GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 61.4% | ||||||||||||
| Aerospace & Defense – 0.5% | ||||||||||||
| Howmet Aerospace, Inc.(a) | ||||||||||||
| $ |
704,000 | 5.125 | % | 10/01/24 | $ 697,495 | |||||||
| The Boeing Co. | ||||||||||||
| 2,550,000 | 1.950 | 02/01/24 | 2,490,866 | |||||||||
|
| ||||||||||||
| 3,188,361 | ||||||||||||
|
| ||||||||||||
| Airlines(a)(b) – 0.2% | ||||||||||||
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | ||||||||||||
| 985,000 | 8.000 | 09/20/25 | 994,840 | |||||||||
|
| ||||||||||||
| Automotive – 3.4% | ||||||||||||
| BMW US Capital LLC(b)(c) (SOFR + 0.840%) | ||||||||||||
| 1,389,000 | 5.932 | 04/01/25 | 1,387,347 | |||||||||
| Dana Financing Luxembourg S.a.r.l.(a)(b) | ||||||||||||
| 703,000 | 5.750 | 04/15/25 | 693,348 | |||||||||
| Ford Motor Credit Co. LLC(a) | ||||||||||||
| 1,429,000 | 2.300 | 02/10/25 | 1,334,657 | |||||||||
| General Motors Financial Co., Inc. | ||||||||||||
| 1,925,000 | 1.050 | 03/08/24 | 1,861,167 | |||||||||
| 2,425,000 | 1.200 | 10/15/24 | 2,280,907 | |||||||||
| 5,415,000 | 3.800 | 04/07/25 | 5,223,255 | |||||||||
| Hyundai Capital America(b) | ||||||||||||
| 2,375,000 | 1.000 | 09/17/24 | 2,234,471 | |||||||||
| 980,000 | 5.800 | 06/26/25 | 978,177 | |||||||||
| The Goodyear Tire & Rubber Co.(a) | ||||||||||||
| 1,330,000 | 9.500 | 05/31/25 | 1,363,037 | |||||||||
| Volkswagen Group of America Finance LLC(b) | ||||||||||||
| 2,775,000 | 3.950 | 06/06/25 | 2,689,586 | |||||||||
|
| ||||||||||||
| 20,045,952 | ||||||||||||
|
| ||||||||||||
| Banks – 19.8% | ||||||||||||
| ANZ New Zealand International Ltd.(b)(c) (SOFR + 0.600%) | ||||||||||||
| 1,150,000 | 5.690 | 02/18/25 | 1,146,263 | |||||||||
| Banco Santander SA | ||||||||||||
| 1,400,000 | 2.706 | 06/27/24 | 1,354,710 | |||||||||
| 3,400,000 | 5.147 | 08/18/25 | 3,344,444 | |||||||||
| (1 year CMT + 0.450%) | ||||||||||||
| 3,600,000 | 5.770 | (a)(c) | 06/30/24 | 3,580,020 | ||||||||
| Bank of America Corp. | ||||||||||||
| 2,500,000 | 4.000 | 01/22/25 | 2,432,350 | |||||||||
| (SOFR + 0.670%) | ||||||||||||
| 9,975,000 | 1.843 | (a)(c) | 02/04/25 | 9,717,745 | ||||||||
| (SOFR + 0.690%) | ||||||||||||
| 3,297,000 | 0.976 | (a)(c) | 04/22/25 | 3,159,878 | ||||||||
| (TSFR3M + 1.202%) | ||||||||||||
| 1,300,000 | 3.864 | (a)(c) | 07/23/24 | 1,298,310 | ||||||||
| Bank of Montreal(a) | ||||||||||||
| 4,440,000 | 4.700 | 09/14/27 | 4,337,969 | |||||||||
| Banque Federative du Credit Mutuel SA(b) | ||||||||||||
| 4,045,000 | 4.935 | 01/26/26 | 3,975,628 | |||||||||
| BNP Paribas SA(a)(b)(c) (SOFR + 1.228%) | ||||||||||||
| 4,345,000 | 2.591 | 01/20/28 | 3,884,430 | |||||||||
| BPCE SA(b) | ||||||||||||
| 649,000 | 4.000 | 09/12/23 | 646,021 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Canadian Imperial Bank of Commerce | ||||||||||||
| $ |
855,000 | 5.144 | % | 04/28/25 | $ 848,134 | |||||||
| (SOFR + 0.940%) | ||||||||||||
| 2,165,000 | 5.948 | (c) | 04/07/25 | 2,168,486 | ||||||||
| Citigroup, Inc.(a)(c) | ||||||||||||
| (SOFR + 0.686%) | ||||||||||||
| 1,225,000 | 0.776 | 10/30/24 | 1,203,146 | |||||||||
| (SOFR + 0.694%) | ||||||||||||
| 3,925,000 | 5.746 | 01/25/26 | 3,897,839 | |||||||||
| (SOFR + 1.372%) | ||||||||||||
| 3,295,000 | 4.140 | 05/24/25 | 3,237,074 | |||||||||
| (SOFR + 1.546%) | ||||||||||||
| 4,460,000 | 5.610 | 09/29/26 | 4,458,350 | |||||||||
| Citizens Bank NA(a) | ||||||||||||
| 900,000 | 2.250 | 04/28/25 | 814,815 | |||||||||
| Credit Suisse AG | ||||||||||||
| 1,605,000 | 7.950 | 01/09/25 | 1,636,249 | |||||||||
| 4,995,000 | 3.700 | 02/21/25 | 4,779,915 | |||||||||
| Deutsche Bank AG | ||||||||||||
| 2,105,000 | 4.162 | 05/13/25 | 2,032,462 | |||||||||
| DNB Bank ASA(a)(b)(c) (SOFR + 0.810%) | ||||||||||||
| 786,000 | 2.968 | 03/28/25 | 766,782 | |||||||||
| Federation des Caisses Desjardins du Quebec(b) | ||||||||||||
| 4,840,000 | 4.400 | 08/23/25 | 4,674,375 | |||||||||
| ING Groep NV | ||||||||||||
| 900,000 | 4.100 | 10/02/23 | 895,671 | |||||||||
| JPMorgan Chase & Co.(a)(c) | ||||||||||||
| (SOFR + 0.420%) | ||||||||||||
| 2,750,000 | 0.563 | 02/16/25 | 2,653,668 | |||||||||
| (TSFR3M + 0.600%) | ||||||||||||
| 850,000 | 0.653 | 09/16/24 | 840,106 | |||||||||
| Manufacturers & Traders Trust Co.(a) | ||||||||||||
| 3,955,000 | 4.650 | 01/27/26 | 3,775,759 | |||||||||
| Mitsubishi UFJ Financial Group, Inc.(a)(c) (1 year CMT + 1.550%) | ||||||||||||
| 4,550,000 | 5.063 | 09/12/25 | 4,493,534 | |||||||||
| Mizuho Financial Group, Inc.(a)(c) (-1X SOFR + 1.252%) | ||||||||||||
| 1,275,000 | 1.241 | 07/10/24 | 1,274,057 | |||||||||
| Morgan Stanley(a)(c) | ||||||||||||
| (SOFR + 0.625%) | ||||||||||||
| 7,125,000 | 5.686 | 01/24/25 | 7,106,261 | |||||||||
| (SOFR + 0.745%) | ||||||||||||
| 725,000 | 0.864 | 10/21/25 | 675,229 | |||||||||
| (SOFR + 1.295%) | ||||||||||||
| 952,000 | 5.050 | 01/28/27 | 943,984 | |||||||||
| (SOFR + 1.669%) | ||||||||||||
| 1,590,000 | 4.679 | 07/17/26 | 1,560,092 | |||||||||
| Royal Bank of Canada | ||||||||||||
| 3,695,000 | 4.950 | 04/25/25 | 3,650,512 | |||||||||
| Santander Holdings USA, Inc.(a)(c) (SOFR + 0.380%) | ||||||||||||
| 1,995,000 | 4.260 | 06/09/25 | 1,914,362 | |||||||||
| Santander UK Group Holdings PLC(a)(c) (SOFR + 0.787%) | ||||||||||||
| 1,425,000 | 1.089 | 03/15/25 | 1,364,281 | |||||||||
| Societe Generale SA(b) | ||||||||||||
| 4,885,000 | 4.351 | 06/13/25 | 4,723,746 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Standard Chartered PLC(a)(b)(c) (1 year CMT + 0.780%) | ||||||||||||
| $ |
875,000 | 0.991 | % | 01/12/25 | $ 848,330 | |||||||
| Sumitomo Mitsui Financial Group, Inc. | ||||||||||||
| 725,000 | 0.948 | 01/12/26 | 646,874 | |||||||||
| The Bank of New York Mellon Corp.(a)(c) (SOFR + 1.026%) | ||||||||||||
| 1,910,000 | 4.947 | 04/26/27 | 1,885,628 | |||||||||
| The PNC Financial Services Group, Inc.(a)(c) (SOFR + 1.322%) | ||||||||||||
| 2,810,000 | 5.812 | 06/12/26 | 2,795,248 | |||||||||
| The Toronto-Dominion Bank | ||||||||||||
| 1,810,000 | 4.693 | 09/15/27 | 1,772,081 | |||||||||
| Wells Fargo & Co.(a)(c) (SOFR + 1.560%) | ||||||||||||
| 2,390,000 | 4.540 | 08/15/26 | 2,336,464 | |||||||||
| Westpac New Zealand Ltd.(b) | ||||||||||||
| 1,175,000 | 4.902 | 02/15/28 | 1,150,125 | |||||||||
|
| ||||||||||||
| 116,701,407 | ||||||||||||
|
| ||||||||||||
| Beverages – 0.7% | ||||||||||||
| Constellation Brands, Inc. | ||||||||||||
| 1,830,000 | 3.600 | 05/09/24 | 1,794,242 | |||||||||
| JDE Peet’s NV(a)(b) | ||||||||||||
| 2,625,000 | 0.800 | 09/24/24 | 2,457,682 | |||||||||
|
| ||||||||||||
| 4,251,924 | ||||||||||||
|
| ||||||||||||
| Biotechnology – 0.8% | ||||||||||||
| Amgen, Inc. | ||||||||||||
| 4,900,000 | 5.250 | 03/02/25 | 4,875,843 | |||||||||
|
| ||||||||||||
| Chemicals(a) – 0.2% | ||||||||||||
| Celanese US Holdings LLC | ||||||||||||
| 350,000 | 3.500 | 05/08/24 | 342,370 | |||||||||
| Westlake Corp. | ||||||||||||
| 975,000 | 0.875 | 08/15/24 | 920,829 | |||||||||
|
| ||||||||||||
| 1,263,199 | ||||||||||||
|
| ||||||||||||
| Commercial Services(a) – 0.1% | ||||||||||||
| Global Payments, Inc. | ||||||||||||
| 525,000 | 1.200 | 03/01/26 | 466,610 | |||||||||
|
| ||||||||||||
| Computers(a) – 0.4% | ||||||||||||
| Dell International LLC/EMC Corp. | ||||||||||||
| 1,075,000 | 5.850 | 07/15/25 | 1,078,859 | |||||||||
| Hewlett Packard Enterprise Co. | ||||||||||||
| 1,592,000 | 1.450 | 04/01/24 | 1,540,929 | |||||||||
|
| ||||||||||||
| 2,619,788 | ||||||||||||
|
| ||||||||||||
| Diversified Financial Services – 4.8% | ||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||||||
| 3,375,000 | 1.150 | 10/29/23 | 3,323,025 | |||||||||
| Air Lease Corp.(a) | ||||||||||||
| 5,549,000 | 4.250 | 02/01/24 | 5,487,184 | |||||||||
| 825,000 | 2.300 | 02/01/25 | 776,845 | |||||||||
| Ally Financial, Inc.(a) | ||||||||||||
| 3,075,000 | 1.450 | 10/02/23 | 3,030,966 | |||||||||
| American Express Co.(a)(c) (SOFR + 0.999%) | ||||||||||||
| 2,965,000 | 4.990 | 05/01/26 | 2,931,436 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Diversified Financial Services – (continued) | ||||||||||||
| Aviation Capital Group LLC(a)(b) | ||||||||||||
| $ |
1,200,000 | 5.500 | % | 12/15/24 | $ 1,174,008 | |||||||
| 550,000 | 1.950 | 01/30/26 | 489,594 | |||||||||
| Avolon Holdings Funding Ltd.(a)(b) | ||||||||||||
| 675,000 | 2.875 | 02/15/25 | 629,809 | |||||||||
| Capital One Financial Corp.(a)(c) (SOFR + 0.690%) | ||||||||||||
| 3,400,000 | 5.780 | 12/06/24 | 3,340,976 | |||||||||
| Nomura Holdings, Inc. | ||||||||||||
| 1,390,000 | 5.099 | 07/03/25 | 1,364,493 | |||||||||
| OneMain Finance Corp.(a) | ||||||||||||
| 1,415,000 | 6.125 | 03/15/24 | 1,409,948 | |||||||||
| Synchrony Financial(a) | ||||||||||||
| 3,085,000 | 4.875 | 06/13/25 | 2,933,958 | |||||||||
| United Wholesale Mortgage LLC(a)(b) | ||||||||||||
| 1,460,000 | 5.500 | 11/15/25 | 1,395,702 | |||||||||
|
| ||||||||||||
| 28,287,944 | ||||||||||||
|
| ||||||||||||
| Electrical – 5.4% | ||||||||||||
| American Electric Power Co., Inc. | ||||||||||||
| 1,750,000 | 2.031 | 03/15/24 | 1,701,035 | |||||||||
| Avangrid, Inc.(a) | ||||||||||||
| 650,000 | 3.200 | 04/15/25 | 618,547 | |||||||||
| Berkshire Hathaway Energy Co.(a) | ||||||||||||
| 650,000 | 4.050 | 04/15/25 | 634,784 | |||||||||
| Dominion Energy, Inc.(a) | ||||||||||||
| 2,025,000 | 1.450 | 04/15/26 | 1,821,487 | |||||||||
| DTE Energy Co. | ||||||||||||
| 4,810,000 | 4.220 | (d) | 11/01/24 | 4,706,296 | ||||||||
| 575,000 | 1.050 | (a) | 06/01/25 | 526,792 | ||||||||
| Enel Finance International NV(a)(b) | ||||||||||||
| 2,575,000 | 1.375 | 07/12/26 | 2,271,974 | |||||||||
| Entergy Louisiana LLC(a) | ||||||||||||
| 2,000,000 | 0.950 | 10/01/24 | 1,886,620 | |||||||||
| Eversource Energy | ||||||||||||
| 2,405,000 | 4.200 | 06/27/24 | 2,367,410 | |||||||||
| FirstEnergy Corp.(a) | ||||||||||||
| 400,000 | 2.050 | 03/01/25 | 373,988 | |||||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||||||
| 1,960,000 | 6.051 | 03/01/25 | 1,971,427 | |||||||||
| 2,370,000 | 4.450 | 06/20/25 | 2,325,752 | |||||||||
| NRG Energy, Inc.(a)(b) | ||||||||||||
| 1,225,000 | 3.750 | 06/15/24 | 1,183,840 | |||||||||
| Public Service Enterprise Group, Inc.(a) | ||||||||||||
| 675,000 | 2.875 | 06/15/24 | 655,411 | |||||||||
| 675,000 | 0.800 | 08/15/25 | 610,504 | |||||||||
| Southern Power Co.(a) | ||||||||||||
| 500,000 | 0.900 | 01/15/26 | 448,005 | |||||||||
| The Southern Co.(d) | ||||||||||||
| 3,575,000 | 4.475 | 08/01/24 | 3,510,364 | |||||||||
| Vistra Operations Co. LLC(a)(b) | ||||||||||||
| 875,000 | 3.550 | 07/15/24 | 845,092 | |||||||||
| WEC Energy Group, Inc. | ||||||||||||
| 725,000 | 0.550 | 09/15/23 | 717,366 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Electrical – (continued) | ||||||||||||
| Xcel Energy, Inc.(a) | ||||||||||||
| $ |
3,325,000 | 1.750 | % | 03/15/27 | $ 2,942,924 | |||||||
|
| ||||||||||||
| 32,119,618 | ||||||||||||
|
| ||||||||||||
| Entertainment(a)(b) – 0.3% | ||||||||||||
| Banijay Entertainment SASU | ||||||||||||
| 1,042,000 | 5.375 | 03/01/25 | 1,021,900 | |||||||||
| Six Flags Theme Parks, Inc. | ||||||||||||
| 610,000 | 7.000 | 07/01/25 | 614,410 | |||||||||
|
| ||||||||||||
| 1,636,310 | ||||||||||||
|
| ||||||||||||
| Environmental(a) – 0.3% | ||||||||||||
| GFL Environmental, Inc.(b) | ||||||||||||
| 1,415,000 | 3.750 | 08/01/25 | 1,346,995 | |||||||||
| Waste Management, Inc. | ||||||||||||
| 625,000 | 0.750 | 11/15/25 | 563,850 | |||||||||
|
| ||||||||||||
| 1,910,845 | ||||||||||||
|
| ||||||||||||
| Food & Drug Retailing – 1.9% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/ Albertsons | ||||||||||||
| 1,430,000 | 3.250 | 03/15/26 | 1,325,067 | |||||||||
| Danone SA(a)(b) | ||||||||||||
| 2,743,000 | 2.589 | 11/02/23 | 2,713,129 | |||||||||
| Mondelez International Holdings Netherlands B.V.(b) | ||||||||||||
| 2,500,000 | 0.750 | 09/24/24 | 2,349,300 | |||||||||
| 3,250,000 | 4.250 | 09/15/25 | 3,163,355 | |||||||||
| Mondelez International, Inc.(a) | ||||||||||||
| 525,000 | 1.500 | 05/04/25 | 489,804 | |||||||||
| US Foods, Inc.(a)(b) | ||||||||||||
| 1,385,000 | 6.250 | 04/15/25 | 1,385,886 | |||||||||
|
| ||||||||||||
| 11,426,541 | ||||||||||||
|
| ||||||||||||
| Gas(a) – 0.4% | ||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp. | ||||||||||||
| 1,290,000 | 5.875 | 08/20/26 | 1,217,386 | |||||||||
| NiSource, Inc. | ||||||||||||
| 1,025,000 | 0.950 | 08/15/25 | 935,517 | |||||||||
| The East Ohio Gas Co.(b) | ||||||||||||
| 250,000 | 1.300 | 06/15/25 | 229,148 | |||||||||
|
| ||||||||||||
| 2,382,051 | ||||||||||||
|
| ||||||||||||
| Healthcare Providers & Services – 1.6% | ||||||||||||
| Aetna, Inc.(a) | ||||||||||||
| 1,250,000 | 3.500 | 11/15/24 | 1,212,862 | |||||||||
| Baxter International, Inc. | ||||||||||||
| 4,000,000 | 0.868 | 12/01/23 | 3,915,400 | |||||||||
| Revvity, Inc.(a) | ||||||||||||
| 1,700,000 | 0.850 | 09/15/24 | 1,599,768 | |||||||||
| Zimmer Biomet Holdings, Inc.(a) | ||||||||||||
| 3,000,000 | 1.450 | 11/22/24 | 2,827,410 | |||||||||
|
| ||||||||||||
| 9,555,440 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Insurance(b) – 1.9% | ||||||||||||
| Athene Global Funding | ||||||||||||
| $ |
875,000 | 1.200 | % | 10/13/23 | $ 861,805 | |||||||
| 2,225,000 | 0.950 | 01/08/24 | 2,158,873 | |||||||||
| 375,000 | 2.500 | 01/14/25 | 350,137 | |||||||||
| 236,000 | 1.450 | 01/08/26 | 207,350 | |||||||||
| Corebridge Global Funding | ||||||||||||
| 1,000,000 | 0.650 | 06/17/24 | 953,930 | |||||||||
| Equitable Financial Life Global Funding | ||||||||||||
| 700,000 | 1.400 | 07/07/25 | 637,224 | |||||||||
| Great-West Lifeco US Finance 2020 LP(a) | ||||||||||||
| 425,000 | 0.904 | 08/12/25 | 381,943 | |||||||||
| Pacific Life Global Funding II(c) (SOFR + 0.800%) | ||||||||||||
| 5,400,000 | 5.892 | 03/30/25 | 5,372,892 | |||||||||
|
| ||||||||||||
| 10,924,154 | ||||||||||||
|
| ||||||||||||
| Internet(a)(b) – 0.6% | ||||||||||||
| Prosus NV | ||||||||||||
| 2,260,000 | 3.257 | 01/19/27 | 2,041,797 | |||||||||
| Uber Technologies, Inc. | ||||||||||||
| 1,365,000 | 7.500 | 05/15/25 | 1,382,895 | |||||||||
|
| ||||||||||||
| 3,424,692 | ||||||||||||
|
| ||||||||||||
| Iron/Steel – 0.3% | ||||||||||||
| Nucor Corp. | ||||||||||||
| 730,000 | 3.950 | 05/23/25 | 708,268 | |||||||||
| Steel Dynamics, Inc.(a) | ||||||||||||
| 1,240,000 | 2.400 | 06/15/25 | 1,159,511 | |||||||||
|
| ||||||||||||
| 1,867,779 | ||||||||||||
|
| ||||||||||||
| Leisure Time(a)(b) – 0.4% | ||||||||||||
| NCL Corp. Ltd. | ||||||||||||
| 930,000 | 5.875 | 02/15/27 | 904,267 | |||||||||
| Royal Caribbean Cruises Ltd. | ||||||||||||
| 1,139,000 | 11.500 | 06/01/25 | 1,207,511 | |||||||||
|
| ||||||||||||
| 2,111,778 | ||||||||||||
|
| ||||||||||||
| Lodging(a) – 0.2% | ||||||||||||
| MGM Resorts International | ||||||||||||
| 1,375,000 | 6.750 | 05/01/25 | 1,378,492 | |||||||||
|
| ||||||||||||
| Media(a) – 0.5% | ||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||||||
| 2,700,000 | 4.500 | 02/01/24 | 2,674,917 | |||||||||
|
| ||||||||||||
| Mining(a)(b) – 0.1% | ||||||||||||
| Glencore Funding LLC | ||||||||||||
| 675,000 | 1.625 | 09/01/25 | 619,819 | |||||||||
|
| ||||||||||||
| Miscellaneous Manufacturing – 0.6% | ||||||||||||
| Amsted Industries, Inc.(a)(b) | ||||||||||||
| 522,000 | 5.625 | 07/01/27 | 506,345 | |||||||||
| Hillenbrand, Inc.(a) | ||||||||||||
| 1,380,000 | 5.750 | 06/15/25 | 1,366,614 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Miscellaneous Manufacturing – (continued) | ||||||||||||
| Parker-Hannifin Corp. | ||||||||||||
| $ |
1,745,000 | 3.650 | % | 06/15/24 | $ 1,710,345 | |||||||
|
| ||||||||||||
| 3,583,304 | ||||||||||||
|
| ||||||||||||
| Office & Business Equipment(a)(b) – 0.2% | ||||||||||||
| Xerox Holdings Corp. | ||||||||||||
| 1,385,000 | 5.000 | 08/15/25 | 1,303,604 | |||||||||
|
| ||||||||||||
| Oil Field Services – 1.4% | ||||||||||||
| Canadian Natural Resources Ltd.(a) | ||||||||||||
| 825,000 | 2.050 | 07/15/25 | 768,933 | |||||||||
| Pioneer Natural Resources Co. | ||||||||||||
| 2,825,000 | 5.100 | 03/29/26 | 2,809,971 | |||||||||
|
QatarEnergy(a)(b) | ||||||||||||
| 2,520,000 | 1.375 | 09/12/26 | 2,261,498 | |||||||||
| SA Global Sukuk Ltd.(a) | ||||||||||||
| 2,520,000 | 1.602 | 06/17/26 | 2,277,198 | |||||||||
|
| ||||||||||||
| 8,117,600 | ||||||||||||
|
| ||||||||||||
| Packaging – 0.8% | ||||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(a)(b) | ||||||||||||
| 557,000 | 6.000 | 06/15/27 | 547,559 | |||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(a)(b) | ||||||||||||
| 1,395,000 | 5.250 | 04/30/25 | 1,364,422 | |||||||||
| Ball Corp. | ||||||||||||
| 2,065,000 | 4.000 | 11/15/23 | 2,048,645 | |||||||||
| Berry Global, Inc.(a) | ||||||||||||
| 550,000 | 1.570 | 01/15/26 | 496,397 | |||||||||
|
| ||||||||||||
| 4,457,023 | ||||||||||||
|
| ||||||||||||
| Pharmaceuticals(a) – 2.6% | ||||||||||||
| AbbVie, Inc. | ||||||||||||
| 7,750,000 | 2.600 | 11/21/24 | 7,436,203 | |||||||||
| CVS Health Corp. | ||||||||||||
| 4,015,000 | 5.000 | 02/20/26 | 3,998,378 | |||||||||
| Herbalife Nutrition Ltd./HLF Financing, Inc.(b) | ||||||||||||
| 2,940,000 | 7.875 | 09/01/25 | 2,696,568 | |||||||||
| PRA Health Sciences, Inc.(b) | ||||||||||||
| 1,435,000 | 2.875 | 07/15/26 | 1,308,117 | |||||||||
|
| ||||||||||||
| 15,439,266 | ||||||||||||
|
| ||||||||||||
| Pipelines – 1.0% | ||||||||||||
| Enbridge, Inc.(c) (SOFR + 0.630%) | ||||||||||||
| 1,950,000 | 5.720 | 02/16/24 | 1,947,913 | |||||||||
| NuStar Logistics LP(a) | ||||||||||||
| 285,000 | 5.750 | 10/01/25 | 278,807 | |||||||||
| 1,360,000 | 6.000 | 06/01/26 | 1,326,626 | |||||||||
| TransCanada PipeLines Ltd.(a) | ||||||||||||
| 2,275,000 | 1.000 | 10/12/24 | 2,139,888 | |||||||||
|
| ||||||||||||
| 5,693,234 | ||||||||||||
|
| ||||||||||||
| Real Estate Investment Trust – 0.8% | ||||||||||||
| American Tower Corp. | ||||||||||||
| 750,000 | 0.600 | 01/15/24 | 728,730 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Real Estate Investment Trust – (continued) | ||||||||||||
| Crown Castle, Inc.(a) | ||||||||||||
| $ |
700,000 | 1.350 | % | 07/15/25 | $ 640,913 | |||||||
| VICI Properties LP | ||||||||||||
| 3,715,000 | 4.375 | 05/15/25 | 3,593,705 | |||||||||
|
| ||||||||||||
| 4,963,348 | ||||||||||||
|
| ||||||||||||
| Retailing(a) – 1.2% | ||||||||||||
| 7-Eleven, Inc.(b) | ||||||||||||
| 4,325,000 | 0.800 | 02/10/24 | 4,190,449 | |||||||||
| 400,000 | 0.950 | 02/10/26 | 357,344 | |||||||||
| Genuine Parts Co. | ||||||||||||
| 1,375,000 | 1.750 | 02/01/25 | 1,287,853 | |||||||||
| Penske Automotive Group, Inc. | ||||||||||||
| 1,515,000 | 3.500 | 09/01/25 | 1,442,765 | |||||||||
|
| ||||||||||||
| 7,278,411 | ||||||||||||
|
| ||||||||||||
| Semiconductors(a) – 1.3% | ||||||||||||
| Broadcom, Inc. | ||||||||||||
| 5,225,000 | 3.625 | 10/15/24 | 5,079,432 | |||||||||
| Intel Corp. | ||||||||||||
| 2,300,000 | 4.875 | 02/10/28 | 2,291,812 | |||||||||
| NXP B.V./NXP Funding LLC/NXP USA, Inc. | ||||||||||||
| 275,000 | 2.700 | 05/01/25 | 260,708 | |||||||||
|
| ||||||||||||
| 7,631,952 | ||||||||||||
|
| ||||||||||||
| Software – 3.2% | ||||||||||||
| Fidelity National Information Services, Inc.(a) | ||||||||||||
| 1,050,000 | 1.150 | 03/01/26 | 937,230 | |||||||||
| 3,950,000 | 4.700 | 07/15/27 | 3,851,171 | |||||||||
| Fiserv, Inc.(a) | ||||||||||||
| 7,950,000 | 2.750 | 07/01/24 | 7,714,282 | |||||||||
| Intuit, Inc.(a) | ||||||||||||
| 500,000 | 0.950 | 07/15/25 | 456,985 | |||||||||
| Oracle Corp. | ||||||||||||
| 1,400,000 | 2.500 | (a) | 04/01/25 | 1,328,810 | ||||||||
| 1,900,000 | 5.800 | 11/10/25 | 1,921,337 | |||||||||
| VMware, Inc.(a) | ||||||||||||
| 2,600,000 | 1.000 | 08/15/24 | 2,461,914 | |||||||||
|
| ||||||||||||
| 18,671,729 | ||||||||||||
|
| ||||||||||||
| Telecommunication Services – 2.4% | ||||||||||||
| The Bell Telephone Co. of Canada | ||||||||||||
| 4,275,000 | 0.750 | 03/17/24 | 4,125,161 | |||||||||
| T-Mobile USA, Inc.(a) | ||||||||||||
| 8,800,000 | 3.500 | 04/15/25 | 8,467,272 | |||||||||
| Verizon Communications, Inc.(a) | ||||||||||||
| 1,450,000 | 0.850 | 11/20/25 | 1,308,654 | |||||||||
|
| ||||||||||||
| 13,901,087 | ||||||||||||
|
| ||||||||||||
| Transportation(a) – 0.9% | ||||||||||||
| Canadian Pacific Railway Co. | ||||||||||||
| 5,375,000 | 1.350 | 12/02/24 | 5,052,984 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (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. | ||||||||||||
| $ |
1,025,000 | 1.200 | % | 11/15/25 | $ 913,531 | |||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $374,955,282) |
$361,735,377 | |||||||||||
|
| ||||||||||||
| Asset-Backed Securities(a) – 23.5% | ||||||||||||
| Automotive – 8.7% | ||||||||||||
| Ford Credit Auto Owner Trust Series 2019-1, Class A(b) | ||||||||||||
| $ |
2,600,000 | 3.520 | % | 07/15/30 | $ 2,566,916 | |||||||
| Ford Credit Auto Owner Trust Series 2020-1, Class A(b) | ||||||||||||
| 6,835,000 | 2.040 | 08/15/31 | 6,431,032 | |||||||||
| Ford Credit Auto Owner Trust Series 2022-D, Class A2A | ||||||||||||
| 1,870,953 | 5.370 | 08/15/25 | 1,866,743 | |||||||||
| Ford Credit Floorplan Master Owner Trust A Series 2020-1, Class A2(c) (1M USD LIBOR + 0.500%) | ||||||||||||
| 1,500,000 | 5.693 | 09/15/25 | 1,500,140 | |||||||||
| Ford Credit Floorplan Master Owner Trust A Series 2020-2, Class A | ||||||||||||
| 3,200,000 | 1.060 | 09/15/27 | 2,901,900 | |||||||||
| Ford Credit Floorplan Master Owner Trust Series 2019-4, Class A | ||||||||||||
| 3,625,000 | 2.440 | 09/15/26 | 3,478,836 | |||||||||
| GMF Floorplan Owner Revolving Trust Series 2019-2, Class A(b) | ||||||||||||
| 1,500,000 | 2.900 | 04/15/26 | 1,466,066 | |||||||||
| GMF Floorplan Owner Revolving Trust Series 2020-2, Class A(b) | ||||||||||||
| 1,500,000 | 0.690 | 10/15/25 | 1,479,449 | |||||||||
| Hyundai Auto Lease Securitization Trust Series 2021-B, Class A3(b) | ||||||||||||
| 470,065 | 0.330 | 06/17/24 | 468,223 | |||||||||
| Hyundai Auto Lease Securitization Trust Series 2022-A, Class A3(b) | ||||||||||||
| 3,600,000 | 1.160 | 01/15/25 | 3,535,945 | |||||||||
| Hyundai Auto Receivables Trust Series 2021-A, Class A3 | ||||||||||||
| 532,702 | 0.380 | 09/15/25 | 518,805 | |||||||||
| Hyundai Auto Receivables Trust Series 2022-C, Class A3 | ||||||||||||
| 2,975,000 | 5.390 | 06/15/27 | 2,969,985 | |||||||||
| Mercedes-Benz Auto Lease Trust Series 2021-B, Class A3 | ||||||||||||
| 1,713,743 | 0.400 | 11/15/24 | 1,687,796 | |||||||||
| Mercedes-Benz Auto Receivables Trust Series 2022-1, Class A2 | ||||||||||||
| 782,592 | 5.260 | 10/15/25 | 780,729 | |||||||||
| NextGear Floorplan Master Owner Trust Series 2021-1A, Class A(b) | ||||||||||||
| 5,500,000 | 0.850 | 07/15/26 | 5,204,840 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A3(b) | ||||||||||||
| 345,097 | 0.560 | 03/20/25 | 342,475 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A4(b) | ||||||||||||
| 1,800,000 | 0.660 | 03/20/25 | 1,767,299 | |||||||||
| Tesla Auto Lease Trust Series 2021-B, Class A3(b) | ||||||||||||
| 5,300,000 | 0.600 | 09/22/25 | 5,101,014 | |||||||||
| Toyota Auto Receivables Owner Trust Series 2021-D, Class A3 | ||||||||||||
| 3,800,000 | 0.710 | 04/15/26 | 3,641,405 | |||||||||
| Toyota Auto Receivables Owner Trust Series 2022-D, Class A3 | ||||||||||||
| 2,000,000 | 5.300 | 09/15/27 | 1,995,850 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Automotive – (continued) | ||||||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A3(b) | ||||||||||||
| $ |
257,224 | 0.390 | % | 04/22/24 | $ 256,498 | |||||||
| Toyota Lease Owner Trust Series 2021-A, Class A4(b) | ||||||||||||
| 375,000 | 0.500 | 08/20/25 | 371,233 | |||||||||
| Toyota Lease Owner Trust Series 2021-B, Class A3(b) | ||||||||||||
| 986,075 | 0.420 | 10/21/24 | 975,433 | |||||||||
|
| ||||||||||||
| 51,308,612 | ||||||||||||
|
| ||||||||||||
| Collateralized Loan Obligations(b)(c) – 9.1% | ||||||||||||
| AIG CLO Series 2021-1A, Class A (3M USD LIBOR + 1.100%) | ||||||||||||
| 2,100,000 | 6.373 | 04/22/34 | 2,062,399 | |||||||||
| Anchorage Capital CLO 15 Ltd. Series 2020-15A, Class AR (3M USD LIBOR + 1.200%) | ||||||||||||
| 1,300,000 | 6.450 | 07/20/34 | 1,279,738 | |||||||||
| Anchorage Capital CLO 18 Ltd. Series 2021-18A, Class A1 (3M USD LIBOR + 1.150%) | ||||||||||||
| 4,000,000 | 6.410 | 04/15/34 | 3,913,584 | |||||||||
| Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1 (3M USD LIBOR + 1.140%) | ||||||||||||
| 5,000,000 | 6.413 | 01/22/35 | 4,890,725 | |||||||||
| BSPDF Issuer Ltd. Series 2021-FL1, Class A (1M USD LIBOR + 1.200%) | ||||||||||||
| 1,000,000 | 6.393 | 10/15/36 | 974,568 | |||||||||
| CarVal CLO IV Ltd. Series 2021-1A, Class A1A (3M USD LIBOR + 1.180%) | ||||||||||||
| 2,600,000 | 6.430 | 07/20/34 | 2,561,068 | |||||||||
| CBAM Ltd. Series 2017-2A, Class AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 5,000,000 | 6.450 | 07/17/34 | 4,885,290 | |||||||||
| Cedar Funding VII CLO Ltd. Series 2018-7A, Class A1 (3M USD LIBOR + 1.000%) | ||||||||||||
| 2,977,355 | 6.250 | 01/20/31 | 2,951,473 | |||||||||
| Madison Park Funding XXX Ltd. Series 2018-30A, Class A (3M USD LIBOR + 0.750%) | ||||||||||||
| 4,939,710 | 6.010 | 04/15/29 | 4,877,055 | |||||||||
| Madison Park Funding XXXVII Ltd. Series 2019-37A, Class AR (3M USD LIBOR + 1.070%) | ||||||||||||
| 1,000,000 | 6.330 | 07/15/33 | 988,073 | |||||||||
| Northwoods Capital XVIII Ltd. Series 2019-18A, Class AR (3M USD LIBOR + 1.100%) | ||||||||||||
| 5,000,000 | 6.479 | 05/20/32 | 4,895,375 | |||||||||
| OCP CLO Ltd. Series 2014-5A, Class A1R (3M USD LIBOR + 1.080%) | ||||||||||||
| 2,600,000 | 6.348 | 04/26/31 | 2,576,254 | |||||||||
| Octagon 54 Ltd. Series 2021-1A, Class A1 (3M USD LIBOR + 1.120%) | ||||||||||||
| 1,000,000 | 6.380 | 07/15/34 | 977,949 | |||||||||
| OHA Credit Funding 3 Ltd. Series 2019-3A, Class AR (3M USD LIBOR + 1.140%) | ||||||||||||
| 2,500,000 | 6.390 | 07/02/35 | 2,462,867 | |||||||||
| Pikes Peak CLO 2 Series 2018-2A, Class AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 6,700,000 | 6.452 | 10/18/34 | 6,539,200 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Collateralized Loan Obligations(b)(c) – (continued) | ||||||||||||
| Trysail CLO Ltd. Series 2021-1A, Class A1 (3M USD LIBOR + 1.320%) | ||||||||||||
| $ |
1,400,000 | 6.570 | % | 07/20/32 | $ 1,379,034 | |||||||
| Wellfleet CLO Ltd. Series 2021-3A, Class A (3M USD LIBOR + 1.190%) | ||||||||||||
| 5,000,000 | 6.450 | 01/15/35 | 4,864,760 | |||||||||
| Zais CLO 15 Ltd. Series 2020-15A, Class A1R (3M USD LIBOR + 1.350%) | ||||||||||||
| 475,000 | 6.623 | 07/28/32 | 467,935 | |||||||||
|
| ||||||||||||
| 53,547,347 | ||||||||||||
|
| ||||||||||||
| Credit Card – 3.6% | ||||||||||||
| Barclays Dryrock Issuance Trust Series 2021-1, Class A | ||||||||||||
| 6,200,000 | 0.630 | 07/15/27 | 5,838,556 | |||||||||
| CARDS II Trust Series 2021-1A, Class A(b) | ||||||||||||
| 4,075,000 | 0.602 | 04/15/27 | 3,906,486 | |||||||||
| Evergreen Credit Card Trust Series 2021-1, Class A(b) | ||||||||||||
| 8,275,000 | 0.900 | 10/15/26 | 7,782,429 | |||||||||
| Master Credit Card Trust Series 2021-1A, Class A(b) | ||||||||||||
| 3,900,000 | 0.530 | 11/21/25 | 3,717,138 | |||||||||
|
| ||||||||||||
| 21,244,609 | ||||||||||||
|
| ||||||||||||
| Student Loan(c) – 2.1% | ||||||||||||
| Access Group, Inc. Series 2013-1, Class A(b) (1M USD LIBOR + 0.500%) | ||||||||||||
| 485,116 | 5.650 | 02/25/36 | 477,065 | |||||||||
| ECMC Group Student Loan Trust Series 2017-1A, Class A(b) (1M USD LIBOR + 1.200%) | ||||||||||||
| 1,262,325 | 6.350 | 12/27/66 | 1,247,426 | |||||||||
| Educational Services of America, Inc. Series 2014-1, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 944,620 | 5.850 | 02/25/39 | 929,080 | |||||||||
| Goal Capital Funding Trust Series 2010-1, Class A(b) (3M USD LIBOR + 0.700%) | ||||||||||||
| 11,086 | 6.096 | 08/25/48 | 10,819 | |||||||||
| Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%) | ||||||||||||
| 911,334 | 6.155 | 07/25/45 | 911,349 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series 2021-1, Class A1B (1M USD LIBOR + 0.780%) | ||||||||||||
| 676,297 | 5.930 | 03/25/51 | 676,142 | |||||||||
| Massachusetts Educational Financing Authority Series 2008-1, Class A1 (3M USD LIBOR + 0.950%) | ||||||||||||
| 140,093 | 6.205 | 04/25/38 | 137,413 | |||||||||
| Navient Student Loan Trust Series 2017-2A, Class A(b) (1M USD LIBOR + 1.050%) | ||||||||||||
| 1,977,151 | 6.200 | 12/27/66 | 1,956,197 | |||||||||
| Nelnet Student Loan Trust Series 2012-3A, Class A(b) (1M USD LIBOR + 0.700%) | ||||||||||||
| 1,766,313 | 5.850 | 03/26/40 | 1,766,293 | |||||||||
| PHEAA Student Loan Trust Series 2014-3A, Class A(b) (1M USD LIBOR + 0.590%) | ||||||||||||
| 2,494,278 | 5.740 | 08/25/40 | 2,424,491 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(a) – (continued) | ||||||||||||
| Student Loan(c) – (continued) | ||||||||||||
| Rhode Island Student Loan Authority Series 2012-1, Class A1 (1M USD LIBOR + 0.900%) | ||||||||||||
| $ |
521,608 | 5.934 | % | 07/01/31 | $ 521,224 | |||||||
| SLC Student Loan Trust Series 2007-1, Class A4 (3M USD LIBOR + 0.060%) | ||||||||||||
| 834,854 | 5.381 | 05/15/29 | 830,066 | |||||||||
| SLC Student Loan Trust Series 2010-1, Class A (3M USD LIBOR + 0.875%) | ||||||||||||
| 177,179 | 6.271 | 11/25/42 | 176,558 | |||||||||
|
| ||||||||||||
| 12,064,123 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $142,986,839) |
$138,164,691 | |||||||||||
|
| ||||||||||||
| Mortgage-Backed Obligations – 4.2% | ||||||||||||
| Collateralized Mortgage Obligations – 1.0% | ||||||||||||
| Regular Floater(c) – 0.2% | ||||||||||||
| FHLMC REMIC Series 3371, Class FA (1M USD LIBOR + 0.600%) | ||||||||||||
| $ |
276,520 | 5.793 | %(a) | 09/15/37 | $ 273,956 | |||||||
| FHLMC REMIC Series 3374, Class FT (1M USD LIBOR + 0.300%) | ||||||||||||
| 33,293 | 5.493 | 04/15/37 | 32,485 | |||||||||
| FHLMC REMIC Series 3545, Class FA (1M USD LIBOR + 0.850%) | ||||||||||||
| 30,793 | 6.043 | 06/15/39 | 30,762 | |||||||||
| FHLMC STRIPS Series 237, Class F23 (1M USD LIBOR + 0.400%) | ||||||||||||
| 90,692 | 5.593 | 05/15/36 | 89,403 | |||||||||
| FNMA REMIC Series 1998-66, Class FC (1M USD LIBOR + 0.500%) | ||||||||||||
| 35 | 5.646 | 11/17/28 | 35 | |||||||||
| FNMA REMIC Series 2006-72, Class XF (1M USD LIBOR + 0.500%) | ||||||||||||
| 124,542 | 5.650 | 08/25/36 | 122,927 | |||||||||
| FNMA REMIC Series 2008-22, Class FD (1M USD LIBOR + 0.840%) | ||||||||||||
| 160,911 | 5.990 | 04/25/48 | 160,412 | |||||||||
| FNMA REMIC Series 2009-75, Class MF (1M USD LIBOR + 1.150%) | ||||||||||||
| 235,924 | 6.300 | 09/25/39 | 238,369 | |||||||||
| FNMA REMIC Series 2013-96, Class FW (1M USD LIBOR + 0.400%) | ||||||||||||
| 46,014 | 5.550 | 09/25/43 | 45,224 | |||||||||
|
| ||||||||||||
| 993,573 | ||||||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 0.4% | ||||||||||||
| FHLMC REMIC Series 4248, Class LM | ||||||||||||
| 208,527 | 6.500 | 05/15/41 | 217,919 | |||||||||
| OBX Trust Series 2022-NQM7, Class A1 | ||||||||||||
| 274,115 | 5.110 | (a)(b)(d) | 08/25/62 | 266,320 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Fixed Rate – (continued) | ||||||||||||
| Verus Securitization Trust Series 2022-1, Class A1 | ||||||||||||
| $ |
1,820,700 | 2.724 | %(a)(b)(d) | 01/25/67 | $ 1,611,603 | |||||||
|
| ||||||||||||
| 2,095,842 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(c) – 0.4% | ||||||||||||
| Connecticut Avenue Securities Trust Series 2021-R03, Class 1M2 (SOFR + 1.650%) | ||||||||||||
| 442,000 | 6.717 | (a)(b) | 12/25/41 | 427,641 | ||||||||
| Connecticut Avenue Securities Trust Series 2022-R05, Class 2M1 (SOFR + 1.900%) | ||||||||||||
| 408,894 | 6.967 | (a)(b) | 04/25/42 | 409,818 | ||||||||
| CSMC Series 2021-NQM8, Class A1 | ||||||||||||
| 294,624 | 1.841 | (a)(b) | 10/25/66 | 249,856 | ||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03, Class 2M2 (SOFR + 3.900%) | ||||||||||||
| 122,772 | 8.967 | (a)(b) | 04/25/43 | 125,284 | ||||||||
| FHLMC STACR REMIC Trust Series 2022-DNA1, Class M1A (SOFR + 1.000%) | ||||||||||||
| 724,568 | 6.067 | (a)(b) | 01/25/42 | 712,914 | ||||||||
| FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1A (SOFR + 2.000%) | ||||||||||||
| 350,763 | 7.067 | (a)(b) | 04/25/42 | 351,208 | ||||||||
| FNMA REMIC Series 1997-20, Class F | ||||||||||||
| 2,086 | 3.227 | 03/25/27 | 2,061 | |||||||||
| Verus Securitization Trust Series 2021-8, Class A1 | ||||||||||||
| 206,322 | 1.824 | (a)(b) | 11/25/66 | 176,428 | ||||||||
|
| ||||||||||||
| 2,455,210 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | 5,544,625 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities – 3.2% | ||||||||||||
| Sequential Fixed Rate(a) – 1.1% | ||||||||||||
| BANK Series 2017-BNK6, Class A3 | ||||||||||||
| $ |
1,486,558 | 3.125 | % | 07/15/60 | $ 1,436,594 | |||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 | ||||||||||||
| 2,198,307 | 4.064 | 02/15/47 | 2,174,253 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 | ||||||||||||
| 3,000,000 | 3.249 | 02/15/48 | 2,858,437 | |||||||||
|
| ||||||||||||
| 6,469,284 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(c) – 2.1% | ||||||||||||
| BX Commercial Mortgage Trust Series 2021-21M, Class A (1M USD LIBOR + 0.730%) | ||||||||||||
| 484,257 | 5.923 | (b) | 10/15/36 | 468,554 | ||||||||
| BX Commercial Mortgage Trust Series 2021-CIP, Class A (1M USD LIBOR + 0.921%) | ||||||||||||
| 1,800,000 | 6.114 | (b) | 12/15/38 | 1,752,863 | ||||||||
| BX Series 2021-MFM1, Class A (TSFR1M + 0.814%) | ||||||||||||
| 90,425 | 5.962 | (b) | 01/15/34 | 88,780 | ||||||||
| BX Trust Series 2021-ARIA, Class A (1M USD LIBOR + 0.899%) | ||||||||||||
| 1,100,000 | 6.092 | (b) | 10/15/36 | 1,067,743 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Floating Rate(c) – (continued) | ||||||||||||
| BX Trust Series 2021-BXMF, Class A (1M USD LIBOR + 0.636%) | ||||||||||||
| $ |
700,000 | 5.829 | %(b) | 10/15/26 | $ 679,035 | |||||||
| ELP Commercial Mortgage Trust Series 2021-ELP, Class A (1M USD LIBOR + 0.701%) | ||||||||||||
| 3,700,000 | 5.895 | (b) | 11/15/38 | 3,582,225 | ||||||||
| EQUS Mortgage Trust Series 2021-EQAZ, Class A (1M USD LIBOR + 0.755%) | ||||||||||||
| 549,989 | 5.948 | (a)(b) | 10/15/38 | 534,207 | ||||||||
| FHLMC Multifamily Structured Pass Through Certificates Series KF58, Class A (1M USD LIBOR + 0.500%) | ||||||||||||
| 600,542 | 5.693 | (a) | 01/25/26 | 598,357 | ||||||||
| FHLMC Multifamily Structured Pass Through Certificates Series KF60, Class A (1M USD LIBOR + 0.490%) | ||||||||||||
| 449,189 | 5.683 | (a) | 02/25/26 | 447,165 | ||||||||
| FHLMC Multifamily Structured Pass-Through Certificates Series KF31, Class A (1M USD LIBOR + 0.370%) | ||||||||||||
| 169,723 | 5.563 | (a) | 04/25/24 | 169,535 | ||||||||
| FHLMC Multifamily Structured Pass-Through Certificates Series KF32, Class A (1M USD LIBOR + 0.370%) | ||||||||||||
| 220,034 | 5.563 | (a) | 05/25/24 | 219,679 | ||||||||
| Great Wolf Trust Series 2019-WOLF, Class A (TSFR1M + 1.148%) | ||||||||||||
| 600,000 | 6.296 | (b) | 12/15/36 | 592,886 | ||||||||
| KKR Industrial Portfolio Trust Series 2021-KDIP, Class A (TSFR1M + 0.664%) | ||||||||||||
| 130,657 | 5.812 | (b) | 12/15/37 | 128,374 | ||||||||
| ONE PARK Mortgage Trust Series 2021-PARK, Class A (TSFR1M + 0.814%) | ||||||||||||
| 919,000 | 5.962 | (b) | 03/15/36 | 868,724 | ||||||||
| STWD Trust Series 2021-FLWR, Class A (1M USD LIBOR + 0.577%) | ||||||||||||
| 1,300,000 | 5.770 | (b) | 07/15/36 | 1,261,294 | ||||||||
|
| ||||||||||||
| 12,459,421 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 18,928,705 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 0.0% | ||||||||||||
| GNMA – 0.0% | ||||||||||||
| $ |
3,324 | 7.000 | % | 04/15/26 | $ 3,339 | |||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $25,707,595) |
$ 24,476,669 | |||||||||||
|
| ||||||||||||
| Sovereign Debt Obligations – 1.1% | ||||||||||||
| United States Dollar – 1.1% | ||||||||||||
| Perusahaan Penerbit SBSN Indonesia III | ||||||||||||
| $ |
2,260,000 | 4.325 | % | 05/28/25 | $ 2,231,840 | |||||||
| Republic of Indonesia | ||||||||||||
| 1,745,000 | 4.750 | 01/08/26 | 1,741,789 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Sovereign Debt Obligations – (continued) | ||||||||||||
| United States Dollar – (continued) | ||||||||||||
| Saudi Government International Bond | ||||||||||||
| $ |
2,320,000 | 3.250 | % | 10/26/26 | $ 2,194,790 | |||||||
|
| ||||||||||||
| 6,168,419 | ||||||||||||
|
| ||||||||||||
| TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $6,703,798) |
$ 6,168,419 | |||||||||||
|
| ||||||||||||
| Agency Debentures(a) – 0.6% | ||||||||||||
| Sovereign – 0.6% | ||||||||||||
| FHLB | ||||||||||||
| $ |
380,000 | 5.340 | % | 04/23/24 | $ 377,914 | |||||||
| 1,645,000 | 5.490 | 07/15/24 | 1,642,039 | |||||||||
| 1,650,000 | 5.520 | 07/15/24 | 1,647,145 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $3,675,000) |
$ 3,667,098 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligations – 0.1% | ||||||||||||
| Florida – 0.1% | ||||||||||||
| County of Palm Beach FL Revenue Bonds Taxable (Refunding) Series B | ||||||||||||
| $ |
635,000 | 0.500 | % | 12/01/24 | $ 593,296 | |||||||
|
| ||||||||||||
| Rhode Island(a)(c) – 0.0% | ||||||||||||
| Rhode Island Student Loan Authority RB Series 2014-1 (1M USD LIBOR) | ||||||||||||
| 93,526 | 5.870 | 10/02/28 | 91,442 | |||||||||
|
| ||||||||||||
| TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $728,153) |
$ 684,738 | |||||||||||
|
| ||||||||||||
| Shares | Description | Value | ||||||||||
| Exchange Traded Funds – 4.8% | ||||||||||||
| 961,084 | |
SPDR Portfolio Short Term Corporate Bond ETF |
$ 28,294,313 | |||||||||
| (Cost $30,180,440) | ||||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(e) – 1.1% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 6,612,216 | 5.022% | $ 6,612,216 | ||||||||||
| (Cost $6,612,216) | ||||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS – 96.8% (Cost $591,549,323) |
$569,803,521 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – 0.4% | ||||||||||||
| Certificates of Deposit – 0.1% | ||||||||||||
| Toronto-Dominion | ||||||||||||
| $ |
644,000 | 5.820 | % | 05/23/24 | $ 642,903 | |||||||
|
| ||||||||||||
| Commercial Paper(f) – 0.3% | ||||||||||||
| EIDP, Inc. | ||||||||||||
| 1,358,000 | 0.000 | 11/24/23 | 1,327,097 | |||||||||
| HSBC USA, Inc. | ||||||||||||
| 704,000 | 0.000 | 05/24/24 | 664,709 | |||||||||
|
| ||||||||||||
| 1,991,806 | ||||||||||||
|
| ||||||||||||
| TOTAL SHORT- TERM INVESTMENTS (Cost $2,637,525) |
$ 2,634,709 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 97.2% (Cost $594,186,848) |
$572,438,230 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.8% |
16,471,687 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $588,909,917 | |||||||||||
|
| ||||||||||||
| 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 June 30, 2023. | |
| (d) | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (e) | Represents an affiliated Issuer. | |
| (f) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
GOLDMAN SACHS ENHANCED INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2023, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Short position contracts: |
||||||||||||||||
| 2 Year U.S. Treasury Notes |
(563) | 09/29/23 | $ | (114,482,531 | ) | $ | 1,602,666 | |||||||||
| 5 Year U.S. Treasury Notes |
(49) | 09/29/23 | (5,247,594 | ) | 97,269 | |||||||||||
|
|
||||||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | 1,699,935 | ||||||||||||||
|
|
||||||||||||||||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Received by Fund |
Termination Date |
Notional Amount (000s)(a) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| 12M LIBOR(b) |
5.000% | 09/20/24 | $ | 325,380 | $ | (737,376 | ) | $ | 29,789 | $ | (767,165 | ) | ||||||||||||
| 4.000%(c) |
12M LIBOR | 09/20/26 | 70,480 | 413,245 | (115,944 | ) | 529,189 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| TOTAL |
$ | (324,131 | ) | $ | (86,155 | ) | $ | (237,976 | ) | |||||||||||||||
|
|
||||||||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2023. |
| (b) | Payments made at maturity. |
| (c) | Payments made annually. |
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Investment Abbreviations: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Indexes | |
| ETF | — Exchange Traded Fund | |
| FHLB | — Federal Home Loan Bank | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| LP | — Limited Partnership | |
| PLC | — Public Limited Company | |
| RB | — Revenue Bond | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Funding Rate | |
| SPDR | — Standard and Poor’s Depository Receipt | |
| STACR | — Structured Agency Credit Risk | |
| STRIPS | — Separate Trading of Registered Interest and Principal of Securities | |
| Abbreviation: | ||
| LIBOR | — London Interbank Offered Rate | |
|
| ||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – 59.8% | ||||||||||||
| Collateralized Mortgage Obligations – 1.8% | ||||||||||||
| Inverse Floaters(a)(b) – 0.0% | ||||||||||||
| GNMA REMIC Series 2002-13, Class SB (-1X 1M USD LIBOR + 37.567%) | ||||||||||||
| $ |
346 | 13.495 | % | 02/16/32 | $ 349 | |||||||
|
| ||||||||||||
| Regular Floater(a)(b) – 0.0% | ||||||||||||
| FHLMC REMIC Series 1760, Class ZB (10 year CMT - 0.600%) | ||||||||||||
| 3,364 | 2.990 | 05/15/24 | 3,359 | |||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 1.2% | ||||||||||||
| FHLMC REMIC Series 2329, Class ZA | ||||||||||||
| 123,391 | 6.500 | 06/15/31 | 124,343 | |||||||||
| FHLMC REMIC Series 4246, Class PT | ||||||||||||
| 44,424 | 6.500 | 02/15/36 | 46,254 | |||||||||
| FNMA REMIC Series 2011-52, Class GB | ||||||||||||
| 225,396 | 5.000 | 06/25/41 | 225,865 | |||||||||
| FNMA REMIC Series 2011-99, Class DB | ||||||||||||
| 218,994 | 5.000 | 10/25/41 | 218,380 | |||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| 30,268 | 7.000 | 10/25/42 | 32,481 | |||||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 129,591 | 7.000 | 07/25/42 | 139,416 | |||||||||
| GNMA REMIC Series 2021-135, Class A | ||||||||||||
| 1,338,437 | 2.000 | (a) | 08/20/51 | 1,112,589 | ||||||||
| OBX Trust Series 2022-NQM7, Class A1 | ||||||||||||
| 91,372 | 5.110 | (a)(c)(d) | 08/25/62 | 88,773 | ||||||||
|
| ||||||||||||
| 1,988,101 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(a)(b) – 0.6% | ||||||||||||
| CSMC Series 2021-NQM8, Class A1 | ||||||||||||
| 98,208 | 1.841 | (c) | 10/25/66 | 83,286 | ||||||||
| JPMorgan Mortgage Trust Series 2021-6, Class A3 | ||||||||||||
| 358,409 | 2.500 | (c) | 10/25/51 | 288,001 | ||||||||
| JPMorgan Mortgage Trust Series 2021-LTV2, Class A1 | ||||||||||||
| 551,516 | 2.520 | (c) | 05/25/52 | 446,616 | ||||||||
| Merrill Lynch Mortgage Investors Trust Series 2004-E, Class A2B | ||||||||||||
| 40,377 | 5.863 | 11/25/29 | 38,059 | |||||||||
| Verus Securitization Trust Series 2021-8, Class A1 | ||||||||||||
| 78,934 | 1.824 | (c) | 11/25/66 | 67,497 | ||||||||
|
| ||||||||||||
| 923,459 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 2,915,268 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities – 4.1% | ||||||||||||
| Sequential Fixed Rate – 2.6% | ||||||||||||
| BANK Series 2019-BN24, Class A3 | ||||||||||||
| $ |
1,400,000 | 2.960 | %(a) | 11/15/62 | $ 1,213,576 | |||||||
| BANK Series 2020-BN29, Class A4 | ||||||||||||
| 600,000 | 1.997 | (a) | 11/15/53 | 468,625 | ||||||||
| BANK Series 2022-BNK39, Class A4 | ||||||||||||
| 950,000 | 2.928 | (a) | 02/15/55 | 796,801 | ||||||||
| BBCMS Mortgage Trust Series 2021-C12, Class A5 | ||||||||||||
| 950,000 | 2.689 | 11/15/54 | 783,865 | |||||||||
| Manhattan West Mortgage Trust Series 2020-1MW, Class A | ||||||||||||
| 600,000 | 2.130 | (c) | 09/10/39 | 513,330 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Fixed Rate – (continued) | ||||||||||||
| Wells Fargo Commercial Mortgage Trust Series 2021-C59, Class A5 | ||||||||||||
| $ |
500,000 | 2.626 | %(a) | 04/15/54 | $ 408,218 | |||||||
|
| ||||||||||||
| 4,184,415 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(b) – 1.5% | ||||||||||||
| BANK Series 2021-BN31, Class AS | ||||||||||||
| 250,000 | 2.211 | (a) | 02/15/54 | 189,680 | ||||||||
| BANK Series 2021-BNK37, Class A5 | ||||||||||||
| 600,000 | 2.618 | (a) | 11/15/64 | 492,746 | ||||||||
| BBCMS Mortgage Trust Series 2022-C16, Class AS | ||||||||||||
| 550,000 | 4.600 | (a) | 06/15/55 | 483,254 | ||||||||
| BX Trust Series 2021-ARIA, Class A (1M USD LIBOR + 0.899%) | ||||||||||||
| 900,000 | 6.092 | (c) | 10/15/36 | 873,608 | ||||||||
| Wells Fargo Commercial Mortgage Trust Series 2022-C62, Class A4 | ||||||||||||
| 400,000 | 4.000 | (a) | 04/15/55 | 359,567 | ||||||||
|
| ||||||||||||
| 2,398,855 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 6,583,270 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 53.9% | ||||||||||||
| Adjustable Rate FHLMC(b) – 0.1% | ||||||||||||
| (1 year CMT + 2.224%) | ||||||||||||
| $ |
98 | 4.349 | % | 11/01/32 | $ 99 | |||||||
| (1 year CMT + 2.250%) | ||||||||||||
| 124,481 | 4.320 | 09/01/33 | 126,652 | |||||||||
|
| ||||||||||||
| 126,751 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate FNMA(b) – 0.3% | ||||||||||||
| (12M USD LIBOR + 1.670%) | ||||||||||||
| 13,609 | 3.920 | 11/01/32 | 13,670 | |||||||||
| (6M USD LIBOR + 1.413%) | ||||||||||||
| 193,581 | 4.538 | 05/01/33 | 193,265 | |||||||||
| (1 year CMT + 2.181%) | ||||||||||||
| 4,088 | 4.915 | 06/01/33 | 4,141 | |||||||||
| (12M USD LIBOR + 1.667%) | ||||||||||||
| 142,674 | 3.917 | 10/01/33 | 144,136 | |||||||||
| (1 year CMT + 2.194%) | ||||||||||||
| 90,950 | 4.329 | 02/01/35 | 92,459 | |||||||||
| (12M USD LIBOR + 1.389%) | ||||||||||||
| 72,919 | 3.639 | 09/01/35 | 73,447 | |||||||||
|
| ||||||||||||
| 521,118 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate GNMA(b) – 0.3% | ||||||||||||
| (1 year CMT + 1.500%) | ||||||||||||
| 10 | 2.625 | 07/20/23 | 10 | |||||||||
| 67 | 2.625 | 08/20/23 | 67 | |||||||||
| 372 | 2.625 | 09/20/23 | 370 | |||||||||
| 623 | 3.625 | 03/20/24 | 617 | |||||||||
| 6,611 | 2.875 | 04/20/24 | 6,548 | |||||||||
| 895 | 2.875 | 05/20/24 | 886 | |||||||||
| 7,933 | 2.875 | 06/20/24 | 7,845 | |||||||||
| 1,937 | 3.000 | 06/20/24 | 1,917 | |||||||||
| 2,323 | 2.625 | 07/20/24 | 2,288 | |||||||||
| 3,761 | 3.000 | 07/20/24 | 3,711 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate GNMA(b) – (continued) | ||||||||||||
| (1 year CMT + 1.500%) – (continued) | ||||||||||||
| $ |
5,364 | 2.625 | % | 08/20/24 | $ 5,279 | |||||||
| 3,356 | 3.000 | 08/20/24 | 3,309 | |||||||||
| 2,858 | 2.625 | 09/20/24 | 2,810 | |||||||||
| 3,858 | 3.000 | 11/20/24 | 3,789 | |||||||||
| 1,494 | 3.000 | 12/20/24 | 1,466 | |||||||||
| 3,718 | 3.500 | 12/20/24 | 3,659 | |||||||||
| 2,397 | 3.625 | 01/20/25 | 2,356 | |||||||||
| 2,000 | 3.625 | 02/20/25 | 1,965 | |||||||||
| 7,799 | 3.000 | 05/20/25 | 7,668 | |||||||||
| 8,650 | 3.000 | 07/20/25 | 8,471 | |||||||||
| 4,407 | 3.625 | 02/20/26 | 4,306 | |||||||||
| 209 | 2.625 | 07/20/26 | 203 | |||||||||
| 12,592 | 3.625 | 01/20/27 | 12,276 | |||||||||
| 3,455 | 3.625 | 02/20/27 | 3,367 | |||||||||
| 41,613 | 2.875 | 04/20/27 | 40,647 | |||||||||
| 4,519 | 2.875 | 05/20/27 | 4,414 | |||||||||
| 7,404 | 2.875 | 06/20/27 | 7,232 | |||||||||
| 2,325 | 2.750 | 11/20/27 | 2,244 | |||||||||
| 32 | 3.000 | 11/20/27 | 31 | |||||||||
| 6,759 | 2.750 | 12/20/27 | 6,522 | |||||||||
| 15,752 | 3.625 | 01/20/28 | 15,345 | |||||||||
| 5,287 | 3.625 | 02/20/28 | 5,150 | |||||||||
| 5,173 | 3.625 | 03/20/28 | 5,039 | |||||||||
| 28,669 | 2.625 | 07/20/29 | 27,732 | |||||||||
| 11,746 | 2.625 | 08/20/29 | 11,362 | |||||||||
| 2,835 | 2.625 | 09/20/29 | 2,742 | |||||||||
| 15,206 | 2.750 | 10/20/29 | 14,669 | |||||||||
| 20,488 | 2.750 | 11/20/29 | 19,765 | |||||||||
| 4,087 | 2.750 | 12/20/29 | 3,943 | |||||||||
| 6,153 | 3.625 | 01/20/30 | 5,999 | |||||||||
| 1,747 | 3.625 | 02/20/30 | 1,704 | |||||||||
| 12,264 | 3.625 | 03/20/30 | 11,959 | |||||||||
| 16,667 | 2.875 | 04/20/30 | 16,318 | |||||||||
| 26,905 | 2.875 | 05/20/30 | 26,343 | |||||||||
| 24,119 | 3.000 | 05/20/30 | 23,660 | |||||||||
| 5,622 | 2.875 | 06/20/30 | 5,505 | |||||||||
| 39,551 | 3.000 | 07/20/30 | 38,572 | |||||||||
| 8,348 | 3.000 | 09/20/30 | 8,143 | |||||||||
| 15,259 | 2.750 | 10/20/30 | 14,728 | |||||||||
| 26,651 | 3.625 | 03/20/32 | 26,030 | |||||||||
|
| ||||||||||||
| 430,981 | ||||||||||||
|
| ||||||||||||
| FHLMC – 4.2% | ||||||||||||
| 11,693 | 6.500 | 07/01/28 | 12,069 | |||||||||
| 92,627 | 4.500 | 03/01/29 | 90,727 | |||||||||
| 2,783 | 8.000 | 07/01/30 | 2,858 | |||||||||
| 6,073 | 5.000 | 08/01/33 | 6,066 | |||||||||
| 1,006 | 5.000 | 09/01/33 | 1,005 | |||||||||
| 2,430 | 5.000 | 10/01/33 | 2,427 | |||||||||
| 1,475 | 5.000 | 11/01/34 | 1,475 | |||||||||
| 55,445 | 5.000 | 12/01/34 | 55,466 | |||||||||
| 3,863 | 5.000 | 07/01/35 | 3,864 | |||||||||
| 6 | 5.000 | 11/01/35 | 6 | |||||||||
| 7,850 | 5.000 | 12/01/35 | 7,843 | |||||||||
| 13,606 | 5.000 | 02/01/37 | 13,699 | |||||||||
| 999 | 5.000 | 03/01/38 | 1,006 | |||||||||
| 35,745 | 5.000 | 07/01/39 | 35,915 | |||||||||
| 5,741 | 4.000 | 06/01/40 | 5,519 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| FHLMC – (continued) | ||||||||||||
| $ |
2,145 | 5.000 | % | 08/01/40 | $ 2,158 | |||||||
| 675 | 4.500 | 11/01/40 | 666 | |||||||||
| 38,172 | 4.000 | 02/01/41 | 36,705 | |||||||||
| 2,182 | 5.000 | 06/01/41 | 2,193 | |||||||||
| 91,791 | 5.000 | 07/01/41 | 92,615 | |||||||||
| 3,156 | 4.000 | 11/01/41 | 3,032 | |||||||||
| 4,364 | 3.000 | 05/01/42 | 3,949 | |||||||||
| 5,696 | 3.000 | 08/01/42 | 5,156 | |||||||||
| 7,466 | 3.000 | 01/01/43 | 6,777 | |||||||||
| 33,066 | 3.000 | 02/01/43 | 30,014 | |||||||||
| 1,939,950 | 2.500 | 02/01/51 | 1,651,830 | |||||||||
| 4,873,703 | 2.000 | 05/01/51 | 3,983,784 | |||||||||
| 624,729 | 6.000 | 11/01/52 | 638,646 | |||||||||
| 203,492 | 6.000 | 12/01/52 | 209,680 | |||||||||
|
| ||||||||||||
| 6,907,150 | ||||||||||||
|
| ||||||||||||
| FNMA – 5.1% | ||||||||||||
| 1,932 | 6.500 | 11/01/28 | 1,993 | |||||||||
| 25,135 | 7.000 | 07/01/31 | 26,211 | |||||||||
| 207,506 | 5.500 | 07/01/33 | 209,172 | |||||||||
| 1,004,382 | 3.500 | 09/01/62 | 900,487 | |||||||||
| 2,955,029 | 2.000 | 10/01/50 | 2,420,445 | |||||||||
| 2,954,345 | 2.000 | 11/01/50 | 2,419,519 | |||||||||
| 957,248 | 5.500 | 09/01/52 | 963,558 | |||||||||
| 752,125 | 6.000 | 11/01/52 | 769,827 | |||||||||
| 527,862 | 6.000 | 12/01/52 | 538,801 | |||||||||
|
| ||||||||||||
| 8,250,013 | ||||||||||||
|
| ||||||||||||
| GNMA – 17.7% | ||||||||||||
| 13,948 | 7.000 | 12/15/27 | 14,145 | |||||||||
| 4,014 | 6.500 | 08/15/28 | 4,053 | |||||||||
| 25,396 | 6.000 | 01/15/29 | 25,626 | |||||||||
| 47,466 | 7.000 | 10/15/29 | 48,522 | |||||||||
| 15,908 | 5.500 | 11/15/32 | 16,119 | |||||||||
| 318,404 | 5.500 | 12/15/32 | 324,115 | |||||||||
| 6,321 | 5.500 | 01/15/33 | 6,403 | |||||||||
| 18,199 | 5.500 | 02/15/33 | 18,545 | |||||||||
| 20,213 | 5.500 | 03/15/33 | 20,543 | |||||||||
| 27,253 | 5.500 | 07/15/33 | 27,571 | |||||||||
| 8,773 | 5.500 | 08/15/33 | 8,914 | |||||||||
| 4,036 | 5.500 | 09/15/33 | 4,085 | |||||||||
| 9,729 | 5.500 | 04/15/34 | 9,888 | |||||||||
| 7,551 | 5.500 | 05/15/34 | 7,662 | |||||||||
| 132,278 | 5.500 | 06/15/34 | 134,995 | |||||||||
| 96,329 | 5.500 | 09/15/34 | 98,449 | |||||||||
| 105,621 | 5.500 | 12/15/34 | 108,089 | |||||||||
| 77,989 | 5.500 | 01/15/35 | 79,899 | |||||||||
| 32,325 | 5.000 | 03/15/38 | 32,478 | |||||||||
| 2,700 | 4.000 | 02/20/41 | 2,601 | |||||||||
| 4,307 | 4.000 | 11/20/41 | 4,148 | |||||||||
| 717 | 4.000 | 01/20/42 | 691 | |||||||||
| 2,288 | 4.000 | 04/20/42 | 2,203 | |||||||||
| 1,436 | 4.000 | 10/20/42 | 1,383 | |||||||||
| 157,515 | 4.000 | 08/20/43 | 151,623 | |||||||||
| 2,038 | 4.000 | 03/20/44 | 1,972 | |||||||||
| 2,520 | 4.000 | 05/20/44 | 2,438 | |||||||||
| 174,418 | 4.000 | 11/20/44 | 168,672 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| GNMA – (continued) | ||||||||||||
| $ |
781,388 | 4.000 | % | 06/20/45 | $ 754,183 | |||||||
| 173,265 | 4.000 | 01/20/46 | 167,233 | |||||||||
| 1,180,568 | 3.500 | 04/20/47 | 1,103,653 | |||||||||
| 698,219 | 3.500 | 12/20/47 | 652,729 | |||||||||
| 121,811 | 4.500 | 02/20/48 | 119,662 | |||||||||
| 64,335 | 5.000 | 08/20/48 | 64,264 | |||||||||
| 529,169 | 5.000 | 10/20/48 | 528,577 | |||||||||
| 300,707 | 5.000 | 11/20/48 | 300,370 | |||||||||
| 466,433 | 5.000 | 12/20/48 | 465,182 | |||||||||
| 637,852 | 5.000 | 01/20/49 | 636,142 | |||||||||
| 789,305 | 4.000 | 02/20/49 | 755,658 | |||||||||
| 400,842 | 5.000 | 03/20/49 | 399,767 | |||||||||
| 2,044,583 | 3.000 | 11/20/49 | 1,843,356 | |||||||||
| 1,320,669 | 3.000 | 02/20/50 | 1,190,974 | |||||||||
| 434,663 | 3.000 | 03/20/50 | 391,411 | |||||||||
| 140,770 | 3.500 | 01/20/51 | 130,587 | |||||||||
| 540,897 | 3.500 | 02/20/51 | 504,647 | |||||||||
| 316,403 | 2.500 | 06/20/51 | 270,786 | |||||||||
| 1,438,080 | 2.500 | 09/20/51 | 1,234,706 | |||||||||
| 620,092 | 2.500 | 10/20/51 | 530,692 | |||||||||
| 589,020 | 2.500 | 11/20/51 | 504,836 | |||||||||
| 877,771 | 3.000 | 12/20/51 | 787,152 | |||||||||
| 662,844 | 2.500 | 12/20/51 | 567,598 | |||||||||
| 1,246,964 | 2.500 | 01/20/52 | 1,066,173 | |||||||||
| 519,100 | 3.000 | 02/20/52 | 464,759 | |||||||||
| 980,230 | 3.500 | 02/20/53 | 908,567 | |||||||||
| 2,000,000 | 2.500 | TBA-30yr(e) | 1,730,840 | |||||||||
| 3,000,000 | 2.000 | TBA-30yr(e) | 2,518,920 | |||||||||
| 1,000,000 | 3.500 | TBA-30yr(e) | 922,729 | |||||||||
| 1,000,000 | 4.500 | TBA-30yr(e) | 964,864 | |||||||||
| 5,000,000 | 5.500 | TBA-30yr(e) | 4,978,001 | |||||||||
|
| ||||||||||||
| 28,784,850 | ||||||||||||
|
| ||||||||||||
| UMBS – 26.2% | ||||||||||||
| 257 | 5.500 | 08/01/23 | 257 | |||||||||
| 667 | 4.500 | 07/01/36 | 654 | |||||||||
| 798 | 4.500 | 04/01/39 | 788 | |||||||||
| 3,832 | 4.500 | 05/01/39 | 3,757 | |||||||||
| 1,630 | 4.000 | 08/01/39 | 1,566 | |||||||||
| 7,578 | 4.500 | 08/01/39 | 7,430 | |||||||||
| 133,905 | 4.500 | 12/01/39 | 131,323 | |||||||||
| 7,407 | 4.500 | 01/01/41 | 7,307 | |||||||||
| 7,499 | 4.500 | 05/01/41 | 7,394 | |||||||||
| 42,902 | 4.500 | 08/01/41 | 42,154 | |||||||||
| 65,898 | 4.500 | 08/01/42 | 64,980 | |||||||||
| 6,263 | 3.000 | 11/01/42 | 5,679 | |||||||||
| 91,480 | 3.000 | 12/01/42 | 83,243 | |||||||||
| 231,892 | 3.000 | 01/01/43 | 210,781 | |||||||||
| 42,162 | 3.000 | 02/01/43 | 38,320 | |||||||||
| 293,900 | 3.000 | 03/01/43 | 266,580 | |||||||||
| 491,229 | 3.000 | 04/01/43 | 445,360 | |||||||||
| 316,367 | 3.000 | 05/01/43 | 286,700 | |||||||||
| 56,908 | 3.000 | 06/01/43 | 51,546 | |||||||||
| 484,801 | 3.000 | 07/01/43 | 441,717 | |||||||||
| 401,512 | 4.500 | 10/01/44 | 395,007 | |||||||||
| 283,447 | 4.000 | 12/01/44 | 272,007 | |||||||||
| 478,938 | 4.500 | 04/01/45 | 472,714 | |||||||||
| 59,422 | 4.500 | 05/01/45 | 58,612 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| UMBS – (continued) | ||||||||||||
| $ |
211,053 | 4.500 | % | 06/01/45 | $ 207,635 | |||||||
| 1,742,881 | 3.500 | 07/01/45 | 1,616,595 | |||||||||
| 569,721 | 4.000 | 08/01/45 | 546,726 | |||||||||
| 196,697 | 4.000 | 11/01/45 | 188,433 | |||||||||
| 1,728,648 | 4.000 | 01/01/46 | 1,656,023 | |||||||||
| 60,425 | 4.000 | 03/01/46 | 57,739 | |||||||||
| 4,606 | 4.500 | 05/01/46 | 4,526 | |||||||||
| 34,267 | 4.000 | 06/01/46 | 32,672 | |||||||||
| 50,140 | 4.500 | 08/01/46 | 49,222 | |||||||||
| 9,955 | 4.000 | 08/01/46 | 9,492 | |||||||||
| 91,576 | 4.000 | 10/01/46 | 87,312 | |||||||||
| 24,827 | 4.500 | 06/01/47 | 24,403 | |||||||||
| 565,018 | 4.500 | 11/01/47 | 553,614 | |||||||||
| 200,294 | 4.000 | 12/01/47 | 192,148 | |||||||||
| 187,841 | 4.000 | 01/01/48 | 180,142 | |||||||||
| 698,418 | 4.000 | 02/01/48 | 669,358 | |||||||||
| 488,598 | 4.000 | 03/01/48 | 467,961 | |||||||||
| 576,976 | 4.000 | 06/01/48 | 553,149 | |||||||||
| 182,950 | 4.000 | 08/01/48 | 174,994 | |||||||||
| 822,502 | 5.000 | 11/01/48 | 823,907 | |||||||||
| 1,017,022 | 4.500 | 01/01/49 | 990,457 | |||||||||
| 283,777 | 4.500 | 03/01/49 | 276,365 | |||||||||
| 673,321 | 4.500 | 04/01/49 | 656,237 | |||||||||
| 531,401 | 3.500 | 07/01/49 | 492,533 | |||||||||
| 340,956 | 3.500 | 08/01/49 | 316,017 | |||||||||
| 1,178,078 | 3.000 | 09/01/49 | 1,053,869 | |||||||||
| 1,772,551 | 4.500 | 03/01/50 | 1,729,848 | |||||||||
| 2,765,896 | 2.500 | 09/01/50 | 2,379,130 | |||||||||
| 2,775,713 | 2.500 | 05/01/51 | 2,376,297 | |||||||||
| 11,832 | 4.500 | 05/01/51 | 11,393 | |||||||||
| 4,597,830 | 2.000 | 12/01/51 | 3,754,291 | |||||||||
| 2,943,908 | 2.000 | 02/01/52 | 2,403,432 | |||||||||
| 233,667 | 4.500 | 04/01/52 | 224,588 | |||||||||
| 41,762 | 5.000 | 05/01/52 | 41,455 | |||||||||
| 544,515 | 5.000 | 06/01/52 | 540,340 | |||||||||
| 2,205,458 | 5.000 | 07/01/52 | 2,185,307 | |||||||||
| 28,943 | 5.000 | 08/01/52 | 28,712 | |||||||||
| 750,919 | 6.000 | 12/01/52 | 766,481 | |||||||||
| 964,914 | 5.500 | 04/01/53 | 961,625 | |||||||||
| 4,000,000 | 2.500 | TBA-30yr(e) | 3,389,843 | |||||||||
| 4,000,000 | 3.500 | TBA-30yr(e) | 3,643,437 | |||||||||
| 1,000,000 | 5.000 | TBA-30yr(e) | 979,727 | |||||||||
| 1,000,000 | 5.500 | TBA-30yr(e) | 995,194 | |||||||||
| 1,000,000 | 6.000 | TBA-30yr(e) | 1,008,711 | |||||||||
|
| ||||||||||||
| 42,597,216 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $ 87,618,079 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $102,090,451) |
$ 97,116,617 | |||||||||||
|
| ||||||||||||
| Agency Debentures – 27.0% | ||||||||||||
| Sovereign – 27.0% | ||||||||||||
| FFCB | ||||||||||||
| $ |
2,180,000 | 3.430 | % | 12/06/28 | $ 2,064,656 | |||||||
|
| ||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Agency Debentures – (continued) | ||||||||||||
| Sovereign – (continued) | ||||||||||||
| FFCB – (continued) | ||||||||||||
| $ |
720,000 | 5.270 | % | 05/01/29 | $ 744,358 | |||||||
| FHLB | ||||||||||||
| 3,620,000 | 3.500 | 06/11/32 | 3,355,631 | |||||||||
| FNMA | ||||||||||||
| 2,600,000 | 6.250 | 05/15/29 | 2,875,574 | |||||||||
| 14,500,000 | 0.875 | 08/05/30 | 11,653,505 | |||||||||
| 4,000,000 | 6.625 | 11/15/30 | 4,633,720 | |||||||||
| Tennessee Valley Authority | ||||||||||||
| 20,150,000 | 0.750 | 05/15/25 | 18,576,688 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $48,287,668) |
$ 43,904,132 | |||||||||||
|
| ||||||||||||
| Asset-Backed Securities(a)(b)(c) – 2.1% | ||||||||||||
| Collateralized Loan Obligations – 0.6% | ||||||||||||
| Towd Point Mortgage Trust Series 2017-4, Class A2 | ||||||||||||
| $ |
1,030,153 | 3.000 | % | 06/25/57 | $ 905,559 | |||||||
|
| ||||||||||||
| Student Loan – 1.5% | ||||||||||||
| ECMC Group Student Loan Trust Series 2018-2A, Class A (1M USD LIBOR + 0.800%) | ||||||||||||
| 909,560 | 5.950 | 09/25/68 | 883,824 | |||||||||
| PHEAA Student Loan Trust Series 2016-1A, Class A (1M USD | ||||||||||||
| 535,791 | 6.300 | 09/25/65 | 527,554 | |||||||||
| Scholar Funding Trust Series 2013-A, Class A (1M USD LIBOR + 0.650%) | ||||||||||||
| 1,042,788 | 5.828 | 01/30/45 | 1,006,142 | |||||||||
|
| ||||||||||||
| 2,417,520 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $3,526,339) |
$ 3,323,079 | |||||||||||
|
| ||||||||||||
| Municipal Debt Obligations – 1.3% | ||||||||||||
| New Jersey – 1.3% | ||||||||||||
| New Jersey Economic Development Authority Series A | ||||||||||||
| $ |
2,000,000 | 7.425 | % | 02/15/29 | $ 2,148,158 | |||||||
| (Cost $2,000,000) | ||||||||||||
|
| ||||||||||||
| Sovereign Debt Obligations(f) – 0.7% | ||||||||||||
| United States Dollar – 0.7% | ||||||||||||
| Israel Government AID Bond | ||||||||||||
| $ |
500,000 | 5.500 | % | 12/04/23 | $ 499,670 | |||||||
| 700,000 | 5.500 | 04/26/24 | 698,635 | |||||||||
|
| ||||||||||||
| 1,198,305 | ||||||||||||
|
| ||||||||||||
| TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,223,906) |
$ 1,198,305 | |||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – 21.7% | ||||||||||||
| United States Treasury Bonds | ||||||||||||
| $ |
1,020,000 | 3.500 | %(g) | 04/30/30 | $ 990,675 | |||||||
| 1,890,000 | 3.875 | 08/15/40 | 1,874,939 | |||||||||
| 3,200,000 | 1.875 | 02/15/41 | 2,324,500 | |||||||||
| 3,040,000 | 2.250 | 05/15/41 | 2,341,750 | |||||||||
| 900,000 | 3.125 | 11/15/41 | 792,844 | |||||||||
| 3,830,000 | 3.625 | 02/15/44 | 3,588,231 | |||||||||
| 9,390,000 | 3.375 | 05/15/44 | 8,465,672 | |||||||||
| 3,320,000 | 3.125 | 08/15/44 | 2,872,837 | |||||||||
| 6,400,000 | 2.875 | 11/15/46 | 5,273,000 | |||||||||
| 5,080,000 | 2.750 | 11/15/47 | 4,087,019 | |||||||||
| 530,000 | 2.375 | 11/15/49 | 396,009 | |||||||||
| 1,190,000 | 2.000 | 02/15/50 | 815,894 | |||||||||
| 2,020,000 | 2.375 | 05/15/51 | 1,502,375 | |||||||||
| United States Treasury Strip Coupon(h) | ||||||||||||
| 4,000 | 0.000 | 11/15/35 | 2,450 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $42,844,288) |
$ 35,328,195 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 112.6% (Cost $199,972,652) |
$183,018,486 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – (12.6)% |
(20,549,410) | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $162,469,076 | |||||||||||
|
| ||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (b) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (c) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| (d) | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (e) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $21,132,266 which represents approximately 13.2% of net assets as of June 30, 2023. | |
| (f) | Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $1,198,305, which represents approximately 1% of the Fund’s net assets as of June 30, 2023 | |
| (g) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (h) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At June 30, 2023, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(a) |
Settlement Date |
Principal Amount |
Value | |||||||||||||||
|
|
||||||||||||||||||||
| GNMA |
3.000 | % | TBA - 30yr | 07/20/23 | $ | (3,000,000) | $ | (2,680,062) | ||||||||||||
| GNMA |
5.000 | TBA - 30yr | 07/20/23 | (1,000,000) | (982,544) | |||||||||||||||
| UMBS, 30 Year, Single Family |
2.000 | TBA - 30yr | 07/13/23 | (1,000,000) | (814,886) | |||||||||||||||
| UMBS, 30 Year, Single Family |
3.000 | TBA - 30yr | 07/13/23 | (2,000,000) | (1,759,687) | |||||||||||||||
| UMBS, 30 Year, Single Family |
4.000 | TBA - 30yr | 07/13/23 | (1,000,000) | (938,203) | |||||||||||||||
| UMBS, 30 Year, Single Family |
4.500 | TBA - 30yr | 07/13/23 | (2,000,000) | (1,921,876) | |||||||||||||||
|
|
||||||||||||||||||||
| (PROCEEDS RECEIVABLE: $(9,148,906)) |
|
$ | (9,097,258) | |||||||||||||||||
|
|
||||||||||||||||||||
| (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 June 30, 2023, 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 |
24 | 09/29/23 | $ | 4,880,250 | $ | (31,912 | ) | |||||
| 5 Year U.S. Treasury Notes |
143 | 09/29/23 | 15,314,406 | (179,929 | ) | |||||||
|
|
||||||||||||
| Total |
$ | (211,841 | ) | |||||||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| 10 Year U.S. Treasury Notes |
(100) | 09/20/23 | (11,368,516 | ) | 108,143 | |||||||
| 20 Year U.S. Treasury Bonds |
(74) | 09/20/23 | (9,391,062 | ) | 27,907 | |||||||
| Ultra Long U.S. Treasury Bonds |
(67) | 09/20/23 | (9,126,656 | ) | (61,454 | ) | ||||||
|
|
||||||||||||
| Total |
$ | 74,596 | ||||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | (137,245 | ) | |||||||||
|
|
||||||||||||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments by Fund |
Termination Date |
Notional Amount (000s) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 12M SOFR(a) |
4.430%(a) | 12/31/24 | $ | 10 | $ | (109 | ) | $ | (2 | ) | $ | (107 | ) | |||||||||
| 3.270%(b) |
12M SOFR(b) | 05/14/25 | 8,190 | (c) | 84,096 | 48,891 | 35,205 | |||||||||||||||
| 3.490(a) |
12M SOFR(a) | 05/31/27 | 10 | 235 | (29 | ) | 264 | |||||||||||||||
| 12M SOFR(a) |
3.423(a) | 03/31/30 | 5,680 | (c) | (79,501 | ) | (840 | ) | (78,661 | ) | ||||||||||||
| 2.680(a) |
12M SOFR(a) | 07/28/32 | 3,950 | (c) | 69,662 | 37,709 | 31,953 | |||||||||||||||
| 12M SOFR(a) |
2.910(a) | 07/28/37 | 9,660 | (c) | (127,630 | ) | (113,326 | ) | (14,304 | ) | ||||||||||||
| 12M SOFR(a) |
2.720(a) | 08/11/37 | 5,880 | (c) | (115,128 | ) | (158,287 | ) | 43,159 | |||||||||||||
| 12M SOFR(a) |
3.391(a) | 05/10/38 | 4,240 | (c) | 9,397 | (4,686 | ) | 14,083 | ||||||||||||||
| 2.080(a) |
12M SOFR(a) | 07/28/47 | 8,230 | (c) | 116,935 | 116,271 | 664 | |||||||||||||||
| 2.170(a) |
12M SOFR(a) | 08/11/52 | 2,850 | (c) | 126,048 | 123,197 | 2,851 | |||||||||||||||
| 2.564(a) |
12M SOFR(a) | 05/11/53 | 3,410 | (c) | (19,493 | ) | 4,634 | (24,127 | ) | |||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 64,512 | $ | 53,532 | $ | 10,980 | ||||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Payments made annually. |
| (b) | Payments made at maturity. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2023. |
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
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 contract |
||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||
| 1Y IRS |
Citibank NA | 2.400 | % | 07/28/2023 | 2,000,000 | $ | 2,000,000 | $ | 22 | $ | 67,000 | $ | (66,978 | ) | ||||||||||||||
|
|
||||||||||||||||||||||||||||
| Written option contracts |
||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (6,450,000) | (6,450,000 | ) | (10,470 | ) | (40,055 | ) | 29,585 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (3,250,000) | (3,250,000 | ) | (4,901 | ) | (20,719 | ) | 15,818 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (3,250,000) | (3,250,000 | ) | (4,781 | ) | (21,125 | ) | 16,344 | |||||||||||||||||
| 1Y IRS |
Citibank NA | 1.750 | 07/28/2023 | (2,000,000) | (2,000,000 | ) | — | (25,000 | ) | 25,000 | ||||||||||||||||||
| 1Y IRS |
Citibank NA | 2.075 | 07/28/2023 | (2,000,000) | (2,000,000 | ) | (3 | ) | (42,000 | ) | 41,997 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (16,950,000) | $ | (16,950,000 | ) | $ | (20,155 | ) | $ | (148,899 | ) | $ | 128,744 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (6,450,000) | (6,450,000 | ) | (91,560 | ) | (40,054 | ) | (51,505 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (3,250,000) | (3,250,000 | ) | (48,347 | ) | (20,719 | ) | (27,629 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (3,250,000) | (3,250,000 | ) | (49,040 | ) | (21,125 | ) | (27,916 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (12,950,000) | $ | (12,950,000 | ) | $ | (188,947 | ) | $ | (81,898 | ) | $ | (107,050 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total written option contracts |
(29,900,000) | $ | (29,900,000 | ) | $ | (209,102 | ) | $ | (230,797 | ) | $ | 21,694 | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
(27,900,000) | $ | (27,900,000 | ) | $ | (209,080 | ) | $ | (163,797 | ) | $ | (45,284 | ) | |||||||||||||||
|
|
||||||||||||||||||||||||||||
GOLDMAN SACHS GOVERNMENT INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
|
| ||
| 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 | |
| UMBS | — Uniform Mortgage Backed Securities | |
| Abbreviations: | ||
| 1Y IRS | — 1 Year Interest Rate Swaptions | |
| BofA Securities LLC | — Bank of America Securities LLC | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Agency Debentures – 1.1% | ||||||||||||
| Sovereign – 1.1% | ||||||||||||
| United States Treasury Inflation Indexed Notes | ||||||||||||
| $ |
3,716,793 | 1.625 | % | 10/15/27 | $ 3,662,287 | |||||||
| (Cost $3,699,870) | ||||||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $3,699,870) |
$ 3,662,287 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 98.2% | ||||||||||||
| United States Treasury Inflation Indexed Bonds | ||||||||||||
| $ |
16,208,346 | 2.125 | % | 02/15/40 | $ 17,394,487 | |||||||
| 6,481,171 | 1.375 | 02/15/44 | 6,102,427 | |||||||||
| 11,734,105 | 1.000 | 02/15/48 | 10,089,909 | |||||||||
| 9,799,577 | 1.000 | 02/15/49 | 8,430,279 | |||||||||
| 6,240,983 | 0.250 | 02/15/50 | 4,363,689 | |||||||||
| 6,011,452 | 0.125 | 02/15/51 | 4,009,184 | |||||||||
| United States Treasury Inflation Indexed Notes | ||||||||||||
| 10,298,260 | 0.125 | 04/15/25 | 9,795,742 | |||||||||
| 36,835,776 | 0.375 | (a) | 07/15/25 | 35,249,045 | ||||||||
| 31,316,706 | 0.125 | 10/15/25 | 29,693,338 | |||||||||
| 21,142,100 | 0.125 | 04/15/26 | 19,822,833 | |||||||||
| 19,651,351 | 0.125 | 07/15/26 | 18,457,339 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – (continued) | ||||||||||||
| United States Treasury Inflation Indexed Notes – (continued) | ||||||||||||
| $ |
22,954,593 | 0.125 | % | 10/15/26 | $ 21,461,457 | |||||||
| 17,842,222 | 0.500 | 01/15/28 | 16,689,331 | |||||||||
| 27,207,633 | 0.875 | 01/15/29 | 25,759,274 | |||||||||
| 7,166,320 | 0.250 | 07/15/29 | 6,545,307 | |||||||||
| 19,105,450 | 0.125 | 07/15/30 | 17,129,245 | |||||||||
| 40,595,379 | 0.125 | 07/15/31 | 36,011,724 | |||||||||
| 30,566,479 | 0.625 | 07/15/32 | 28,102,700 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $348,853,446) |
$315,107,310 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 99.3% (Cost $352,553,316) |
$318,769,597 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.7% |
2,239,147 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $321,008,744 | |||||||||||
|
| ||||||||||||
| 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. | |
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2023, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
|
||||||||||||
| Long position contracts: |
||||||||||||
| 10 Year U.S. Treasury Notes |
45 | 09/20/23 | $ | 5,329,687 | $ | (50,733 | ) | |||||
| 2 Year U.S. Treasury Notes |
4 | 09/29/23 | 813,375 | (3,299 | ) | |||||||
| 5 Year U.S. Treasury Notes |
13 | 09/29/23 | 1,392,219 | (7,175 | ) | |||||||
|
|
||||||||||||
| Total |
$ | (61,207 | ) | |||||||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| 10 Year U.S. Treasury Notes |
(130) | 09/20/23 | (14,594,531 | ) | 122,972 | |||||||
| 20 Year U.S. Treasury Bonds |
(7) | 09/20/23 | (888,344 | ) | (687 | ) | ||||||
| Ultra Long U.S. Treasury Bonds |
(43) | 09/20/23 | (5,857,406 | ) | (30,626 | ) | ||||||
|
|
||||||||||||
| Total |
$ | 91,659 | ||||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | 30,452 | ||||||||||
|
|
||||||||||||
SWAP CONTRACTS — At June 30, 2023, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Received by Fund |
Termination Date |
Notional Amount (000s) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 2.251%(a) |
1T CPI-U(a) | 02/20/24 | $ | 13,700 | $ | 1,318,850 | $ | 15 | $ | 1,318,835 | ||||||||||||
| 2.103(a) |
1T CPI-U(a) | 12/14/24 | 10,000 | 1,065,241 | 28 | 1,065,213 | ||||||||||||||||
| 4.430(b) |
12M SOFR(b) | 12/31/24 | 10 | 111 | (40 | ) | 151 | |||||||||||||||
| 3.270(a) |
12M SOFR(a) | 05/14/25 | 24,930 | (c) | 255,976 | 148,913 | 107,063 | |||||||||||||||
| 2.007(a) |
1T CPI-U(a) | 02/07/26 | 6,300 | 708,117 | 31 | 708,086 | ||||||||||||||||
| 12M SOFR(b) |
3.490%(b) | 05/31/27 | 10 | (266 | ) | (30 | ) | (236 | ) | |||||||||||||
| 12M SOFR(a) |
2.103(a) | 02/07/29 | 6,300 | (737,845 | ) | 54 | (737,899 | ) | ||||||||||||||
| 12M SOFR(b) |
3.423(b) | 03/31/30 | 17,580 | (c) | (246,062 | ) | (2,442 | ) | (243,620 | ) | ||||||||||||
| 2.680(b) |
12M SOFR(b) | 07/28/32 | 13,210 | (c) | 232,971 | 175,929 | 57,042 | |||||||||||||||
| 12M SOFR(b) |
2.910(b) | 07/28/37 | 32,380 | (c) | (427,812 | ) | (435,904 | ) | 8,092 | |||||||||||||
| 12M SOFR(b) |
2.720(b) | 08/11/37 | 19,070 | (c) | (373,381 | ) | (583,377 | ) | 209,996 | |||||||||||||
| 12M SOFR(b) |
3.391(b) | 05/10/38 | 15,220 | (c) | 33,729 | (15,475 | ) | 49,204 | ||||||||||||||
| 2.080(b) |
12M SOFR(b) | 07/28/47 | 27,580 | (c) | 391,868 | 362,210 | 29,658 | |||||||||||||||
| 2.170(b) |
12M SOFR(b) | 08/11/52 | 9,770 | (c) | 432,103 | 273,827 | 158,276 | |||||||||||||||
| 2.564(b) |
12M SOFR(b) | 05/11/53 | 12,180 | (c) | (69,627 | ) | 14,276 | (83,903 | ) | |||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 2,583,973 | $ | (61,985 | ) | $ | 2,645,958 | |||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Payments made at maturity. |
| (b) | Payments made annually. |
| (c) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2023. |
GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2023, 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) |
||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Written option contracts |
||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | % | 05/10/2024 | (21,600,000) | $ | (21,600,000 | ) | $ | (35,061 | ) | $ | (134,136 | ) | $ | 99,075 | ||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (8,950,000) | (8,950,000 | ) | (13,496 | ) | (57,056 | ) | 43,561 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (8,950,000) | (8,950,000 | ) | (13,166 | ) | (58,175 | ) | 45,009 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (39,500,000) | $ | (39,500,000 | ) | $ | (61,723 | ) | $ | (249,367 | ) | $ | 187,645 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (21,600,000) | (21,600,000 | ) | (306,619 | ) | (134,136 | ) | (172,483 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (8,950,000) | (8,950,000 | ) | (133,141 | ) | (57,057 | ) | (76,085 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (8,950,000) | (8,950,000 | ) | (135,050 | ) | (58,175 | ) | (76,875 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (39,500,000) | $ | (39,500,000 | ) | $ | (574,810 | ) | $ | (249,368 | ) | $ | (325,443 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total written option contracts |
|
(79,000,000) | $ | (79,000,000 | ) | $ | (636,533 | ) | $ | (498,735 | ) | $ | (137,798 | ) | ||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
(79,000,000) | $ | (79,000,000 | ) | $ | (636,533 | ) | $ | (498,735 | ) | $ | (137,798 | ) | |||||||||||||||
|
|
||||||||||||||||||||||||||||
|
| ||
| Currency Abbreviations: | ||
| USD | — U.S. Dollar | |
| Abbreviations: | ||
| 1Y IRS | — 1 Year Interest Rate Swaptions | |
| CPI U | — Consumer Price Index For All Urban Consumers | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 55.7% | ||||||||||||
| Advertising(a)(b) – 0.3% | ||||||||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp. | ||||||||||||
| $ |
4,405,000 | 6.250 | % | 06/15/25 | $ 4,405,749 | |||||||
|
| ||||||||||||
| Aerospace & Defense(b) – 2.0% | ||||||||||||
| Howmet Aerospace, Inc. | ||||||||||||
| 1,279,000 | 5.125 | 10/01/24 | 1,267,182 | |||||||||
| 1,265,000 | 6.875 | 05/01/25 | 1,285,708 | |||||||||
| Teledyne Technologies, Inc. | ||||||||||||
| 9,375,000 | 1.600 | 04/01/26 | 8,465,719 | |||||||||
| The Boeing Co. | ||||||||||||
| 11,850,000 | 4.875 | 05/01/25 | 11,680,189 | |||||||||
| 5,400,000 | 2.600 | 10/30/25 | 5,025,402 | |||||||||
|
| ||||||||||||
| 27,724,200 | ||||||||||||
|
| ||||||||||||
| Agriculture(b) – 0.5% | ||||||||||||
| BAT International Finance PLC | ||||||||||||
| 8,000,000 | 1.668 | 03/25/26 | 7,193,200 | |||||||||
|
| ||||||||||||
| Airlines(a)(b) – 0.2% | ||||||||||||
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | ||||||||||||
| 3,030,000 | 8.000 | 09/20/25 | 3,060,270 | |||||||||
|
| ||||||||||||
| Automotive – 1.8% | ||||||||||||
| Ford Motor Credit Co. LLC(b) | ||||||||||||
| 5,639,000 | 2.300 | 02/10/25 | 5,266,713 | |||||||||
| 250,000 | 4.687 | 06/09/25 | 241,003 | |||||||||
| General Motors Financial Co., Inc.(b) | ||||||||||||
| 8,800,000 | 1.500 | 06/10/26 | 7,781,928 | |||||||||
| Hyundai Capital America(a) | ||||||||||||
| 2,350,000 | 5.800 | 06/26/25 | 2,345,629 | |||||||||
| The Goodyear Tire & Rubber Co.(b) | ||||||||||||
| 3,235,000 | 9.500 | 05/31/25 | 3,315,357 | |||||||||
| Volkswagen Group of America Finance LLC(a) | ||||||||||||
| 5,800,000 | 3.950 | 06/06/25 | 5,621,476 | |||||||||
| ZF North America Capital, Inc.(a) | ||||||||||||
| 900,000 | 4.750 | 04/29/25 | 876,411 | |||||||||
|
| ||||||||||||
| 25,448,517 | ||||||||||||
|
| ||||||||||||
| Banks – 22.3% | ||||||||||||
| Banco do Brasil SA | ||||||||||||
| 3,350,000 | 4.750 | 03/20/24 | 3,302,128 | |||||||||
| Banco Santander SA | ||||||||||||
| 1,600,000 | 2.746 | 05/28/25 | 1,502,896 | |||||||||
| Bank of America Corp. | ||||||||||||
| 9,025,000 | 4.000 | 01/22/25 | 8,780,783 | |||||||||
| 23,950,000 | 3.950 | 04/21/25 | 23,202,520 | |||||||||
| (SOFR + 0.910%) | ||||||||||||
| 20,250,000 | 0.981 | (b)(c) | 09/25/25 | 19,026,090 | ||||||||
| (SOFR + 1.110%) | ||||||||||||
| 7,898,000 | 3.841 | (b)(c) | 04/25/25 | 7,748,412 | ||||||||
| Barclays PLC(b)(c) | ||||||||||||
| (3M USD LIBOR + 1.610%) | ||||||||||||
| 1,850,000 | 3.932 | 05/07/25 | 1,808,653 | |||||||||
| (SOFR + 2.714%) | ||||||||||||
| 3,600,000 | 2.852 | 05/07/26 | 3,374,784 | |||||||||
| BNP Paribas SA(a) | ||||||||||||
| 10,000,000 | 4.375 | 09/28/25 | 9,589,700 | |||||||||
| (SOFR + 2.074%) | ||||||||||||
| 3,275,000 | 2.219 | (b)(c) | 06/09/26 | 3,033,567 | ||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| BPCE SA(a) | ||||||||||||
| $ |
850,000 | 2.375 | % | 01/14/25 | $ 797,156 | |||||||
| (SOFR + 1.520%) | ||||||||||||
| 3,675,000 | 1.652 | (b)(c) | 10/06/26 | 3,295,777 | ||||||||
| Canadian Imperial Bank of Commerce | ||||||||||||
| 2,065,000 | 5.144 | 04/28/25 | 2,048,418 | |||||||||
| Citigroup, Inc. | ||||||||||||
| 1,525,000 | 3.875 | 03/26/25 | 1,473,470 | |||||||||
| 1,375,000 | 4.400 | 06/10/25 | 1,336,321 | |||||||||
| 1,800,000 | 4.600 | 03/09/26 | 1,741,914 | |||||||||
| (SOFR + 0.694%) | ||||||||||||
| 15,075,000 | 2.014 | (b)(c) | 01/25/26 | 14,176,831 | ||||||||
| (SOFR + 1.372%) | ||||||||||||
| 7,355,000 | 4.140 | (b)(c) | 05/24/25 | 7,225,699 | ||||||||
| (SOFR + 2.842%) | ||||||||||||
| 14,275,000 | 3.106 | (b)(c) | 04/08/26 | 13,629,913 | ||||||||
| Credit Agricole SA | ||||||||||||
| 5,700,000 | 4.375 | 03/17/25 | 5,496,909 | |||||||||
| Credit Suisse AG | ||||||||||||
| 5,539,000 | 6.500 | (a) | 08/08/23 | 5,510,142 | ||||||||
| 11,225,000 | 3.700 | 02/21/25 | 10,741,651 | |||||||||
| 675,000 | 2.950 | 04/09/25 | 634,919 | |||||||||
| Deutsche Bank AG | ||||||||||||
| 6,025,000 | 3.700 | 05/30/24 | 5,852,986 | |||||||||
| (SOFR + 2.159%) | ||||||||||||
| 1,525,000 | 2.222 | (b)(c) | 09/18/24 | 1,506,685 | ||||||||
| Fifth Third Bancorp(b) | ||||||||||||
| 690,000 | 2.375 | 01/28/25 | 647,524 | |||||||||
| First Horizon Corp.(b) | ||||||||||||
| 1,500,000 | 4.000 | 05/26/25 | 1,401,045 | |||||||||
| First-Citizens Bank & Trust Co.(b)(c) (TSFR3M + 1.715%) | ||||||||||||
| 1,050,000 | 2.969 | 09/27/25 | 988,407 | |||||||||
| HSBC Holdings PLC(b)(c) (SOFR + 1.538%) | ||||||||||||
| 8,675,000 | 1.645 | 04/18/26 | 8,010,235 | |||||||||
| ING Groep NV(a) | ||||||||||||
| 5,000,000 | 4.625 | 01/06/26 | 4,874,600 | |||||||||
| (1 year CMT + 1.100%) | ||||||||||||
| 4,750,000 | 1.400 | (b)(c) | 07/01/26 | 4,328,722 | ||||||||
| JPMorgan Chase & Co.(b)(c) | ||||||||||||
| (SOFR + 0.420%) | ||||||||||||
| 713,000 | 0.563 | 02/16/25 | 688,024 | |||||||||
| (SOFR + 0.605%) | ||||||||||||
| 6,525,000 | 1.561 | 12/10/25 | 6,110,662 | |||||||||
| (SOFR + 0.800%) | ||||||||||||
| 9,200,000 | 1.045 | 11/19/26 | 8,243,292 | |||||||||
| (SOFR + 1.850%) | ||||||||||||
| 6,360,000 | 2.083 | 04/22/26 | 5,955,886 | |||||||||
| (TSFR3M + 1.585%) | ||||||||||||
| 22,175,000 | 2.005 | 03/13/26 | 20,829,421 | |||||||||
| Lloyds Banking Group PLC | ||||||||||||
| 1,525,000 | 4.500 | 11/04/24 | 1,480,257 | |||||||||
| Macquarie Group Ltd.(a)(b)(c) (SOFR + 1.069%) | ||||||||||||
| 2,100,000 | 1.340 | 01/12/27 | 1,868,496 | |||||||||
| Mitsubishi UFJ Financial Group, Inc. | ||||||||||||
| 3,025,000 | 1.412 | 07/17/25 | 2,772,413 | |||||||||
| Morgan Stanley(b)(c) | ||||||||||||
| (SOFR + 0.509%) | ||||||||||||
| 6,094,000 | 0.791 | 01/22/25 | 5,905,756 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| Morgan Stanley(b)(c) – (continued) | ||||||||||||
| (SOFR + 0.525%) | ||||||||||||
| $ |
3,700,000 | 0.790 | % | 05/30/25 | $ 3,515,296 | |||||||
| (SOFR + 0.720%) | ||||||||||||
| 4,025,000 | 0.985 | 12/10/26 | 3,590,984 | |||||||||
| (SOFR + 0.745%) | ||||||||||||
| 2,125,000 | 0.864 | 10/21/25 | 1,979,119 | |||||||||
| (SOFR + 1.990%) | ||||||||||||
| 20,275,000 | 2.188 | 04/28/26 | 19,029,912 | |||||||||
| Royal Bank of Canada | ||||||||||||
| 8,630,000 | 4.950 | 04/25/25 | 8,526,095 | |||||||||
| Santander Holdings USA, Inc.(b)(c) (SOFR + 0.380%) | ||||||||||||
| 4,171,000 | 4.260 | 06/09/25 | 4,002,408 | |||||||||
| Santander UK Group Holdings PLC(b)(c) (SOFR + 0.787%) | ||||||||||||
| 9,700,000 | 1.089 | 03/15/25 | 9,286,683 | |||||||||
| Standard Chartered PLC(a)(b)(c) (1 year CMT + 0.780%) | ||||||||||||
| 2,275,000 | 0.991 | 01/12/25 | 2,205,658 | |||||||||
| Sumitomo Mitsui Financial Group, Inc. | ||||||||||||
| 1,925,000 | 1.474 | 07/08/25 | 1,769,171 | |||||||||
| The Bank of New York Mellon Corp.(b)(c) (SOFR + 1.026%) | ||||||||||||
| 4,600,000 | 4.947 | 04/26/27 | 4,541,304 | |||||||||
| UBS Group AG(a)(b)(c) (SOFR + 2.044%) | ||||||||||||
| 9,600,000 | 2.193 | 06/05/26 | 8,792,736 | |||||||||
| Wells Fargo & Co.(b)(c) | ||||||||||||
| (SOFR + 1.560%) | ||||||||||||
| 9,910,000 | 4.540 | 08/15/26 | 9,688,016 | |||||||||
| (SOFR + 2.000%) | ||||||||||||
| 7,200,000 | 2.188 | 04/30/26 | 6,748,272 | |||||||||
| Westpac New Zealand Ltd.(a) | ||||||||||||
| 2,265,000 | 4.902 | 02/15/28 | 2,217,050 | |||||||||
|
| ||||||||||||
| 316,835,768 | ||||||||||||
|
| ||||||||||||
| Building Materials(b) – 1.0% | ||||||||||||
| Carrier Global Corp. | ||||||||||||
| 15,325,000 | 2.242 | 02/15/25 | 14,505,879 | |||||||||
| JELD-WEN, Inc.(a) | ||||||||||||
| 125,000 | 4.875 | 12/15/27 | 110,704 | |||||||||
| Summit Materials LLC/Summit Materials Finance Corp.(a) | ||||||||||||
| 115,000 | 6.500 | 03/15/27 | 114,644 | |||||||||
|
| ||||||||||||
| 14,731,227 | ||||||||||||
|
| ||||||||||||
| Chemicals(b) – 0.5% | ||||||||||||
| International Flavors & Fragrances, Inc.(a) | ||||||||||||
| 5,225,000 | 1.230 | 10/01/25 | 4,660,177 | |||||||||
| OCI NV(a) | ||||||||||||
| 1,043,000 | 4.625 | 10/15/25 | 1,009,853 | |||||||||
| Sasol Financing USA LLC | ||||||||||||
| 450,000 | 5.875 | 03/27/24 | 442,823 | |||||||||
| SPCM SA(a) | ||||||||||||
| 1,650,000 | 3.125 | 03/15/27 | 1,480,001 | |||||||||
|
| ||||||||||||
| 7,592,854 | ||||||||||||
|
| ||||||||||||
| Commercial Services – 0.6% | ||||||||||||
| Global Payments, Inc.(b) | ||||||||||||
| 3,175,000 | 1.200 | 03/01/26 | 2,821,877 | |||||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc.(a) | ||||||||||||
| 5,920,000 | 5.250 | 04/15/24 | 5,868,022 | |||||||||
|
| ||||||||||||
| 8,689,899 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Computers(b) – 0.9% | ||||||||||||
| Dell International LLC/EMC Corp. | ||||||||||||
| $ |
10,665,000 | 5.850 | % | 07/15/25 | $ 10,703,287 | |||||||
| NetApp, Inc. | ||||||||||||
| 1,300,000 | 1.875 | 06/22/25 | 1,208,285 | |||||||||
|
| ||||||||||||
| 11,911,572 | ||||||||||||
|
| ||||||||||||
| Diversified Financial Services – 3.3% | ||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust(b) | ||||||||||||
| 5,925,000 | 3.500 | 01/15/25 | 5,699,909 | |||||||||
| 640,000 | 6.500 | 07/15/25 | 643,718 | |||||||||
| Air Lease Corp.(b) | ||||||||||||
| 1,500,000 | 2.300 | 02/01/25 | 1,412,445 | |||||||||
| 1,100,000 | 3.375 | 07/01/25 | 1,040,237 | |||||||||
| 5,175,000 | 1.875 | 08/15/26 | 4,599,023 | |||||||||
| Aviation Capital Group LLC(a)(b) | ||||||||||||
| 1,725,000 | 1.950 | 01/30/26 | 1,535,543 | |||||||||
| Avolon Holdings Funding Ltd.(a)(b) | ||||||||||||
| 1,075,000 | 3.950 | 07/01/24 | 1,042,933 | |||||||||
| 2,075,000 | 2.875 | 02/15/25 | 1,936,079 | |||||||||
| Capital One Financial Corp.(b) | ||||||||||||
| 6,050,000 | 3.200 | 02/05/25 | 5,775,693 | |||||||||
| LD Holdings Group LLC(a)(b) | ||||||||||||
| 3,610,000 | 6.500 | 11/01/25 | 2,847,929 | |||||||||
| Nomura Holdings, Inc. | ||||||||||||
| 2,695,000 | 5.099 | 07/03/25 | 2,645,547 | |||||||||
| OneMain Finance Corp.(b) | ||||||||||||
| 4,390,000 | 6.125 | 03/15/24 | 4,374,328 | |||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.(a)(b) | ||||||||||||
| 10,460,000 | 2.875 | 10/15/26 | 9,252,079 | |||||||||
| Synchrony Financial(b) | ||||||||||||
| 4,260,000 | 4.875 | 06/13/25 | 4,051,430 | |||||||||
|
| ||||||||||||
| 46,856,893 | ||||||||||||
|
| ||||||||||||
| Electrical(b) – 1.7% | ||||||||||||
| Avangrid, Inc. | ||||||||||||
| 1,375,000 | 3.200 | 04/15/25 | 1,308,464 | |||||||||
| DTE Energy Co. | ||||||||||||
| 3,375,000 | 1.050 | 06/01/25 | 3,092,040 | |||||||||
| Enel Finance International NV(a) | ||||||||||||
| 7,875,000 | 1.375 | 07/12/26 | 6,948,270 | |||||||||
| Entergy Corp. | ||||||||||||
| 2,800,000 | 0.900 | 09/15/25 | 2,517,284 | |||||||||
| NRG Energy, Inc.(a) | ||||||||||||
| 4,525,000 | 3.750 | 06/15/24 | 4,372,960 | |||||||||
| Vistra Operations Co. LLC(a) | ||||||||||||
| 3,325,000 | 3.550 | 07/15/24 | 3,211,351 | |||||||||
| 2,965,000 | 5.000 | 07/31/27 | 2,780,518 | |||||||||
|
| ||||||||||||
| 24,230,887 | ||||||||||||
|
| ||||||||||||
| Electronics(a) – 0.2% | ||||||||||||
| Sensata Technologies B.V. | ||||||||||||
| 3,000,000 | 5.000 | 10/01/25 | 2,937,480 | |||||||||
|
| ||||||||||||
| Energy-Alternate Sources(a)(b) – 0.0% | ||||||||||||
| Greenko Dutch B.V. | ||||||||||||
| 188,000 | 3.850 | 03/29/26 | 168,503 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Energy-Alternate Sources(a)(b) – (continued) | ||||||||||||
| Greenko Wind Projects Mauritius Ltd. | ||||||||||||
| $ |
200,000 | 5.500 | % | 04/06/25 | $ 191,096 | |||||||
|
| ||||||||||||
| 359,599 | ||||||||||||
|
| ||||||||||||
| Engineering & Construction(b) – 0.2% | ||||||||||||
| AECOM | ||||||||||||
| 2,750,000 | 5.125 | 03/15/27 | 2,658,370 | |||||||||
|
| ||||||||||||
| Entertainment – 0.7% | ||||||||||||
| Banijay Entertainment SASU(a)(b) | ||||||||||||
| 687,000 | 5.375 | 03/01/25 | 673,748 | |||||||||
| Caesars Entertainment, Inc.(a)(b) | ||||||||||||
| 1,895,000 | 6.250 | 07/01/25 | 1,886,586 | |||||||||
| Six Flags Theme Parks, Inc.(a)(b) | ||||||||||||
| 1,125,000 | 7.000 | 07/01/25 | 1,133,134 | |||||||||
| Warnermedia Holdings, Inc. | ||||||||||||
| 6,900,000 | 3.638 | 03/15/25 | 6,656,568 | |||||||||
|
| ||||||||||||
| 10,350,036 | ||||||||||||
|
| ||||||||||||
| Environmental(a)(b) – 0.6% | ||||||||||||
| GFL Environmental, Inc. | ||||||||||||
| 3,880,000 | 3.750 | 08/01/25 | 3,693,527 | |||||||||
| 4,860,000 | 5.125 | 12/15/26 | 4,687,616 | |||||||||
|
| ||||||||||||
| 8,381,143 | ||||||||||||
|
| ||||||||||||
| Food & Drug Retailing(a)(b) – 0.5% | ||||||||||||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/ Albertsons LLC | ||||||||||||
| 3,630,000 | 3.250 | 03/15/26 | 3,363,630 | |||||||||
| 110,000 | 7.500 | 03/15/26 | 112,043 | |||||||||
| Performance Food Group, Inc. | ||||||||||||
| 3,020,000 | 6.875 | 05/01/25 | 3,024,198 | |||||||||
| US Foods, Inc. | ||||||||||||
| 1,055,000 | 6.250 | 04/15/25 | 1,055,675 | |||||||||
|
| ||||||||||||
| 7,555,546 | ||||||||||||
|
| ||||||||||||
| Gas(b) – 0.7% | ||||||||||||
| NiSource, Inc. | ||||||||||||
| 11,050,000 | 0.950 | 08/15/25 | 10,085,335 | |||||||||
|
| ||||||||||||
| Healthcare Providers & Services – 1.7% | ||||||||||||
| Centene Corp.(b) | ||||||||||||
| 1,900,000 | 4.250 | 12/15/27 | 1,777,868 | |||||||||
| 8,410,000 | 2.450 | 07/15/28 | 7,208,800 | |||||||||
| HCA, Inc. | ||||||||||||
| 8,810,000 | 5.375 | 02/01/25 | 8,734,322 | |||||||||
| 6,000,000 | 5.875 | (b) | 02/15/26 | 6,005,100 | ||||||||
|
| ||||||||||||
| 23,726,090 | ||||||||||||
|
| ||||||||||||
| Household Products(b) – 0.0% | ||||||||||||
| Spectrum Brands, Inc. | ||||||||||||
| 114,000 | 5.750 | 07/15/25 | 113,954 | |||||||||
|
| ||||||||||||
| Housewares(b) – 0.2% | ||||||||||||
| Newell Brands, Inc. | ||||||||||||
| 2,770,000 | 4.875 | 06/01/25 | 2,671,859 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Insurance – 0.4% | ||||||||||||
| American International Group, Inc.(b) | ||||||||||||
| $ |
1,333,000 | 2.500 | % | 06/30/25 | $ 1,256,566 | |||||||
| Athene Global Funding(a) | ||||||||||||
| 678,000 | 1.450 | 01/08/26 | 595,691 | |||||||||
| Equitable Financial Life Global Funding(a) | ||||||||||||
| 1,550,000 | 1.400 | 07/07/25 | 1,410,996 | |||||||||
| Great-West Lifeco US Finance 2020 LP(a)(b) | ||||||||||||
| 2,000,000 | 0.904 | 08/12/25 | 1,797,380 | |||||||||
|
| ||||||||||||
| 5,060,633 | ||||||||||||
|
| ||||||||||||
| Internet – 1.5% | ||||||||||||
| Gen Digital, Inc.(a)(b) | ||||||||||||
| 3,110,000 | 6.750 | 09/30/27 | 3,103,003 | |||||||||
| Netflix, Inc. | ||||||||||||
| 3,265,000 | 5.875 | 02/15/25 | 3,279,007 | |||||||||
| 4,000,000 | 3.625 | (a)(b) | 06/15/25 | 3,857,120 | ||||||||
| Prosus NV(a)(b) | ||||||||||||
| 7,030,000 | 3.257 | 01/19/27 | 6,351,253 | |||||||||
| Uber Technologies, Inc.(a)(b) | ||||||||||||
| 4,340,000 | 7.500 | 05/15/25 | 4,396,897 | |||||||||
|
| ||||||||||||
| 20,987,280 | ||||||||||||
|
| ||||||||||||
| Investment Companies – 0.4% | ||||||||||||
| Blackstone Private Credit Fund | ||||||||||||
| 6,000,000 | 4.700 | 03/24/25 | 5,777,760 | |||||||||
|
| ||||||||||||
| Iron/Steel – 0.1% | ||||||||||||
| POSCO(a) | ||||||||||||
| 310,000 | 5.750 | 01/17/28 | 314,489 | |||||||||
| Steel Dynamics, Inc.(b) | ||||||||||||
| 345,000 | 2.400 | 06/15/25 | 322,606 | |||||||||
|
| ||||||||||||
| 637,095 | ||||||||||||
|
| ||||||||||||
| Leisure Time(a)(b) – 0.4% | ||||||||||||
| NCL Corp. Ltd. | ||||||||||||
| 2,245,000 | 5.875 | 02/15/27 | 2,182,881 | |||||||||
| Royal Caribbean Cruises Ltd. | ||||||||||||
| 3,506,000 | 11.500 | 06/01/25 | 3,716,886 | |||||||||
|
| ||||||||||||
| 5,899,767 | ||||||||||||
|
| ||||||||||||
| Lodging(b) – 0.7% | ||||||||||||
| Marriott International, Inc. | ||||||||||||
| 4,918,000 | 5.750 | 05/01/25 | 4,931,033 | |||||||||
| MGM Resorts International | ||||||||||||
| 2,040,000 | 6.750 | 05/01/25 | 2,045,181 | |||||||||
| 3,511,000 | 5.750 | 06/15/25 | 3,473,924 | |||||||||
|
| ||||||||||||
| 10,450,138 | ||||||||||||
|
| ||||||||||||
| Machinery-Diversified(b) – 0.3% | ||||||||||||
| Husky III Holding Ltd.(d)(a) | ||||||||||||
| 1,104,000 | 13.000 | 02/15/25 | 1,005,766 | |||||||||
| Otis Worldwide Corp. | ||||||||||||
| 4,000,000 | 2.056 | 04/05/25 | 3,771,480 | |||||||||
|
| ||||||||||||
| 4,777,246 | ||||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Media – 1.0% | ||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital(b) | ||||||||||||
| $ |
8,925,000 | 4.908 | % | 07/23/25 | $ 8,752,390 | |||||||
| (3M USD LIBOR + 1.650%) | ||||||||||||
| 1,275,000 | 6.949 | (c) | 02/01/24 | 1,278,953 | ||||||||
| DISH DBS Corp. | ||||||||||||
| 5,065,000 | 5.875 | 11/15/24 | 4,453,806 | |||||||||
|
| ||||||||||||
| 14,485,149 | ||||||||||||
|
| ||||||||||||
| Mining(a)(b) – 0.3% | ||||||||||||
| Glencore Funding LLC | ||||||||||||
| 4,200,000 | 1.625 | 09/01/25 | 3,856,650 | |||||||||
|
| ||||||||||||
| Miscellaneous Manufacturing(b) – 0.3% | ||||||||||||
| Amsted Industries, Inc.(a) | ||||||||||||
| 2,754,000 | 5.625 | 07/01/27 | 2,671,408 | |||||||||
| Hillenbrand, Inc. | ||||||||||||
| 890,000 | 5.750 | 06/15/25 | 881,367 | |||||||||
|
| ||||||||||||
| 3,552,775 | ||||||||||||
|
| ||||||||||||
| Multi-National(a)(b) – 0.1% | ||||||||||||
| The African Export-Import Bank | ||||||||||||
| 1,050,000 | 2.634 | 05/17/26 | 945,242 | |||||||||
| 1,130,000 | 3.798 | 05/17/31 | 910,565 | |||||||||
|
| ||||||||||||
| 1,855,807 | ||||||||||||
|
| ||||||||||||
| Office & Business Equipment(a)(b) – 0.3% | ||||||||||||
| Xerox Holdings Corp. | ||||||||||||
| 4,495,000 | 5.000 | 08/15/25 | 4,230,829 | |||||||||
|
| ||||||||||||
| Oil Field Services(b) – 1.1% | ||||||||||||
| Canadian Natural Resources Ltd. | ||||||||||||
| 1,875,000 | 2.050 | 07/15/25 | 1,747,575 | |||||||||
| Continental Resources, Inc. | ||||||||||||
| 6,800,000 | 3.800 | 06/01/24 | 6,663,864 | |||||||||
| Devon Energy Corp. | ||||||||||||
| 120,000 | 5.250 | 09/15/24 | 119,032 | |||||||||
| EQT Corp. | ||||||||||||
| 2,625,000 | 6.125 | 02/01/25 | 2,611,822 | |||||||||
| Petroleos Mexicanos | ||||||||||||
| 210,000 | 6.875 | 10/16/25 | 201,159 | |||||||||
| QatarEnergy | ||||||||||||
| 2,160,000 | 1.375 | 09/12/26 | 1,938,427 | |||||||||
| Saudi Arabian Oil Co. | ||||||||||||
| 2,130,000 | 1.625 | 11/24/25 | 1,944,072 | |||||||||
| USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||||
| 120,000 | 6.875 | 04/01/26 | 117,304 | |||||||||
|
| ||||||||||||
| 15,343,255 | ||||||||||||
|
| ||||||||||||
| Packaging(b) – 0.4% | ||||||||||||
| Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(a) | ||||||||||||
| 1,165,000 | 6.000 | 06/15/27 | 1,145,253 | |||||||||
| Berry Global, Inc. | ||||||||||||
| 3,200,000 | 1.570 | 01/15/26 | 2,888,128 | |||||||||
| Silgan Holdings, Inc.(a) | ||||||||||||
| 1,925,000 | 1.400 | 04/01/26 | 1,704,049 | |||||||||
|
| ||||||||||||
| 5,737,430 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Pharmaceuticals(b) – 1.0% | ||||||||||||
| Herbalife Nutrition Ltd./HLF Financing, Inc.(a) | ||||||||||||
| $ |
7,435,000 | 7.875 | % | 09/01/25 | $ 6,819,382 | |||||||
| Perrigo Finance Unlimited Co. | ||||||||||||
| 5,000,000 | 3.900 | 12/15/24 | 4,836,200 | |||||||||
| PRA Health Sciences, Inc.(a) | ||||||||||||
| 3,144,000 | 2.875 | 07/15/26 | 2,866,007 | |||||||||
|
| ||||||||||||
| 14,521,589 | ||||||||||||
|
| ||||||||||||
| Pipelines(b) – 2.1% | ||||||||||||
| Cheniere Energy Partners LP | ||||||||||||
| 2,835,000 | 4.500 | 10/01/29 | 2,603,551 | |||||||||
| DCP Midstream Operating LP | ||||||||||||
| 4,645,000 | 5.375 | 07/15/25 | 4,599,340 | |||||||||
| 2,690,000 | 5.625 | 07/15/27 | 2,689,381 | |||||||||
| Energy Transfer LP/Regency Energy Finance Corp. | ||||||||||||
| 150,000 | 4.500 | 11/01/23 | 149,329 | |||||||||
| MPLX LP | ||||||||||||
| 1,225,000 | 4.875 | 12/01/24 | 1,207,972 | |||||||||
| 8,300,000 | 1.750 | 03/01/26 | 7,541,380 | |||||||||
| NGPL PipeCo LLC(a) | ||||||||||||
| 410,000 | 4.875 | 08/15/27 | 389,484 | |||||||||
| NuStar Logistics LP | ||||||||||||
| 7,500,000 | 5.750 | 10/01/25 | 7,337,025 | |||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||||||
| 2,720,000 | 6.875 | 01/15/29 | 2,774,155 | |||||||||
|
| ||||||||||||
| 29,291,617 | ||||||||||||
|
| ||||||||||||
| Real Estate(b)(e) – 0.0% | ||||||||||||
| Sunac China Holdings Ltd. | ||||||||||||
| 200,000 | 6.500 | 01/10/25 | 32,000 | |||||||||
| Zhenro Properties Group Ltd. | ||||||||||||
| 200,000 | 6.700 | 08/04/26 | 8,000 | |||||||||
|
| ||||||||||||
| 40,000 | ||||||||||||
|
| ||||||||||||
| Real Estate Investment Trust(b) – 1.4% | ||||||||||||
| American Tower Corp. | ||||||||||||
| 1,150,000 | 2.400 | 03/15/25 | 1,084,163 | |||||||||
| 1,400,000 | 1.300 | 09/15/25 | 1,268,666 | |||||||||
| Crown Castle, Inc. | ||||||||||||
| 1,750,000 | 1.350 | 07/15/25 | 1,602,282 | |||||||||
| MPT Operating Partnership LP/MPT Finance Corp. | ||||||||||||
| 7,785,000 | 5.250 | 08/01/26 | 6,915,338 | |||||||||
| VICI Properties LP/VICI Note Co., Inc.(a) | ||||||||||||
| 4,830,000 | 5.625 | 05/01/24 | 4,802,276 | |||||||||
| 4,590,000 | 3.500 | 02/15/25 | 4,392,217 | |||||||||
| WP Carey, Inc. | ||||||||||||
| 230,000 | 4.000 | 02/01/25 | 223,270 | |||||||||
|
| ||||||||||||
| 20,288,212 | ||||||||||||
|
| ||||||||||||
| Retailing(b) – 0.2% | ||||||||||||
| Penske Automotive Group, Inc. | ||||||||||||
| 3,310,000 | 3.500 | 09/01/25 | 3,152,179 | |||||||||
|
| ||||||||||||
| Semiconductors(b) – 0.2% | ||||||||||||
| NXP B.V./NXP Funding LLC/NXP USA, Inc. | ||||||||||||
| 250,000 | 2.700 | 05/01/25 | 237,008 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Semiconductors(b) – (continued) | ||||||||||||
| Skyworks Solutions, Inc. | ||||||||||||
| $ |
2,425,000 | 1.800 | % | 06/01/26 | $ 2,170,035 | |||||||
|
| ||||||||||||
| 2,407,043 | ||||||||||||
|
| ||||||||||||
| Software – 1.0% | ||||||||||||
| Fair Isaac Corp.(a)(b) | ||||||||||||
| 2,705,000 | 5.250 | 05/15/26 | 2,646,464 | |||||||||
| Infor, Inc.(a)(b) | ||||||||||||
| 1,075,000 | 1.750 | 07/15/25 | 981,238 | |||||||||
| Oracle Corp. | ||||||||||||
| 2,825,000 | 2.500 | (b) | 04/01/25 | 2,681,349 | ||||||||
| 3,575,000 | 5.800 | 11/10/25 | 3,615,147 | |||||||||
| PTC, Inc.(a)(b) | ||||||||||||
| 2,085,000 | 3.625 | 02/15/25 | 2,015,257 | |||||||||
| VMware, Inc.(b) | ||||||||||||
| 2,575,000 | 1.000 | 08/15/24 | 2,438,242 | |||||||||
|
| ||||||||||||
| 14,377,697 | ||||||||||||
|
| ||||||||||||
| Telecommunication Services – 2.1% | ||||||||||||
| CommScope Technologies LLC(a)(b) | ||||||||||||
| 112,000 | 6.000 | 06/15/25 | 104,521 | |||||||||
| Sprint LLC. | ||||||||||||
| 2,840,000 | 7.875 | 09/15/23 | 2,848,605 | |||||||||
| Telecom Italia SpA(a) | ||||||||||||
| 5,615,000 | 5.303 | 05/30/24 | 5,461,486 | |||||||||
| T-Mobile USA, Inc.(b) | ||||||||||||
| 21,574,000 | 3.500 | 04/15/25 | 20,758,287 | |||||||||
|
| ||||||||||||
| 29,172,899 | ||||||||||||
|
| ||||||||||||
| Toys/Games/Hobbies(a)(b) – 0.2% | ||||||||||||
| Mattel, Inc. | ||||||||||||
| 2,815,000 | 5.875 | 12/15/27 | 2,763,654 | |||||||||
|
| ||||||||||||
| Trucking & Leasing(a)(b) – 0.3% | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. | ||||||||||||
| 4,950,000 | 1.200 | 11/15/25 | 4,411,687 | |||||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $844,570,770) |
$ 790,598,839 | |||||||||||
|
| ||||||||||||
| Mortgage-Backed Obligations – 12.9% | ||||||||||||
| Collateralized Mortgage Obligations – 2.9% | ||||||||||||
| Interest Only – 0.4% | ||||||||||||
| FHLMC REMIC Series 4314, Class SE (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| $ |
218,213 | 0.857 | %(c) | 03/15/44 | $ 20,174 | |||||||
| FHLMC REMIC Series 4468, Class SY (-1X 1M USD LIBOR + 6.100%) | ||||||||||||
| 354,111 | 0.907 | (c) | 05/15/45 | 35,587 | ||||||||
| FHLMC REMIC Series 4583, Class ST (-1X 1M USD LIBOR + 6.000%) | ||||||||||||
| 248,280 | 0.807 | (c) | 05/15/46 | 26,214 | ||||||||
| FHLMC REMIC Series 4998, Class GI | ||||||||||||
| 3,898,660 | 4.000 | 08/25/50 | 771,442 | |||||||||
| FHLMC REMIC Series 5012, Class DI | ||||||||||||
| 635,298 | 4.000 | 09/25/50 | 121,596 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Interest Only – (continued) | ||||||||||||
| FHLMC REMIC Series 5020, Class IH | ||||||||||||
| $ |
1,649,470 | 3.000 | % | 08/25/50 | $ 261,239 | |||||||
| FNMA REMIC Series 2010-135, Class AS (-1X 1M USD LIBOR +5.950%) | ||||||||||||
| 69,235 | 0.800 | (c) | 12/25/40 | 4,928 | ||||||||
| FNMA REMIC Series 2016-1, Class SJ (-1X 1M USD LIBOR + 6.150%) | ||||||||||||
| 343,708 | 1.000 | (c) | 02/25/46 | 37,314 | ||||||||
| FNMA REMIC Series 2017-31, Class SG (-1X 1M USD LIBOR + 6.100%) | ||||||||||||
| 414,284 | 0.950 | (c) | 05/25/47 | 45,527 | ||||||||
| FNMA REMIC Series 2018-17, Class CS (-1X 1M USD LIBOR + 3.450%) | ||||||||||||
| 1,640,132 | 0.000 | (c)(f) | 03/25/48 | 24,362 | ||||||||
| FNMA REMIC Series 2020-49, Class IO | ||||||||||||
| 363,200 | 4.000 | 07/25/50 | 70,122 | |||||||||
| FNMA REMIC Series 2020-49, Class KS (-1X 1M USD LIBOR + 6.100%) | ||||||||||||
| 2,712,531 | 0.950 | (c) | 07/25/50 | 293,279 | ||||||||
| FNMA REMIC Series 2020-60, Class NI | ||||||||||||
| 590,003 | 4.000 | 09/25/50 | 112,927 | |||||||||
| FNMA REMIC Series 2020-62, Class GI | ||||||||||||
| 2,843,609 | 4.000 | 06/25/48 | 540,668 | |||||||||
| GNMA REMIC Series 2013-124, Class CS (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 235,642 | 0.904 | (b)(c) | 08/20/43 | 23,243 | ||||||||
| GNMA REMIC Series 2014-132, Class SL (-1X 1M USD LIBOR + 6.100%) | ||||||||||||
| 168,346 | 0.954 | (b)(c) | 10/20/43 | 7,305 | ||||||||
| GNMA REMIC Series 2014-162, Class SA (-1X 1M USD LIBOR + 5.600%) | ||||||||||||
| 87,101 | 0.454 | (b)(c) | 11/20/44 | 6,676 | ||||||||
| GNMA REMIC Series 2015-123, Class SP (-1X 1M USD LIBOR + 6.250%) | ||||||||||||
| 152,621 | 1.093 | (b)(c) | 09/20/45 | 15,778 | ||||||||
| GNMA REMIC Series 2016-27, Class IA | ||||||||||||
| 87,147 | 4.000 | (b) | 06/20/45 | 10,812 | ||||||||
| GNMA REMIC Series 2017-112, Class SJ (-1X 1M USD LIBOR +5.660%) | ||||||||||||
| 147,381 | 0.503 | (b)(c) | 07/20/47 | 11,964 | ||||||||
| GNMA REMIC Series 2018-122, Class HS (-1X 1M USD LIBOR + 6.200%) | ||||||||||||
| 335,721 | 1.043 | (b)(c) | 09/20/48 | 33,467 | ||||||||
| GNMA REMIC Series 2018-122, Class SE (-1X 1M USD LIBOR + 6.200%) | ||||||||||||
| 317,083 | 1.043 | (b)(c) | 09/20/48 | 31,114 | ||||||||
| GNMA REMIC Series 2019-1, Class SN (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 332,798 | 0.893 | (b)(c) | 01/20/49 | 30,130 | ||||||||
| GNMA REMIC Series 2019-110, Class PS (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 3,269,259 | 0.893 | (b)(c) | 09/20/49 | 329,711 | ||||||||
| GNMA REMIC Series 2019-153, Class EI | ||||||||||||
| 7,572,007 | 4.000 | (b) | 12/20/49 | 1,377,525 | ||||||||
| GNMA REMIC Series 2019-78, Class SE (-1X 1M USD LIBOR + 6.100%) | ||||||||||||
| 145,703 | 0.954 | (b)(c) | 06/20/49 | 12,695 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Interest Only – (continued) | ||||||||||||
| GNMA REMIC Series 2020-146, Class KI | ||||||||||||
| $ |
3,930,706 | 2.500 | %(b) | 10/20/50 | $ 514,240 | |||||||
| GNMA REMIC Series 2020-151, Class MI | ||||||||||||
| 59,221 | 2.500 | (b) | 10/20/50 | 7,616 | ||||||||
| GNMA REMIC Series 2020-55, Class AS (-1X 1M USD LIBOR + 6.050%) | ||||||||||||
| 8,412,129 | 0.904 | (b)(c) | 04/20/50 | 870,483 | ||||||||
| GNMA REMIC Series 2020-61, Class GI | ||||||||||||
| 1,945,163 | 5.000 | (b) | 05/20/50 | 372,545 | ||||||||
| GNMA REMIC Series 2020-78, Class DI | ||||||||||||
| 1,488,360 | 4.000 | (b) | 06/20/50 | 274,225 | ||||||||
|
| ||||||||||||
| 6,294,908 | ||||||||||||
|
| ||||||||||||
| Sequential Fixed Rate – 0.4% | ||||||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| 10,089 | 7.000 | 10/25/42 | 10,827 | |||||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 34,103 | 7.000 | 07/25/42 | 36,688 | |||||||||
| GCAT Trust Series 22-NQM4, Class A1 | ||||||||||||
| 504,868 | 5.269 | (a)(b)(g) | 08/25/67 | 496,426 | ||||||||
| OBX Trust Series 2022-NQM7, Class A1 | ||||||||||||
| 502,545 | 5.110 | (a)(b)(g) | 08/25/62 | 488,253 | ||||||||
| Verus Securitization Trust Series 2022-1, Class A1 | ||||||||||||
| 4,420,449 | 2.724 | (a)(b)(g) | 01/25/67 | 3,912,786 | ||||||||
|
| ||||||||||||
| 4,944,980 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(a)(b)(c) – 2.1% | ||||||||||||
| Bellemeade Re Ltd. Series 2021-2A, Class M1B (SOFR + 1.500%) | ||||||||||||
| 1,400,000 | 6.567 | 06/25/31 | 1,392,000 | |||||||||
| Connecticut Avenue Securities Series 2021-R02, Class 2B1 (SOFR30A + 3.300%) | ||||||||||||
| 4,100,000 | 8.367 | 11/25/41 | 4,071,975 | |||||||||
| Connecticut Avenue Securities Trust Series 2021-R01, Class 1B1 (SOFR30A + 3.100%) | ||||||||||||
| 2,311,000 | 8.167 | 10/25/41 | 2,279,485 | |||||||||
| Connecticut Avenue Securities Trust Series 2022-R02, Class 2M2 (SOFR30A + 3.000%) | ||||||||||||
| 1,910,000 | 8.067 | 01/25/42 | 1,893,208 | |||||||||
| Connecticut Avenue Securities Trust Series 2023-R05, Class 1M2 (SOFR + 3.100%) | ||||||||||||
| 560,000 | 8.167 | 06/25/43 | 560,700 | |||||||||
| Federal National Mortgage Association Connecticut Avenue Securities Series 2023-R03, Class 2M2 (SOFR + 3.900%) | ||||||||||||
| 298,099 | 8.967 | 04/25/43 | 304,198 | |||||||||
| FHLMC STACR Debt Notes Series 2020-HQA5, Class M2 (SOFR30A + 2.600%) | ||||||||||||
| 2,264,227 | 7.667 | 11/25/50 | 2,296,590 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA2, Class M2 (1M USD LIBOR + 1.850%) | ||||||||||||
| 755,513 | 7.000 | 02/25/50 | 757,865 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA3, Class B1 (1M USD LIBOR + 5.100%) | ||||||||||||
| 446,094 | 10.250 | 06/25/50 | 480,122 | |||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA5, Class B1 (SOFR30A + 4.800%) | ||||||||||||
| 3,231,000 | 9.867 | 10/25/50 | 3,472,832 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Sequential Floating Rate(a)(b)(c) – (continued) | ||||||||||||
| FHLMC STACR REMIC Trust Series 2020-DNA5, Class M2 (SOFR + 2.800%) | ||||||||||||
| $ |
624,405 | 7.867 | % | 10/25/50 | $ 633,366 | |||||||
| FHLMC STACR REMIC Trust Series 2021-DNA1, Class M2 (SOFR30A + 1.800%) | ||||||||||||
| 203,420 | 6.867 | 01/25/51 | 202,921 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-DNA6, Class B1 (SOFR30A + 3.400%) | ||||||||||||
| 2,046,000 | 8.467 | 10/25/41 | 2,037,658 | |||||||||
| FHLMC STACR REMIC Trust Series 2021-HQA2, Class M2 (SOFR30A + 2.050%) | ||||||||||||
| 1,150,000 | 7.117 | 12/25/33 | 1,110,714 | |||||||||
| FHLMC STACR REMIC Trust Series 2022-DNA1, Class M1A (SOFR + 1.000%) | ||||||||||||
| 1,771,167 | 6.067 | 01/25/42 | 1,742,679 | |||||||||
| FHLMC STACR REMIC Trust Series 2022-DNA3, Class M1A (SOFR + 2.000%) | ||||||||||||
| 1,932,564 | 7.067 | 04/25/42 | 1,935,014 | |||||||||
| FHLMC Structured Agency Credit Risk Debt Notes Series 2023-HQA2, Class M1B (SOFR + 3.350%) | ||||||||||||
| 1,074,000 | 8.417 | 06/25/43 | 1,084,740 | |||||||||
| JPMorgan Mortgage Trust Series 2021-LTV2, Class A1 | ||||||||||||
| 4,660,100 | 2.520 | 05/25/52 | 3,773,735 | |||||||||
| New Residential Mortgage Loan Trust Series 2015-1A, Class A1 | ||||||||||||
| 88,279 | 3.750 | 05/28/52 | 80,688 | |||||||||
|
| ||||||||||||
| 30,110,490 | ||||||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 41,350,378 | |||||||||||
|
| ||||||||||||
| Commercial Mortgage-Backed Securities – 0.9% | ||||||||||||
| Sequential Fixed Rate – 0.7% | ||||||||||||
| BANK Series 2017-BNK9, Class D | ||||||||||||
| $ |
700,000 | 2.800 | %(a)(b) | 11/15/54 | $ 428,218 | |||||||
| BBCMS Mortgage Trust Series 2023-C19, Class A5 | ||||||||||||
| 2,900,000 | 5.451 | (b) | 04/15/56 | 2,942,984 | ||||||||
| BBCMS Mortgage Trust Series 2023-C19, Class ASB | ||||||||||||
| 800,000 | 5.700 | (b) | 04/15/56 | 811,565 | ||||||||
| BX Trust Series 2022, Class A | ||||||||||||
| 3,900,000 | 5.760 | (a) | 10/13/27 | 3,753,556 | ||||||||
| Citigroup Commercial Mortgage Trust Series 2017-P8, Class D | ||||||||||||
| 1,500,000 | 3.000 | (a)(b) | 09/15/50 | 975,873 | ||||||||
| Wells Fargo Commercial Mortgage Trust Series 2017-RC1, Class D | ||||||||||||
| 900,000 | 3.250 | (a)(b) | 01/15/60 | 634,896 | ||||||||
|
| ||||||||||||
| 9,547,092 | ||||||||||||
|
| ||||||||||||
| Sequential Floating Rate(c) – 0.2% | ||||||||||||
| BX Commercial Mortgage Trust Series 2023-VLT2, Class A (SOFR + 2.281%) | ||||||||||||
| 1,500,000 | 7.428 | (a) | 06/15/40 | 1,493,958 | ||||||||
| Citigroup Commercial Mortgage Trust Series 2015-P1, Class C | ||||||||||||
| 1,949,000 | 4.514 | (b) | 09/15/48 | 1,665,574 | ||||||||
|
| ||||||||||||
| 3,159,532 | ||||||||||||
|
| ||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | $ 12,706,624 | |||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Federal Agencies – 9.1% | ||||||||||||
| GNMA – 1.8% | ||||||||||||
| $ |
1,279,123 | 4.500 | % | 08/20/47 | $ 1,258,155 | |||||||
| 210,672 | 5.000 | 03/20/48 | 210,605 | |||||||||
| 1,985,102 | 4.000 | 05/20/48 | 1,902,340 | |||||||||
| 713,503 | 4.500 | 06/20/48 | 698,685 | |||||||||
| 727,387 | 4.500 | 07/20/48 | 712,053 | |||||||||
| 128,671 | 5.000 | 08/20/48 | 128,527 | |||||||||
| 1,099,133 | 4.500 | 09/20/48 | 1,075,963 | |||||||||
| 766,470 | 4.500 | 10/20/48 | 750,073 | |||||||||
| 422,682 | 5.000 | 11/20/48 | 422,209 | |||||||||
| 957,592 | 4.500 | 12/20/48 | 937,106 | |||||||||
| 1,971,871 | 5.000 | 12/20/48 | 1,966,585 | |||||||||
| 2,326,960 | 4.500 | 01/20/49 | 2,276,452 | |||||||||
| 2,539,691 | 5.000 | 01/20/49 | 2,532,882 | |||||||||
| 725,581 | 4.500 | 02/20/49 | 709,606 | |||||||||
| 982,491 | 4.500 | 03/20/49 | 961,166 | |||||||||
| 276,638 | 5.000 | 03/20/49 | 275,896 | |||||||||
| 23,909 | 5.000 | 04/20/49 | 23,845 | |||||||||
| 1,221,760 | 3.000 | 08/20/49 | 1,102,871 | |||||||||
| 37,895 | 5.000 | 08/20/49 | 37,790 | |||||||||
| 519,715 | 4.500 | 10/20/49 | 507,135 | |||||||||
| 980,594 | 5.000 | 12/20/49 | 978,774 | |||||||||
| 61,241 | 5.000 | 02/20/50 | 61,221 | |||||||||
| 369,817 | 3.000 | 06/20/51 | 331,926 | |||||||||
| 1,722,352 | 3.000 | 11/20/51 | 1,545,079 | |||||||||
| 4,388,856 | 3.000 | 12/20/51 | 3,935,760 | |||||||||
|
| ||||||||||||
| 25,342,704 | ||||||||||||
|
| ||||||||||||
| UMBS – 7.3% | ||||||||||||
| 972,603 | 6.000 | 01/01/53 | 995,798 | |||||||||
| 1,923,017 | 5.500 | 12/01/52 | 1,938,097 | |||||||||
| 3,823 | 5.000 | 03/01/25 | 3,775 | |||||||||
| 5,157 | 5.000 | 11/01/26 | 5,084 | |||||||||
| 5,231 | 5.000 | 07/01/27 | 5,157 | |||||||||
| 11,904,797 | 4.000 | 12/01/44 | 11,424,312 | |||||||||
| 18,722,923 | 4.000 | 08/01/45 | 17,976,181 | |||||||||
| 78,858 | 4.500 | 07/01/47 | 77,241 | |||||||||
| 466,397 | 4.500 | 02/01/48 | 456,401 | |||||||||
| 3,286,060 | 4.500 | 05/01/48 | 3,212,552 | |||||||||
| 1,170,644 | 4.500 | 06/01/48 | 1,144,457 | |||||||||
| 759,385 | 4.500 | 07/01/48 | 741,204 | |||||||||
| 163,119 | 4.500 | 08/01/48 | 159,215 | |||||||||
| 5,546,150 | 4.500 | 09/01/48 | 5,413,419 | |||||||||
| 67,719 | 4.500 | 12/01/48 | 65,950 | |||||||||
| 593,580 | 4.500 | 01/01/49 | 578,427 | |||||||||
| 5,137,156 | 4.000 | 01/01/49 | 4,913,764 | |||||||||
| 234,468 | 4.500 | 02/01/49 | 228,343 | |||||||||
| 6,439,612 | 4.500 | 03/01/49 | 6,271,410 | |||||||||
| 2,108,891 | 4.500 | 04/01/49 | 2,055,415 | |||||||||
| 125,072 | 4.500 | 09/01/49 | 121,838 | |||||||||
| 323,097 | 4.500 | 02/01/50 | 314,658 | |||||||||
| 47,340 | 4.500 | 03/01/50 | 46,139 | |||||||||
| 765,129 | 4.500 | 12/01/50 | 745,716 | |||||||||
| 10,546,643 | 5.500 | 11/01/52 | 10,619,458 | |||||||||
| 9,522,446 | 6.000 | 11/01/52 | 9,815,188 | |||||||||
| 5,694,411 | 6.000 | 12/01/52 | 5,830,215 | |||||||||
| 5,770,083 | 6.000 | 01/01/53 | 5,879,674 | |||||||||
| 979,733 | 5.500 | 04/01/53 | 982,517 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| UMBS – (continued) | ||||||||||||
| $ |
2,966,056 | 6.000 | % | 04/01/53 | $ 3,041,165 | |||||||
| 7,000,000 | 3.000 | TBA-30yr(h) | 6,158,905 | |||||||||
| 2,000,000 | 4.000 | TBA-30yr(h) | 1,876,406 | |||||||||
|
| ||||||||||||
| 103,098,081 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $ 128,440,785 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $191,000,499) |
$ 182,497,787 | |||||||||||
|
| ||||||||||||
| Asset-Backed Securities(b) – 11.4% | ||||||||||||
| Automotive – 3.0% | ||||||||||||
| Ford Credit Floorplan Master Owner Trust Series 2019-4, Class A | ||||||||||||
| $ |
3,750,000 | 2.440 | % | 09/15/26 | $ 3,598,796 | |||||||
| GMF Floorplan Owner Revolving Trust Series 2019-2, Class A(a) | ||||||||||||
| 2,785,000 | 2.900 | 04/15/26 | 2,721,995 | |||||||||
| Nissan Auto Receivables Owner Narot 2023 A, Class A2a | ||||||||||||
| 3,700,000 | 5.340 | 02/17/26 | 3,686,308 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A3(a) | ||||||||||||
| 1,518,426 | 0.560 | 03/20/25 | 1,506,891 | |||||||||
| Tesla Auto Lease Trust Series 2021-A, Class A4(a) | ||||||||||||
| 5,400,000 | 0.660 | 03/20/25 | 5,301,897 | |||||||||
| Tesla Auto Lease Trust Series 2021-B, Class A3(a) | ||||||||||||
| 10,200,000 | 0.600 | 09/22/25 | 9,817,046 | |||||||||
| Toyota Auto Receivables Owner Trust Series 2021-D, Class A3 | ||||||||||||
| 9,600,000 | 0.710 | 04/15/26 | 9,199,340 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A3(a) | ||||||||||||
| 934,472 | 0.390 | 04/22/24 | 931,835 | |||||||||
| Toyota Lease Owner Trust Series 2021-A, Class A4(a) | ||||||||||||
| 1,400,000 | 0.500 | 08/20/25 | 1,385,935 | |||||||||
| Toyota Lease Owner Trust Series 2021-B, Class A3(a) | ||||||||||||
| 1,431,399 | 0.420 | 10/21/24 | 1,415,951 | |||||||||
| World Omni Auto Receivables Trust Woart 2023 B, Class A2a | ||||||||||||
| 3,600,000 | 5.250 | 11/16/26 | 3,580,592 | |||||||||
|
| ||||||||||||
| 43,146,586 | ||||||||||||
|
| ||||||||||||
| Collateralized Loan Obligations(a)(c) – 7.4% | ||||||||||||
| Anchorage Capital CLO 15 Ltd. Series 2020-15A, Class AR (3M USD LIBOR + 1.200%) | ||||||||||||
| 7,600,000 | 6.450 | 07/20/34 | 7,481,546 | |||||||||
| Atlas Senior Loan Fund XVII Ltd. Series 2021-17A, Class A (3M USD LIBOR + 1.200%) | ||||||||||||
| 8,200,000 | 6.450 | 10/20/34 | 7,961,003 | |||||||||
| Bain Capital Credit CLO Ltd.(f) (3M USD LIBOR + 1.800%) | ||||||||||||
| 3,600,000 | 0.000 | 07/24/36 | 3,600,000 | |||||||||
| Cathedral Lake VII Ltd. Series 2021-7RA, Class D (3M USD LIBOR + 4.280%) | ||||||||||||
| 1,750,000 | 9.540 | 01/15/32 | 1,649,814 | |||||||||
| CQS U.S. CLO Ltd. Series 2021-1A, Claas A (3M USD LIBOR + 1.220%) | ||||||||||||
| 4,500,000 | 6.470 | 01/20/35 | 4,374,796 | |||||||||
| Crown City CLO I Series 2020-1A, Class A1AR (3M USD LIBOR + 1.190%) | ||||||||||||
| 2,500,000 | 6.440 | 07/20/34 | 2,446,030 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(b) – (continued) | ||||||||||||
| Collateralized Loan Obligations(a)(c) – (continued) | ||||||||||||
| Gulf Stream Meridian 3, Ltd. Series 2021-IIIA, Class A2 (3M USD LIBOR + 1.750%) | ||||||||||||
| $ |
3,000,000 | 7.010 | % | 04/15/34 | $ 2,927,160 | |||||||
| HalseyPoint CLO 3 Ltd. Series 2020-3A, Class A1A (3M USD LIBOR + 1.450%) | ||||||||||||
| 5,775,000 | 6.749 | 11/30/32 | 5,721,806 | |||||||||
| HalseyPoint CLO I Ltd. Series 2019-1A, Class A1A1 (3M USD LIBOR + 1.350%) | ||||||||||||
| 3,500,000 | 6.600 | 01/20/33 | 3,454,521 | |||||||||
| Jamestown CLO XVI Ltd. Series 2021-16A, Class A (3M USD LIBOR + 1.200%) | ||||||||||||
| 3,000,000 | 6.455 | 07/25/34 | 2,922,201 | |||||||||
| LCM 26, Ltd. Series 2026-A, Class A1 (3M USD LIBOR + 1.070%) | ||||||||||||
| 7,886,998 | 6.320 | 01/20/31 | 7,817,545 | |||||||||
| LCM XX LP Series 2020-A, Class AR (3M USD LIBOR + 1.040%) | ||||||||||||
| 753,273 | 6.290 | 10/20/27 | 752,291 | |||||||||
| Loan Security (3M USD LIBOR + 1.800%) | ||||||||||||
| 5,000,000 | 6.659 | 04/18/36 | 4,990,540 | |||||||||
| Marble Point CLO XVII Ltd. Series 2020-1A, Class A (3M USD LIBOR + 1.300%) | ||||||||||||
| 6,000,000 | 6.550 | 04/20/33 | 5,882,526 | |||||||||
| MJX Venture Management II LLC Series 2017-28RR, Class A1 (3M USD LIBOR + 1.280%) | ||||||||||||
| 3,934,652 | 6.541 | 07/22/30 | 3,877,017 | |||||||||
| Newark BSL CLO 1 Ltd. Series 2016-1A, Class A1R (TSFR3M + 1.362%) | ||||||||||||
| 2,766,053 | 6.440 | 12/21/29 | 2,744,417 | |||||||||
| Northwoods Capital XVIII Ltd. Series 2019-18A, Class AR (3M USD LIBOR + 1.100%) | ||||||||||||
| 10,600,000 | 6.479 | 05/20/32 | 10,378,195 | |||||||||
| Pikes Peak CLO 3 Series 2019-3A, Class ARR (3M USD LIBOR + 1.200%) | ||||||||||||
| 4,000,000 | 6.455 | 10/25/34 | 3,913,024 | |||||||||
| Sycamore Tree CLO Ltd. Series 2023-2A, Class A (TSFR3M + 2.330%) | ||||||||||||
| 2,200,000 | 7.237 | 04/20/35 | 2,204,671 | |||||||||
| TCW CLO Ltd. Series 2022-1A, Class A1 (TSFR3M + 1.340%) | ||||||||||||
| 7,900,000 | 6.411 | 04/22/33 | 7,750,951 | |||||||||
| TICP CLO XIV Ltd. Series 19-14A, Class A1R (3M USD LIBOR + 1.080%) | ||||||||||||
| 8,000,000 | 6.330 | 10/20/32 | 7,904,376 | |||||||||
| Venture 36 CLO Ltd. Series 2019-36A, Class D (3M USD LIBOR + 4.150%) | ||||||||||||
| 2,500,000 | 9.400 | 04/20/32 | 2,210,960 | |||||||||
| Zais CLO 13 Ltd. Series 2019-13A, Class A1A (3M USD LIBOR + 1.490%) | ||||||||||||
| 3,000,000 | 6.750 | 07/15/32 | 2,960,016 | |||||||||
|
| ||||||||||||
| 105,925,406 | ||||||||||||
|
| ||||||||||||
| Credit Card – 0.8% | ||||||||||||
| Barclays Dryrock Issuance Trust Drock 2023 1 A | ||||||||||||
| 7,300,000 | 4.720 | 02/15/29 | 7,198,489 | |||||||||
| Discover Card Execution Note Trust Dcent 2023 A1, Class A | ||||||||||||
| 3,800,000 | 4.310 | 03/15/28 | 3,716,497 | |||||||||
|
| ||||||||||||
| 10,914,986 | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Asset-Backed Securities(b) – (continued) | ||||||||||||
| Student Loan(c) – 0.2% | ||||||||||||
| Access to Loans for Learning Student Loan Corp. Series 2019 A-3 (3M USD LIBOR + 0.800%) | ||||||||||||
| $ |
1,003,514 | 6.055 | % | 04/25/37 | $ 1,005,438 | |||||||
| Educational Services of America, Inc. Series 2014-1, Class A(a) (1M USD LIBOR + 0.700%) | ||||||||||||
| 210,981 | 5.850 | 02/25/39 | 207,510 | |||||||||
| Illinois Student Assistance Commission Series 2010-1, Class A3 (3M USD LIBOR + 0.900%) | ||||||||||||
| 665,975 | 6.155 | 07/25/45 | 665,986 | |||||||||
| PHEAA Student Loan Trust Series 2012-1A, Class A1(a) (1M USD LIBOR + 0.550%) | ||||||||||||
| 17,872 | 5.700 | 05/25/57 | 17,554 | |||||||||
| PHEAA Student Loan Trust Series 2016-1A, Class A(a) (1M USD LIBOR + 1.150%) | ||||||||||||
| 637,846 | 6.300 | 09/25/65 | 628,040 | |||||||||
|
| ||||||||||||
| 2,524,528 | ||||||||||||
|
| ||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $165,629,929) |
$ 162,511,506 | |||||||||||
|
| ||||||||||||
| Sovereign Debt Obligations – 3.4% | ||||||||||||
| Euro(a) – 0.0% | ||||||||||||
| Republic of Indonesia | ||||||||||||
| EUR |
250,000 | 2.150 | % | 07/18/24 | $ 266,507 | |||||||
|
| ||||||||||||
| United States Dollar – 3.4% | ||||||||||||
| Airport Authority(a)(b) | ||||||||||||
| $ |
660,000 | 4.750 | 01/12/28 | 657,162 | ||||||||
| Export-Import Bank of Korea | ||||||||||||
| 720,000 | 5.000 | 01/11/28 | 723,442 | |||||||||
| Korea Hydro & Nuclear Power Co., Ltd.(a) | ||||||||||||
| 3,950,000 | 4.250 | 07/27/27 | 3,842,323 | |||||||||
| Perusahaan Penerbit SBSN Indonesia III | ||||||||||||
| 3,530,000 | 2.300 | (a) | 06/23/25 | 3,341,145 | ||||||||
| 4,310,000 | 2.300 | 06/23/25 | 4,079,415 | |||||||||
| 7,550,000 | 1.500 | (a) | 06/09/26 | 6,847,699 | ||||||||
| Republic of Chile | ||||||||||||
| 2,060,000 | 3.125 | 01/21/26 | 1,970,081 | |||||||||
| Republic of Indonesia(b) | ||||||||||||
| 8,750,000 | 4.150 | 09/20/27 | 8,471,925 | |||||||||
| 6,030,000 | 4.550 | 01/11/28 | 5,930,987 | |||||||||
| Republic of Panama(b) | ||||||||||||
| 2,010,000 | 3.750 | 03/16/25 | 1,942,303 | |||||||||
| Republic of Peru(b) | ||||||||||||
| 2,120,000 | 2.392 | 01/23/26 | 1,971,303 | |||||||||
| Republic of Philippines | ||||||||||||
| 2,000,000 | 3.229 | 03/29/27 | 1,887,820 | |||||||||
| Republic of Qatar(a) | ||||||||||||
| 1,840,000 | 3.375 | 03/14/24 | 1,809,309 | |||||||||
| 690,000 | 3.400 | 04/16/25 | 669,314 | |||||||||
| Republic of Romania(a) | ||||||||||||
| 1,500,000 | 3.000 | 02/27/27 | 1,356,000 | |||||||||
| Saudi Government International Bond(a) | ||||||||||||
| 800,000 | 2.900 | 10/22/25 | 761,200 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Sovereign Debt Obligations – (continued) | ||||||||||||
| United States Dollar – (continued) | ||||||||||||
| United Mexican States(b) | ||||||||||||
| $ |
1,940,000 | 5.400 | % | 02/09/28 | $ 1,969,798 | |||||||
|
| ||||||||||||
| 48,231,226 | ||||||||||||
|
| ||||||||||||
| TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $50,565,289) |
$ 48,497,733 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 12.6% | ||||||||||||
| U.S. Treasury Notes | ||||||||||||
| $ |
19,730,000 | 2.500 | % | 05/31/24 | $ 19,214,400 | |||||||
| 19,670,000 | 3.000 | 06/30/24 | 19,205,911 | |||||||||
| 13,800,000 | 4.250 | 09/30/24 | 13,617,797 | |||||||||
| United States Treasury Notes | ||||||||||||
| 34,730,000 | 3.000 | (i) | 07/31/24 | 33,853,610 | ||||||||
| 1,000,000 | 0.625 | (i) | 10/15/24 | 942,109 | ||||||||
| 19,960,000 | 0.750 | (i) | 11/15/24 | 18,772,536 | ||||||||
| 13,770,000 | 4.250 | 12/31/24 | 13,578,511 | |||||||||
| 492,000 | 0.750 | 04/30/26 | 443,069 | |||||||||
| 65,360,000 | 0.750 | 05/31/26 | 58,711,662 | |||||||||
| 850,000 | 2.875 | 08/15/28 | 800,793 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $180,563,562) |
$ 179,140,398 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(j) – 0.5% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 6,531,720 | 5.022% | $ 6,531,720 | ||||||||||
| (Cost $6,531,720) | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments(f) – 1.0% | ||||||||||||
| Commercial Paper – 1.0% | ||||||||||||
| Alimentation Couche-Tard, Inc. | ||||||||||||
| $ |
3,051,000 | 0.000 | % | 07/05/23 | $ 3,048,760 | |||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments(f) – (continued) | ||||||||||||
| Commercial Paper – (continued) | ||||||||||||
| EIDP, Inc. | ||||||||||||
| $ |
3,498,000 | 0.000 | % | 11/24/23 | $ 3,418,398 | |||||||
| Entergy Corp. | ||||||||||||
| 5,719,000 | 0.000 | 08/17/23 | 5,677,076 | |||||||||
| Northrop Gruman Corp. | ||||||||||||
| 2,543,000 | 0.000 | 08/17/23 | 2,524,446 | |||||||||
|
| ||||||||||||
| TOTAL SHORT- TERM INVESTMENTS (Cost $14,669,747) |
$ 14,668,680 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 97.5% (Cost $1,453,531,516) |
$1,384,446,663 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.5% |
34,919,873 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $1,419,366,536 | |||||||||||
|
| ||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| (b) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (c) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (d) | Pay-in-kind securities. | |
| (e) | Security is currently in default and/or non-income producing. | |
| (f) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (g) | Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (h) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $8,035,311 which represents approximately 0.5% of net assets as of June 30, 2023. | |
| (i) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (j) | Represents an affiliated Issuer. | |
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2023, 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 |
CAD |
754,811 | EUR | 519,571 | 09/20/23 | $ | 1,235 | |||||||||||||||
| CAD |
2,707,773 | USD | 2,029,745 | 09/20/23 | 16,847 | |||||||||||||||||
| CHF |
10,194,209 | USD | 11,380,791 | 09/20/23 | 106,992 | |||||||||||||||||
| CZK |
3,008,281 | USD | 135,896 | 09/20/23 | 1,704 | |||||||||||||||||
| EUR |
396,000 | NZD | 704,722 | 09/20/23 | 1,538 | |||||||||||||||||
| EUR |
397,000 | SEK | 4,618,494 | 09/20/23 | 5,076 | |||||||||||||||||
| EUR |
475,621 | USD | 511,503 | 09/20/23 | 9,612 | |||||||||||||||||
| GBP |
348,588 | EUR | 404,000 | 09/20/23 | 152 | |||||||||||||||||
| GBP |
1,102,317 | USD | 1,384,919 | 09/20/23 | 15,303 | |||||||||||||||||
| JPY |
284,977,912 | USD | 1,995,357 | 09/20/23 | 4,891 | |||||||||||||||||
| MXN |
7,628,687 | USD | 431,000 | 09/20/23 | 7,834 | |||||||||||||||||
| NOK |
4,183,908 | USD | 387,554 | 09/20/23 | 3,343 | |||||||||||||||||
| NZD |
697,511 | AUD | 631,000 | 09/20/23 | 6,613 | |||||||||||||||||
| NZD |
4,890,551 | USD | 2,977,382 | 09/20/23 | 22,920 | |||||||||||||||||
| PLN |
1,777,669 | CZK | 9,505,729 | 09/20/23 | 670 | |||||||||||||||||
| SEK |
3,722,991 | USD | 345,000 | 09/20/23 | 1,542 | |||||||||||||||||
| USD |
863,000 | AUD | 1,279,899 | 09/20/23 | 8,443 | |||||||||||||||||
| USD |
432,000 | CHF | 382,428 | 09/20/23 | 1,045 | |||||||||||||||||
| USD |
803,377 | CLP | 635,386,743 | 07/13/23 | 12,247 | |||||||||||||||||
| USD |
2,532,165 | CNH | 17,943,523 | 09/20/23 | 46,889 | |||||||||||||||||
| USD |
2,111,054 | EUR | 1,922,591 | 09/20/23 | 4,568 | |||||||||||||||||
| USD |
4,600,024 | GBP | 3,603,563 | 09/20/23 | 22,584 | |||||||||||||||||
| USD |
345,359 | ILS | 1,232,578 | 09/20/23 | 11,795 | |||||||||||||||||
| USD |
432,000 | JPY | 60,543,456 | 09/20/23 | 7,048 | |||||||||||||||||
| USD |
1,285,376 | KRW | 1,649,314,964 | 09/20/23 | 28,126 | |||||||||||||||||
| USD |
344,298 | NZD | 561,000 | 09/20/23 | 130 | |||||||||||||||||
| USD |
1,917,356 | SEK | 20,563,083 | 09/20/23 | 3,310 | |||||||||||||||||
| USD |
605,000 | TRY | 15,366,148 | 09/20/23 | 36,035 | |||||||||||||||||
| USD |
415,423 | ZAR | 7,703,889 | 09/20/23 | 9,469 | |||||||||||||||||
| ZAR |
5,677,265 | USD | 296,007 | 09/20/23 | 3,154 | |||||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 401,115 | ||||||||||||||||||||
|
|
||||||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased |
Currency Sold |
Settlement Date |
Unrealized Loss |
||||||||||||||||
|
|
||||||||||||||||||||
| MS & Co. Int. PLC |
AUD |
2,847,502 | USD | 1,913,730 | 09/20/23 | $ | (12,525 | ) | ||||||||||||
| CAD |
1,505,025 | USD | 1,145,609 | 09/20/23 | (8,079 | ) | ||||||||||||||
| CHF |
749,048 | USD | 845,423 | 09/20/23 | (1,325 | ) | ||||||||||||||
| CLP |
348,653,839 | USD | 437,513 | 07/13/23 | (3,398 | ) | ||||||||||||||
| CNH |
24,299,210 | USD | 3,410,230 | 09/20/23 | (44,657 | ) | ||||||||||||||
| EUR |
397,000 | CZK | 9,516,606 | 09/20/23 | (319 | ) | ||||||||||||||
| EUR |
1,024,000 | GBP | 886,445 | 09/20/23 | (4,065 | ) | ||||||||||||||
| EUR |
786,312 | SEK | 9,268,617 | 09/20/23 | (1,215 | ) | ||||||||||||||
| EUR |
1,088,388 | USD | 1,199,323 | 09/20/23 | (6,830 | ) | ||||||||||||||
| GBP |
3,674,103 | USD | 4,695,310 | 09/20/23 | (28,267 | ) | ||||||||||||||
| ILS |
936,907 | USD | 259,000 | 09/20/23 | (5,452 | ) | ||||||||||||||
| JPY |
1,254,080,794 | USD | 9,141,755 | 09/20/23 | (339,415 | ) | ||||||||||||||
| KRW |
456,812,605 | USD | 358,453 | 07/17/23 | (11,504 | ) | ||||||||||||||
| NOK |
12,511,264 | EUR | 1,071,280 | 09/20/23 | (4,835 | ) | ||||||||||||||
| NZD |
749,934 | EUR | 421,471 | 09/20/23 | (1,708 | ) | ||||||||||||||
| NZD |
1,574,141 | USD | 968,753 | 09/20/23 | (3,034 | ) | ||||||||||||||
| PLN |
1,753,099 | USD | 432,000 | 09/20/23 | (2,554 | ) | ||||||||||||||
| SEK |
17,066,873 | EUR | 1,466,050 | 09/20/23 | (17,664 | ) | ||||||||||||||
| SEK |
19,756,832 | USD | 1,850,652 | 09/20/23 | (11,652 | ) | ||||||||||||||
| SGD |
3,357,678 | USD | 2,497,683 | 09/20/23 | (7,240 | ) | ||||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| Counterparty | Currency Purchased |
Currency Sold |
Settlement Date |
Unrealized Loss |
||||||||||||||||||
|
|
||||||||||||||||||||||
| MS & Co. Int. PLC (continued) |
TRY |
11,361,160 | USD | 431,000 | 09/20/23 | $ | (10,328 | ) | ||||||||||||||
| TWD |
26,577,336 | USD | 866,276 | 07/13/23 | (13,268 | ) | ||||||||||||||||
| USD |
7,642,675 | CAD | 10,169,899 | 09/20/23 | (43,953 | ) | ||||||||||||||||
| USD |
692,000 | CHF | 620,659 | 09/20/23 | (7,416 | ) | ||||||||||||||||
| USD |
432,000 | CLP | 348,844,320 | 07/13/23 | (2,352 | ) | ||||||||||||||||
| USD |
8,082,847 | EUR | 7,474,542 | 09/20/23 | (106,634 | ) | ||||||||||||||||
| USD |
7,287,905 | GBP | 5,812,875 | 09/20/23 | (95,924 | ) | ||||||||||||||||
| USD |
940,454 | MXN | 16,572,453 | 09/20/23 | (12,862 | ) | ||||||||||||||||
| USD |
4,216,571 | NOK | 46,291,105 | 09/20/23 | (108,353 | ) | ||||||||||||||||
| USD |
10,378,292 | NZD | 16,989,605 | 09/20/23 | (44,651 | ) | ||||||||||||||||
| USD |
5,462 | PLN | 22,913 | 09/20/23 | (151 | ) | ||||||||||||||||
| USD |
7,944,728 | SEK | 85,605,000 | 09/20/23 | (23,530 | ) | ||||||||||||||||
| USD |
802,959 | TWD | 25,046,708 | 07/13/23 | (923 | ) | ||||||||||||||||
| USD |
299,504 | ZAR | 5,775,358 | 09/20/23 | (4,827 | ) | ||||||||||||||||
| ZAR |
12,328,366 | USD | 656,520 | 09/20/23 | (6,881 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | (997,791 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||
FORWARD SALES CONTRACTS — At June 30, 2023, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(a) |
Settlement Date |
Principal Amount |
Value | |||||||||||||||
|
|
||||||||||||||||||||
| GNMA |
3.000 | % | TBA - 30yr | 07/20/23 | $ | (7,000,000) | $ | (6,253,477) | ||||||||||||
| GNMA |
4.500 | TBA - 30yr | 07/20/23 | (2,000,000) | (1,929,729) | |||||||||||||||
| UMBS, 30 Year, Single Family |
4.500 | TBA - 30yr | 07/13/23 | (20,000,000) | (19,218,756) | |||||||||||||||
| UMBS, 30 Year, Single Family |
5.500 | TBA - 30yr | 07/13/23 | (1,000,000) | (995,194) | |||||||||||||||
| UMBS, 30 Year, Single Family |
6.000 | TBA - 30yr | 07/13/23 | (24,000,000) | (24,209,059) | |||||||||||||||
|
|
||||||||||||||||||||
| (PROCEEDS RECEIVABLE: $(52,952,070)) |
$ | (52,606,215) | ||||||||||||||||||
|
|
||||||||||||||||||||
| (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 June 30, 2023, the Fund had the following futures contracts:
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
|
||||||||||||
| Long position contracts: |
||||||||||||
| 10 Year U.K. Long Gilt |
1 | 09/27/23 | $ | 121,031 | $ | 290 | ||||||
| 10 Year U.S. Treasury Notes |
11 | 09/20/23 | 1,234,922 | (10,008 | ) | |||||||
| 2 Year U.S. Treasury Notes |
2,039 | 09/29/23 | 414,617,906 | (5,144,513 | ) | |||||||
| 30 Year German Euro-Buxl |
1 | 09/07/23 | 152,332 | 2,159 | ||||||||
| 5 Year German Euro-Bobl |
3 | 09/07/23 | 437,811 | 606 | ||||||||
| French 10 Year Government Bonds |
3 | 09/07/23 | 420,330 | 2,800 | ||||||||
| Ice 3M Sonia Index |
331 | 12/17/24 | 98,897,244 | (984,094 | ) | |||||||
| Ice 3M Sonia Index |
38 | 09/17/24 | 11,328,426 | (32,472 | ) | |||||||
|
|
||||||||||||
| Total |
$ | (6,165,232 | ) | |||||||||
|
|
||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
| Description | Number of Contracts |
Expiration Date |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
||||||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| 10 Year U.S. Treasury Notes |
(61) | 09/20/23 | $ | (7,224,688 | ) | $ | 37,856 | |||||
| 20 Year U.S. Treasury Bonds |
(130) | 09/20/23 | (16,497,812 | ) | (18,948 | ) | ||||||
| 3M EuriBor |
(16) | 09/18/23 | (4,194,138 | ) | 7,247 | |||||||
| 5 Year German Euro-Bobl |
(83) | 09/07/23 | (10,479,812 | ) | 39,252 | |||||||
| 5 Year U.S. Treasury Notes |
(632) | 09/29/23 | (67,683,250 | ) | 883,949 | |||||||
| Ice 3M Sonia Index |
(293) | 12/19/23 | (87,492,316 | ) | 561,964 | |||||||
| Ultra Long U.S. Treasury Bonds |
(18) | 09/20/23 | (2,451,938 | ) | (3,419 | ) | ||||||
|
|
||||||||||||
| Total |
$ | 1,507,901 | ||||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | (4,657,331 | ) | |||||||||
|
|
||||||||||||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Received by Fund |
Termination Date |
Notional Amount (000s)(a) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||
|
|
||||||||||||||||||||
| 6M GBP(b) |
4.000%(b) | 03/07/25 | GBP | 43,550 | $ | (1,051,425 | ) | $ | (1,599,651 | ) | $ | 548,226 | ||||||||
| 4.000%(b) |
12M SOFR(b) | 03/11/25 | $ | 52,930 | 315,563 | 170,577 | 144,986 | |||||||||||||
| 3.270(b) |
3M LIBOR(b) | 05/14/25 | 49,220 | 505,401 | 293,367 | 212,034 | ||||||||||||||
| 3M STIBOR(c) |
3.500(d) | 09/20/25 | SEK | 356,130 | (297,009 | ) | (208,561 | ) | (88,448 | ) | ||||||||||
| 5.000(e) |
3M NZDOR(c) | 09/20/25 | NZD | 22,500 | 88,414 | 53,761 | 34,653 | |||||||||||||
| 6M CDOR(e) |
4.250(e) | 09/20/25 | CAD | 40,560 | (199,213 | ) | (221,398 | ) | 22,185 | |||||||||||
| 3.500(c) |
6M AUDOR(c) | 09/20/25 | AUD | 33,400 | 403,091 | 354,159 | 48,932 | |||||||||||||
| 3.500(d) |
6M EURO(d) | 09/20/25 | EUR | 23,150 | 20,826 | 7,373 | 13,453 | |||||||||||||
| 3.500(e) |
6M AUDOR(e) | 05/17/26 | AUD | 24,680 | 264,072 | 59,211 | 204,861 | |||||||||||||
| 3M LIBOR(d) |
3.000(d) | 05/20/26 | $ | 12,720 | (217,566 | ) | (62,616 | ) | (154,950 | ) | ||||||||||
| 3M LIBOR(d) |
3.350(d) | 10/06/27 | 121,300 | 175,787 | 540,610 | (364,823 | ) | |||||||||||||
| 3.190(e) |
6M CDOR(e) | 03/24/28 | CAD | 13,510 | (13,530 | ) | (28,443 | ) | 14,913 | |||||||||||
| 3M LIBOR(d) |
2.920(d) | 03/27/28 | $ | 10,360 | (107,727 | ) | 9,727 | (117,454 | ) | |||||||||||
| 6M EURO(d) |
3.000(d) | 04/13/28 | EUR | 11,370 | (186 | ) | 157,518 | (157,704 | ) | |||||||||||
| 6M EURO(d) |
2.673(d) | 04/22/28 | 42,460 | 72,339 | 93,663 | (21,324 | ) | |||||||||||||
| 2.852(d) |
6M EURO(c) | 04/22/28 | 42,460 | (51,846 | ) | (77,472 | ) | 25,626 | ||||||||||||
| 6M CHFOR(d) |
2.000(d) | 09/20/28 | CHF | 4,030 | 39,791 | 26,611 | 13,180 | |||||||||||||
| 3M LIBOR(d) |
3.750(d) | 09/20/28 | $ | 17,150 | (42,093 | ) | 98,223 | (140,316 | ) | |||||||||||
| 3M NZDOR(c) |
4.500(e) | 09/20/28 | NZD | 10,880 | (34,163 | ) | (21,818 | ) | (12,345 | ) | ||||||||||
| 3.750(e) |
6M AUDOR(e) | 09/20/28 | AUD | 8,440 | 139,192 | 132,816 | 6,376 | |||||||||||||
| 3.000(d) |
6M EURO(d) | 09/20/28 | EUR | 4,260 | (10,198 | ) | (35,511 | ) | 25,313 | |||||||||||
| 3.250(d) |
6M EURO(e) | 09/20/28 | 10,710 | (23,867 | ) | (37,084 | ) | 13,217 | ||||||||||||
| 3.500(d) |
6M GBP(d) | 09/20/28 | GBP | 1,630 | 132,721 | 116,712 | 16,009 | |||||||||||||
| 0.500(d) |
6M JYOR(d) | 09/20/28 | JPY | 7,585,000 | (590,090 | ) | (619,219 | ) | 29,129 | |||||||||||
| 2.350(d) |
6M EURO(e) | 07/04/29 | EUR | 1,640 | 48,238 | (80,567 | ) | 128,805 | ||||||||||||
| 3M LIBOR(d) |
3.423(d) | 03/31/30 | $ | 34,790 | (486,945 | ) | (5,810 | ) | (481,135 | ) | ||||||||||
| 03/16/32 | EUR | — | — | (2,709 | ) | 2,709 | ||||||||||||||
| 2.680(d) |
12M SOFR(d) | 07/28/32 | $ | 22,490 | 396,633 | 43,176 | 353,457 | |||||||||||||
| 6M CDOR(e) |
3.320(e) | 03/23/33 | CAD | 8,780 | 63,703 | 44,498 | 19,205 | |||||||||||||
| 3.060(d) |
12M SOFR(d) | 03/27/33 | $ | 6,850 | 21,116 | (12,587 | ) | 33,703 | ||||||||||||
| 6M CHFOR(d) |
2.000(d) | 09/20/33 | CHF | 16,000 | 368,663 | 66,127 | 302,536 | |||||||||||||
| 6M GBP(d) |
3.250(d) | 09/20/33 | GBP | 910 | (95,687 | ) | (96,491 | ) | 804 | |||||||||||
| 3M LIBOR(d) |
3.500(d) | 09/20/33 | $ | 10,580 | (3,654 | ) | 44,858 | (48,512 | ) | |||||||||||
| 3.500(d) |
3M NIBOR(e) | 09/20/33 | NOK | 47,680 | 124,647 | 51,310 | 73,337 | |||||||||||||
| 3.000(d) |
3M STIBOR(c) | 09/20/33 | SEK | 108,470 | 23,336 | (106,003 | ) | 129,339 | ||||||||||||
| 6M AUDOR(e) |
4.000(e) | 09/20/33 | AUD | 19,810 | (424,651 | ) | (476,260 | ) | 51,609 | |||||||||||
| 3M NZDOR(c) |
4.500(e) | 09/20/33 | NZD | 4,500 | 6,548 | 15,820 | (9,272 | ) | ||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS (continued)
| Payments Made by the Fund |
Payments Received by Fund |
Termination Date |
Notional Amount (000s)(a) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 3.750%(e) |
6M CDOR(e) | 09/20/33 | CAD | 7,550 | $ | (163,610 | ) | $ | (105,234 | ) | $ | (58,376 | ) | |||||||||
| 3.250(d) |
6M EURO(e) | 09/20/33 | EUR | 1,010 | (24,803 | ) | (17,970 | ) | (6,833 | ) | ||||||||||||
| 0.750(d) |
6M JYOR(d) | 09/20/33 | JPY | 4,081,000 | (378,474 | ) | (356,039 | ) | (22,435 | ) | ||||||||||||
| 6M AUDOR(e) |
4.000%(e) | 05/17/34 | AUD | 5,730 | (113,877 | ) | (52,025 | ) | (61,852 | ) | ||||||||||||
| 3.000(d) |
3M LIBOR(d) | 05/20/34 | $ | 2,910 | 79,665 | 59,813 | 19,852 | |||||||||||||||
| 6M EURO(e) |
3.000(d) | 05/15/35 | EUR | 18,550 | 146,731 | 58,950 | 87,781 | |||||||||||||||
| 3.240(d) |
12M SOFR(d) | 10/06/35 | $ | 27,610 | (80,130 | ) | (266,928 | ) | 186,798 | |||||||||||||
| 6M EURO(e) |
2.855(d) | 07/04/37 | EUR | 12,470 | 52,873 | (797,968 | ) | 850,841 | ||||||||||||||
| 3M LIBOR(d) |
2.910(d) | 07/28/37 | $ | 56,380 | (744,903 | ) | (368,636 | ) | (376,267 | ) | ||||||||||||
| 6M EURO(e) |
2.152(d) | 08/09/37 | EUR | 20,150 | (536,871 | ) | (730,910 | ) | 194,039 | |||||||||||||
| 3M LIBOR(d) |
2.720(d) | 08/11/37 | $ | 36,660 | (717,784 | ) | (1,122,256 | ) | 404,472 | |||||||||||||
| 3M LIBOR(d) |
3.391(d) | 05/10/38 | 28,910 | 64,067 | (26,529 | ) | 90,596 | |||||||||||||||
| 1.451(d) |
6M EURO(e) | 08/10/42 | EUR | 51,550 | 1,648,569 | 827,434 | 821,135 | |||||||||||||||
| 2.080(d) |
12M SOFR(d) | 07/28/47 | $ | 44,730 | 635,542 | 308,490 | 327,052 | |||||||||||||||
| 6M EURO(e) |
1.051(d) | 08/11/47 | EUR | 30,180 | (786,156 | ) | (353,844 | ) | (432,312 | ) | ||||||||||||
| 1.560(d) |
6M EURO(e) | 07/06/52 | 9,580 | 398,128 | (398,227 | ) | 796,355 | |||||||||||||||
| 2.170(d) |
12M SOFR(d) | 08/11/52 | $ | 18,780 | 830,592 | 317,306 | 513,286 | |||||||||||||||
| 2.564(d) |
3M LIBOR(d) | 05/11/53 | 23,180 | (132,509 | ) | 22,629 | (155,138 | ) | ||||||||||||||
| 2.000(d) |
6M EURO(e) | 05/17/53 | EUR | 9,440 | (53,043 | ) | 13,315 | (66,358 | ) | |||||||||||||
| 2.500(d) |
6M EURO(e) | 09/20/53 | 3,410 | 9,290 | 109,104 | (99,814 | ) | |||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | (306,472 | ) | $ | (4,191,608 | ) | $ | 3,885,136 | ||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2023. |
| (b) | Payments made at maturity. |
| (c) | Payments made quarterly. |
| (d) | Payments made annually. |
| (e) | Payments made semi-annually. |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Referenced Obligation/Index |
Financing Rate Received/(Paid) by the Fund(a) |
Credit Spread at June 30, 2023(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% | 0.752% | 06/20/26 | $ | 3,475 | $ | 24,775 | $ | 38,324 | $ | (13,549 | ) | ||||||||||||||||
| AT&T, Inc., 3.800%, 02/15/27 |
1.000 | 0.716 | 12/20/25 | 10,000 | 69,006 | 53,102 | 15,904 | |||||||||||||||||||||
| CDX.NA.IG Index 32 |
1.000 | 0.188 | 06/20/24 | 225 | 1,815 | 823 | 992 | |||||||||||||||||||||
| General Electric Co. 2.700%, 10/09/22 |
1.000 | 0.566 | 06/20/26 | 5,225 | 64,318 | 42,317 | 22,001 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
$ | 159,914 | $ | 134,566 | $ | 25,348 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (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)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
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 |
||||||||||||||||||||||||||||
| 1Y IRS |
Citibank NA | 2.400 | % | 07/28/2023 | 8,700,000 | $ | 8,700,000 | $ | 97 | $ | 291,450 | $ | (291,353 | ) | ||||||||||||||
| 1Y IRS |
Citibank NA | 1.977 | 12/01/2023 | 6,630,000 | 6,630,000 | 16,295 | 150,814 | (134,519 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| 15,330,000 | $ | 15,330,000 | $ | 16,392 | $ | 442,264 | $ | (425,872 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||
| 1Y IRS |
Deutsche Bank AG (London) | 2.960 | 09/05/2023 | 6,720,000 | 6,720,000 | 319,865 | 261,610 | 58,255 | ||||||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 2.800 | 08/23/2023 | 6,730,000 | 6,730,000 | 404,359 | 242,983 | 161,376 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| 13,450,000 | $ | 13,450,000 | $ | 724,224 | $ | 504,593 | $ | 219,631 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total purchased option contracts |
28,780,000 | $ | 28,780,000 | $ | 740,616 | $ | 946,857 | $ | (206,241 | ) | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Written option contracts |
||||||||||||||||||||||||||||
| Calls |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (39,000,000) | (39,000,000 | ) | (63,305 | ) | (242,190 | ) | 178,885 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (19,500,000) | (19,500,000 | ) | (29,404 | ) | (124,313 | ) | 94,909 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (19,500,000) | (19,500,000 | ) | (28,686 | ) | (126,750 | ) | 98,064 | |||||||||||||||||
| 1Y IRS |
Citibank NA | 1.750 | 07/28/2023 | (8,700,000) | (8,700,000 | ) | (2 | ) | (108,750 | ) | 108,748 | |||||||||||||||||
| 1Y IRS |
Citibank NA | 2.075 | 07/28/2023 | (8,700,000) | (8,700,000 | ) | (12 | ) | (182,700 | ) | 182,688 | |||||||||||||||||
| 1Y IRS |
Citibank NA | 1.484 | 12/01/2023 | (2,670,000) | (2,670,000 | ) | (10,004 | ) | (150,696 | ) | 140,692 | |||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 0.400 | 01/05/2024 | (769,000,000) | (769,000,000 | ) | (53,239 | ) | (24,506 | ) | (28,733 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (867,070,000) | $ | (867,070,000 | ) | $ | (184,652 | ) | $ | (959,905 | ) | $ | 775,253 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (39,000,000) | (39,000,000 | ) | (553,617 | ) | (242,190 | ) | (311,427 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (19,500,000) | (19,500,000 | ) | (290,084 | ) | (124,312 | ) | (165,772 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (19,500,000) | (19,500,000 | ) | (294,243 | ) | (126,750 | ) | (167,493 | ) | ||||||||||||||||
| 1Y IRS |
Deutsche Bank AG (London) | 3.405 | 09/05/2023 | (6,720,000) | (6,720,000 | ) | (129,888 | ) | (160,342 | ) | 30,454 | |||||||||||||||||
| 1Y IRS |
Deutsche Bank AG (London) | 3.850 | 09/05/2023 | (6,720,000) | (6,720,000 | ) | (33,327 | ) | (101,268 | ) | 67,941 | |||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 3.660 | 08/23/2023 | (6,730,000) | (6,730,000 | ) | (55,624 | ) | (92,967 | ) | 37,343 | |||||||||||||||||
| 1Y IRS |
JPMorgan Securities, Inc. | 3.230 | 08/23/2023 | (6,730,000) | (6,730,000 | ) | (192,477 | ) | (150,016 | ) | (42,461 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (104,900,000) | $ | (104,900,000 | ) | $ | (1,549,260 | ) | $ | (997,845 | ) | $ | (551,415 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total written option contracts |
(971,970,000) | $ | (971,970,000 | ) | $ | (1,733,912 | ) | $ | (1,957,750 | ) | $ | 223,838 | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
(943,190,000) | $ | (943,190,000 | ) | $ | (993,296 | ) | $ | (1,010,893 | ) | $ | 17,597 | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
GOLDMAN SACHS SHORT DURATION BOND FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
|
| ||
| Currency Abbreviations: | ||
| AUD | — Australian Dollar | |
| CAD | — Canadian Dollar | |
| CHF | — Swiss Franc | |
| CLP | — Chilean Peso | |
| CNH | — Chinese Yuan Renminbi Offshore | |
| CZK | — Czech Republic Koruna | |
| EUR | — Euro | |
| GBP | — British Pound | |
| ILS | — Israeli Shekel | |
| JPY | — Japanese Yen | |
| KRW | — South Korean Won | |
| MXN | — Mexican Peso | |
| NOK | — Norwegian Krone | |
| NZD | — New Zealand Dollar | |
| PLN | — Polish Zloty | |
| SEK | — Swedish Krona | |
| SGD | — Singapore Dollar | |
| TRY | — Turkish Lira | |
| TWD | — Taiwan Dollar | |
| USD | — U.S. Dollar | |
| ZAR | — South African Rand | |
| Investment Abbreviations: | ||
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury Indexes | |
| FHLMC | — Federal Home Loan Mortgage Corp. | |
| FNMA | — Federal National Mortgage Association | |
| GNMA | — Government National Mortgage Association | |
| IO | — Interest Only Stripped Security | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| LP | — Limited Partnership | |
| PLC | — Public Limited Company | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Funding Rate | |
| STACR | — Structured Agency Credit Risk | |
| UMBS | — Uniform Mortgage Backed Securities | |
| Abbreviations: | ||
| 1Y IRS | — 1 Year Interest Rate Swaptions | |
| AUDOR | — Australian Dollar Offered Rate | |
| BofA Securities LLC | — Bank of America Securities LLC | |
| CDOR | — Canadian Dollar Offered Rate | |
| CHFOR | — Swiss Franc Offered Rate | |
| EURO | — Euro Offered Rate | |
| JYOR | — Japanese Yen Offered Rate | |
| LIBOR | — London Interbank Offered Rate | |
| MS & Co. Int. PLC | — Morgan Stanley & Co. International PLC | |
| NIBOR | — Norwegian Interbank Offered Rate | |
| NZDOR | — New Zealand Dollar Offered Rate | |
| SOFR | — Secured Overnight Funding Rate | |
| STIBOR | — Stockholm Interbank Offered Rate | |
|
| ||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – 37.2% | ||||||||||||
| Collateralized Mortgage Obligations – 0.2% | ||||||||||||
| Sequential Fixed Rate – 0.2% | ||||||||||||
| FHLMC REMIC Series 1980, Class Z | ||||||||||||
| $ |
80,480 | 7.000 | %(a) | 07/15/27 | $ 81,957 | |||||||
| FHLMC REMIC Series 2019, Class Z | ||||||||||||
| 75,027 | 6.500 | (a) | 12/15/27 | 75,306 | ||||||||
| FHLMC REMIC Series 2755, Class ZA | ||||||||||||
| 261,893 | 5.000 | 02/15/34 | 261,889 | |||||||||
| FHLMC REMIC Series 3530, Class DB | ||||||||||||
| 112,885 | 4.000 | 05/15/24 | 111,990 | |||||||||
| FHLMC REMIC Series 4246, Class PT | ||||||||||||
| 44,423 | 6.500 | 02/15/36 | 46,254 | |||||||||
| FNMA REMIC Series 2012-111, Class B | ||||||||||||
| 153,862 | 7.000 | 10/25/42 | 165,113 | |||||||||
| FNMA REMIC Series 2012-153, Class B | ||||||||||||
| 549,057 | 7.000 | 07/25/42 | 590,684 | |||||||||
|
| ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ 1,333,193 | |||||||||||
|
| ||||||||||||
| Federal Agencies – 37.0% | ||||||||||||
| Adjustable Rate FHLMC(b) – 0.2% | ||||||||||||
| (12M USD LIBOR + 1.840%) | ||||||||||||
| $ |
120,557 | 4.936 | % | 11/01/34 | $ 121,244 | |||||||
| (1 year CMT + 2.250%) | ||||||||||||
| 274,365 | 4.604 | 06/01/35 | 278,232 | |||||||||
| (12M USD LIBOR + 2.330%) | ||||||||||||
| 26,129 | 5.516 | 05/01/36 | 26,438 | |||||||||
| (6M USD LIBOR + 2.057%) | ||||||||||||
| 11,967 | 6.431 | 10/01/36 | 12,214 | |||||||||
| (12M USD LIBOR + 1.784%) | ||||||||||||
| 88,278 | 4.496 | 06/01/42 | 88,837 | |||||||||
| (12M USD LIBOR + 1.618%) | ||||||||||||
| 654,860 | 3.953 | 11/01/44 | 658,960 | |||||||||
|
| ||||||||||||
| 1,185,925 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate FNMA(b) – 0.6% | ||||||||||||
| (COF + 1.695%) | ||||||||||||
| 4,303 | 4.205 | 08/01/29 | 4,265 | |||||||||
| (12M USD LIBOR + 1.755%) | ||||||||||||
| 22,606 | 4.005 | 07/01/32 | 22,946 | |||||||||
| (12M USD LIBOR + 1.800%) | ||||||||||||
| 228,304 | 5.392 | 05/01/33 | 229,899 | |||||||||
| (6M USD LIBOR + 2.250%) | ||||||||||||
| 33,423 | 4.625 | 08/01/33 | 33,847 | |||||||||
| (COF + 1.254%) | ||||||||||||
| 238,872 | 4.590 | 08/01/33 | 239,446 | |||||||||
| (1 year CMT + 2.287%) | ||||||||||||
| 112,204 | 4.425 | % | 02/01/34 | 113,878 | ||||||||
| (12M USD LIBOR + 1.695%) | ||||||||||||
| 24,870 | 5.445 | 05/01/34 | 25,074 | |||||||||
| (12M USD LIBOR + 1.720%) | ||||||||||||
| 270,116 | 4.792 | 05/01/34 | 271,153 | |||||||||
| 23,117 | 4.220 | 03/01/35 | 23,227 | |||||||||
| 35,205 | 5.095 | 04/01/35 | 35,508 | |||||||||
| (1 year CMT + 2.220%) | ||||||||||||
| 190,459 | 3.970 | 06/01/34 | 193,772 | |||||||||
| (12M USD LIBOR + 1.685%) | ||||||||||||
| 33,862 | 3.935 | 10/01/34 | 34,308 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| Adjustable Rate FNMA(b) – (continued) | ||||||||||||
| (12M USD LIBOR + 1.627%) | ||||||||||||
| $ |
66,759 | 3.877 | % | 10/01/34 | $ 67,366 | |||||||
| (12M USD LIBOR + 1.597%) | ||||||||||||
| 70,894 | 4.317 | 03/01/35 | 70,991 | |||||||||
| (12M USD LIBOR + 1.325%) | ||||||||||||
| 82,905 | 4.075 | 04/01/35 | 82,359 | |||||||||
| (12M USD LIBOR + 1.423%) | ||||||||||||
| 61,186 | 4.224 | 05/01/35 | 61,056 | |||||||||
| (1 year CMT + 2.095%) | ||||||||||||
| 49,211 | 4.143 | 10/01/35 | 50,281 | |||||||||
| (12M USD LIBOR + 1.727%) | ||||||||||||
| 176,714 | 4.247 | 03/01/36 | 177,488 | |||||||||
| (12M USD LIBOR + 1.950%) | ||||||||||||
| 373,810 | 4.950 | 04/01/36 | 378,515 | |||||||||
| (12M USD LIBOR + 1.910%) | ||||||||||||
| 155,889 | 4.160 | 06/01/36 | 158,079 | |||||||||
| (12M MTA + 2.190%) | ||||||||||||
| 277,206 | 5.926 | 07/01/36 | 281,126 | |||||||||
| 62,932 | 4.185 | 11/01/36 | 64,016 | |||||||||
| (12M USD LIBOR + 1.712%) | ||||||||||||
| 281,499 | 4.665 | 07/01/37 | 284,831 | |||||||||
| (12M USD LIBOR + 1.820%) | ||||||||||||
| 3,563 | 4.070 | 12/01/46 | 3,628 | |||||||||
|
| ||||||||||||
| 2,907,059 | ||||||||||||
|
| ||||||||||||
| Adjustable Rate GNMA(b) – 0.3% | ||||||||||||
| (1 year CMT + 1.500%) | ||||||||||||
| 55,282 | 2.875 | 05/20/34 | 54,385 | |||||||||
| 137,998 | 2.625 | 07/20/34 | 134,027 | |||||||||
| 135,666 | 2.625 | 08/20/34 | 131,781 | |||||||||
| 825,360 | 2.625 | 09/20/34 | 801,744 | |||||||||
| 114,038 | 2.750 | 10/20/34 | 110,421 | |||||||||
| 124,717 | 2.750 | 12/20/34 | 120,779 | |||||||||
|
| ||||||||||||
| 1,353,137 | ||||||||||||
|
| ||||||||||||
| FHLMC – 4.9% | ||||||||||||
| 3,792 | 7.500 | 01/01/31 | 3,981 | |||||||||
| 16,032 | 4.500 | 07/01/33 | 15,797 | |||||||||
| 359,829 | 4.500 | 08/01/33 | 354,579 | |||||||||
| 744,920 | 4.500 | 09/01/33 | 734,053 | |||||||||
| 65,420 | 4.500 | 10/01/33 | 64,466 | |||||||||
| 1,851 | 4.500 | 04/01/34 | 1,824 | |||||||||
| 1,592 | 4.500 | 04/01/35 | 1,569 | |||||||||
| 1,142 | 4.500 | 07/01/35 | 1,126 | |||||||||
| 2,790 | 4.500 | 08/01/35 | 2,749 | |||||||||
| 15,787 | 4.500 | 09/01/35 | 15,561 | |||||||||
| 3,809 | 4.500 | 10/01/35 | 3,754 | |||||||||
| 657 | 4.500 | 12/01/35 | 647 | |||||||||
| 509 | 4.500 | 05/01/36 | 502 | |||||||||
| 46,884 | 4.500 | 01/01/38 | 46,212 | |||||||||
| 605 | 4.500 | 04/01/38 | 598 | |||||||||
| 323 | 4.500 | 05/01/38 | 319 | |||||||||
| 2,966 | 4.500 | 06/01/38 | 2,923 | |||||||||
| 74,065 | 4.500 | 09/01/38 | 73,158 | |||||||||
| 1,616 | 4.500 | 01/01/39 | 1,597 | |||||||||
| 38,478 | 4.500 | 02/01/39 | 38,015 | |||||||||
| 19,808 | 4.500 | 03/01/39 | 19,573 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| FHLMC – (continued) | ||||||||||||
| $ |
3,825 | 4.500 | % | 04/01/39 | $ 3,779 | |||||||
| 104,687 | 4.500 | 05/01/39 | 103,449 | |||||||||
| 336,731 | 4.500 | 06/01/39 | 332,751 | |||||||||
| 11,833 | 4.500 | 07/01/39 | 11,694 | |||||||||
| 14,612 | 4.500 | 08/01/39 | 14,440 | |||||||||
| 20,153 | 4.500 | 09/01/39 | 19,915 | |||||||||
| 3,786 | 4.500 | 10/01/39 | 3,741 | |||||||||
| 7,117 | 4.500 | 11/01/39 | 7,034 | |||||||||
| 7,716 | 4.500 | 12/01/39 | 7,624 | |||||||||
| 13,154 | 4.500 | 01/01/40 | 12,999 | |||||||||
| 3,182 | 4.500 | 02/01/40 | 3,144 | |||||||||
| 9,921 | 4.500 | 04/01/40 | 9,801 | |||||||||
| 14,170 | 4.500 | 05/01/40 | 13,997 | |||||||||
| 18,299 | 4.500 | 06/01/40 | 18,075 | |||||||||
| 11,866 | 4.500 | 07/01/40 | 11,720 | |||||||||
| 13,154 | 4.500 | 08/01/40 | 12,993 | |||||||||
| 7,930 | 4.500 | 09/01/40 | 7,833 | |||||||||
| 3,630 | 4.500 | 10/01/40 | 3,586 | |||||||||
| 4,164 | 4.500 | 02/01/41 | 4,111 | |||||||||
| 12,650 | 4.500 | 03/01/41 | 12,487 | |||||||||
| 23,681 | 4.500 | 04/01/41 | 23,376 | |||||||||
| 25,970 | 4.500 | 05/01/41 | 25,635 | |||||||||
| 47,569 | 4.500 | 06/01/41 | 46,956 | |||||||||
| 4,249 | 4.500 | 07/01/41 | 4,194 | |||||||||
| 141,997 | 4.500 | 08/01/41 | 140,167 | |||||||||
| 139,230 | 4.500 | 09/01/41 | 137,521 | |||||||||
| 8,280 | 4.500 | 12/01/41 | 8,173 | |||||||||
| 105,753 | 4.500 | 03/01/42 | 104,390 | |||||||||
| 11,639,700 | 2.500 | 02/01/51 | 9,910,981 | |||||||||
| 15,328,698 | 2.000 | 05/01/51 | 12,529,737 | |||||||||
|
| ||||||||||||
| 24,929,306 | ||||||||||||
|
| ||||||||||||
| FNMA – 1.7% | ||||||||||||
| 84,207 | 7.500 | 10/01/37 | 89,325 | |||||||||
| 2,955,029 | 2.000 | 10/01/50 | 2,420,445 | |||||||||
| 2,954,345 | 2.000 | 11/01/50 | 2,419,519 | |||||||||
| 3,828,993 | 5.500 | 09/01/52 | 3,854,232 | |||||||||
|
| ||||||||||||
| 8,783,521 | ||||||||||||
|
| ||||||||||||
| GNMA – 13.9% | ||||||||||||
| 994 | 6.500 | 01/15/32 | 1,014 | |||||||||
| 3,327 | 6.500 | 02/15/32 | 3,417 | |||||||||
| 2,686 | 6.500 | 08/15/34 | 2,789 | |||||||||
| 8,385 | 6.500 | 05/15/35 | 8,676 | |||||||||
| 2,252 | 6.500 | 06/15/35 | 2,317 | |||||||||
| 6,537 | 6.500 | 07/15/35 | 6,767 | |||||||||
| 2,483 | 6.500 | 08/15/35 | 2,572 | |||||||||
| 5,039 | 6.500 | 09/15/35 | 5,214 | |||||||||
| 8,337 | 6.500 | 11/15/35 | 8,647 | |||||||||
| 5,465 | 6.500 | 12/15/35 | 5,659 | |||||||||
| 16,156 | 6.500 | 01/15/36 | 16,694 | |||||||||
| 21,637 | 6.500 | 02/15/36 | 22,449 | |||||||||
| 9,491 | 6.500 | 03/15/36 | 9,815 | |||||||||
| 33,703 | 6.500 | 04/15/36 | 35,006 | |||||||||
| 41,893 | 6.500 | 05/15/36 | 43,431 | |||||||||
| 37,548 | 6.500 | 06/15/36 | 38,863 | |||||||||
| 111,553 | 6.500 | 07/15/36 | 116,150 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| GNMA – (continued) | ||||||||||||
| $ |
120,658 | 6.500 | % | 08/15/36 | $ 125,720 | |||||||
| 254,210 | 6.500 | 09/15/36 | 264,982 | |||||||||
| 91,282 | 6.500 | 10/15/36 | 94,982 | |||||||||
| 126,245 | 6.500 | 11/15/36 | 132,264 | |||||||||
| 50,563 | 6.500 | 12/15/36 | 52,611 | |||||||||
| 22,918 | 6.500 | 01/15/37 | 23,798 | |||||||||
| 13,551 | 6.500 | 02/15/37 | 14,115 | |||||||||
| 8,812 | 6.500 | 03/15/37 | 9,148 | |||||||||
| 19,107 | 6.500 | 04/15/37 | 19,875 | |||||||||
| 4,716 | 6.500 | 05/15/37 | 4,938 | |||||||||
| 5,020 | 6.500 | 08/15/37 | 5,224 | |||||||||
| 29,571 | 6.500 | 09/15/37 | 30,766 | |||||||||
| 38,556 | 6.500 | 10/15/37 | 40,950 | |||||||||
| 15,841 | 6.500 | 11/15/37 | 16,485 | |||||||||
| 12,642 | 6.500 | 05/15/38 | 13,198 | |||||||||
| 32,062 | 6.000 | 11/15/38 | 33,042 | |||||||||
| 2,322 | 6.500 | 01/15/39 | 2,377 | |||||||||
| 3,713 | 6.500 | 02/15/39 | 3,829 | |||||||||
| 2,315,771 | 4.500 | 08/20/47 | 2,277,809 | |||||||||
| 51,509 | 4.500 | 02/20/48 | 50,600 | |||||||||
| 121,981 | 4.500 | 05/20/48 | 119,447 | |||||||||
| 623,049 | 4.500 | 09/20/48 | 609,915 | |||||||||
| 4,601,478 | 5.000 | 09/20/48 | 4,596,331 | |||||||||
| 173,375 | 5.000 | 10/20/48 | 173,181 | |||||||||
| 3,664 | 5.000 | 11/20/48 | 3,660 | |||||||||
| 1,707,148 | 4.500 | 12/20/48 | 1,670,627 | |||||||||
| 4,000,022 | 5.000 | 12/20/48 | 3,989,298 | |||||||||
| 341,530 | 4.500 | 01/20/49 | 334,117 | |||||||||
| 2,031,753 | 5.000 | 01/20/49 | 2,026,306 | |||||||||
| 29,487 | 5.000 | 03/20/49 | 29,408 | |||||||||
| 1,040,119 | 4.000 | 04/20/49 | 995,455 | |||||||||
| 13,064 | 5.000 | 05/20/49 | 13,049 | |||||||||
| 499,870 | 5.000 | 06/20/49 | 498,530 | |||||||||
| 71,257 | 5.000 | 11/20/49 | 71,021 | |||||||||
| 771,040 | 5.000 | 12/20/49 | 769,608 | |||||||||
| 204,195 | 5.000 | 07/20/50 | 204,129 | |||||||||
| 561,033 | 4.000 | 01/20/51 | 532,909 | |||||||||
| 633,599 | 2.500 | 06/20/51 | 542,251 | |||||||||
| 2,876,999 | 2.500 | 09/20/51 | 2,470,128 | |||||||||
| 3,186,889 | 2.500 | 10/20/51 | 2,732,420 | |||||||||
| 4,305,881 | 3.000 | 11/20/51 | 3,862,696 | |||||||||
| 589,020 | 2.500 | 11/20/51 | 504,836 | |||||||||
| 6,144,399 | 3.000 | 12/20/51 | 5,510,064 | |||||||||
| 2,966,628 | 2.500 | 12/20/51 | 2,544,629 | |||||||||
| 1,494,742 | 2.500 | 01/20/52 | 1,278,151 | |||||||||
| 2,920,178 | 4.500 | 09/20/52 | 2,817,128 | |||||||||
| 3,458,120 | 4.500 | 10/20/52 | 3,336,086 | |||||||||
| 13,000,000 | 4.000 | TBA-30yr | 12,291,861 | |||||||||
| 3,000,000 | 4.500 | TBA-30yr(c) | 2,894,593 | |||||||||
| 1,000,000 | 5.000 | TBA-30yr(c) | 982,544 | |||||||||
| 9,000,000 | 5.500 | TBA-30yr(c) | 8,960,402 | |||||||||
|
| ||||||||||||
| 70,910,973 | ||||||||||||
|
| ||||||||||||
| UMBS – 15.4% | ||||||||||||
| 98 | 5.500 | 09/01/23 | 97 | |||||||||
| 86 | 5.500 | 10/01/23 | 86 | |||||||||
| 136,821 | 4.500 | 11/01/36 | 134,903 | |||||||||
| 44,059 | 4.500 | 02/01/39 | 43,473 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Mortgage-Backed Obligations – (continued) | ||||||||||||
| UMBS – (continued) | ||||||||||||
| $ |
56,536 | 4.500 | % | 04/01/39 | $ 55,803 | |||||||
| 2,896 | 4.500 | 08/01/39 | 2,844 | |||||||||
| 171,610 | 4.500 | 08/01/41 | 168,616 | |||||||||
| 99,122 | 4.500 | 10/01/41 | 97,732 | |||||||||
| 3,117,923 | 4.000 | 12/01/44 | 2,992,082 | |||||||||
| 13,071,606 | 3.500 | 07/01/45 | 12,124,461 | |||||||||
| 5,802,106 | 4.000 | 08/01/45 | 5,571,175 | |||||||||
| 432,162 | 4.000 | 01/01/46 | 414,006 | |||||||||
| 343,051 | 4.500 | 06/01/48 | 335,377 | |||||||||
| 2,388,002 | 4.500 | 07/01/48 | 2,330,852 | |||||||||
| 627,831 | 4.500 | 08/01/48 | 612,806 | |||||||||
| 201,791 | 4.500 | 09/01/48 | 196,962 | |||||||||
| 2,818,938 | 4.500 | 10/01/48 | 2,761,651 | |||||||||
| 1,244,974 | 4.500 | 01/01/49 | 1,213,415 | |||||||||
| 1,712,386 | 4.000 | 01/01/49 | 1,637,921 | |||||||||
| 288,409 | 4.500 | 03/01/49 | 280,696 | |||||||||
| 138,947 | 5.000 | 07/01/49 | 138,814 | |||||||||
| 427,945 | 4.000 | 03/01/50 | 407,463 | |||||||||
| 552,056 | 4.500 | 05/01/50 | 536,290 | |||||||||
| 14,465,564 | 4.500 | 06/01/52 | 14,033,157 | |||||||||
| 1,879,982 | 5.000 | 07/01/52 | 1,859,104 | |||||||||
| 5,644,805 | 5.000 | 08/01/52 | 5,580,353 | |||||||||
| 3,803,239 | 6.000 | 11/01/52 | 3,920,161 | |||||||||
| 1,898,137 | 6.000 | 12/01/52 | 1,943,405 | |||||||||
| 2,878,301 | 6.000 | 01/01/53 | 2,934,620 | |||||||||
| 1,929,827 | 5.500 | 04/01/53 | 1,923,249 | |||||||||
| 2,000,000 | 3.000 | TBA-30yr(c) | 1,759,687 | |||||||||
| 7,000,000 | 5.000 | TBA-30yr(c) | 6,858,086 | |||||||||
| 6,000,000 | 6.000 | TBA-30yr(c) | 6,052,265 | |||||||||
|
| ||||||||||||
| 78,921,612 | ||||||||||||
|
| ||||||||||||
| TOTAL FEDERAL AGENCIES | $188,991,533 | |||||||||||
|
| ||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $198,484,892) |
$190,324,726 | |||||||||||
|
| ||||||||||||
| Agency Debentures – 16.3% | ||||||||||||
| Sovereign – 16.3% | ||||||||||||
| FHLB | ||||||||||||
| $ |
13,950,000 | 3.500 | % | 06/11/32 | $ 12,931,231 | |||||||
| FNMA | ||||||||||||
| 5,200,000 | 6.250 | 05/15/29 | 5,751,148 | |||||||||
| 16,080,000 | 7.125 | 01/15/30 | 18,790,284 | |||||||||
| Tennessee Valley Authority | ||||||||||||
| 49,850,000 | 0.750 | 05/15/25 | 45,957,712 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $90,190,897) |
$ 83,430,375 | |||||||||||
|
| ||||||||||||
| U.S. Treasury Obligations – 49.3% | ||||||||||||
| United States Treasury Bonds | ||||||||||||
| $ |
4,910,000 | 3.500 | % | 04/30/30 | $ 4,768,838 | |||||||
| 410,000 | 3.375 | 05/15/44 | 369,641 | |||||||||
| 10,000 | 3.000 | 11/15/45 | 8,433 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – (continued) | ||||||||||||
| United States Treasury Bonds – (continued) | ||||||||||||
| $ |
200,000 | 2.875 | % | 11/15/46 | $ 164,781 | |||||||
| 380,000 | 3.375 | 11/15/48 | 343,603 | |||||||||
| 600,500 | 4.000 | 11/15/52 | 617,201 | |||||||||
| United States Treasury Notes | ||||||||||||
| 11,965,000 | 4.375 | (d) | 10/31/24 | 11,820,579 | ||||||||
| 27,195,000 | 0.750 | 11/15/24 | 25,577,110 | |||||||||
| 19,070,000 | 4.250 | 12/31/24 | 18,804,808 | |||||||||
| 29,330,000 | 1.125 | 01/15/25 | 27,582,803 | |||||||||
| 32,950,000 | 3.875 | 03/31/25 | 32,303,871 | |||||||||
| 31,947,300 | 2.750 | 05/15/25 | 30,683,135 | |||||||||
| 11,750,000 | 0.375 | 11/30/25 | 10,606,211 | |||||||||
| 6,942,000 | 0.750 | 03/31/26 | 6,274,375 | |||||||||
| 11,760,000 | 0.750 | 05/31/26 | 10,563,787 | |||||||||
| 9,960,000 | 0.625 | 07/31/26 | 8,873,738 | |||||||||
| 4,200,000 | 1.375 | 08/31/26 | 3,822,000 | |||||||||
| 5,940,000 | 1.125 | 10/31/26 | 5,341,823 | |||||||||
| 12,630,000 | 2.250 | 11/15/27 | 11,632,427 | |||||||||
| 11,010,000 | 1.125 | 02/29/28 | 9,595,043 | |||||||||
| 11,340,000 | 1.250 | 03/31/28 | 9,922,500 | |||||||||
| 11,090,000 | 1.250 | 04/30/28 | 9,688,155 | |||||||||
| 5,360,000 | 3.625 | 05/31/28 | 5,243,169 | |||||||||
| 2,210,000 | 1.750 | 01/31/29 | 1,953,951 | |||||||||
| 5,630,000 | 2.625 | 02/15/29 | 5,215,667 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $259,846,729) |
$251,777,649 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(e) – 3.1% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 15,641,052 | 5.022% | $ 15,641,052 | ||||||||||
| (Cost $15,641,052) | ||||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 105.9% (Cost $564,163,570) |
$541,173,802 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – (5.9)% |
(30,367,538) | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $510,806,264 | |||||||||||
|
| ||||||||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
| (a) | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. | |
| (b) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2023. | |
| (c) | 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 $27,507,577 which represents approximately 5.4% of net assets as of June 30, 2023. | |
| (d) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (e) | Represents an affiliated Issuer. | |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD SALES CONTRACTS — At June 30, 2023, the Fund had the following forward sales contracts:
| Description | Interest Rate |
Maturity Date(a) |
Settlement Date |
Principal Amount |
Value | |||||||||
|
|
||||||||||||||
| GNMA |
2.500% | TBA - 30yr | 07/20/23 | $ | (3,000,000 | ) | $ | (2,596,260 | ) | |||||
| GNMA |
3.000 | TBA - 30yr | 07/20/23 | (4,000,000 | ) | (3,573,415 | ) | |||||||
| UMBS, 30 Year, Single Family |
2.000 | TBA - 30yr | 07/13/23 | (21,000,000 | ) | (17,112,615 | ) | |||||||
| UMBS, 30 Year, Single Family |
2.500 | TBA - 30yr | 07/13/23 | (8,000,000 | ) | (6,779,686 | ) | |||||||
| UMBS, 30 Year, Single Family |
3.500 | TBA - 30yr | 07/13/23 | (9,000,000 | ) | (8,197,733 | ) | |||||||
| UMBS, 30 Year, Single Family |
4.000 | TBA - 30yr | 07/13/23 | (8,000,000 | ) | (7,505,623 | ) | |||||||
| UMBS, 30 Year, Single Family |
4.500 | TBA - 30yr | 07/13/23 | (8,000,000 | ) | (7,687,502 | ) | |||||||
| UMBS, 30 Year, Single Family |
5.500 | TBA - 30yr | 07/13/23 | (5,000,000 | ) | (4,975,973 | ) | |||||||
|
|
||||||||||||||
| (PROCEEDS RECEIVABLE: $(58,789,336)) |
$ | (58,428,807 | ) | |||||||||||
|
|
||||||||||||||
| (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 June 30, 2023, 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 |
1,214 | 09/29/23 | $ | 246,859,312 | $ | (3,076,773 | ) | |||||
|
|
||||||||||||
| Short position contracts: |
||||||||||||
| 10 Year U.S. Treasury Notes |
(692) | 09/20/23 | (79,181,406 | ) | 980,982 | |||||||
| 20 Year U.S. Treasury Bonds |
(9) | 09/20/23 | (1,142,156 | ) | (883 | ) | ||||||
| 5 Year U.S. Treasury Notes |
(817) | 09/29/23 | (87,495,594 | ) | 1,489,814 | |||||||
| Ultra Long U.S. Treasury Bonds |
(96) | 09/20/23 | (13,077,000 | ) | (133,144 | ) | ||||||
|
|
||||||||||||
| Total |
$ | 2,336,769 | ||||||||||
|
|
||||||||||||
| TOTAL FUTURES CONTRACTS |
$ | (740,004 | ) | |||||||||
|
|
||||||||||||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| Payments Made by the Fund |
Payments Received by Fund |
Termination Date |
Notional Amount (000s)(a) |
Market Value |
Upfront Premium (Received) Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||
|
|
||||||||||||||||||||||
| 3.270%(b) |
12M SOFR(b) | 05/14/25 | $ | 15,280 | $ | 156,897 | $ | 91,082 | $ | 65,815 | ||||||||||||
| 12M SOFR(c) |
3.423%(c) | 03/31/30 | 10,740 | (150,325 | ) | (1,891 | ) | (148,434 | ) | |||||||||||||
| 2.680(c) |
12M SOFR(c) | 07/28/32 | 7,390 | 130,330 | 100,850 | 29,480 | ||||||||||||||||
| 12M SOFR(c) |
2.910(c) | 07/28/37 | 18,070 | (238,744 | ) | (245,527 | ) | 6,783 | ||||||||||||||
| 12M SOFR(c) |
2.720(c) | 08/11/37 | 11,240 | (220,074 | ) | (311,580 | ) | 91,506 | ||||||||||||||
| 12M SOFR(c) |
3.391(c) | 05/10/38 | 9,000 | 19,945 | (8,610 | ) | 28,555 | |||||||||||||||
| 2.080(c) |
12M SOFR(c) | 07/28/47 | 14,280 | 202,896 | 183,025 | 19,871 | ||||||||||||||||
| 2.170(c) |
12M SOFR(c) | 08/11/52 | 5,420 | 239,713 | 144,298 | 95,415 | ||||||||||||||||
| 2.564(c) |
12M SOFR(c) | 05/11/53 | 7,200 | (41,159 | ) | 7,192 | (48,351 | ) | ||||||||||||||
|
|
||||||||||||||||||||||
| TOTAL |
$ | 99,479 | $ | (41,161 | ) | $ | 140,640 | |||||||||||||||
|
|
||||||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2023. |
| (b) | Payments made at maturity. |
| (c) | Payments made annually. |
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
WRITTEN OPTIONS CONTRACTS — At June 30, 2023, 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) |
||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Written option contracts |
| |||||||||||||||||||||||||||
| Calls |
| |||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | % | 05/10/2024 | (12,100,000) | $ | (12,100,000 | ) | $ | (19,641 | ) | $ | (75,141 | ) | $ | 55,500 | ||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (6,050,000) | (6,050,000 | ) | (9,123 | ) | (38,569 | ) | 29,446 | |||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (6,050,000) | (6,050,000 | ) | (8,900 | ) | (39,325 | ) | 30,425 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (24,200,000) | $ | (24,200,000 | ) | $ | (37,664 | ) | $ | (153,035 | ) | $ | 115,371 | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Puts |
||||||||||||||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 3.025 | 05/10/2024 | (12,100,000) | (12,100,000 | ) | (171,763 | ) | (75,141 | ) | (96,622 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.935 | 05/13/2024 | (6,050,000) | (6,050,000 | ) | (90,000 | ) | (38,569 | ) | (51,431 | ) | ||||||||||||||||
| 1Y IRS |
BofA Securities LLC | 2.908 | 05/13/2024 | (6,050,000) | (6,050,000 | ) | (91,291 | ) | (39,325 | ) | (51,966 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| (24,200,000) | $ | (24,200,000 | ) | $ | (353,054 | ) | $ | (153,035 | ) | $ | (200,019 | ) | ||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total written option contracts |
(48,400,000) | $ | (48,400,000 | ) | $ | (390,718 | ) | $ | (306,070 | ) | $ | (84,648 | ) | |||||||||||||||
|
|
||||||||||||||||||||||||||||
| TOTAL |
(48,400,000) | $ | (48,400,000 | ) | $ | (390,718 | ) | $ | (306,070 | ) | $ | (84,648 | ) | |||||||||||||||
|
|
||||||||||||||||||||||||||||
|
| ||
| 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 | |
| UMBS | — Uniform Mortgage Backed Securities | |
| Abbreviations: | ||
| 1Y IRS | — 1 Year Interest Rate Swaptions | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – 36.6% | ||||||||||||
| Agriculture(a) – 0.3% | ||||||||||||
| BAT Capital Corp. | ||||||||||||
| $ |
5,665,000 | 3.222 | % | 08/15/24 | $ 5,496,466 | |||||||
|
| ||||||||||||
| Automotive – 1.0% | ||||||||||||
| Hyundai Capital America(b) | ||||||||||||
| 4,435,000 | 5.800 | 06/26/25 | 4,426,751 | |||||||||
| Toyota Motor Credit Corp.(c) (SOFR + 0.890%) | ||||||||||||
| 10,292,000 | 5.980 | 05/18/26 | 10,332,036 | |||||||||
| Volkswagen Group of America Finance LLC(b)(c) (SOFR + 0.950%) | ||||||||||||
| 5,000,000 | 6.040 | 06/07/24 | 4,994,050 | |||||||||
|
| ||||||||||||
| 19,752,837 | ||||||||||||
|
| ||||||||||||
| Banks – 27.1% | ||||||||||||
| Banco Santander SA(c) | ||||||||||||
| (1 year CMT + 0.450%) | ||||||||||||
| 11,000,000 | 5.770 | (a) | 06/30/24 | 10,938,950 | ||||||||
| (SOFR + 1.240%) | ||||||||||||
| 16,200,000 | 6.330 | 05/24/24 | 16,269,498 | |||||||||
| Bank of America Corp.(a)(c) | ||||||||||||
| (SOFR + 0.660%) | ||||||||||||
| 18,210,000 | 5.749 | 02/04/25 | 18,159,923 | |||||||||
| (SOFR + 0.690%) | ||||||||||||
| 11,139,000 | 0.976 | 04/22/25 | 10,675,729 | |||||||||
| (SOFR + 0.690%) | ||||||||||||
| 7,008,000 | 5.751 | 04/22/25 | 6,998,679 | |||||||||
| Bank of Montreal | ||||||||||||
| 3,136,000 | 3.300 | 02/05/24 | 3,088,176 | |||||||||
| (SOFR + 1.330%) | ||||||||||||
| 12,291,000 | 6.420 | (c) | 06/05/26 | 12,358,969 | ||||||||
| Banque Federative du Credit Mutuel SA(b)(c) (SOFR + 0.410%) | ||||||||||||
| 10,105,000 | 5.494 | 02/04/25 | 10,021,937 | |||||||||
| Barclays PLC(a)(c) (1 year CMT + 0.800%) | ||||||||||||
| 11,996,000 | 1.007 | 12/10/24 | 11,704,977 | |||||||||
| BPCE SA(b)(c) (SOFR + 0.570%) | ||||||||||||
| 9,800,000 | 5.596 | 01/14/25 | 9,648,002 | |||||||||
| Canadian Imperial Bank of Commerce | ||||||||||||
| 6,283,000 | 3.100 | 04/02/24 | 6,152,691 | |||||||||
| Citigroup, Inc.(a)(c) | ||||||||||||
| (SOFR + 1.372%) | ||||||||||||
| 14,631,000 | 6.463 | 05/24/25 | 14,706,935 | |||||||||
| (TSFR3M + 1.158%) | ||||||||||||
| 19,114,000 | 3.352 | 04/24/25 | 18,685,464 | |||||||||
| Credit Suisse AG | ||||||||||||
| 2,758,000 | 7.950 | 01/09/25 | 2,811,698 | |||||||||
| Deutsche Bank AG | ||||||||||||
| 3,086,000 | 0.962 | 11/08/23 | 3,020,268 | |||||||||
| (SOFR + 0.500%) | ||||||||||||
| 26,504,000 | 5.589 | (c) | 11/08/23 | 26,424,488 | ||||||||
| Federation des Caisses Desjardins du Quebec(b)(c) (SOFR + 0.430%) | ||||||||||||
| 27,000,000 | 5.520 | 05/21/24 | 26,916,300 | |||||||||
| HSBC Holdings PLC(a)(c) (SOFR + 0.580%) | ||||||||||||
| 19,425,000 | 5.670 | 11/22/24 | 19,286,694 | |||||||||
| HSBC USA, Inc. | ||||||||||||
| 7,633,000 | 5.625 | 03/17/25 | 7,610,864 | |||||||||
| Intesa Sanpaolo SpA(b) | ||||||||||||
| 7,829,000 | 3.250 | 09/23/24 | 7,507,385 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| JPMorgan Chase & Co.(a)(c) | ||||||||||||
| (SOFR + 0.970%) | ||||||||||||
| $ |
20,857,000 | 6.061 | % | 06/14/25 | $ 20,882,863 | |||||||
| (TSFR3M + 0.540%) | ||||||||||||
| 3,799,000 | 0.824 | 06/01/25 | 3,612,279 | |||||||||
| (TSFR3M + 1.417%) | ||||||||||||
| 24,875,000 | 3.220 | 03/01/25 | 24,401,131 | |||||||||
| KeyBank NA(a)(c) (SOFR + 0.340%) | ||||||||||||
| 11,520,000 | 5.432 | 01/03/24 | 11,314,714 | |||||||||
| Macquarie Bank Ltd.(b)(c) (SOFR + 1.240%) | ||||||||||||
| 7,845,000 | 6.331 | 06/15/26 | 7,878,420 | |||||||||
| Mitsubishi UFJ Financial Group, Inc.(a)(c) | ||||||||||||
| (1 year CMT + 0.680%) | ||||||||||||
| 13,487,000 | 0.848 | 09/15/24 | 13,332,978 | |||||||||
| (SOFR + 0.940%) | ||||||||||||
| 12,750,000 | 6.029 | 02/20/26 | 12,749,745 | |||||||||
| (SOFR + 1.385%) | ||||||||||||
| 5,266,000 | 6.475 | 09/12/25 | 5,286,169 | |||||||||
| Mizuho Bank Ltd.(c) (SOFR + 0.460%) | ||||||||||||
| 5,192,000 | 5.520 | 10/24/23 | 5,194,018 | |||||||||
| Mizuho Financial Group, Inc.(a)(c) | ||||||||||||
| (-1X SOFR + 0.872%) | ||||||||||||
| 8,467,000 | 0.849 | 09/08/24 | 8,377,419 | |||||||||
| (-1X SOFR + 1.252%) | ||||||||||||
| 14,606,000 | 1.241 | 07/10/24 | 14,595,192 | |||||||||
| Morgan Stanley(a)(c) | ||||||||||||
| (SOFR + 0.509%) | ||||||||||||
| 22,514,000 | 0.791 | 01/22/25 | 21,818,543 | |||||||||
| (SOFR + 0.625%) | ||||||||||||
| 6,998,000 | 5.686 | 01/24/25 | 6,979,595 | |||||||||
| MUFG Bank Ltd.(b) | ||||||||||||
| 2,469,000 | 4.100 | 09/09/23 | 2,459,618 | |||||||||
| National Securities Clearing Corp.(b) | ||||||||||||
| 7,505,000 | 5.150 | 05/30/25 | 7,469,426 | |||||||||
| NatWest Group PLC | ||||||||||||
| 3,681,000 | 3.875 | 09/12/23 | 3,661,086 | |||||||||
| NatWest Markets PLC(b) | ||||||||||||
| 3,419,000 | 0.800 | 08/12/24 | 3,219,672 | |||||||||
| Nordea Bank Abp(b)(c) (3M USD LIBOR + 0.940%) | ||||||||||||
| 4,721,000 | 6.403 | 08/30/23 | 4,724,210 | |||||||||
| Santander UK Group Holdings PLC(a)(c) (SOFR + 0.787%) | ||||||||||||
| 5,447,000 | 1.089 | 03/15/25 | 5,214,903 | |||||||||
| Standard Chartered PLC(a)(b)(c) (1 year CMT + 0.780%) | ||||||||||||
| 5,570,000 | 0.991 | 01/12/25 | 5,400,226 | |||||||||
| Sumitomo Mitsui Trust Bank Ltd.(b)(c) (SOFR + 1.120%) | ||||||||||||
| 9,831,000 | 6.210 | 03/09/26 | 9,846,533 | |||||||||
| Svenska Handelsbanken AB(b)(c) (SOFR + 1.250%) | ||||||||||||
| 13,359,000 | 6.341 | 06/15/26 | 13,427,932 | |||||||||
| Swedbank AB(b) | ||||||||||||
| 3,119,000 | 0.600 | 09/25/23 | 3,081,011 | |||||||||
| (SOFR + 1.380%) | ||||||||||||
| 14,903,000 | 6.471 | (c) | 06/15/26 | 14,963,953 | ||||||||
| The Bank of Nova Scotia | ||||||||||||
| 5,973,000 | 0.700 | 04/15/24 | 5,741,785 | |||||||||
| 2,997,000 | 5.250 | 12/06/24 | 2,973,174 | |||||||||
| 10,878,000 | 5.450 | 06/12/25 | 10,822,196 | |||||||||
| (SOFR + 1.090%) | ||||||||||||
| 8,947,000 | 6.180 | (c) | 06/12/25 | 8,967,936 | ||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Banks – (continued) | ||||||||||||
| The Toronto-Dominion Bank | ||||||||||||
| $ |
2,276,000 | 3.250 | % | 03/11/24 | $ 2,236,602 | |||||||
| (SOFR + 0.355%) | ||||||||||||
| 2,650,000 | 5.445 | (c) | 03/04/24 | 2,645,204 | ||||||||
| (SOFR + 0.910%) | ||||||||||||
| 10,478,000 | 6.000 | (c) | 03/08/24 | 10,496,232 | ||||||||
| UBS AG(b) | ||||||||||||
| 11,457,000 | 0.700 | 08/09/24 | 10,786,422 | |||||||||
| (SOFR + 0.450%) | ||||||||||||
| 12,180,000 | 5.540 | (c) | 08/09/24 | 12,125,190 | ||||||||
| (SOFR + 0.470%) | ||||||||||||
| 6,993,000 | 5.493 | (a)(c) | 01/13/25 | 6,946,427 | ||||||||
| US Bancorp(a) | ||||||||||||
| 3,427,000 | 3.700 | 01/30/24 | 3,383,477 | |||||||||
| 3,515,000 | 3.375 | 02/05/24 | 3,463,119 | |||||||||
| Westpac Banking Corp. | ||||||||||||
| 5,190,000 | 5.350 | 10/18/24 | 5,182,786 | |||||||||
|
| ||||||||||||
| 558,649,813 | ||||||||||||
|
| ||||||||||||
| Cosmetics & Personal Care(a) – 0.3% | ||||||||||||
| Haleon U.S. Capital LLC | ||||||||||||
| 7,326,000 | 3.024 | 03/24/24 | 7,163,582 | |||||||||
|
| ||||||||||||
| Diversified Financial Services – 2.5% | ||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||||||
| 5,241,000 | 1.150 | 10/29/23 | 5,160,289 | |||||||||
| AIG Global Funding(b)(c) (SOFR + 0.380%) | ||||||||||||
| 19,547,000 | 5.471 | 12/15/23 | 19,468,812 | |||||||||
| American Express Co.(a)(c) (SOFR + 0.930%) | ||||||||||||
| 8,050,000 | 6.020 | 03/04/25 | 8,098,219 | |||||||||
| Capital One Financial Corp.(a)(c) (SOFR + 0.690%) | ||||||||||||
| 19,375,000 | 5.780 | 12/06/24 | 19,038,650 | |||||||||
|
| ||||||||||||
| 51,765,970 | ||||||||||||
|
| ||||||||||||
| Electrical(a)(c) – 1.6% | ||||||||||||
| American Electric Power Co., Inc. (3M USD LIBOR + 0.480%) | ||||||||||||
| 7,063,000 | 5.779 | 11/01/23 | 7,062,788 | |||||||||
| CenterPoint Energy, Inc. (SOFR + 0.650%) | ||||||||||||
| 19,300,000 | 5.739 | 05/13/24 | 19,277,033 | |||||||||
| Dominion Energy, Inc. (3M USD LIBOR + 0.530%) | ||||||||||||
| 7,608,000 | 6.082 | 09/15/23 | 7,608,913 | |||||||||
|
| ||||||||||||
| 33,948,734 | ||||||||||||
|
| ||||||||||||
| Healthcare Providers & Services(c) – 0.4% | ||||||||||||
| Baxter International, Inc. (SOFR + 0.440%) | ||||||||||||
| 8,100,000 | 5.531 | 11/29/24 | 8,032,689 | |||||||||
|
| ||||||||||||
| Insurance(b)(c) – 2.0% | ||||||||||||
| Jackson National Life Global Funding (SOFR + 1.150%) | ||||||||||||
| 6,029,000 | 6.242 | 06/28/24 | 6,033,702 | |||||||||
| MassMutual Global Funding II (SOFR + 0.270%) | ||||||||||||
| 13,808,000 | 5.316 | 10/21/24 | 13,767,819 | |||||||||
| New York Life Global Funding (SOFR + 0.650%) | ||||||||||||
| 6,071,000 | 5.724 | 05/02/25 | 6,055,944 | |||||||||
| Pacific Life Global Funding II | ||||||||||||
| (SOFR + 0.400%) | ||||||||||||
| 4,325,000 | 5.464 | 01/27/25 | 4,285,556 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Corporate Obligations – (continued) | ||||||||||||
| Insurance(b)(c) – (continued) | ||||||||||||
| Pacific Life Global Funding II – (continued) | ||||||||||||
| (SOFR + 0.860%) | ||||||||||||
| $ |
6,759,000 | 5.951 | % | 06/16/25 | $ 6,759,879 | |||||||
| Protective Life Global Funding (SOFR + 0.980%) | ||||||||||||
| 4,944,000 | 6.072 | 03/28/25 | 4,950,773 | |||||||||
|
| ||||||||||||
| 41,853,673 | ||||||||||||
|
| ||||||||||||
| Pharmaceuticals – 0.3% | ||||||||||||
| Pfizer Investment Enterprises Pte Ltd. | ||||||||||||
| 5,457,000 | 4.650 | 05/19/25 | 5,407,178 | |||||||||
|
| ||||||||||||
| Real Estate Investment Trust(a)(c) – 0.4% | ||||||||||||
| Public Storage (SOFR + 0.470%) | ||||||||||||
| 8,101,000 | 5.519 | 04/23/24 | 8,092,413 | |||||||||
|
| ||||||||||||
| Retailing(a)(b) – 0.1% | ||||||||||||
| 7-Eleven, Inc. | ||||||||||||
| 2,074,000 | 0.800 | 02/10/24 | 2,009,478 | |||||||||
|
| ||||||||||||
| Savings & Loans(b) – 0.6% | ||||||||||||
| Nationwide Building Society | ||||||||||||
| 3,573,000 | 0.550 | 01/22/24 | 3,467,525 | |||||||||
| (3M USD LIBOR + 1.392%) | ||||||||||||
| 9,000,000 | 4.363 | (a)(c) | 08/01/24 | 8,980,110 | ||||||||
|
| ||||||||||||
| 12,447,635 | ||||||||||||
|
| ||||||||||||
| TOTAL CORPORATE OBLIGATIONS (Cost $754,609,791) |
$ 754,620,468 | |||||||||||
|
| ||||||||||||
| Agency Debentures – 7.5% | ||||||||||||
| Sovereign – 7.5% | ||||||||||||
| Federal Farm Credit Banks Funding Corp. (SOFR + 0.195%) | ||||||||||||
| $ |
1,727,000 | 5.255 | %(c) | 06/02/25 | $ 1,726,637 | |||||||
| Federal Home Loan Banks(a) | ||||||||||||
| 15,625,000 | 5.300 | 05/22/24 | 15,568,594 | |||||||||
| 13,270,000 | 5.360 | 06/11/24 | 13,238,948 | |||||||||
| 8,295,000 | 5.375 | 06/11/24 | 8,224,244 | |||||||||
| Federal Home Loan Mortgage Corp.(a) | ||||||||||||
| 5,383,000 | 5.400 | 06/11/24 | 5,360,391 | |||||||||
| 5,383,000 | 5.380 | 06/12/24 | 5,359,961 | |||||||||
| FFCB | ||||||||||||
| 4,375,000 | 5.070 | (a) | 01/11/24 | 4,364,456 | ||||||||
| FHLB | ||||||||||||
| 7,445,000 | 5.000 | (a) | 02/21/24 | 7,418,496 | ||||||||
| 13,520,000 | 5.000 | (a) | 02/21/24 | 13,477,953 | ||||||||
| 7,405,000 | 5.165 | (a) | 03/08/24 | 7,365,383 | ||||||||
| 10,980,000 | 5.500 | (a) | 04/01/24 | 10,932,127 | ||||||||
| 18,550,000 | 5.340 | (a) | 04/23/24 | 18,448,160 | ||||||||
| 10,780,000 | 5.540 | (a) | 04/24/24 | 10,747,013 | ||||||||
| 10,725,000 | 5.330 | (a) | 04/26/24 | 10,660,007 | ||||||||
| 5,860,000 | 5.490 | (a) | 07/15/24 | 5,849,452 | ||||||||
| 5,880,000 | 5.520 | (a) | 07/15/24 | 5,869,828 | ||||||||
| 10,000,000 | 4.625 | 12/13/24 | 9,909,000 | |||||||||
|
| ||||||||||||
| TOTAL AGENCY DEBENTURES (Cost $155,204,770) |
$ 154,520,650 | |||||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| U.S. Treasury Obligations – 10.2% | ||||||||||||
| United States Treasury Bill(d) | ||||||||||||
| $ |
3,069,400 | 0.000 | % | 09/21/23 | $ 3,034,194 | |||||||
| United States Treasury Notes | ||||||||||||
| (3M Treasury money market yield + 0.035%) | ||||||||||||
| 9,486,400 | 5.284 | (c) | 10/31/23 | 9,487,518 | ||||||||
| 39,464,000 | 4.125 | 01/31/25 | 38,845,834 | |||||||||
| (3M Treasury money market yield + 0.200%) | ||||||||||||
| 24,627,000 | 5.449 | (c) | 01/31/25 | 24,661,559 | ||||||||
| 44,792,000 | 4.625 | 02/28/25 | 44,445,562 | |||||||||
| 37,746,900 | 3.875 | 03/31/25 | 37,006,707 | |||||||||
| 16,181,000 | 3.875 | 04/30/25 | 15,866,861 | |||||||||
| (3M Treasury money market yield + 0.169%) | ||||||||||||
| 21,734,700 | 5.418 | (c) | 04/30/25 | 21,745,963 | ||||||||
| 16,200,000 | 4.250 | 05/31/25 | 15,996,235 | |||||||||
|
| ||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $212,557,632) |
$ 211,090,433 | |||||||||||
|
| ||||||||||||
| Shares | Dividend Rate |
Value | ||||||||||
| Investment Company(e) – 4.5% | ||||||||||||
| Goldman Sachs Financial Square Government Fund - Institutional Shares | ||||||||||||
| 92,233,283 | 5.022% | $ 92,233,283 | ||||||||||
| (Cost $92,233,283) | ||||||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – 40.7% | ||||||||||||
| Certificates of Deposit – 24.3% | ||||||||||||
| Banco Santander SA(c) (SOFR + 0.490%) | ||||||||||||
| $ |
5,000,000 | 5.320 | % | 02/09/24 | $ 4,997,502 | |||||||
| Bank of America NA | ||||||||||||
| 7,327,000 | 5.440 | 02/08/24 | 7,303,990 | |||||||||
| Barclays Bank PLC(c) | ||||||||||||
| (SOFR + 0.460%) | ||||||||||||
| 7,635,000 | 5.520 | (b) | 11/03/23 | 7,636,306 | ||||||||
| (SOFR + 0.700%) | ||||||||||||
| 9,600,000 | 5.760 | 10/04/23 | 9,608,590 | |||||||||
| Bayerische Landesbank | ||||||||||||
| 5,200,000 | 5.300 | 01/25/24 | 5,183,289 | |||||||||
| 2,428,000 | 5.820 | 03/08/24 | 2,425,847 | |||||||||
| BNP Paribas SA | ||||||||||||
| 12,043,000 | 5.550 | 10/23/23 | 12,038,723 | |||||||||
| 9,499,000 | 5.430 | 02/16/24 | 9,471,282 | |||||||||
| (SOFR + 0.270%) | ||||||||||||
| 4,001,000 | 5.330 | (c) | 03/08/24 | 3,994,680 | ||||||||
| Brighthouse Financial Short Term Funding LLC(b)(c) (SOFR + 0.730%) | ||||||||||||
| 10,014,000 | 5.790 | 12/22/23 | 10,026,992 | |||||||||
| Canadian Imperial Bank of Commerce | ||||||||||||
| 5,484,000 | 5.540 | 10/20/23 | 5,480,989 | |||||||||
| Citigroup Global Markets, Inc.(b)(c) (SOFR + 0.650%) | ||||||||||||
| 5,866,000 | 5.710 | 09/21/23 | 5,870,803 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Certificates of Deposit – (continued) | ||||||||||||
| Collateralized Commercial Paper FLEX Co. LLC(a)(b)(c) (SOFR + 0.450%) | ||||||||||||
| $ |
5,000,000 | 5.250 | % | 11/27/23 | $ 5,001,847 | |||||||
| Commonwealth Bank of Australia | ||||||||||||
| 11,325,000 | 5.530 | 11/22/23 | 11,315,946 | |||||||||
| (SOFR + 0.400%) | ||||||||||||
| 11,540,000 | 5.460 | (c) | 01/29/24 | 11,538,913 | ||||||||
| (SOFR + 0.500%) | ||||||||||||
| 3,661,000 | 5.560 | (c) | 04/26/24 | 3,660,066 | ||||||||
| Cooperatieve Rabobank UA | ||||||||||||
| 4,336,000 | 5.750 | 03/07/24 | 4,333,530 | |||||||||
| 11,600,000 | 5.750 | 06/17/24 | 11,577,941 | |||||||||
| Credit Agricole Corporate & Investment Bank SA | ||||||||||||
| 10,683,000 | 5.530 | 09/11/23 | 10,688,531 | |||||||||
| Credit Industriel et Commercial(c) | ||||||||||||
| (SOFR + 0.330%) | ||||||||||||
| 18,000,000 | 5.390 | (b) | 10/31/23 | 18,002,554 | ||||||||
| (SOFR + 0.380%) | ||||||||||||
| 7,311,000 | 5.440 | 11/16/23 | 7,313,835 | |||||||||
| DNB Bank ASA(b)(c) (SOFR + 0.400%) | ||||||||||||
| 23,158,000 | 5.460 | 01/17/24 | 23,164,356 | |||||||||
| ING U.S. Funding LLC(b)(c) (SOFR + 0.590%) | ||||||||||||
| 7,000,000 | 5.650 | 04/24/24 | 6,999,975 | |||||||||
| Landesbank Baden-Wuerttemberg | ||||||||||||
| 8,620,000 | 5.220 | 01/17/24 | 8,588,036 | |||||||||
| Lloyds Bank Corporate Markets PLC | ||||||||||||
| 7,350,000 | 5.530 | 02/14/24 | 7,334,377 | |||||||||
| (SOFR + 0.540%) | ||||||||||||
| 23,765,000 | 5.600 | (c) | 01/31/24 | 23,786,009 | ||||||||
| Macquarie Bank Ltd.(b)(c) (SOFR + 0.520%) | ||||||||||||
| 2,358,000 | 5.580 | 02/15/24 | 2,358,578 | |||||||||
| Mizuho Bank Ltd.(c) | ||||||||||||
| (SOFR + 0.450%) | ||||||||||||
| 10,660,000 | 5.000 | 01/24/24 | 10,657,061 | |||||||||
| (SOFR + 0.520%) | ||||||||||||
| 1,795,000 | 5.580 | 10/02/23 | 1,795,913 | |||||||||
| Nordea Bank Abp | ||||||||||||
| 4,579,000 | 5.400 | 11/16/23 | 4,576,295 | |||||||||
| (SOFR + 0.450%) | ||||||||||||
| 17,543,000 | 5.510 | (b)(c) | 01/18/24 | 17,546,405 | ||||||||
| (SOFR + 0.530%) | ||||||||||||
| 2,843,000 | 5.590 | (c) | 04/26/24 | 2,843,410 | ||||||||
| (SOFR + 0.770%) | ||||||||||||
| 4,207,000 | 5.830 | (c) | 10/23/23 | 4,212,919 | ||||||||
| Old Line Funding LLC(b)(c) (SOFR + 0.380%) | ||||||||||||
| 5,224,000 | 5.440 | 11/25/23 | 5,224,172 | |||||||||
| Royal Bank of Canada(c) | ||||||||||||
| (FEDL01 + 0.700%) | ||||||||||||
| 8,251,000 | 5.770 | 04/04/24 | 8,261,958 | |||||||||
| (SOFR + 0.700%) | ||||||||||||
| 3,751,000 | 5.760 | 03/27/24 | 3,755,366 | |||||||||
| Skandinaviska Enskilda Banken AB | ||||||||||||
| 7,800,000 | 5.400 | 11/16/23 | 7,794,680 | |||||||||
| (SOFR + 0.650%) | ||||||||||||
| 9,721,000 | 5.730 | (b)(c) | 05/31/24 | 9,724,527 | ||||||||
| Standard Chartered Bank(c) (SOFR + 0.640%) | ||||||||||||
| 18,859,000 | 5.700 | 02/20/24 | 18,877,014 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Certificates of Deposit – (continued) | ||||||||||||
| Standard Chartered Bank PLC | ||||||||||||
| $ |
5,582,000 | 5.600 | % | 12/01/23 | $ 5,576,315 | |||||||
| Starbird Funding Corp.(b)(c) | ||||||||||||
| (SOFR + 0.160%) | ||||||||||||
| 10,000,000 | 5.220 | 09/06/23 | 9,998,863 | |||||||||
| (SOFR + 0.220%) | ||||||||||||
| 7,000,000 | 5.280 | 12/08/23 | 6,993,770 | |||||||||
| (SOFR + 0.500%) | ||||||||||||
| 8,700,000 | 5.560 | 10/04/23 | 8,703,428 | |||||||||
| Sumitomo Mitsui Banking Corp. | ||||||||||||
| 5,000,000 | 5.000 | 10/06/23 | 4,991,171 | |||||||||
| (SOFR + 0.500%) | ||||||||||||
| 15,816,000 | 5.560 | (c) | 10/04/23 | 15,822,981 | ||||||||
| (SOFR + 0.920%) | ||||||||||||
| 19,914,000 | 5.980 | (c) | 11/30/23 | 19,955,398 | ||||||||
| (SOFR + 0.950%) | ||||||||||||
| 1,775,000 | 6.010 | (c) | 10/25/23 | 1,778,281 | ||||||||
| Suncor Energy, Inc. | ||||||||||||
| 3,093,000 | 0.993 | 08/24/23 | 3,066,783 | |||||||||
| Svenska Handelsbanken(c) | ||||||||||||
| (SOFR + 0.560%) | ||||||||||||
| 4,752,000 | 5.620 | 09/08/23 | 4,755,308 | |||||||||
| (SOFR + 0.570%) | ||||||||||||
| 8,620,000 | 5.660 | 01/09/24 | 8,627,277 | |||||||||
| The Bank of Nova Scotia(c) | ||||||||||||
| (SOFR + 0.380%) | ||||||||||||
| 3,220,000 | 5.440 | 02/16/24 | 3,217,584 | |||||||||
| (SOFR + 0.420%) | ||||||||||||
| 3,513,000 | 5.480 | 01/26/24 | 3,512,262 | |||||||||
| The Toronto-Dominion Bank | ||||||||||||
| 12,589,000 | 5.250 | (a) | 01/25/24 | 12,542,499 | ||||||||
| 9,924,000 | 5.570 | 02/28/24 | 9,925,433 | |||||||||
| 3,167,000 | 5.510 | 04/03/24 | 3,169,825 | |||||||||
| Thunder Bay Funding LLC(a)(b)(c) (SOFR + 0.410%) | ||||||||||||
| 3,495,000 | 5.470 | 11/06/23 | 3,495,115 | |||||||||
| Toronto-Dominion | ||||||||||||
| 6,932,000 | 5.820 | 05/23/24 | 6,920,199 | |||||||||
| Wells Fargo Bank NA(c) | ||||||||||||
| (SOFR + 0.420%) | ||||||||||||
| 6,101,000 | 5.480 | 01/12/24 | 6,102,701 | |||||||||
| (SOFR + 0.610%) | ||||||||||||
| 20,451,000 | 5.670 | 04/19/24 | 20,464,253 | |||||||||
| Westpac Banking Corp. | ||||||||||||
| 7,354,000 | 5.400 | 02/20/24 | 7,330,354 | |||||||||
|
| ||||||||||||
| 501,923,007 | ||||||||||||
|
| ||||||||||||
| Commercial Paper(d) – 16.4% | ||||||||||||
| 3M Co. | ||||||||||||
| 9,498,000 | 0.000 | 09/07/23 | 9,402,936 | |||||||||
| Alimentation Couche-Tard, Inc. | ||||||||||||
| 9,209,000 | 0.000 | 07/05/23 | 9,202,238 | |||||||||
| American Electric Power Co., Inc. | ||||||||||||
| 5,011,000 | 0.000 | 07/20/23 | 4,996,134 | |||||||||
| AT&T, Inc. | ||||||||||||
| 3,911,000 | 0.000 | 02/26/24 | 3,758,516 | |||||||||
| Atlantic Asset Securitization LLC | ||||||||||||
| 8,111,000 | 0.000 | 11/21/23 | 7,930,871 | |||||||||
|
| ||||||||||||
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Commercial Paper(d) – (continued) | ||||||||||||
| Australia & New Zealand Banking Group Ltd. | ||||||||||||
| $ |
11,036,000 | 0.000 | % | 02/02/24 | $ 10,671,390 | |||||||
| BASF SE | ||||||||||||
| 5,102,000 | 0.000 | 12/18/23 | 4,964,760 | |||||||||
| BAT International Finance PLC | ||||||||||||
| 1,890,000 | 0.000 | 07/24/23 | 1,883,221 | |||||||||
| Bayer Corp. | ||||||||||||
| 8,991,000 | 0.000 | 09/14/23 | 8,888,370 | |||||||||
| BPCE SA | ||||||||||||
| 6,163,000 | 0.000 | 09/07/23 | 6,099,603 | |||||||||
| 3,273,000 | 0.000 | 11/06/23 | 3,208,401 | |||||||||
| Collateralized Commercial Paper FLEX Co. LLC(a)(b) | ||||||||||||
| 3,905,000 | 0.000 | 11/17/23 | 3,901,416 | |||||||||
| DNB Bank ASA | ||||||||||||
| 8,964,000 | 0.000 | 11/22/23 | 8,766,686 | |||||||||
| EIDP, Inc. | ||||||||||||
| 3,498,000 | 0.000 | 11/24/23 | 3,418,398 | |||||||||
| GTA Funding LLC | ||||||||||||
| 6,615,400 | 0.000 | 08/08/23 | 6,577,775 | |||||||||
| HSBC USA, Inc. | ||||||||||||
| 5,060,000 | 0.000 | 05/24/24 | 4,777,595 | |||||||||
| ING U.S. Funding LLC(b)(c) (SOFR + 0.400%) | ||||||||||||
| 9,613,000 | 0.000 | 11/27/23 | 9,617,330 | |||||||||
| La Fayette Asset Securitization LLC | ||||||||||||
| 9,388,000 | 0.000 | 11/06/23 | 9,202,238 | |||||||||
| 7,259,000 | 0.000 | 11/28/23 | 7,089,986 | |||||||||
| Liberty Street Funding LLC | ||||||||||||
| 12,901,000 | 0.000 | 10/16/23 | 12,687,437 | |||||||||
| LMA-Americas LLC | ||||||||||||
| 8,873,000 | 0.000 | 10/13/23 | 8,729,886 | |||||||||
| 3,000,000 | 0.000 | 11/17/23 | 2,934,935 | |||||||||
| LVMH Moet Hennessy Louis Vuitton, Inc. | ||||||||||||
| 3,418,000 | 0.000 | 06/06/24 | 3,238,598 | |||||||||
| Macquarie Bank Ltd. | ||||||||||||
| 10,796,000 | 0.000 | 01/30/24 | 10,432,442 | |||||||||
| National Bank of Canada | ||||||||||||
| 9,916,000 | 0.000 | 10/31/23 | 9,731,390 | |||||||||
| National Bank of Kuwait SAKP | ||||||||||||
| 12,748,000 | 0.000 | 08/07/23 | 12,750,922 | |||||||||
| NatWest Markets PLC | ||||||||||||
| 9,782,000 | 0.000 | 10/10/23 | 9,629,065 | |||||||||
| 9,094,000 | 0.000 | 02/09/24 | 8,768,976 | |||||||||
| Northrop Gruman Corp. | ||||||||||||
| 2,457,000 | 0.000 | 08/17/23 | 2,439,074 | |||||||||
| Northrop Grumman Corp. | ||||||||||||
| 7,806,000 | 0.000 | 08/22/23 | 7,742,885 | |||||||||
| Philip Morris International, Inc. | ||||||||||||
| 7,570,000 | 0.000 | 10/24/23 | 7,438,258 | |||||||||
| Pure Grove Funding | ||||||||||||
| 9,545,000 | 0.000 | 11/29/23 | 9,321,208 | |||||||||
| 9,391,000 | 0.000 | 12/05/23 | 9,161,797 | |||||||||
| 7,611,000 | 0.000 | 01/05/24 | 7,386,517 | |||||||||
| 8,204,000 | 0.000 | 01/18/24 | 7,944,831 | |||||||||
| 4,767,000 | 0.000 | 01/24/24 | 4,611,797 | |||||||||
| 4,767,000 | 0.000 | 01/24/24 | 4,611,797 | |||||||||
| Societe Generale SA | ||||||||||||
| 9,649,000 | 0.000 | 11/15/23 | 9,446,417 | |||||||||
| 11,006,000 | 0.000 | 02/09/24 | 10,619,900 | |||||||||
|
| ||||||||||||
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
| Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
| Short-term Investments – (continued) | ||||||||||||
| Commercial Paper(d) – (continued) | ||||||||||||
| Sumitomo Mitsui Trust Bank Ltd. | ||||||||||||
| $ |
10,837,000 | 0.000 | % | 09/05/23 | $ 10,729,500 | |||||||
| Suncor Energy, Inc. | ||||||||||||
| 2,792,000 | 0.000 | 08/11/23 | 2,774,111 | |||||||||
| TELUS Corp. | ||||||||||||
| 2,129,000 | 0.000 | 08/02/23 | 2,118,358 | |||||||||
| 5,366,000 | 0.000 | 10/17/23 | 5,273,408 | |||||||||
| 10,000,000 | 0.000 | 10/20/23 | 9,822,480 | |||||||||
| TotalEnergies Capital SA | ||||||||||||
| 9,545,000 | 0.000 | 11/27/23 | 9,320,852 | |||||||||
| Toyota Motor Credit Corp. | ||||||||||||
| 3,517,000 | 0.000 | 11/03/23 | 3,450,233 | |||||||||
| Walgreens Boots Alliance, Inc. | ||||||||||||
| 10,075,000 | 0.000 | 07/03/23 | 10,070,186 | |||||||||
|
| ||||||||||||
| 337,545,124 | ||||||||||||
|
| ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost $839,891,233) |
$ 839,468,131 | |||||||||||
|
| ||||||||||||
| TOTAL INVESTMENTS – 99.5% (Cost $2,054,496,709) |
$2,051,932,965 | |||||||||||
|
| ||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% |
9,984,916 | |||||||||||
|
| ||||||||||||
| NET ASSETS – 100.0% | $2,061,917,881 | |||||||||||
|
| ||||||||||||
| 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 June 30, 2023. | |
| (d) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
| (e) | Represents an affiliated Issuer. | |
GOLDMAN SACHS SHORT-TERM CONSERVATIVE INCOME FUND
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
|
| ||
| Investment Abbreviations: | ||
| CMT | — Constant Maturity Treasury Indexes | |
| FFCB | — Federal Farm Credit Bank | |
| FHLB | — Federal Home Loan Bank | |
| LIBOR | — London Interbank Offered Rate | |
| LLC | — Limited Liability Company | |
| PLC | — Public Limited Company | |
| SOFR | — Secured Overnight Funding Rate | |
|
| ||
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
Investments and Fair Value Measurements — U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including 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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated the Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has 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 exchange-traded funds (“ETFs”) and other investment companies. 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. 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.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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.
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.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
vii. 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 either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
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.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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, the 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.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, the Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
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 the Valuation Procedures. 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.
Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2023:
| ENHANCED INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Corporate Obligations |
$ | — | $ | 361,735,377 | $ | — | ||||||
| Asset-Backed Securities |
— | 138,164,691 | — | |||||||||
| Mortgage-Backed Obligations |
— | 24,476,669 | — | |||||||||
| Sovereign Debt Obligations |
— | 6,168,419 | — | |||||||||
| Agency Debentures |
— | 3,667,098 | — | |||||||||
| Municipal Debt Obligations |
— | 684,738 | — | |||||||||
| Exchange Traded Funds |
28,294,313 | — | — | |||||||||
| Investment Company |
6,612,216 | — | — | |||||||||
| Short-term Investments |
— | 2,634,709 | — | |||||||||
| Total | $ | 34,906,529 | $ | 537,531,701 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Futures Contracts(a) |
$ | 1,699,935 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts(a) |
— | 529,189 | — | |||||||||
| Total | $ | 1,699,935 | $ | 529,189 | $ | — | ||||||
| Liabilities | ||||||||||||
| Interest Rate Swap Contracts(a) |
$ | — | $ | (767,165 | ) | $ | — | |||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| GOVERNMENT INCOME | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations |
$ | — | $ | 97,116,617 | $ | — | ||||||
| Agency Debentures |
— | 43,904,132 | — | |||||||||
| U.S. Treasury Obligations |
35,328,195 | — | — | |||||||||
| Asset-Backed Securities |
— | 3,323,079 | — | |||||||||
| Municipal Debt Obligations |
— | 2,148,158 | — | |||||||||
| Sovereign Debt Obligations |
— | 1,198,305 | — | |||||||||
| Liabilities | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (9,097,258 | ) | $ | — | |||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Futures Contracts(a) |
$ | 136,050 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts(a) |
— | 128,179 | — | |||||||||
| Purchased Option Contracts |
— | 22 | — | |||||||||
| Total | $ | 136,050 | $ | 128,201 | $ | — | ||||||
| Liabilities | ||||||||||||
| Futures Contracts(a) |
$ | (273,295 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts(a) |
— | (117,199 | ) | — | ||||||||
| Written Option Contracts |
— | (209,102 | ) | — | ||||||||
| Total | $ | (273,295 | ) | $ | (326,301 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| INFLATION PROTECTED SECURITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| U.S. Treasury Obligations |
$ | 315,107,310 | $ | — | $ | — | ||||||
| Agency Debentures |
3,662,287 | — | — | |||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(a) | ||||||||||||
| Futures Contracts |
$ | 122,972 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts |
— | 3,711,616 | — | |||||||||
| Total | $ | 122,972 | $ | 3,711,616 | $ | — | ||||||
| Liabilities | ||||||||||||
| Futures Contracts(a) |
$ | (92,520 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts(a) |
— | (1,065,658 | ) | — | ||||||||
| Written Option Contracts |
— | (636,533 | ) | — | ||||||||
| Total | $ | (92,520 | ) | $ | (1,702,191 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
| SHORT DURATION BOND | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| Corporate Obligations |
$ | — | $ | 790,598,839 | $ | — | ||||||
| Mortgage-Backed Obligations |
— | 182,497,787 | — | |||||||||
| U.S. Treasury Obligations |
179,140,398 | — | — | |||||||||
| Asset-Backed Securities |
— | 162,511,506 | — | |||||||||
| Sovereign Debt Obligations |
— | 48,497,733 | — | |||||||||
| Investment Company |
6,531,720 | — | — | |||||||||
| Short-term Investments |
— | 14,668,680 | — | |||||||||
| Total | $ | 185,672,118 | $ | 1,198,774,545 | $ | — | ||||||
| Liabilities | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (52,606,215) | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
| Forward Foreign Currency Exchange Contracts(a) |
$ | — | $ | 401,115 | $ | — | ||||||
| Futures Contracts(a) |
1,536,123 | — | — | |||||||||
| Interest Rate Swap Contracts(a) |
— | 6,760,804 | — | |||||||||
| Credit Default Swap Contracts(a) |
— | 38,897 | — | |||||||||
| Purchased Option Contracts |
— | 740,616 | — | |||||||||
| Total | $ | 1,536,123 | $ | 7,941,432 | $ | — | ||||||
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
| SHORT DURATION BOND (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 |
|||||||||
| Liabilities | ||||||||||||
| Credit Default Swap Contracts(a) |
$ | — | $ | (13,549 | ) | $ | — | |||||
| Forward Foreign Currency Exchange Contracts(a) |
— | (997,791 | ) | — | ||||||||
| Futures Contracts(a) |
(6,193,454 | ) | — | — | ||||||||
| Interest Rate Swap Contracts(a) |
— | (2,875,668 | ) | — | ||||||||
| Written Option Contracts |
— | (1,733,912 | ) | — | ||||||||
| Total | $ | (6,193,454 | ) | $ | (5,620,920 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
| SHORT DURATION GOVERNMENT | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
| Fixed Income |
||||||||||||
| U.S. Treasury Obligations |
$ | 251,777,649 | $ | — | $ | — | ||||||
| Mortgage-Backed Obligations |
— | 190,324,726 | — | |||||||||
| Agency Debentures |
— | 83,430,375 | — | |||||||||
| Investment Company |
15,641,052 | — | — | |||||||||
| Total | $ | 267,418,701 | $ | 273,755,101 | $ | — | ||||||
| Liabilities | ||||||||||||
| Fixed Income |
||||||||||||
| Mortgage-Backed Obligations — Forward Sales Contracts |
$ | — | $ | (58,428,807 | ) | $ | — | |||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
| Futures Contracts |
$ | 2,470,796 | $ | — | $ | — | ||||||
| Interest Rate Swap Contracts |
— | 337,425 | — | |||||||||
| Total | $ | 2,470,796 | $ | 337,425 | $ | — | ||||||
| Liabilities | ||||||||||||
| Futures Contracts(a) |
$ | (3,210,800 | ) | $ | — | $ | — | |||||
| Interest Rate Swap Contracts(a) |
— | (196,785 | ) | — | ||||||||
| Written Option Contracts |
— | (390,718 | ) | — | ||||||||
| Total | $ | (3,210,800 | ) | $ | (587,503 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (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 |
$ | — | $ | 754,620,468 | $ | — | ||||||
| U.S. Treasury Obligations |
211,090,433 | — | — | |||||||||
| Agency Debentures |
— | 154,520,650 | — | |||||||||
| Investment Company |
92,233,283 | — | — | |||||||||
| Short-term Investments |
— | 839,468,131 | — | |||||||||
| Total | $ | 303,323,716 | $ | 1,748,609,249 | $ | — | ||||||
For further information regarding security characteristics, see the Schedules of Investments.
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives and other similar instruments (collectively referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to the Funds. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Funds will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Funds will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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. Such market rates are generally the Secured Overnight Financing Rate, London Interbank Offered Rate (“LIBOR”), the Prime Rate of a designated U.S. bank, the Federal Funds Rate, or another base lending rate used by commercial lenders. 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.
At the end of 2021, certain LIBORs were discontinued, but the most widely used LIBORs may continue to be provided on a representative basis until June 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,
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. The Fund may face a heightened level of interest rate risk in connection with the type and extent of certain monetary policy changes made by the Federal Reserve, such as target interest rate changes. 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. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
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 a Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS
Schedule of Investments (continued)
June 30, 2023 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, 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.