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||||
| Short-term Investments – (continued) | ||||||||||||||
| Commercial Paper(g) – (continued) | ||||||||||||||
| Starbucks Corp.(b) | ||||||||||||||
| $ |
6,802,000 | 0.000 | % | 01/04/22 | $ 6,801,925 | |||||||||
| Thermo Fisher Scientific, Inc.(b) | ||||||||||||||
| 20,257,000 | 0.000 | 06/01/22 | 20,219,196 | |||||||||||
| Xcel Energy, Inc.(b) | ||||||||||||||
| 8,226,000 | 0.000 | 03/17/22 | 8,219,627 | |||||||||||
|
| ||||||||||||||
| 183,979,618 | ||||||||||||||
|
| ||||||||||||||
| Repurchase Agreements – 1.0% | ||||||||||||||
| Bank of America Corp. | ||||||||||||||
| 27,400,000 | 0.770 | 04/18/22 | 27,400,000 | |||||||||||
| Maturity Value: $27,400,000 | ||||||||||||||
| Next Reset Date : 01/01/22 | ||||||||||||||
| Collateralized by various common stocks and preferred securities, 4.750% to 9.000%, due 04/15/22 – 10/15/37. The aggregate market value of the collateral, including accrued interest, was $29,988,392 | ||||||||||||||
|
| ||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $292,982,737) |
|
$ 293,039,094 | ||||||||||||
|
| ||||||||||||||
| TOTAL INVESTMENTS – 103.5% (Cost $2,798,858,026) |
|
$2,797,092,826 | ||||||||||||
|
| ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (3.5)% |
|
(93,968,900) | ||||||||||||
|
| ||||||||||||||
| NET ASSETS – 100.0% |
|
$2,703,123,926 | ||||||||||||
|
| ||||||||||||||
| 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, 2021. | |
| (d) | Pay-in-kind securities. | |
| (e) | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. | |
| (f) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $181,060,050 which represents approximately 6.7% of the Fund’s net assets as of December 31, 2021. | |
| (g) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (h) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (i) | Represents an affiliated issuer. | |
|
| ||
| Currency Abbreviations: | ||
| AUD | — Australian Dollar | |
| CAD | — Canadian Dollar | |
| CHF | — Swiss Franc | |
| CLP | — Chilean Peso | |
| CNH | — Chinese Yuan Renminbi Offshore | |
| CZK | — Czech Koruna | |
| 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 | |
| PLN | — Polish Zloty | |
| RUB | — Russian Ruble | |
| SEK | — Swedish Krona | |
| THB | — Thai Baht | |
| TRY | — Turkish Lira | |
| TWD | — Taiwan Dollar | |
| USD | — U.S. Dollar | |
| ZAR | — South African Rand | |
| Investment Abbreviations: | ||
| AUDOR | — Australian Dollar Offered Rate | |
| CDOR | — Canadian Dollar Offered Rate | |
| CHFOR | — Swiss Franc Offered Rate | |
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Indexes | |
| ETF | — Exchange Traded Fund | |
| EURO | — Euro Offered Rate | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| GO | — General Obligation | |
| JYOR | — Japanese Yen Offered Rate | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| LP | — Limited Partnership | |
| NIBOR | — Norwegian Interbank Offered Rate | |
| NZDOR | — New Zealand Dollar Offered Rate | |
| PI | — Private Investment | |
| PLC | — Public Limited Company | |
| RB | — Revenue Bond | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Funding Rate | |
| STIBOR | — Stockholm Interbank Offered Rate | |
|
| ||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2021, 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 | 26,979,957 | USD | 19,142,178 | 03/16/22 | $ | 490,996 | |||||||||||||
| CAD | 2,518,114 | USD | 1,951,993 | 03/16/22 | 38,357 | |||||||||||||||
| CHF | 758,336 | EUR | 730,000 | 03/16/22 | 1,483 | |||||||||||||||
| CHF | 7,994,558 | USD | 8,697,733 | 03/16/22 | 93,415 | |||||||||||||||
| CNH | 26,900,393 | USD | 4,188,223 | 03/16/22 | 22,301 | |||||||||||||||
| CZK | 63,678,306 | USD | 2,811,628 | 03/16/22 | 81,591 | |||||||||||||||
| EUR | 6,020,064 | USD | 6,818,267 | 03/16/22 | 46,383 | |||||||||||||||
| GBP | 1,240,772 | EUR | 1,460,798 | 03/16/22 | 13,138 | |||||||||||||||
| HUF | 270,931,200 | USD | 824,000 | 03/16/22 | 4,534 | |||||||||||||||
| IDR | 18,079,176,322 | USD | 1,255,760 | 02/10/22 | 12,331 | |||||||||||||||
| ILS | 5,337,459 | USD | 1,696,958 | 03/16/22 | 21,016 | |||||||||||||||
| MXN | 34,898,795 | USD | 1,646,714 | 03/16/22 | 34,895 | |||||||||||||||
| NOK | 26,296,533 | USD | 2,907,290 | 03/16/22 | 74,501 | |||||||||||||||
| NZD | 1,220,279 | EUR | 729,570 | 03/16/22 | 2,809 | |||||||||||||||
| NZD | 8,496,395 | USD | 5,793,142 | 03/16/22 | 18,833 | |||||||||||||||
| PLN | 7,303,105 | USD | 1,781,050 | 03/16/22 | 21,128 | |||||||||||||||
| SEK | 35,627,891 | USD | 3,922,186 | 03/16/22 | 23,125 | |||||||||||||||
| THB | 11,028,490 | USD | 329,809 | 03/16/22 | 243 | |||||||||||||||
| TRY | 19,913,420 | USD | 1,319,386 | 03/16/22 | 90,310 | |||||||||||||||
| TRY | 13,496,463 | USD | 863,492 | 06/14/22 | 28,392 | |||||||||||||||
| TWD | 37,952,493 | USD | 1,366,476 | 01/19/22 | 4,381 | |||||||||||||||
| USD | 851,001 | AUD | 1,149,113 | 01/31/22 | 14,882 | |||||||||||||||
| USD | 1,542,053 | CLP | 1,269,186,756 | 02/07/22 | 60,364 | |||||||||||||||
| USD | 1,242,651 | HUF | 404,050,725 | 03/16/22 | 7,024 | |||||||||||||||
| USD | 75,549,989 | JPY | 8,442,189,942 | 01/06/22 | 2,155,834 | |||||||||||||||
| USD | 66,542,365 | JPY | 7,576,613,475 | 01/18/22 | 666,670 | |||||||||||||||
| USD | 8,610,268 | JPY | 975,029,355 | 03/16/22 | 128,404 | |||||||||||||||
| USD | 4,734,591 | KRW | 5,602,545,889 | 02/10/22 | 28,349 | |||||||||||||||
| USD | 1,676,072 | NZD | 2,406,705 | 02/16/22 | 28,813 | |||||||||||||||
| USD | 2,449,881 | RUB | 181,773,212 | 02/10/22 | 40,330 | |||||||||||||||
| USD | 2,790,338 | SEK | 25,114,138 | 03/16/22 | 9,284 | |||||||||||||||
| USD | 3,063,000 | TRY | 29,556,419 | 06/14/22 | 1,109,831 | |||||||||||||||
| USD | 7,631,365 | TWD | 211,026,140 | 01/19/22 | 9,030 | |||||||||||||||
| USD | 162,371 | ZAR | 2,608,449 | 03/16/22 | 439 | |||||||||||||||
| ZAR | 21,446,393 | USD | 1,329,341 | 03/16/22 | 2,050 | |||||||||||||||
|
|
||||||||||||||||||||
| TOTAL |
|
$ | 5,385,466 | |||||||||||||||||
|
|
||||||||||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (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 |
AUD | 1,153,571 | GBP | 623,026 | 03/16/22 | $ | (3,565 | ) | ||||||||||||
| CLP | 1,295,731,915 | USD | 1,602,354 | 02/07/22 | (89,675 | ) | ||||||||||||||
| EUR | 2,926,159 | CHF | 3,059,138 | 03/16/22 | (27,271 | ) | ||||||||||||||
| EUR | 1,455,878 | CNH | 10,616,993 | 03/16/22 | (1,671 | ) | ||||||||||||||
| EUR | 726,149 | CZK | 18,485,208 | 03/16/22 | (11,850 | ) | ||||||||||||||
| EUR | 727,734 | GBP | 625,097 | 03/16/22 | (15,982 | ) | ||||||||||||||
| JPY | 299,911,660 | USD | 2,645,963 | 03/16/22 | (37,006 | ) | ||||||||||||||
| KRW | 3,019,912,032 | USD | 2,542,955 | 02/10/22 | (6,173 | ) | ||||||||||||||
| RUB | 166,812,899 | USD | 2,313,684 | 02/10/22 | (102,444 | ) | ||||||||||||||
| SEK | 8,824,815 | EUR | 860,569 | 03/16/22 | (4,073 | ) | ||||||||||||||
| TRY | 18,539,540 | USD | 1,418,792 | 03/16/22 | (106,355 | ) | ||||||||||||||
| TRY | 16,059,956 | USD | 1,532,000 | 06/14/22 | (470,714 | ) | ||||||||||||||
| TWD | 93,141,050 | USD | 3,368,935 | 01/19/22 | (4,650 | ) | ||||||||||||||
| USD | 2,705,535 | AUD | 3,798,248 | 03/16/22 | (58,430 | ) | ||||||||||||||
| USD | 4,819,722 | CAD | 6,166,173 | 03/16/22 | (54,101 | ) | ||||||||||||||
| USD | 225,877 | CHF | 207,023 | 03/16/22 | (1,774 | ) | ||||||||||||||
| USD | 3,330,572 | CNH | 21,367,403 | 03/16/22 | (13,913 | ) | ||||||||||||||
| USD | 19,769,526 | EUR | 17,364,720 | 03/16/22 | (31,377 | ) | ||||||||||||||
| USD | 9,286,763 | GBP | 6,971,306 | 03/16/22 | (146,059 | ) | ||||||||||||||
| USD | 2,727,000 | ILS | 8,625,228 | 03/16/22 | (49,213 | ) | ||||||||||||||
| USD | 2,469,606 | INR | 188,379,135 | 01/18/22 | (54,030 | ) | ||||||||||||||
| USD | 1,484,882 | MXN | 32,038,295 | 03/16/22 | (58,893 | ) | ||||||||||||||
| USD | 765,954 | NOK | 6,945,381 | 03/16/22 | (21,590 | ) | ||||||||||||||
| USD | 3,057,345 | NZD | 4,529,575 | 03/16/22 | (41,119 | ) | ||||||||||||||
| USD | 825,729 | PLN | 3,386,894 | 03/16/22 | (10,050 | ) | ||||||||||||||
| USD | 1,605,512 | RUB | 121,768,030 | 02/10/22 | (8,622 | ) | ||||||||||||||
| USD | 2,627,704 | SEK | 23,850,042 | 03/16/22 | (13,369 | ) | ||||||||||||||
| USD | 3,459,811 | TRY | 50,624,309 | 03/16/22 | (123,947 | ) | ||||||||||||||
| USD | 1,520,506 | TWD | 42,365,851 | 01/19/22 | (9,762 | ) | ||||||||||||||
| USD | 1,321,000 | ZAR | 21,723,092 | 03/15/22 | (27,781 | ) | ||||||||||||||
| USD | 1,418,454 | ZAR | 22,867,259 | 03/16/22 | (1,144 | ) | ||||||||||||||
|
|
||||||||||||||||||||
| TOTAL |
|
$ | (1,606,603 | ) | ||||||||||||||||
|
|
||||||||||||||||||||
FUTURES CONTRACTS — At December 31, 2021, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Long position contracts: |
||||||||||||||||
| 10 Year German Euro-Bund |
5 | 03/08/22 | $ | 975,523 | $ | (17,689 | ) | |||||||||
| 2 Year U.S. Treasury Notes |
5,010 | 03/31/22 | 1,093,041,099 | (994,820 | ) | |||||||||||
| 10 Year U.S. Treasury Notes |
956 | 03/22/22 | 124,728,125 | 580,715 | ||||||||||||
|
|
||||||||||||||||
| Total |
$ | (431,794 | ) | |||||||||||||
|
|
||||||||||||||||
| Short position contracts: |
||||||||||||||||
| Ultra Long U.S. Treasury Bonds |
(7) | 03/22/22 | (1,379,875 | ) | (6,310 | ) | ||||||||||
| Ultra 10 Year U.S. Treasury Notes |
(431) | 03/22/22 | (63,114,563 | ) | (831,699 | ) | ||||||||||
| 5 Year U.S. Treasury Notes |
(4,409) | 03/31/22 | (533,385,666 | ) | (1,947,432 | ) | ||||||||||
| 20 Year U.S. Treasury Bonds |
(7) | 03/22/22 | (1,123,062 | ) | 14,268 | |||||||||||
|
|
||||||||||||||||
| Total |
$ | (2,771,173 | ) | |||||||||||||
|
|
||||||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | (3,202,967 | ) | |||||||||||||
|
|
||||||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At December 31, 2021, 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 (000s) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| 3M NZDOR(a) |
0.500%(b) | 09/15/22 | NZD | 316,940 | $ | (1,213,858 | ) | $ | (1,841,247 | ) | $ | 627,389 | ||||||||||||
| 3M NZDOR(a) |
1.250(b) | 12/15/22 | 15,940 | (40,881 | ) | (16,819 | ) | (24,062 | ) | |||||||||||||||
| 3M AUDOR(a) |
0.190(b) | 02/22/23 | AUD | 141,620 | (c) | (343,881 | ) | (2,056,827 | ) | 1,712,946 | ||||||||||||||
| 0.500%(d) |
3M SOFR | 12/15/23 | $ | 22,210 | (c) | 92,181 | 61,454 | 30,727 | ||||||||||||||||
| 1.000(a) |
6M CDOR(b) | 12/15/23 | CAD | 16,580 | 124,962 | (16,748 | ) | 141,710 | ||||||||||||||||
| 3M STIBOR(a) |
0.500(d) | 03/16/24 | SEK | 286,110 | (c) | 72,529 | 68,751 | 3,778 | ||||||||||||||||
| 0.250(d) |
3M SOFR | 03/16/24 | $ | 19,880 | (c) | 247,862 | 191,574 | 56,288 | ||||||||||||||||
| 1M LIBOR + 0.090(a) |
3M LIBOR(b) | 07/25/24 | 28,720 | 6,594 | 9,643 | (3,049 | ) | |||||||||||||||||
| 6M EURO(d) |
(0.295) | 12/09/24 | EUR | 49,820 | (c) | (120,219 | ) | 15,974 | (136,193 | ) | ||||||||||||||
| 6M CDOR(a) |
1.560(b) | 08/22/25 | CAD | 46,410 | (c) | (395,862 | ) | 21,405 | (417,267 | ) | ||||||||||||||
| 6M EURO(d) |
(0.175) | 12/09/26 | EUR | 34,650 | (c) | — | — | — | ||||||||||||||||
| (0.175)(d) |
6M EURO | 12/09/26 | 109,500 | (c) | 541,673 | 13,441 | 528,232 | |||||||||||||||||
| 6M CHFOR(d) |
(0.250) | 03/16/27 | CHF | 3,910 | (c) | (13,468 | ) | (7,710 | ) | (5,758 | ) | |||||||||||||
| 3M STIBOR(a) |
0.750(d) | 03/16/27 | SEK | 162,960 | (c) | (12,251 | ) | 107,427 | (119,678 | ) | ||||||||||||||
| 3M SOFR(d) |
1.000 | 03/16/27 | $ | 710 | (c) | (5,927 | ) | (1,914 | ) | (4,013 | ) | |||||||||||||
| 6M AUDOR(b) |
1.250 | 03/16/27 | AUD | 140,540 | (c) | (2,458,291 | ) | (2,410,675 | ) | (47,616 | ) | |||||||||||||
| 3M NZDOR(b) |
2.750 | 03/16/27 | NZD | 29,650 | (c) | 119,161 | 130,988 | (11,827 | ) | |||||||||||||||
| 2.000(d) |
3M NIBOR(b) | 03/16/27 | NOK | 116,890 | (c) | (56,012 | ) | (109,526 | ) | 53,514 | ||||||||||||||
| 1.000(d) |
3M SOFR | 03/16/27 | $ | 47,770 | (c) | 398,765 | 328,026 | 70,739 | ||||||||||||||||
| 1.750(b) |
6M CDOR | 03/16/27 | CAD | 33,180 | (c) | 150,601 | 211,993 | (61,392 | ) | |||||||||||||||
| (0.250)(b) |
6M EURO | 03/16/27 | EUR | 13,040 | (c) | 104,443 | 4,542 | 99,901 | ||||||||||||||||
| 0.500(d) |
6M GBP | 03/16/27 | GBP | 41,100 | (c) | 1,543,101 | 1,055,083 | 488,018 | ||||||||||||||||
| 0.000(d) |
6M JYOR | 03/16/27 | JPY | 5,420,870 | (c) | (23,195 | ) | (76,803 | ) | 53,608 | ||||||||||||||
| 0.015(d) |
6M EURO(b) | 12/13/27 | EUR | 3,740 | (c) | 36,773 | 22,073 | 14,700 | ||||||||||||||||
| 1.680(b) |
6M CDOR | 08/22/28 | CAD | 37,090 | (c) | 432,117 | (37,758 | ) | 469,875 | |||||||||||||||
| 2.130(d) |
3M NIBOR(b) | 05/11/31 | NOK | 139,640 | (c) | (123,945 | ) | (354,265 | ) | 230,320 | ||||||||||||||
| 3M NZDOR(b) |
3.000 | 09/16/31 | NZD | 10,340 | (c) | 78,614 | 64,799 | 13,815 | ||||||||||||||||
| 3M SOFR(d) |
1.530 | 09/22/31 | $ | 28,470 | (c) | 18,597 | 3,256 | 15,341 | ||||||||||||||||
| 6M CDOR(b) |
2.500 | 10/14/31 | CAD | 15,040 | (c) | 204,206 | 69,876 | 134,330 | ||||||||||||||||
| 6M EURO(b) |
0.500 | 11/26/31 | EUR | 52,970 | (c) | (233,705 | ) | 377,787 | (611,492 | ) | ||||||||||||||
| 6M EURO(d) |
0.140 | 12/09/31 | 19,600 | (c) | (239,083 | ) | (1,030 | ) | (238,053 | ) | ||||||||||||||
| 6M CHFOR(d) |
0.250 | 03/16/32 | CHF | 9,440 | (c) | 144,933 | 136,995 | 7,938 | ||||||||||||||||
| 6M EURO(b) |
0.250 | 03/16/32 | EUR | 7,620 | (c) | (71,970 | ) | 43,825 | (115,795 | ) | ||||||||||||||
| 3M STIBOR(b) |
1.000 | 03/16/32 | SEK | 160,580 | (c) | (1,005 | ) | 283,084 | (284,089 | ) | ||||||||||||||
| 3M SOFR(d) |
1.500 | 03/16/32 | $ | 13,730 | (c) | 199,376 | 268,227 | (68,851 | ) | |||||||||||||||
| 3M NIBOR(b) |
2.000(d) | 03/16/32 | NOK | 31,050 | (c) | 24,810 | 90,837 | (66,027 | ) | |||||||||||||||
| 6M AUDOR(b) |
2.000 | 03/16/32 | AUD | 19,640 | (c) | (45,140 | ) | 14,498 | (59,638 | ) | ||||||||||||||
| 2.750(b) |
3M NZDOR | 03/16/32 | NZD | 11,800 | (c) | (49,113 | ) | (91,654 | ) | 42,541 | ||||||||||||||
| 2.000(b) |
6M CDOR | 03/16/32 | CAD | 19,570 | (c) | 9,661 | 29,256 | (19,595 | ) | |||||||||||||||
| 0.750(d) |
6M GBP | 03/16/32 | GBP | 25,000 | (c) | 680,568 | (10,209 | ) | 690,777 | |||||||||||||||
| 0.000(d) |
6M JYOR(d) | 03/16/32 | JPY | 902,330 | (c) | 66,028 | 35,412 | 30,616 | ||||||||||||||||
| 6M EURO(b) |
0.500(d) | 03/17/32 | EUR | 33,110 | (c) | (204,960 | ) | 49,087 | (254,047 | ) | ||||||||||||||
| 3M STIBOR(b) |
1.000(d) | 03/17/32 | SEK | 36,860 | (c) | (47,663 | ) | (29,299 | ) | (18,364 | ) | |||||||||||||
| 6M AUDOR(b) |
2.000 | 03/17/32 | AUD | 4,260 | (c) | (47,689 | ) | (230,827 | ) | 183,138 | ||||||||||||||
| 1.500(d) |
3M SOFR | 03/17/32 | $ | 20,980 | (c) | 35,728 | 15,420 | 20,308 | ||||||||||||||||
| 2.000(b) |
6M CDOR | 03/17/32 | CAD | 7,960 | (c) | 43,388 | 35,247 | 8,141 | ||||||||||||||||
| 1.000(d) |
6M GBP | 03/17/32 | GBP | 12,240 | (c) | (117,400 | ) | (591,528 | ) | 474,128 | ||||||||||||||
| 6M CDOR(b) |
2.100 | 12/18/33 | CAD | 10,320 | (c) | (32,318 | ) | 51,667 | (83,985 | ) | ||||||||||||||
| 1.630(d) |
3M SOFR | 09/22/36 | $ | 34,210 | (c) | 71,951 | 10,482 | 61,469 | ||||||||||||||||
| 6M EURO(b) |
0.720(d) | 12/02/36 | EUR | 13,620 | (c) | (122,349 | ) | 38,066 | (160,415 | ) | ||||||||||||||
| 0.750(d) |
6M EURO(b) | 11/26/41 | 27,040 | (c) | 164,382 | (534,202 | ) | 698,584 | ||||||||||||||||
| 0.531(d) |
6M EURO(b) | 12/02/41 | 28,370 | (c) | 293,304 | (84,356 | ) | 377,660 | ||||||||||||||||
| 6M EURO(b) |
0.257(d) | 12/02/46 | 14,800 | (c) | (141,837 | ) | 42,568 | (184,405 | ) | |||||||||||||||
| 6M CDOR(b) |
2.250 | 12/15/51 | CAD | 5,800 | 170,676 | 15,027 | 155,649 | |||||||||||||||||
| 1.750(d) |
3M SOFR | 03/16/52 | $ | 4,620 | (c) | (324,709 | ) | (406,272 | ) | 81,563 | ||||||||||||||
|
|
||||||||||||||||||||||||
| TOTAL |
$ | (409,747 | ) | $ | (4,991,879 | ) | $ | 4,582,132 | ||||||||||||||||
|
|
||||||||||||||||||||||||
| (a) | Payments made quarterly. |
| (b) | Payments made semi-annually. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
| (d) | Payments made annually. |
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
| Reference Obligation/Index |
Financing Rate Paid by the Fund |
Credit Spread at December 31, 2021(a) |
Counterparty | Termination Date |
Notional Amount (000s) |
Value | Upfront Premiums (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Protection Sold: |
|
|||||||||||||||||||||||||||||||
| Markit CMBX Series 10 |
3.000%(b) | 5.156% | MS & Co. Int. PLC | 11/17/59 | $ | 5,700 | $ | (505,222 | ) | $ | (934,457 | ) | $ | 429,235 | ||||||||||||||||||
| Markit CMBX Series 11 |
3.000(b) | 3.952 | MS & Co. Int. PLC | 11/18/54 | 10,850 | (507,352 | ) | (2,024,867 | ) | 1,517,515 | ||||||||||||||||||||||
| Markit CMBX Series 8 |
3.000(b) | 8.605 | MS & Co. Int. PLC | 10/17/57 | 3,450 | (465,893 | ) | (768,699 | ) | 302,806 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| TOTAL |
$ | (1,478,467 | ) | $ | (3,728,023 | ) | $ | 2,249,556 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| (a) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
| (b) | Payments made monthly. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Referenced Obligation/Index |
Financing Rate Received/(Paid) by the Fund (%)(a) |
Credit Spread at December 31, 2021(b) |
Termination Date |
Notional Amount (000s) |
Value | Upfront Premiums (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Protection Sold: |
||||||||||||||||||||||||||||
| AT&T, Inc., 3.800%, 02/15/27 |
1.000% | 0.619% | 06/20/26 | $ | 3,475 | $ | 58,867 | $ | 57,610 | $ | 1,257 | |||||||||||||||||
| AT&T, Inc., 3.800%, 02/15/27 |
1.000 | 0.548 | 12/20/25 | 10,000 | 179,516 | 85,210 | 94,306 | |||||||||||||||||||||
| CDX.NA.EM Index 36 |
1.000 | 1.867 | 12/20/26 | 90,440 | (3,597,058 | ) | (2,996,373 | ) | (600,685 | ) | ||||||||||||||||||
| CDX.NA.IG Index 28 |
1.000 | 0.211 | 06/20/22 | 21,975 | 89,538 | 70,819 | 18,719 | |||||||||||||||||||||
| CDX.NA.IG Index 32 |
1.000 | 0.335 | 06/20/24 | 225 | 3,768 | 2,088 | 1,680 | |||||||||||||||||||||
| CDX.NA.IG Index 33 |
1.000 | 0.392 | 12/20/24 | 1,650 | 30,157 | (4,790 | ) | 34,947 | ||||||||||||||||||||
| CDX.NA.IG Index 34 |
1.000 | 0.445 | 06/20/25 | 105,600 | 2,040,037 | 1,162,293 | 877,744 | |||||||||||||||||||||
| General Electric Co. 2.700%, 10/09/22 |
1.000 | 0.633 | 06/20/26 | 5,225 | 85,591 | 63,611 | 21,980 | |||||||||||||||||||||
| Republic of Indonesia, 5.875%, 03/13/20 |
1.000 | 0.367 | 06/20/24 | 120 | 1,917 | (135 | ) | 2,052 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
|
$ | (1,107,667 | ) | $ | (1,559,667 | ) | $ | 452,000 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (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 SHORT DURATION BOND FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2021, the Fund had the following purchased and written options:
OVER-THE-COUNTERINTEREST RATE SWAPTIONS
| Description | Counterparty | Exercise Rate |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid (Received) by Fund |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Purchased option contracts |
|
|||||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||||||
| 1Y IRS |
Citibank NA | $ | 0.459 | 10/10/2022 | 32,630,000 | $ | 32,630,000 | $ | 14,694 | $ | 71,329 | $ | (56,635 | ) | ||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.420 | 10/10/2022 | 35,720,000 | 35,720,000 | 14,335 | 77,326 | (62,991 | ) | |||||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.516 | 11/15/2022 | 36,190,000 | 36,190,000 | 22,009 | 84,983 | (62,974 | ) | |||||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 0.300 | 09/08/2022 | 39,810,000 | 39,810,000 | 9,802 | 77,482 | (67,680 | ) | |||||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 0.281 | 09/08/2022 | 30,480,000 | 30,480,000 | 7,092 | 58,231 | (51,139 | ) | |||||||||||||||||||||||
| 1Y IRS |
MS & Co. Int. PLC | 0.544 | 11/16/2022 | 32,940,000 | 32,940,000 | 21,798 | 77,573 | (55,775 | ) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Total purchased option contracts |
207,770,000 | $ | 207,770,000 | $ | 89,730 | $ | 446,924 | $ | (357,194 | ) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Written option contracts |
|
|||||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.425 | 10/10/2022 | (3,340,000 | ) | (3,340,000 | ) | (37,062 | ) | (71,371 | ) | 34,309 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.379 | 10/10/2022 | (3,680,000 | ) | (3,680,000 | ) | (36,377 | ) | (77,285 | ) | 40,908 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.553 | 11/15/2022 | (3,730,000 | ) | (3,730,000 | ) | (63,411 | ) | (84,783 | ) | 21,372 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.015 | 12/09/2022 | (16,830,000 | ) | (16,830,000 | ) | (134,675 | ) | (233,815 | ) | 99,140 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.290 | 12/12/2022 | (96,000,000 | ) | (96,000,000 | ) | (264,922 | ) | (307,200 | ) | 42,278 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.252 | 12/13/2022 | (28,100,000 | ) | (28,100,000 | ) | (71,649 | ) | (88,094 | ) | 16,445 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.255 | 12/13/2022 | (40,200,000 | ) | (40,200,000 | ) | (103,153 | ) | (126,831 | ) | 23,678 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.296 | 12/15/2022 | (29,600,000 | ) | (29,600,000 | ) | (81,959 | ) | (92,796 | ) | 10,837 | ||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 0.401 | 09/08/2022 | (4,110,000 | ) | (4,110,000 | ) | (37,475 | ) | (77,517 | ) | 40,042 | ||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 0.363 | 09/08/2022 | (3,140,000 | ) | (3,140,000 | ) | (25,802 | ) | (58,128 | ) | 32,326 | ||||||||||||||||||||
| 1Y IRS |
MS & Co. Int. PLC | 0.599 | 11/16/2022 | (3,410,000 | ) | (3,410,000 | ) | (64,443 | ) | (77,728 | ) | 13,285 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| (232,140,000 | ) | (232,140,000 | ) | (920,928 | ) | (1,295,548 | ) | 374,620 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||||||
| 1Y IRS |
Citibank NA | 0.015 | 12/09/2022 | (16,830,000 | ) | (16,830,000 | ) | (301,400 | ) | (230,835 | ) | (70,565 | ) | |||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.290 | 12/12/2022 | (96,000,000 | ) | (96,000,000 | ) | (287,836 | ) | (307,200 | ) | 19,364 | ||||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.252 | 12/13/2022 | (28,100,000 | ) | (28,100,000 | ) | (89,409 | ) | (88,094 | ) | (1,315 | ) | |||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.255 | 12/13/2022 | (40,200,000 | ) | (40,200,000 | ) | (127,362 | ) | (126,831 | ) | (531 | ) | |||||||||||||||||||
| 1Y IRS |
Citibank NA | 1.296 | 12/15/2022 | (29,600,000 | ) | (29,600,000 | ) | (89,898 | ) | (92,796 | ) | 2,898 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| (210,730,000 | ) | $ | (210,730,000 | ) | $ | (895,905 | ) | $ | (845,756 | ) | $ | (50,149 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Total written option contracts |
(442,870,000 | ) | $ | (442,870,000 | ) | $ | (1,816,833 | ) | $ | (2,141,304 | ) | $ | 324,471 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| TOTAL |
|
(235,100,000 | ) | $ | (235,100,000 | ) | $ | (1,727,103 | ) | $ | (1,694,380 | ) | $ | (32,723 | ) | |||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
|
| ||
| Abbreviations: | ||
| CDX.NA.IG Index 28 | — CDX North America Investment Grade Index 28 | |
| MS & Co. Int. PLC | — Morgan Stanley & Co. International PLC | |
|
| ||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – 29.4% | ||||||||||||
| Collateralized Mortgage Obligations – 1.8% | ||||||||||||
| Regular Floater(a) – 0.0% | ||||||||||||
| FNMA REMIC Series 2007-33, Class HF (1M USD LIBOR + 0.350%) | ||||||||||||
| $ |
174,142 | 0.452 | % | 04/25/37 | $ 175,119 | |||||||
|
| ||||||||||||
| Sequential Fixed Rate – 1.8% | ||||||||||||
| FHLMC REMIC Series 1980, Class Z | ||||||||||||
| 136,647 | 7.000 | 07/15/27 | 149,595 | |||||||||
| FHLMC REMIC Series 2019, Class Z | ||||||||||||
| 113,260 | 6.500 | 12/15/27 | 123,843 | |||||||||
| FHLMC REMIC Series 2755, Class ZA | ||||||||||||
| 332,556 | 5.000 | 02/15/34 | 366,127 | |||||||||
| FHLMC REMIC Series 3530, Class DB | ||||||||||||
| 553,816 | 4.000 | 05/15/24 | 570,120 | |||||||||
| FHLMC REMIC Series 4246, Class PT | ||||||||||||
| 61,081 | 6.500 | 02/15/36 | 69,514 | |||||||||
| FHLMC REMIC Series 4273, Class PD | ||||||||||||
| 554,106 | 6.500 | 11/15/43 | 641,985 | |||||||||
| FHLMC REMIC Series 4619, Class NA | ||||||||||||
| 1,712,403 | 3.000 | 03/15/44 | 1,792,716 | |||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| 208,705 | 7.000 | 10/25/42 | 238,251 | |||||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 744,500 | 7.000 | 07/25/42 | 880,896 | |||||||||
| FNMA REMIC Series 2015-30, Class EA | ||||||||||||
| 3,387,353 | 3.000 | 05/25/45 | 3,531,208 | |||||||||
| GNMA REMIC Series 2019-35, Class A | ||||||||||||
| 5,504,326 | 4.000 | 12/20/48 | 5,793,997 | |||||||||
|
| ||||||||||||
| 14,158,252 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 14,333,371 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 27.6% | ||||||||||||
| Adjustable Rate FHLMC(a) – 0.2% | ||||||||||||
| (1 Year CMT + 2.250%) | ||||||||||||
| $ |
401,667 | 2.343 | % | 06/01/35 | $ 422,203 | |||||||
| (12M USD LIBOR + 1.613%) | ||||||||||||
| 863,896 | 1.862 | 11/01/44 | 900,440 | |||||||||
| (12M USD LIBOR + 1.772%) | ||||||||||||
| 100,291 | 2.024 | 06/01/42 | 105,318 | |||||||||
| (12M USD LIBOR + 1.840%) | ||||||||||||
| 195,113 | 2.090 | 11/01/34 | 205,258 | |||||||||
| (12M USD LIBOR + 2.000%) | ||||||||||||
| 9,919 | 2.250 | 11/01/36 | 9,919 | |||||||||
| (12M USD LIBOR + 2.330%) | ||||||||||||
| 28,711 | 2.617 | 05/01/36 | 30,435 | |||||||||
| (6M USD LIBOR + 2.056%) | ||||||||||||
| 12,969 | 2.180 | 10/01/36 | 13,651 | |||||||||
|
| ||||||||||||
| 1,687,224 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate FNMA(a) – 0.5% | ||||||||||||
| (1 Year CMT + 2.095%) | ||||||||||||
| $ |
53,928 | 2.143 | % | 10/01/35 | $ 56,940 | |||||||
| (1 Year CMT + 2.220%) | ||||||||||||
| 253,127 | 2.220 | 06/01/34 | 265,757 | |||||||||
| (1 Year CMT + 2.287%) | ||||||||||||
| 217,463 | 2.412 | 02/01/34 | 228,388 | |||||||||
| (12M MTA + 2.210%) | ||||||||||||
| 334,580 | 2.292 | 07/01/36 | 351,934 | |||||||||
| (12M MTA + 2.364%) | ||||||||||||
| 39,004 | 2.464 | 06/01/36 | 40,849 | |||||||||
| (12M USD LIBOR + 1.225%) | ||||||||||||
| 5,338 | 1.475 | 01/01/33 | 5,504 | |||||||||
| (12M USD LIBOR + 1.325%) | ||||||||||||
| 91,384 | 1.700 | 04/01/35 | 94,976 | |||||||||
| (12M USD LIBOR + 1.413%) | ||||||||||||
| 73,067 | 1.774 | 05/01/35 | 76,170 | |||||||||
| (12M USD LIBOR + 1.506%) | ||||||||||||
| 30,129 | 1.881 | 02/01/35 | 31,510 | |||||||||
| (12M USD LIBOR + 1.609%) | ||||||||||||
| 89,205 | 1.984 | 03/01/35 | 93,642 | |||||||||
| (12M USD LIBOR + 1.640%) | ||||||||||||
| 74,393 | 1.890 | 10/01/34 | 77,890 | |||||||||
| (12M USD LIBOR + 1.664%) | ||||||||||||
| 107,456 | 1.915 | 10/01/34 | 112,608 | |||||||||
| (12M USD LIBOR + 1.695%) | ||||||||||||
| 100,197 | 1.945 | 05/01/34 | 105,136 | |||||||||
| (12M USD LIBOR + 1.713%) | ||||||||||||
| 309,305 | 1.993 | 07/01/37 | 325,185 | |||||||||
| (12M USD LIBOR + 1.720%) | ||||||||||||
| 300,893 | 2.034 | 05/01/34 | 315,735 | |||||||||
| (12M USD LIBOR + 1.720%) | ||||||||||||
| 61,081 | 2.095 | 03/01/35 | 64,308 | |||||||||
| (12M USD LIBOR + 1.720%) | ||||||||||||
| 47,086 | 2.095 | 04/01/35 | 49,576 | |||||||||
| (12M USD LIBOR + 1.726%) | ||||||||||||
| 272,857 | 2.101 | 03/01/36 | 286,773 | |||||||||
| (12M USD LIBOR + 1.755%) | ||||||||||||
| 25,660 | 2.005 | 07/01/32 | 26,826 | |||||||||
| (12M USD LIBOR + 1.800%) | ||||||||||||
| 293,440 | 2.175 | 05/01/33 | 308,192 | |||||||||
| (12M USD LIBOR + 1.820%) | ||||||||||||
| 3,712 | 2.070 | 12/01/46 | 3,940 | |||||||||
| (12M USD LIBOR + 1.924%) | ||||||||||||
| 236,324 | 2.174 | 06/01/36 | 248,434 | |||||||||
| (12M USD LIBOR + 1.935%) | ||||||||||||
| 95,705 | 2.185 | 11/01/36 | 101,163 | |||||||||
| (12M USD LIBOR + 1.958%) | ||||||||||||
| 468,128 | 2.208 | 04/01/36 | 497,028 | |||||||||
| (6M USD LIBOR + 2.250%) | ||||||||||||
| 40,263 | 2.375 | 08/01/33 | 42,166 | |||||||||
| (COF + 1.250%) | ||||||||||||
| 326,616 | 4.594 | 08/01/33 | 354,995 | |||||||||
| (COF + 1.841%) | ||||||||||||
| 15,194 | 2.066 | 08/01/29 | 15,419 | |||||||||
|
| ||||||||||||
| 4,181,044 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate GNMA(a) – 0.3% | ||||||||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| $ |
73,841 | 1.875 | % | 05/20/34 | $ 76,383 | |||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| 189,375 | 1.625 | 07/20/34 | 195,103 | |||||||||
| 171,052 | 1.625 | 08/20/34 | 176,259 | |||||||||
| 1,090,737 | 1.625 | 09/20/34 | 1,123,945 | |||||||||
| (1 Year CMT + 1.500%) | ||||||||||||
| 156,172 | 2.125 | 10/20/34 | 161,350 | |||||||||
| 186,331 | 2.125 | 12/20/34 | 192,556 | |||||||||
|
| ||||||||||||
| 1,925,596 | ||||||||||||
|
| ||||||||||||
| FHLMC – 0.5% | ||||||||||||
| 916 | 7.000 | 04/01/22 | 916 | |||||||||
| 138 | 4.500 | 05/01/23 | 141 | |||||||||
| 4,344 | 7.500 | 01/01/31 | 5,076 | |||||||||
| 19,124 | 4.500 | 07/01/33 | 20,988 | |||||||||
| 496,687 | 4.500 | 08/01/33 | 545,091 | |||||||||
| 1,071,907 | 4.500 | 09/01/33 | 1,176,383 | |||||||||
| 92,564 | 4.500 | 10/01/33 | 101,584 | |||||||||
| 2,127 | 4.500 | 04/01/34 | 2,334 | |||||||||
| 2,098 | 4.500 | 04/01/35 | 2,317 | |||||||||
| 1,246 | 4.500 | 07/01/35 | 1,377 | |||||||||
| 3,964 | 4.500 | 08/01/35 | 4,379 | |||||||||
| 24,442 | 4.500 | 09/01/35 | 26,947 | |||||||||
| 5,284 | 4.500 | 10/01/35 | 5,836 | |||||||||
| 872 | 4.500 | 12/01/35 | 957 | |||||||||
| 682 | 4.500 | 05/01/36 | 753 | |||||||||
| 62,752 | 4.500 | 01/01/38 | 69,311 | |||||||||
| 1,274 | 4.500 | 04/01/38 | 1,404 | |||||||||
| 350 | 4.500 | 05/01/38 | 385 | |||||||||
| 3,908 | 4.500 | 06/01/38 | 4,317 | |||||||||
| 97,261 | 4.500 | 09/01/38 | 107,233 | |||||||||
| 1,962 | 4.500 | 01/01/39 | 2,161 | |||||||||
| 56,387 | 4.500 | 02/01/39 | 62,125 | |||||||||
| 26,013 | 4.500 | 03/01/39 | 28,652 | |||||||||
| 6,153 | 4.500 | 04/01/39 | 6,778 | |||||||||
| 140,794 | 4.500 | 05/01/39 | 155,080 | |||||||||
| 437,717 | 4.500 | 06/01/39 | 482,133 | |||||||||
| 13,196 | 4.500 | 07/01/39 | 14,535 | |||||||||
| 18,800 | 4.500 | 08/01/39 | 20,708 | |||||||||
| 26,122 | 4.500 | 09/01/39 | 28,773 | |||||||||
| 5,168 | 4.500 | 10/01/39 | 5,693 | |||||||||
| 9,156 | 4.500 | 11/01/39 | 10,084 | |||||||||
| 9,302 | 4.500 | 12/01/39 | 10,246 | |||||||||
| 17,064 | 4.500 | 01/01/40 | 18,796 | |||||||||
| 4,394 | 4.500 | 02/01/40 | 4,842 | |||||||||
| 11,585 | 4.500 | 04/01/40 | 12,763 | |||||||||
| 18,426 | 4.500 | 05/01/40 | 20,301 | |||||||||
| 22,595 | 4.500 | 06/01/40 | 24,895 | |||||||||
| 16,602 | 4.500 | 07/01/40 | 18,292 | |||||||||
| 17,222 | 4.500 | 08/01/40 | 18,975 | |||||||||
| 10,598 | 4.500 | 09/01/40 | 11,678 | |||||||||
| 4,656 | 4.500 | 10/01/40 | 5,130 | |||||||||
| 5,937 | 4.500 | 02/01/41 | 6,543 | |||||||||
| 15,540 | 4.500 | 03/01/41 | 17,126 | |||||||||
| 36,718 | 4.500 | 04/01/41 | 40,466 | |||||||||
| 36,013 | 4.500 | 05/01/41 | 39,686 | |||||||||
| 69,508 | 4.500 | 06/01/41 | 76,600 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| FHLMC – (continued) | ||||||||||||
| $ |
5,643 | 4.500 | % | 07/01/41 | $ 6,219 | |||||||
| 180,373 | 4.500 | 08/01/41 | 198,775 | |||||||||
| 192,356 | 4.500 | 09/01/41 | 211,938 | |||||||||
| 10,746 | 4.500 | 12/01/41 | 11,842 | |||||||||
| 148,371 | 4.500 | 03/01/42 | 163,510 | |||||||||
|
| ||||||||||||
| 3,813,074 | ||||||||||||
|
| ||||||||||||
| FNMA – 0.0% | ||||||||||||
| 90,051 | 7.500 | 10/01/37 | 105,099 | |||||||||
|
| ||||||||||||
| GNMA – 14.2% | ||||||||||||
| 1,115 | 6.500 | 01/15/32 | 1,202 | |||||||||
| 4,606 | 6.500 | 02/15/32 | 5,131 | |||||||||
| 3,472 | 6.500 | 08/15/34 | 3,983 | |||||||||
| 9,104 | 6.500 | 05/15/35 | 10,527 | |||||||||
| 2,520 | 6.500 | 06/15/35 | 2,890 | |||||||||
| 7,075 | 6.500 | 07/15/35 | 8,186 | |||||||||
| 2,724 | 6.500 | 08/15/35 | 3,160 | |||||||||
| 5,594 | 6.500 | 09/15/35 | 6,466 | |||||||||
| 893 | 6.500 | 10/15/35 | 1,038 | |||||||||
| 8,969 | 6.500 | 11/15/35 | 10,412 | |||||||||
| 5,923 | 6.500 | 12/15/35 | 6,861 | |||||||||
| 21,436 | 6.500 | 01/15/36 | 24,792 | |||||||||
| 23,295 | 6.500 | 02/15/36 | 27,050 | |||||||||
| 12,676 | 6.500 | 03/15/36 | 14,655 | |||||||||
| 38,185 | 6.500 | 04/15/36 | 43,972 | |||||||||
| 54,377 | 6.500 | 05/15/36 | 63,061 | |||||||||
| 42,757 | 6.500 | 06/15/36 | 49,550 | |||||||||
| 148,043 | 6.500 | 07/15/36 | 171,349 | |||||||||
| 147,015 | 6.500 | 08/15/36 | 170,357 | |||||||||
| 302,519 | 6.500 | 09/15/36 | 351,570 | |||||||||
| 117,043 | 6.500 | 10/15/36 | 135,869 | |||||||||
| 163,952 | 6.500 | 11/15/36 | 190,759 | |||||||||
| 73,646 | 6.500 | 12/15/36 | 85,376 | |||||||||
| 29,829 | 6.500 | 01/15/37 | 34,681 | |||||||||
| 14,401 | 6.500 | 02/15/37 | 16,625 | |||||||||
| 9,574 | 6.500 | 03/15/37 | 11,126 | |||||||||
| 20,495 | 6.500 | 04/15/37 | 23,845 | |||||||||
| 5,018 | 6.500 | 05/15/37 | 5,703 | |||||||||
| 5,348 | 6.500 | 08/15/37 | 6,239 | |||||||||
| 36,278 | 6.500 | 09/15/37 | 42,141 | |||||||||
| 45,409 | 6.500 | 10/15/37 | 53,657 | |||||||||
| 16,819 | 6.500 | 11/15/37 | 19,227 | |||||||||
| 13,442 | 6.500 | 05/15/38 | 15,568 | |||||||||
| 43,353 | 6.000 | 11/15/38 | 49,940 | |||||||||
| 2,620 | 6.500 | 01/15/39 | 2,989 | |||||||||
| 6,693 | 6.500 | 02/15/39 | 7,765 | |||||||||
| 3,378,972 | 4.500 | 08/20/47 | 3,632,934 | |||||||||
| 79,748 | 4.500 | 02/20/48 | 85,194 | |||||||||
| 187,357 | 4.500 | 05/20/48 | 199,434 | |||||||||
| 957,617 | 4.500 | 09/20/48 | 1,017,696 | |||||||||
| 7,453,080 | 5.000 | 09/20/48 | 7,972,429 | |||||||||
| 277,547 | 5.000 | 10/20/48 | 296,801 | |||||||||
| 6,053 | 5.000 | 11/20/48 | 6,472 | |||||||||
| 2,624,115 | 4.500 | 12/20/48 | 2,785,876 | |||||||||
| 6,499,755 | 5.000 | 12/20/48 | 6,949,119 | |||||||||
| 536,043 | 4.500 | 01/20/49 | 569,003 | |||||||||
| 3,338,883 | 5.000 | 01/20/49 | 3,569,719 | |||||||||
| 46,236 | 5.000 | 03/20/49 | 49,414 | |||||||||
| 21,702 | 5.000 | 05/20/49 | 23,176 | |||||||||
| 822,243 | 5.000 | 06/20/49 | 877,869 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| GNMA – (continued) | ||||||||||||
| $ |
110,179 | 5.000 | % | 11/20/49 | $ 117,581 | |||||||
| 1,250,842 | 5.000 | 12/20/49 | 1,343,724 | |||||||||
| 329,951 | 5.000 | 07/20/50 | 355,243 | |||||||||
| 4,976,944 | 3.000 | 11/20/51 | 5,168,103 | |||||||||
| 7,000,000 | 3.000 | 12/20/51 | 7,272,228 | |||||||||
| 1,000,000 | 2.500 | TBA-30yr(b) | 1,025,035 | |||||||||
| 52,000,000 | 3.000 | TBA-30yr(b) | 53,799,194 | |||||||||
| 13,000,000 | 4.000 | TBA-30yr(b) | 13,680,040 | |||||||||
|
| ||||||||||||
| 112,474,006 | ||||||||||||
|
| ||||||||||||
| UMBS – 2.7% | ||||||||||||
| 41,249 | 5.500 | 09/01/23 | 42,090 | |||||||||
| 13,407 | 5.500 | 10/01/23 | 13,693 | |||||||||
| 175,910 | 4.500 | 11/01/36 | 193,789 | |||||||||
| 60,698 | 4.500 | 02/01/39 | 66,818 | |||||||||
| 72,693 | 4.500 | 04/01/39 | 80,043 | |||||||||
| 4,088 | 4.500 | 08/01/39 | 4,499 | |||||||||
| 5,115 | 4.500 | 05/01/41 | 5,534 | |||||||||
| 198,111 | 4.500 | 08/01/41 | 217,220 | |||||||||
| 104,605 | 4.500 | 10/01/41 | 115,236 | |||||||||
| 528,379 | 4.500 | 06/01/48 | 567,085 | |||||||||
| 3,867,514 | 4.500 | 07/01/48 | 4,189,743 | |||||||||
| 2,655,121 | 4.500 | 07/01/48 | 2,852,943 | |||||||||
| 4,028,302 | 4.500 | 08/01/48 | 4,363,576 | |||||||||
| 306,699 | 4.500 | 08/01/48 | 330,316 | |||||||||
| 447,460 | 4.500 | 09/01/48 | 481,917 | |||||||||
| 3,443,125 | 4.500 | 10/01/48 | 3,771,748 | |||||||||
| 457,190 | 4.500 | 10/01/48 | 490,396 | |||||||||
| 2,085,905 | 4.500 | 01/01/49 | 2,234,558 | |||||||||
| 457,695 | 4.500 | 03/01/49 | 489,793 | |||||||||
| 214,839 | 5.000 | 07/01/49 | 238,639 | |||||||||
| 867,824 | 4.500 | 05/01/50 | 931,449 | |||||||||
|
| ||||||||||||
| 21,681,085 | ||||||||||||
|
| ||||||||||||
| UMBS, 30 Year, Single Family(b) – 9.2% | ||||||||||||
| 9,000,000 | 2.000 | TBA-30yr | 8,978,344 | |||||||||
| 35,000,000 | 2.500 | TBA-30yr | 35,738,297 | |||||||||
| 26,000,000 | 3.000 | TBA-30yr | 26,945,548 | |||||||||
| 1,000,000 | 5.000 | TBA-30yr | 1,088,751 | |||||||||
|
| ||||||||||||
| 72,750,940 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $ 218,618,068 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $232,341,497) |
$ 232,951,439 | |||||||||||
|
| ||||||||||||
| Agency Debentures – 19.1% | ||||||||||||
| FHLB | ||||||||||||
| $ |
1,800,000 | 5.375 | % | 08/15/24 | $ 2,004,066 | |||||||
| 44,850,000 | 0.500 | 04/14/25 | 44,036,421 | |||||||||
| FHLMC | ||||||||||||
| 9,330,000 | 0.375 | 04/20/23 | 9,311,527 | |||||||||
| 17,820,000 | 0.375 | 09/23/25 | 17,332,979 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Agency Debentures – (continued) | ||||||||||||
| FNMA | ||||||||||||
| $ |
5,200,000 | 6.250 | % | 05/15/29 | $ 6,907,888 | |||||||
| 16,080,000 | 7.125 | 01/15/30 | 22,792,435 | |||||||||
| Tennessee Valley Authority | ||||||||||||
| 49,850,000 | 0.750 | 05/15/25 | 49,176,028 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $150,611,013) |
$ 151,561,344 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 60.8% | ||||||||||||
| United States Treasury Bonds | ||||||||||||
| $ |
7,370,000 | 3.750 | %(c) | 11/15/43 | $ 9,751,431 | |||||||
| 410,000 | 3.375 | 05/15/44 | 516,472 | |||||||||
| 10,000 | 3.000 | 11/15/45 | 12,023 | |||||||||
| 200,000 | 2.875 | 11/15/46 | 236,844 | |||||||||
| 110,000 | 3.000 | 02/15/48 | 134,372 | |||||||||
| 380,000 | 3.375 | 11/15/48 | 497,563 | |||||||||
| 780,000 | 2.000 | 02/15/50 | 793,163 | |||||||||
| United States Treasury Notes | ||||||||||||
| 44,060,700 | 0.125 | 12/31/22 | 43,924,731 | |||||||||
| 187,239,000 | 0.125 | (c) | 02/28/23 | 186,485,655 | ||||||||
| 350,000 | 2.750 | (c) | 04/30/23 | 360,199 | ||||||||
| 106,970,000 | 2.750 | 05/31/23 | 110,258,492 | |||||||||
| 380,000 | 2.875 | 11/30/23 | 395,527 | |||||||||
| 7,100,000 | 2.625 | 12/31/23 | 7,364,309 | |||||||||
| 620,000 | 3.000 | 09/30/25 | 662,625 | |||||||||
| 11,270,000 | 0.375 | 12/31/25 | 10,925,737 | |||||||||
| 4,500,000 | 2.625 | 12/31/25 | 4,758,750 | |||||||||
| 11,100,000 | 0.500 | 02/28/26 | 10,787,812 | |||||||||
| 11,570,000 | 0.750 | (c) | 03/31/26 | 11,353,062 | ||||||||
| 10,530,000 | 0.750 | 04/30/26 | 10,324,336 | |||||||||
| 630,000 | 1.375 | 08/31/26 | 633,938 | |||||||||
| 7,010,000 | 1.250 | 12/31/26 | 7,005,071 | |||||||||
| 6,870,000 | 1.375 | 12/31/28 | 6,841,017 | |||||||||
| 11,010,000 | 1.125 | 02/29/28 | 10,854,312 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – (continued) | ||||||||||||
| United States Treasury Notes (continued) | ||||||||||||
| $ |
11,340,000 | 1.250 | %(c) | 03/31/28 | $ 11,243,433 | |||||||
| 11,090,000 | 1.250 | 04/30/28 | 10,992,962 | |||||||||
| United States Treasury Strip Coupon(d) | ||||||||||||
| 28,900,000 | 0.000 | 11/15/35 | 22,360,330 | |||||||||
| 2,800,000 | 0.000 | 05/15/36 | 2,139,433 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $480,030,976) |
$ 481,613,599 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(e) – 7.0% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 55,194,390 | 0.026% | $ 55,194,390 | ||||||||||
| (Cost $55,194,390) |
|
|||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 116.3% (Cost $918,177,876) |
$ 921,320,772 | |||||||||||
|
| ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (16.3)% |
(129,023,927) | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $ 792,296,845 | |||||||||||
|
| ||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2021. | |
| (b) | 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 $141,255,209 which represents approximately 17.8% of the Fund’s net assets as of December 31, 2021. | |
| (c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (e) | Represents an affiliated issuer. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Investment Abbreviations: | ||
| CMT | — Constant Maturity Treasury Indexes | |
| COF | — Cost of Funds Index | |
| FHLB | — Federal Home Loan Bank | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| LIBOR | — London Interbank Offered Rate | |
| MTA | — Monthly Treasury Average | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
|
| ||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2021, 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 |
1,630 | 03/31/22 | $ | 355,620,158 | $ | (312,416 | ) | |||||||||
|
|
||||||||||||||||
| Short position contracts: |
||||||||||||||||
| Ultra Long U.S. Treasury Bonds |
(20) | 03/22/22 | (3,942,500 | ) | 17,719 | |||||||||||
| Ultra 10 Year U.S. Treasury Notes |
(376) | 03/22/22 | (55,060,500 | ) | (903,216 | ) | ||||||||||
| 5 Year U.S. Treasury Notes |
(970) | 03/31/22 | (117,347,266 | ) | (426,066 | ) | ||||||||||
| 10 Year U.S. Treasury Notes |
(210) | 03/22/22 | (27,398,438 | ) | (145,380 | ) | ||||||||||
| 20 Year U.S. Treasury Bonds |
(244) | 03/22/22 | (39,146,750 | ) | (509,120 | ) | ||||||||||
|
|
||||||||||||||||
| Total |
|
$ | (1,966,063 | ) | ||||||||||||
|
|
||||||||||||||||
| TOTAL FUTURES CONTRACTS |
|
$ | (2,278,479 | ) | ||||||||||||
|
|
||||||||||||||||
SWAP CONTRACTS — At December 31, 2021, 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) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| 1M LIBOR + 0.090%(a) |
3M LIBOR(a) | 07/25/24 | $ | 15,560 | $ | 3,573 | $ | 5,086 | $ | (1,513 | ) | |||||||||||||
| 3M SOFR(b) |
1.530%(b) | 09/22/31 | 7,270 | (c) | 4,749 | 594 | 4,155 | |||||||||||||||||
| 1.630(b) |
3M SOFR(b) | 09/22/36 | 8,740 | (c) | 18,382 | 2,383 | 15,999 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| TOTAL |
$ | 26,704 | $ | 8,063 | $ | 18,641 | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| (a) | Payments made quarterly. |
| (b) | Payments made annually. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2021. |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 49.4% | ||||||||||||
| Agriculture(a) – 0.2% | ||||||||||||
| BAT Capital Corp. | ||||||||||||
| $ |
12,295,000 | 2.764 | % | 08/15/22 | $ 12,425,573 | |||||||
|
| ||||||||||||
| Automotive(b) – 1.6% | ||||||||||||
| BMW US Capital LLC(c) (SOFR + 0.530%) | ||||||||||||
| 29,051,000 | 0.580 | 04/01/24 | 29,183,472 | |||||||||
| Volkswagen Group of America Finance LLC | ||||||||||||
| 17,407,000 | 0.750 | 11/23/22 | 17,404,911 | |||||||||
| 18,772,000 | 3.125 | 05/12/23 | 19,303,060 | |||||||||
| 13,121,000 | 0.875 | 11/22/23 | 13,045,161 | |||||||||
|
| ||||||||||||
| 78,936,604 | ||||||||||||
|
| ||||||||||||
| Banks – 27.7% | ||||||||||||
| Bank of America Corp.(a)(c) (3M BSBY + 0.430%) | ||||||||||||
| 30,000,000 | 0.593 | 05/28/24 | 30,000,300 | |||||||||
| Bank of Montreal (SOFR + 0.680%) | ||||||||||||
| 52,000,000 | 0.730 | (c) | 03/10/23 | 52,239,720 | ||||||||
| 20,000,000 | 0.400 | 09/15/23 | 19,864,600 | |||||||||
| Banque Federative du Credit Mutuel SA(b) | ||||||||||||
| 7,375,000 | 3.750 | 07/20/23 | 7,694,043 | |||||||||
| Barclays Bank PLC(a) | ||||||||||||
| 6,500,000 | 1.700 | 05/12/22 | 6,520,800 | |||||||||
| Barclays PLC(a) | ||||||||||||
| 31,800,000 | 3.684 | 01/10/23 | 31,815,264 | |||||||||
| BPCE SA(b)(c) (3M USD LIBOR + 0.300%) | ||||||||||||
| 17,730,000 | 0.427 | 01/14/22 | 17,731,064 | |||||||||
| Canadian Imperial Bank of Commerce (SOFRRATE + 0.300%) | ||||||||||||
| 9,989,000 | 0.350 | (c) | 01/06/23 | 9,988,589 | ||||||||
| (SOFR + 0.800%) | ||||||||||||
| 38,955,000 | 0.850 | (c) | 03/17/23 | 39,143,932 | ||||||||
| 19,388,000 | 0.450 | 06/22/23 | 19,254,998 | |||||||||
| Capital One NA(a)(c) (3M USD LIBOR + 1.150%) | ||||||||||||
| 14,357,000 | 1.279 | 01/30/23 | 14,363,461 | |||||||||
| Citigroup, Inc. | ||||||||||||
| 50,000,000 | 4.500 | 01/14/22 | 50,059,000 | |||||||||
| (3M USD LIBOR + 0.722%) | ||||||||||||
| 42,904,000 | 3.142 | (a)(c) | 01/24/23 | 42,960,633 | ||||||||
| (3M USD LIBOR + 0.950%) | ||||||||||||
| 21,943,000 | 2.876 | (a)(c) | 07/24/23 | 22,197,539 | ||||||||
| Cooperatieve Rabobank UA | ||||||||||||
| 16,805,000 | 2.750 | 01/10/22 | 16,811,890 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| $ |
9,251,000 | 3.875 | % | 02/08/22 | $ 9,280,881 | |||||||
| Credit Agricole Corporate & Investment Bank SA(a) | ||||||||||||
| 26,500,000 | 0.400 | 01/15/23 | 26,440,905 | |||||||||
| Credit Suisse AG | ||||||||||||
| 2,050,000 | 0.520 | 08/09/23 | 2,036,409 | |||||||||
| Deutsche Bank AG(c) (SOFRRATE + 0.500%) | ||||||||||||
| 42,621,000 | 0.550 | 11/08/23 | 42,582,641 | |||||||||
| Discover Bank | ||||||||||||
| 2,805,000 | 4.200 | 08/08/23 | 2,943,651 | |||||||||
| DNB Boligkreditt AS(b) | ||||||||||||
| 16,467,000 | 2.500 | 03/28/22 | 16,550,448 | |||||||||
| Federation des Caisses Desjardins du Quebec(b)(c) (SOFR + 0.430%) | ||||||||||||
| 43,500,000 | 0.480 | 05/21/24 | 43,538,280 | |||||||||
| HSBC Holdings PLC(a)(c) (3M USD LIBOR + 1.055%) | ||||||||||||
| 24,905,000 | 3.262 | 03/13/23 | 25,019,812 | |||||||||
| (3M USD LIBOR + 0.923%) | ||||||||||||
| 20,393,000 | 3.033 | 11/22/23 | 20,760,482 | |||||||||
| (SOFRRATE + 0.580%) | ||||||||||||
| 27,425,000 | 0.630 | 11/22/24 | 27,424,177 | |||||||||
| ING Groep NV(c) (3M USD LIBOR + 1.150%) | ||||||||||||
| 12,960,000 | 1.370 | 03/29/22 | 12,989,419 | |||||||||
| Intesa Sanpaolo SpA(b) | ||||||||||||
| 12,707,000 | 3.125 | 07/14/22 | 12,862,152 | |||||||||
| JPMorgan Chase & Co. | ||||||||||||
| 9,428,000 | 4.500 | 01/24/22 | 9,449,402 | |||||||||
| (3M USD LIBOR + 0.900%) | ||||||||||||
| 14,405,000 | 1.024 | (a)(c) | 04/25/23 | 14,431,649 | ||||||||
| (3M USD LIBOR + 0.935%) | ||||||||||||
| 9,042,000 | 2.776 | (a)(c) | 04/25/23 | 9,099,145 | ||||||||
| (SOFR + 0.580%) | ||||||||||||
| 30,000,000 | 0.630 | (a)(c) | 03/16/24 | 30,055,800 | ||||||||
| Lloyds Banking Group PLC (3M USD LIBOR + 1.249%) | ||||||||||||
| 16,624,000 | 2.858 | (a)(c) | 03/17/23 | 16,689,997 | ||||||||
| 10,520,000 | 4.050 | 08/16/23 | 11,018,753 | |||||||||
| Mitsubishi UFJ Financial Group, Inc. (3M USD LIBOR + 0.700%) | ||||||||||||
| 12,500,000 | 0.888 | (c) | 03/07/22 | 12,511,625 | ||||||||
| 6,630,000 | 3.218 | 03/07/22 | 6,663,150 | |||||||||
| 12,066,000 | 2.623 | 07/18/22 | 12,202,346 | |||||||||
| Mizuho Financial Group,
Inc.(c) (3M USD LIBOR + 0.940%) | ||||||||||||
| 27,975,000 | 1.116 | 02/28/22 | 28,009,409 | |||||||||
| (3M USD LIBOR + 0.790%) | ||||||||||||
| 6,860,000 | 0.970 | 03/05/23 | 6,899,582 | |||||||||
| Morgan Stanley, Inc. (SOFR + 0.700%) | ||||||||||||
| 56,507,000 | 0.749 | (a)(c) | 01/20/23 | 56,514,911 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| $ |
19,327,000 | 3.750 | % | 02/25/23 | $ 19,994,941 | |||||||
| MUFG Union Bank NA(a) | ||||||||||||
| 12,590,000 | 3.150 | 04/01/22 | 12,644,767 | |||||||||
| (SOFR + 0.710%) | ||||||||||||
| 17,250,000 | 0.760 | (c) | 12/09/22 | 17,352,637 | ||||||||
| National Bank of Canada | ||||||||||||
| 12,325,000 | 2.150 | (b) | 10/07/22 | 12,468,093 | ||||||||
| 28,809,000 | 2.100 | 02/01/23 | 29,192,736 | |||||||||
| (SOFR + 0.300%) | ||||||||||||
| 15,000,000 | 0.350 | (a)(c) | 05/16/23 | 14,977,200 | ||||||||
| (SOFRRATE + 0.490%) | ||||||||||||
| 1,300,000 | 0.540 | (c) | 08/06/24 | 1,299,428 | ||||||||
| NatWest Markets PLC(b) | ||||||||||||
| 42,450,000 | 3.625 | 09/29/22 | 43,391,541 | |||||||||
| Royal Bank of Canada(c) (SOFR + 0.450%) | ||||||||||||
| 16,090,000 | 0.500 | 10/26/23 | 16,136,822 | |||||||||
| (SOFR + 0.360%) | ||||||||||||
| 20,000,000 | 0.410 | 07/29/24 | 19,981,200 | |||||||||
| Santander UK Group Holdings PLC(a) | ||||||||||||
| 16,949,000 | 3.571 | 01/10/23 | 16,956,458 | |||||||||
| Standard Chartered PLC(a)(b)(c) (3M USD LIBOR + 1.150%) | ||||||||||||
| 19,000,000 | 4.247 | 01/20/23 | 19,027,550 | |||||||||
| (SOFR + 1.250%) | ||||||||||||
| 46,000,000 | 1.299 | 10/14/23 | 46,232,300 | |||||||||
| Sumitomo Mitsui Trust Bank Ltd.(b)(c) (SOFR + 0.440%) | ||||||||||||
| 48,146,000 | 0.490 | 09/16/24 | 48,100,743 | |||||||||
| The Bank of Nova Scotia | ||||||||||||
| 4,734,000 | 1.950 | 02/01/23 | 4,797,199 | |||||||||
| 16,246,000 | 0.400 | 09/15/23 | 16,125,455 | |||||||||
| (SOFR + 0.550%) | ||||||||||||
| 54,500,000 | 0.600 | (c) | 09/15/23 | 54,654,780 | ||||||||
| The Toronto-Dominion Bank(c)(SOFR + 0.450%) | ||||||||||||
| 13,100,000 | 0.500 | 09/28/23 | 13,126,200 | |||||||||
| Truist Bank(a)(c)(SOFR + 0.730%) | ||||||||||||
| 16,760,000 | 0.780 | 03/09/23 | 16,845,141 | |||||||||
| UBS AG(b) | ||||||||||||
| 17,500,000 | 1.750 | (a) | 04/21/22 | 17,543,050 | ||||||||
| (SOFR + 0.360%) | ||||||||||||
| 13,250,000 | 0.410 | (c) | 02/09/24 | 13,230,522 | ||||||||
| (SOFR + 0.450%) | ||||||||||||
| 38,856,000 | 0.500 | (c) | 08/09/24 | 38,874,262 | ||||||||
| US Bank NA/Cincinnati OH(a)(c) (BSBY3M + 0.170%) | ||||||||||||
| 29,300,000 | 0.335 | 06/02/23 | 29,254,585 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Westpac Banking Corp.(c) (3M USD LIBOR + 0.390%) | ||||||||||||
| $ |
25,000,000 | 0.512 | % | 01/13/23 | $ 25,058,750 | |||||||
|
| ||||||||||||
| 1,383,887,219 | ||||||||||||
|
| ||||||||||||
| Beverages(b) – 0.7% | ||||||||||||
| Coca-Cola Europacific Partners PLC | ||||||||||||
| 31,358,000 | 0.500 | 05/05/23 | 31,120,620 | |||||||||
| Heineken NV | ||||||||||||
| 2,300,000 | 2.750 | 04/01/23 | 2,349,956 | |||||||||
|
| ||||||||||||
| 33,470,576 | ||||||||||||
|
| ||||||||||||
| Computers(a) – 0.0% | ||||||||||||
| Hewlett Packard Enterprise Co. | ||||||||||||
| 2,000,000 | 4.450 | 10/02/23 | 2,111,200 | |||||||||
|
| ||||||||||||
| Diversified Financial Services – 2.4% | ||||||||||||
| AIG Global Funding(b)(c) (SOFR + 0.380%) | ||||||||||||
| 22,042,000 | 0.430 | 12/15/23 | 22,000,341 | |||||||||
| Air Lease Corp. | ||||||||||||
| 2,000,000 | 2.250 | 01/15/23 | 2,025,420 | |||||||||
| 6,000,000 | 2.750 | (a) | 01/15/23 | 6,097,680 | ||||||||
| 2,500,000 | 3.000 | (a) | 09/15/23 | 2,566,900 | ||||||||
| American Express Co.(a)(c) (3M USD LIBOR + 0.620%) | ||||||||||||
| 20,000,000 | 0.780 | 05/20/22 | 20,024,600 | |||||||||
| Capital One Bank USA NA(a)(c) (SOFR + 0.616%) | ||||||||||||
| 10,000,000 | 2.014 | 01/27/23 | 10,008,700 | |||||||||
| Capital One Financial Corp.(a)(c) (SOFRRATE + 0.690%) | ||||||||||||
| 29,150,000 | 0.740 | 12/06/24 | 29,138,923 | |||||||||
| The Charles Schwab Corp.(a)(c) (SOFR + 0.500%) | ||||||||||||
| 27,900,000 | 0.550 | 03/18/24 | 27,990,954 | |||||||||
|
| ||||||||||||
| 119,853,518 | ||||||||||||
|
| ||||||||||||
| Electrical – 2.5% | ||||||||||||
| American Electric Power Co., Inc.(a)(c) (3M USD LIBOR + 0.480%) | ||||||||||||
| 19,375,000 | 0.612 | 11/01/23 | 19,380,619 | |||||||||
| CenterPoint Energy, Inc.(a)(c) (SOFR + 0.650%) | ||||||||||||
| 14,019,000 | 0.700 | 05/13/24 | 14,018,579 | |||||||||
| Dominion Energy, Inc.(a)(c) (3M USD LIBOR + 0.530%) | ||||||||||||
| 20,500,000 | 0.733 | 09/15/23 | 20,500,410 | |||||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||||||
| 15,460,000 | 0.650 | 03/01/23 | 15,427,998 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Electrical – (continued) | ||||||||||||
| OGE Energy Corp.(a) | ||||||||||||
| $ |
3,774,000 | 0.703 | % | 05/26/23 | $ 3,759,470 | |||||||
| Oklahoma Gas and Electric Co.(a) | ||||||||||||
| 14,754,000 | 0.553 | 05/26/23 | 14,678,165 | |||||||||
| The Southern Co.(a)(c) (SOFRRATE + 0.370%) | ||||||||||||
| 34,795,000 | 0.420 | 05/10/23 | 34,750,810 | |||||||||
|
| ||||||||||||
| 122,516,051 | ||||||||||||
|
| ||||||||||||
| Electronics(a) – 0.1% | ||||||||||||
| Honeywell International, Inc. | ||||||||||||
| 4,811,000 | 0.483 | 08/19/22 | 4,811,144 | |||||||||
|
| ||||||||||||
| Gas(a) – 1.7% | ||||||||||||
| Atmos Energy Corp. (3M USD LIBOR + 0.380%) | ||||||||||||
| 18,454,000 | 0.578 | (c) | 03/09/23 | 18,454,923 | ||||||||
| 10,203,000 | 0.625 | 03/09/23 | 10,176,268 | |||||||||
| CenterPoint Energy Resources Corp. (3M USD LIBOR + 0.500%) | ||||||||||||
| 33,450,000 | 0.673 | (c) | 03/02/23 | 33,389,121 | ||||||||
| 25,590,000 | 0.700 | 03/02/23 | 25,477,148 | |||||||||
|
| ||||||||||||
| 87,497,460 | ||||||||||||
|
| ||||||||||||
| Healthcare Providers & Services – 1.6% | ||||||||||||
| Aetna, Inc.(a) | ||||||||||||
| 13,000,000 | 2.800 | 06/15/23 | 13,320,060 | |||||||||
| Baxter International, Inc.(b)(c) (SOFRRATE + 0.440%) | ||||||||||||
| 19,300,000 | 0.490 | 11/29/24 | 19,266,032 | |||||||||
| Thermo Fisher Scientific, Inc.(a) | ||||||||||||
| 47,000,000 | 0.797 | 10/18/23 | 46,848,190 | |||||||||
|
| ||||||||||||
| 79,434,282 | ||||||||||||
|
| ||||||||||||
| Home Builders(a) – 0.8% | ||||||||||||
| NVR, Inc. | ||||||||||||
| 37,588,000 | 3.950 | 09/15/22 | 38,128,891 | |||||||||
|
| ||||||||||||
| Insurance(b) – 4.0% | ||||||||||||
| Athene Global Funding(c) (3M USD LIBOR + 0.730%) | ||||||||||||
| 56,000,000 | 0.854 | 01/08/24 | 56,194,880 | |||||||||
| Equitable Financial Life Global Funding | ||||||||||||
| 17,038,000 | 0.500 | 04/06/23 | 16,962,522 | |||||||||
| Jackson National Life Global Funding(c) (SOFR + 0.600%) | ||||||||||||
| 50,000,000 | 0.649 | 01/06/23 | 50,111,000 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Insurance(b) – (continued) | ||||||||||||
| Metropolitan Life Global Funding I(c) (SOFR + 0.570%) | ||||||||||||
| $ |
41,000,000 | 0.619 | % | 01/13/23 | $ 41,148,830 | |||||||
| Principal Life Global Funding II(c) | ||||||||||||
| (SOFR + 0.450%) | ||||||||||||
| 9,397,000 | 0.499 | 04/12/24 | 9,400,289 | |||||||||
| (SOFR + 0.380%) | ||||||||||||
| 14,437,000 | 0.430 | 08/23/24 | 14,403,217 | |||||||||
| Protective Life Global Funding | ||||||||||||
| 13,848,000 | 0.502 | 04/12/23 | 13,801,471 | |||||||||
|
| ||||||||||||
| 202,022,209 | ||||||||||||
|
| ||||||||||||
| Mining(b) – 0.1% | ||||||||||||
| Glencore Finance Canada Ltd. | ||||||||||||
| 7,166,000 | 4.250 | 10/25/22 | 7,362,922 | |||||||||
|
| ||||||||||||
| Miscellaneous Manufacturing – 0.7% | ||||||||||||
| Carlisle Cos, Inc.(a) | ||||||||||||
| 8,622,000 | 0.550 | 09/01/23 | 8,555,611 | |||||||||
| Siemens Financieringsmaatschappij NV(b)(c) (SOFR + 0.430%) | ||||||||||||
| 24,861,000 | 0.480 | 03/11/24 | 24,910,473 | |||||||||
|
| ||||||||||||
| 33,466,084 | ||||||||||||
|
| ||||||||||||
| Oil Field Services – 0.4% | ||||||||||||
| Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc. | ||||||||||||
| 11,120,000 | 1.231 | 12/15/23 | 11,169,261 | |||||||||
| Pioneer Natural Resources Co. | ||||||||||||
| 9,163,000 | 0.550 | 05/15/23 | 9,129,372 | |||||||||
|
| ||||||||||||
| 20,298,633 | ||||||||||||
|
| ||||||||||||
| Pharmaceuticals – 1.5% | ||||||||||||
| AbbVie, Inc. | ||||||||||||
| 13,500,000 | 3.250 | (a) | 10/01/22 | 13,671,315 | ||||||||
| 10,000,000 | 2.900 | 11/06/22 | 10,182,800 | |||||||||
| 9,886,000 | 3.200 | (a) | 11/06/22 | 10,052,085 | ||||||||
| 18,490,000 | 2.300 | 11/21/22 | 18,752,188 | |||||||||
| AmerisourceBergen Corp.(a) | ||||||||||||
| 24,360,000 | 0.737 | 03/15/23 | 24,299,831 | |||||||||
|
| ||||||||||||
| 76,958,219 | ||||||||||||
|
| ||||||||||||
| Pipeline – 0.3% | ||||||||||||
| Enbridge, Inc. | ||||||||||||
| 13,806,000 | 0.550 | 10/04/23 | 13,715,985 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Real Estate Investment Trust(a)(c) – 0.6% | ||||||||||||
| Public Storage(SOFR + 0.470%) | ||||||||||||
| $ |
28,101,000 | 0.520 | % | 04/23/24 | $ 28,064,188 | |||||||
|
| ||||||||||||
| Retailing(a)(b) – 0.5% | ||||||||||||
| 7-Eleven, Inc. | ||||||||||||
| 23,409,000 | 0.625 | 02/10/23 | 23,313,725 | |||||||||
|
| ||||||||||||
| Savings & Loans(b) – 0.2% | ||||||||||||
| Nationwide Building Society | ||||||||||||
| 10,000,000 | 2.000 | 01/27/23 | 10,133,000 | |||||||||
|
| ||||||||||||
| Software – 0.4% | ||||||||||||
| Oracle Corp. | ||||||||||||
| 21,778,000 | 2.500 | 10/15/22 | 22,091,385 | |||||||||
|
| ||||||||||||
| Telecommunication Services – 1.4% | ||||||||||||
| AT&T, Inc.(a) | ||||||||||||
| 4,000,000 | 3.000 | 06/30/22 | 4,032,360 | |||||||||
| (SOFR + 0.640%) | ||||||||||||
| 30,900,000 | 0.690 | (c) | 03/25/24 | 30,907,725 | ||||||||
| Verizon Communications, Inc.(c) (SOFR + 0.500%) | ||||||||||||
| 32,950,000 | 0.550 | 03/22/24 | 33,047,862 | |||||||||
|
| ||||||||||||
| 67,987,947 | ||||||||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $2,471,469,241) |
$2,468,486,815 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligations(a) – 0.8% | ||||||||||||
| New York – 0.8% | ||||||||||||
| Long Island Power Authority Electric System Taxable (Refunding) | ||||||||||||
| $ |
3,070,000 | 0.359 | % | 03/01/23 | $ 3,056,990 | |||||||
| Metropolitan Transportation Authority Revenue Note Taxable Series C | ||||||||||||
| 34,870,000 | 0.777 | 11/15/22 | 34,899,472 | |||||||||
|
| ||||||||||||
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $37,940,000) |
$ 37,956,462 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 5.3% | ||||||||||||
| United States Treasury Floating Rate Note, USBMMY3M + 0.035%(c) | ||||||||||||
| $ |
215,300,000 | 0.120 | % | 10/31/23 | $ 215,312,767 | |||||||
| United States Treasury Note | ||||||||||||
| 27,500,000 | 0.250 | 09/30/23 | 27,306,641 | |||||||||
| 22,500,000 | 0.375 | 10/31/23 | 22,369,922 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $265,247,895) |
$ 264,989,330 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(d) – 12.8% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| $ |
642,693,503 | 0.026% | $ 642,693,503 | |||||||||
| (Cost $642,693,503) | ||||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $3,417,350,639) |
$3,414,126,110 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – 30.5% | ||||||||||||
| Certificates of Deposit – 8.3% | ||||||||||||
| Alpine Securitization LLC(b) | ||||||||||||
| $ |
2,500,000 | 0.200 | % | 05/13/22 | $ 2,498,325 | |||||||
| Bank of Montreal(b)(c) (SOFR+ 0.300%) | ||||||||||||
| 6,092,000 | 0.350 | 01/09/23 | 6,092,000 | |||||||||
| Bayerische Landesbank (3M USD LIBOR + 0.160%) | ||||||||||||
| 15,000,000 | 0.295 | (c) | 01/27/23 | 15,001,299 | ||||||||
| 38,000,000 | 0.900 | 06/27/23 | 38,226,378 | |||||||||
| Collateralized Commercial Paper FLEX Co. LLC(b)(c) (SOFR+ 0.300%) | ||||||||||||
| 27,940,000 | 0.350 | 12/01/22 | 27,940,009 | |||||||||
| Credit Suisse AG | ||||||||||||
| 58,000,000 | 0.590 | 03/17/23 | 57,848,069 | |||||||||
| Credit Suisse New York | ||||||||||||
| 12,800,000 | 0.400 | 11/10/22 | 12,790,410 | |||||||||
| Lloyds Bank Corporate Markets PLC(c) (SOFR+ 0.650%) | ||||||||||||
| 24,250,000 | 0.700 | 08/17/22 | 24,313,776 | |||||||||
| Macquarie Bank Ltd.(b)(c) (SOFR+ 0.330%) | ||||||||||||
| 49,500,000 | 0.380 | 12/05/22 | 49,493,952 | |||||||||
| Mizuho Bank Ltd. | ||||||||||||
| 16,500,000 | 0.190 | 02/28/22 | 16,500,887 | |||||||||
| MUFG Bank Ltd. | ||||||||||||
| 13,500,000 | 0.260 | 10/13/22 | 13,481,269 | |||||||||
| National Bank of Kuwait SAKP | ||||||||||||
| 20,000,000 | 0.400 | 03/28/22 | 20,001,737 | |||||||||
| 26,850,000 | 0.370 | 05/17/22 | 26,839,677 | |||||||||
| 12,054,000 | 0.450 | 06/01/22 | 12,052,467 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Certificates of Deposit – (continued) | ||||||||||||
| Nordea Bank AB NY | ||||||||||||
| $ |
44,827,000 | 0.300 | % | 01/27/23 | $ 44,789,250 | |||||||
| Skandinaviska Enskilda Banken AB | ||||||||||||
| 19,500,000 | 0.420 | 12/01/22 | 19,496,176 | |||||||||
| Sumitomo Mitsui Banking Corp. | ||||||||||||
| 24,550,000 | 0.700 | 07/08/22 | 24,535,449 | |||||||||
|
| ||||||||||||
| 411,901,130 | ||||||||||||
|
| ||||||||||||
| Commercial Paper(e) – 20.6% | ||||||||||||
| Albion Capital Corp.(b) | ||||||||||||
| 70,819,000 | 0.000 | 01/05/22 | 70,818,105 | |||||||||
| Antalis S.A | ||||||||||||
| 17,200,000 | 0.000 | 01/21/22 | 17,198,896 | |||||||||
| At&T, Inc.(b) | ||||||||||||
| 10,200,000 | 0.000 | 06/21/22 | 10,175,049 | |||||||||
| Atlantic Asset Securitization Corp.(b) | ||||||||||||
| 20,000,000 | 0.000 | 02/22/22 | 19,994,671 | |||||||||
| Banco Santander SA(b) | ||||||||||||
| 12,000,000 | 0.000 | 04/18/22 | 11,989,992 | |||||||||
| Barclays Capital, Inc.(b) | ||||||||||||
| 18,000,000 | 0.000 | 01/24/22 | 17,998,860 | |||||||||
| Barton Capital Corp.(b) | ||||||||||||
| 21,300,000 | 0.000 | 01/18/22 | 21,299,063 | |||||||||
| BASF SE(b) | ||||||||||||
| 71,448,000 | 0.000 | 01/03/22 | 71,447,523 | |||||||||
| BP Capital Markets PLC(b) | ||||||||||||
| 12,835,000 | 0.000 | 02/22/22 | 12,829,879 | |||||||||
| 210,000,000 | 0.000 | 01/03/22 | 209,997,903 | |||||||||
| DnB NOR Bank ASA(b) | ||||||||||||
| 12,689,000 | 0.000 | 11/23/22 | 12,628,259 | |||||||||
| Entergy Corp.(b) | ||||||||||||
| 10,000,000 | 0.000 | 03/15/22 | 9,994,286 | |||||||||
| First Abu Dhabi Bank PJSC(b) | ||||||||||||
| 15,000,000 | 0.000 | 06/07/22 | 14,981,830 | |||||||||
| GTA Fundding LLC(b) | ||||||||||||
| 5,000,000 | 0.000 | 04/14/22 | 4,996,042 | |||||||||
| 52,130,000 | 0.000 | 05/02/22 | 52,078,414 | |||||||||
| Ionic Capital II Trust | ||||||||||||
| 19,711,000 | 0.000 | 01/27/22 | 19,709,270 | |||||||||
| 35,000,000 | 0.000 | 01/28/22 | 34,996,706 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Commercial Paper(e) – (continued) | ||||||||||||
| Ionic Capital II Trust (continued) | ||||||||||||
| $ |
44,250,000 | 0.000 | % | 02/09/22 | $ 44,242,625 | |||||||
| 20,000,000 | 0.000 | 02/16/22 | 19,995,692 | |||||||||
| Ionic Capital III Trust | ||||||||||||
| 12,550,000 | 0.000 | 02/10/22 | 12,547,827 | |||||||||
| 45,500,000 | 0.000 | 02/24/22 | 45,487,001 | |||||||||
| National Australia Bank Ltd.(b) | ||||||||||||
| 12,460,000 | 0.000 | 11/01/22 | 12,416,402 | |||||||||
| Pure Grove Funding(b) | ||||||||||||
| 10,200,000 | 0.000 | 03/07/22 | 10,196,073 | |||||||||
| Ridgefield Funding Co.(b) | ||||||||||||
| 10,000,000 | 0.000 | 04/04/22 | 9,993,394 | |||||||||
| Rockwell Autom, Inc.(b) | ||||||||||||
| 17,312,000 | 0.000 | 01/25/22 | 17,310,088 | |||||||||
| Royal Bank of Canada(b) | ||||||||||||
| 10,000,000 | 0.000 | 10/24/22 | 9,963,617 | |||||||||
| 8,445,000 | 0.000 | 11/09/22 | 8,410,564 | |||||||||
| Salisbury Receivables Co.(b) | ||||||||||||
| 7,205,000 | 0.000 | 02/09/22 | 7,204,119 | |||||||||
| Sheffield Receivables Corp.(b) | ||||||||||||
| 10,000,000 | 0.000 | 01/06/22 | 9,999,867 | |||||||||
| Starbird Funding Corp.(b) | ||||||||||||
| 24,400,000 | 0.000 | 04/05/22 | 24,383,710 | |||||||||
| Svenska Handelsbanken AB(b) | ||||||||||||
| 30,750,000 | 0.000 | 10/19/22 | 30,660,709 | |||||||||
| Thermo Fisher Scientific, Inc.(b) | ||||||||||||
| 17,032,000 | 0.000 | 06/01/22 | 17,000,215 | |||||||||
| Thunder Bay Funding, Inc.(b) | ||||||||||||
| 37,000,000 | 0.000 | 04/26/22 | 36,968,406 | |||||||||
| Toronto Dominion Bank(b) | ||||||||||||
| 30,000,000 | 0.000 | 01/12/22 | 29,999,300 | |||||||||
| Victory Receivables(b) | ||||||||||||
| 40,000,000 | 0.000 | 01/24/22 | 39,997,253 | |||||||||
| Waste Management, Inc.(b) | ||||||||||||
| 10,000,000 | 0.000 | 09/06/22 | 9,964,932 | |||||||||
| Westpac Banking Corp.(b) | ||||||||||||
| 20,000,000 | 0.000 | 11/01/22 | 19,932,392 | |||||||||
|
| ||||||||||||
| 1,029,808,934 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Repurchase Agreement – 1.6% | ||||||||||||
| Bank of America Corp. | ||||||||||||
| $ |
63,500,000 | 0.770 | % | 04/18/22 | $ 63,500,000 | |||||||
| Maturity Value: $63,500,000 | ||||||||||||
| Next Reset Date : 01/01/22 | ||||||||||||
| Collateralized by various common stocks, preferred securities and corporate obligations, 0.250% to 8.000%, due 04/15/22 – 10/15/37. The aggregate market value of the collateral, including accrued interest, was $69,498,645 | ||||||||||||
| Paribas Repo | ||||||||||||
| 18,000,000 | 0.150 | 01/03/22 | 18,000,000 | |||||||||
| Maturity Value: $18,000,075 | ||||||||||||
| Next Reset Date : 01/01/22 | ||||||||||||
| Collateralized by various corporate obligations and mortgage obligations, 0.400% to 7.500%, due 03/05/2023 – 09/30/2110. The aggregate market value of the collateral, including accrued interest, was $19,698,462 | ||||||||||||
|
| ||||||||||||
| 81,500,000 | ||||||||||||
|
| ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $1,523,241,971) |
$1,523,210,064 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 98.8% (Cost $4,940,592,610) |
$4,937,336,174 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% |
62,431,061 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $4,999,767,235 | |||||||||||
|
| ||||||||||||
| 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, 2021. | |
| (d) | Represents an affiliated issuer. | |
| (e) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Investment Abbreviations: | ||
| BSBY | — Bloomberg Short-Term Bnak Yield Index | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| PLC | — Public Limited Company | |
| SOFR | — Secured Overnight Funding Rate | |
| USBMMY3M | — U.S. Treasury 3 Month Bill Money Market Yield | |
|
| ||
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its 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.
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:
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. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs 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. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
ii. Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.
iii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
iv. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.
v. 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.
vi. 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.
x. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’custodian or designated sub-custodians under tri-party repurchase agreements.
An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the ;underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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.
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 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
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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.
Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2021:
| ENHANCED INCOME |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Corporate Obligations |
$ | — | $ | 579,885,263 | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
1,299,219 | 1,908,588 | — | |||||||||
| Asset-Backed Securities |
— | 158,939,095 | — | |||||||||
| Mortgage-Backed Obligations |
— | 14,082,235 | — | |||||||||
| Foreign Debt Obligations |
— | 7,403,363 | — | |||||||||
| Muncipal Debt Obligations |
— | 7,566,390 | — | |||||||||
| Exchange Traded Fund |
29,764,771 | — | — | |||||||||
| Investment Companies |
9,105 | — | — | |||||||||
| Short-term Investments |
— | 72,526,161 | — | |||||||||
| Total | $ | 31,073,095 | $ | 842,311,095 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts |
$ | 4,483 | $ | — | $ | — | ||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts |
$ | (526,740 | ) | $ | — | $ | — | |||||
| GOVERNMENT INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations |
$ | — | $ | 122,077,833 | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
135,847,793 | 74,750,906 | — | |||||||||
| Asset-Backed Securities |
— | 5,913,839 | — | |||||||||
| Municipal Debt Obligation |
— | 2,513,664 | — | |||||||||
| Investment Company |
44,183,277 | — | — | |||||||||
| Total | $ | 180,031,070 | $ | 205,256,242 | $ | — | ||||||
| Liabilities | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (1,052,311 | ) | $ | — | |||||
| Derivative Type | ||||||||||||
| Assets |
| |||||||||||
| Futures Contracts(a) |
$ | 132,890 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts(a) |
— | 37,005 | — | |||||||||
| Options Purchased |
— | 12,681 | — | |||||||||
| Total | $ | 132,890 | $ | 49,686 | $ | — | ||||||
| Liabilities | ||||||||||||
| Futures Contracts(a) |
$ | (287,441 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts(a) |
— | (27,026 | ) | — | ||||||||
| Written option contracts |
— | (31,352 | ) | — | ||||||||
| Total | $ | (287,441 | ) | $ | (58,378 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| HIGH QUALITY FLOATING RATE |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations |
$ | — | $ | 66,647,010 | $ | — | ||||||
| Asset-Backed Securities |
— | 88,857,103 | — | |||||||||
| Municipal Debt Obligations |
— | 9,775,629 | — | |||||||||
| U.S. Treasury Obligations |
23,508,809 | — | — | |||||||||
| Short-term Investments |
— | 23,545,911 | — | |||||||||
| Total | $ | 23,508,809 | $ | 188,825,653 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts |
$ | 94,710 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts |
— | 31,429 | — | |||||||||
| Total | $ | 94,710 | $ | 31,429 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts |
$ | (127,136 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts |
— | (23,253 | ) | — | ||||||||
| Total | $ | (127,136 | ) | $ | (23,253 | ) | $ | — | ||||
| INFLATION PROTECTED SECURITIES |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| U.S. Treasury Obligations |
$ | 539,334,444 | $ | 49,411,883 | $ | — | ||||||
| Investment Company |
7,855,988 | — | — | |||||||||
| Total | $ | 547,190,432 | $ | 49,411,883 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Futures Contracts(a) |
$ | 506,650 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts(a) |
— | 2,143,868 | — | |||||||||
| Options Purchased |
— | 11,227 | — | |||||||||
| Total | $ | 506,650 | $ | 2,155,095 | $ | — | ||||||
| Liabilities | ||||||||||||
| Futures Contracts(a) |
$ | (244,860 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts(a) |
— | (612,637 | ) | — | ||||||||
| Written option contracts |
— | (27,796 | ) | — | ||||||||
| Total | $ | (244,860 | ) | $ | (640,433 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| SHORT DURATION INCOME |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Corporate Obligations |
$ | — | $ | 1,255,251,397 | $ | — | ||||||
| Mortgage-Backed Obligations |
— | 331,487,568 | — | |||||||||
| Asset-Backed Securities |
— | 283,260,014 | — | |||||||||
| Foreign Debt Obligations |
139,219,224 | 29,088,551 | — | |||||||||
| Municipal Debt Obligations |
— | 111,671,269 | — | |||||||||
| U.S. Treasury Obligations |
204,350,526 | — | — | |||||||||
| Exchange Traded Funds |
54,738,455 | — | — | |||||||||
| Investment Company |
94,986,728 | — | — | |||||||||
| Short-term Investments |
— | 293,039,094 | — | |||||||||
| Total | $ | 493,294,933 | $ | 2,303,797,893 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | 5,385,466 | $ | — | ||||||
| Futures Contracts(a) |
594,983 | — | — | |||||||||
| Interest Rate Swap Contracts(a) |
— | 7,577,743 | — | |||||||||
| Credit Default Swap Contracts(a) |
— | 3,302,241 | — | |||||||||
| Purchased Options Contracts |
— | 89,730 | — | |||||||||
| Total | $ | 594,983 | $ | 16,355,180 | $ | — | ||||||
| Liabilities | ||||||||||||
| Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | (1,606,603 | ) | $ | — | |||||
| Futures Contracts(a) |
(3,797,950 | ) | — | — | ||||||||
| Interest Rate Swap Contracts(a) |
— | (2,995,611 | ) | — | ||||||||
| Credit Default Swap Contracts(a) |
— | (600,685 | ) | — | ||||||||
| Written Option Contracts |
— | (1,816,833 | ) | — | ||||||||
| Total | $ | (3,797,950 | ) | $ | (7,019,732 | ) | $ | — | ||||
| SHORT DURATION GOVERNMENT |
|
|||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations |
$ | — | $ | 232,951,439 | $ | — | ||||||
| U.S. Treasury Obligations and/or Other U.S. Government Agencies |
467,767,511 | 165,407,432 | — | |||||||||
| Investment Company |
55,194,390 | — | — | |||||||||
| Total | $ | 522,961,901 | $ | 398,358,871 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts |
$ | 17,719 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts |
— | 20,154 | — | |||||||||
| Total | $ | 17,719 | $ | 20,154 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
| Futures Contracts |
$ | (2,296,198 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts |
— | (1,513 | ) | — | ||||||||
| Total | $ | (2,296,198 | ) | $ | (1,513 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| SHORT-TERM CONSERVATIVE INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Corporate Obligations |
$ | — | $ | 2,468,486,815 | $ | — | ||||||
| Municipal Debt Obligations |
— | 37,956,462 | — | |||||||||
| U.S. Treasury Obligations |
264,989,330 | — | — | |||||||||
| Investment Company |
642,693,503 | — | — | |||||||||
| Short-term Investments |
— | 1,523,210,064 | — | |||||||||
| Total | $ | 907,682,833 | $ | 4,029,653,341 | $ | — | ||||||
For further information regarding security characteristics, see the Schedules of Investments.
OTHER RISKS
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the 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.
On March 5, 2021, the United Kingdom’s Financial Conduct Authority (“FCA”) and ICE Benchmark Authority formally announced that certain LIBOR benchmarks will cease publication after December 31, 2021 while others will cease publication after June 30, 2023. 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 a Fund’s performance and/or NAV.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a 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 problems with 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 a 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 a Fund also invests in securities of issuers located in , or economically tied to, emerging markets, these risks may be more pronounced.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2021 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, 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.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the 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 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 Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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 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.
State/Territory Specific Risk — A Fund’s investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.