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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Preferred Plus Trust Ser Qws 2 TR Ctf Preferred Plus Trust Ser Qws 2 TR Ctf Pfd | NYSE:PJA | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 24.90 | 0.00 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois | 60606 | |||
(Address of principal executive offices) | (Zip code) |
Caroline Kraus, Esq. Goldman, Sachs & Co. 200 West Street New York, New York 10282 |
Copies to: Geoffrey R.T. Kenyon, Esq. Dechert LLP One International Place, 40 th Floor 100 Oliver Street Boston, MA 02110-2605 |
(Name and address of agent for service)
Registrants telephone number, including area code: (312) 655-4400
Date of fiscal year end: March 31
Date of reporting period: December 31, 2013
Item 1. | Schedule of Investments. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
California (continued) |
||||||||||||
Alvord Unified School District GO Bonds Capital Appreciation for 2007 Election Series 2007 B (AGM) (AA-/A1) (a) |
||||||||||||
$ | 1,210,000 | 0.000 | % | 08/01/36 | $ 327,716 | |||||||
Calaveras Unified School District GO Bonds for Capital Appreciation Series 2000 (AGM) (AA-/A2) (a) |
||||||||||||
1,055,000 | 0.000 | 08/01/25 | 591,549 | |||||||||
California Municipal Finance Authority COPS for Community Hospitals of Central California Obligated Group Series 2009 (BBB/Baa2) |
||||||||||||
19,500,000 | 5.500 | 02/01/39 | 18,780,840 | |||||||||
California Pollution Control Financing Authority Water Furnishing RB for Poseidon Resources Series 2012 (AMT) (BBB-/Baa3) (b) |
||||||||||||
9,680,000 | 5.000 | 11/21/45 | 7,682,242 | |||||||||
California Statewide Communities Development Authority RB for California Baptist University Series 2007 A (NR/NR) |
||||||||||||
2,000,000 | 5.400 | 11/01/27 | 1,978,740 | |||||||||
11,850,000 | 5.500 | 11/01/38 | 10,749,372 | |||||||||
California Statewide Communities Development Authority RB for Lancer Plaza Project Series 2013 (NR/NR) |
||||||||||||
1,875,000 | 5.875 | 11/01/43 | 1,652,306 | |||||||||
California Statewide Communities Development Authority RB for Methodist Hospital Project Series 2009 (FHA) (NR/Aa2) |
||||||||||||
5,340,000 | 6.625 | 08/01/29 | 6,139,772 | |||||||||
California Statewide Financing Authority Tobacco Settlement RB Capital Appreciation for Turbo Pooled Program Series 2006 B (B/NR) (a) |
||||||||||||
35,000,000 | 0.000 | 06/01/46 | 1,396,500 | |||||||||
Capistrano Unified School District Special Tax for Capital Appreciation Series 2005 (NATL-RE FGIC) (A/Baa1) (a) |
||||||||||||
7,000,000 | 0.000 | 09/01/33 | 2,169,580 | |||||||||
City of Davis Redevelopment Agency Tax Allocation for Davis Redevelopment Project Series 2011 A (A+/NR) |
||||||||||||
750,000 | 6.500 | 12/01/26 | 877,598 | |||||||||
2,830,000 | 7.000 | 12/01/36 | 3,287,809 | |||||||||
City of Goleta Redevelopment Agency Tax Allocation for Goleta Old Town Redevelopment Project Series 2011 (NR/NR) |
||||||||||||
670,000 | 7.750 | 12/01/31 | 697,503 | |||||||||
5,000,000 | 8.000 | 06/01/44 | 5,209,750 | |||||||||
City of Palo Alto Limited Obligation Refunding Improvement Bonds for University Avenue Area Off-Street Parking Assessment District Series 2012 (BBB/NR) |
||||||||||||
600,000 | 5.000 | 09/02/30 | 620,406 | |||||||||
Coronado Community Development Agency Tax Allocation for Coronado Community Development Project Series 2005 (AMBAC) (AA-/NR) |
||||||||||||
175,000 | 5.000 | 09/01/20 | 180,481 | |||||||||
Encinitas Community Facilities District No.1 Special Tax Refunding Bonds for Encinitas Ranch Public Improvements Series 2012 (A-/NR) |
||||||||||||
2,000,000 | 4.000 | 09/01/30 | 1,775,640 | |||||||||
Fairfield COPS Capital Appreciation for Water Financing Series 2007 A (XLCA) (A+/WR) (a) |
||||||||||||
4,180,000 | 0.000 | 04/01/29 | 1,686,672 | |||||||||
Folsom Cordova Unified School District No. 4 GO for School Facilities Improvement Capital Appreciation for Election of 2006 Series 2007 A (NATL-RE) (AA-/A1) (a) |
||||||||||||
3,360,000 | 0.000 | 10/01/32 | 1,246,661 | |||||||||
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Florida (continued) |
||||||||||||
Portofino Isles Community Development District Special Assessment RB Refunding Series 2013 (BBB-/NR) |
||||||||||||
$ | 235,000 | 3.250 | % | 05/01/20 | $ 228,049 | |||||||
245,000 | 3.500 | 05/01/21 | 235,026 | |||||||||
255,000 | 3.750 | 05/01/22 | 243,030 | |||||||||
265,000 | 4.000 | 05/01/23 | 251,694 | |||||||||
275,000 | 4.250 | 05/01/24 | 260,213 | |||||||||
290,000 | 4.500 | 05/01/25 | 273,250 | |||||||||
2,805,000 | 4.750 | 05/01/33 | 2,543,967 | |||||||||
Reunion East Community Development District Special Assessment Series 2002 A-1 (NR/NR) |
||||||||||||
9,160,000 | 7.200 | 05/01/22 | 9,180,060 | |||||||||
Reunion East Community Development District Special Assessment Series 2002 A-2 (NR/NR) (f) |
||||||||||||
4,670,000 | 7.200 | 05/01/22 | 3,269,000 | |||||||||
River Hall Community Development District Special Assessment for Capital Improvement Series 2011 A (NR/NR) |
||||||||||||
5,355,000 | 5.450 | 05/01/36 | 4,503,394 | |||||||||
Sandy Creek Community Development District Special Assessment Refunding Series 2007 B (NR/NR) |
||||||||||||
1,675,000 | 5.500 | 05/01/15 | 1,671,064 | |||||||||
Sarasota County Public Hospital District RB for Sarasota Memorial Hospital Project Series 2009 A (AA-/A1) |
||||||||||||
1,500,000 | 5.625 | 07/01/39 | 1,539,420 | |||||||||
Seven Oaks Community Development District II Special Assessment Series 2004 B (NR/NR) |
||||||||||||
605,000 | 7.500 | 05/01/16 | 605,411 | |||||||||
South Kendall Community Development District Special Assessment Series 2010 A (NR/NR) |
||||||||||||
1,890,000 | 6.200 | 11/01/40 | 2,086,503 | |||||||||
South-Dade Venture Community Development District Special Assessment RB Refunding Series 2013 (NR/NR) |
||||||||||||
2,015,000 | 5.250 | 05/01/34 | 1,929,886 | |||||||||
Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-1 (NR/NR) |
||||||||||||
4,470,000 | 5.800 | 05/01/35 | 3,849,072 | |||||||||
Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-2 (NR/NR) |
||||||||||||
3,345,000 | 5.800 | 05/01/35 | 2,342,035 | |||||||||
Southern Hills Plantation II Community Development District Special Assessment for Capital Improvement Series 2004 (NR/NR) (f) |
||||||||||||
3,265,000 | 5.850 | 05/01/34 | 1,583,525 | |||||||||
St. Petersburg Health Facilities Authority RB Refunding for All Childrens Hospital Series 2009 A (AA/A1) |
||||||||||||
5,835,000 | 6.500 | 11/15/39 | 6,442,365 | |||||||||
Sterling Hill Community Development District RB for Capital Improvement Series 2003 B (NR/NR) (f) |
||||||||||||
455,000 | 5.500 | 11/01/10 | 273,000 | |||||||||
Stonegate Community Development District Special Assessment Refunding Bonds Series 2013 (NR/NR) |
||||||||||||
2,160,000 | 5.000 | 05/01/34 | 1,959,919 | |||||||||
Stoneybrook South Community Development District Special Assessment RB Refunding for Assessment Area One Project Series 2013 (NR/NR) |
||||||||||||
2,500,000 | 6.500 | 05/01/39 | 2,430,825 | |||||||||
Sumter Landing Community Development District Recreational RB Series 2005 A (NATL-RE) (A/Baa1) |
||||||||||||
2,500,000 | 5.125 | 10/01/38 | 2,406,550 | |||||||||
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Kentucky (continued) |
||||||||||||
Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2013 A (A-/NR) |
||||||||||||
$ | 5,000,000 | 5.750 | % | 10/01/42 | $ 5,073,950 | |||||||
|
||||||||||||
29,580,864 | ||||||||||||
|
||||||||||||
Louisiana 1.7% |
||||||||||||
Louisiana Local Government Environmental Facilities and Community Development Authority RB for Westlake Chemical Corp. Projects Series 2010 A-2 (BBB/Baa3) |
||||||||||||
5,000,000 | 6.500 | 11/01/35 | 5,380,600 | |||||||||
Louisiana Local Government Environmental Facilities and Community Development Authority RB for Womens Hospital Foundation Project Series 2010 A (BBB+/A3) |
||||||||||||
20,015,000 | 6.000 | 10/01/44 | 20,821,004 | |||||||||
Louisiana Public Facilities Authority RB for Cleco Power LLC Project Series 2008 B (BBB+/Baa2) |
||||||||||||
12,500,000 | 4.250 | 12/01/38 | 10,946,625 | |||||||||
New Orleans Aviation Board Gulf Opportunity Zone RB for Consolidated Rental Car Project Series 2009 A (A-/Baa2) |
||||||||||||
7,470,000 | 6.500 | 01/01/40 | 8,392,694 | |||||||||
|
||||||||||||
45,540,923 | ||||||||||||
|
||||||||||||
Maryland 1.8% |
||||||||||||
Baltimore Maryland Convention Center Hotel RB Subseries 2006 B
|
||||||||||||
500,000 | 5.000 | 09/01/16 | 524,385 | |||||||||
Baltimore Maryland Special Obligation Tax Allocation for Clipper Mill Project Series 2004 (NR/NR) |
||||||||||||
4,367,000 | 6.250 | 09/01/33 | 4,438,269 | |||||||||
Baltimore Maryland Special Obligation Tax Allocation for Harborview Lot No. 2 Series 2003 (NR/NR) |
||||||||||||
2,481,000 | 6.500 | 07/01/31 | 2,508,142 | |||||||||
Baltimore Maryland Special Obligation Tax Allocation for Strathdale Manor Project Series 2003 (NR/NR) |
||||||||||||
3,609,000 | 7.000 | 07/01/33 | 3,653,607 | |||||||||
Frederick County Maryland Educational Facilities RB for Mount St. Marys University Series 2007 (BB+/Ba2) |
||||||||||||
2,590,000 | 5.000 | 09/01/30 | 2,247,991 | |||||||||
Frederick County Maryland Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 A (NR/NR) |
||||||||||||
3,000,000 | 7.250 | 07/01/43 | 2,850,180 | |||||||||
Frederick County Maryland Tax Incremental & Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 B (NR/NR) |
||||||||||||
8,860,000 | 7.125 | 07/01/43 | 8,873,113 | |||||||||
Maryland State Economic Development Corp. Port Facilities RB Refunding for CNX Marine Terminals, Inc. Port of Baltimore Facility Series 2010 (BB/NR) |
||||||||||||
5,000,000 | 5.750 | 09/01/25 | 5,161,100 | |||||||||
Maryland State Health & Higher Educational Facilities Authority RB for Doctors Community Hospital Series 2010 (BB+/Baa3) |
||||||||||||
9,500,000 | 5.750 | 07/01/38 | 8,796,525 | |||||||||
Maryland State Health & Higher Educational Facilities Authority RB for Mercy Medical Center Series 2007 A (BBB/Baa2) |
||||||||||||
7,530,000 | 5.500 | 07/01/42 | 7,487,004 | |||||||||
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Puerto Rico (continued) |
||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 A-1 (A+/A3) |
||||||||||||
$ | 500,000 | 5.250 | % | 08/01/43 | $ 338,010 | |||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 C (AA-/A2) |
||||||||||||
500,000 | 5.000 | 08/01/40 | 383,510 | |||||||||
|
||||||||||||
209,048,755 | ||||||||||||
|
||||||||||||
Rhode Island 0.1% |
||||||||||||
Rhode Island Health and Educational Building Corp. RB Refunding for Care New England Series 2013 A (BBB-/NR) |
||||||||||||
2,500,000 | 6.000 | 09/01/33 | 2,485,500 | |||||||||
Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2007 B (CCC/NR) (a) |
||||||||||||
85,300,000 | 0.000 | 06/01/52 | 1,159,227 | |||||||||
|
||||||||||||
3,644,727 | ||||||||||||
|
||||||||||||
South Carolina 0.3% |
||||||||||||
Lancaster County Assessment RB for Edgewater Improvement District Series 2003 A (NR/NR) |
||||||||||||
3,810,000 | 6.875 | 11/01/35 | 3,431,705 | |||||||||
South Carolina Jobs - Economic Development Authority Hospital RB Refunding for Palmetto Health Series 2011 A (AGM) (AA-/A2) |
||||||||||||
4,000,000 | 6.500 | 08/01/39 | 4,379,360 | |||||||||
|
||||||||||||
7,811,065 | ||||||||||||
|
||||||||||||
South Dakota 0.2% |
||||||||||||
South Dakota State Health & Educational Facilities Authority RB for Sanford Health Series 2007 (A+/A1) |
||||||||||||
5,000,000 | 5.000 | 11/01/40 | 4,912,650 | |||||||||
|
||||||||||||
Tennessee 1.0% |
||||||||||||
Blount County Health & Educational Facilities Board RB Refunding for Asbury, Inc. Series 2007 A (NR/NR) |
||||||||||||
1,560,000 | 5.125 | 04/01/23 | 1,549,127 | |||||||||
Chattanooga Health Educational & Housing Facility Board RB Refunding for CDFI Phase I LLC Project Series 2005 A (BBB-/NR) |
||||||||||||
240,000 | 5.000 | 10/01/15 | 247,555 | |||||||||
7,500,000 | 5.125 | 10/01/35 | 6,843,825 | |||||||||
Johnson City Health & Educational Board Retirement Facilities RB for Mountain States Health Alliance Series 2012 A (BBB+/Baa1) |
||||||||||||
1,500,000 | 5.000 | 08/15/42 | 1,390,395 | |||||||||
Johnson City Health & Educational Facilities Board RB for Mountain States Health Alliance Series 2010 A (BBB+/Baa1) |
||||||||||||
5,500,000 | 6.500 | 07/01/38 | 5,961,670 | |||||||||
Knox County Tennessee Health, Educational & Housing Facilities Board RB for University Health System, Inc. Series 2007 (BBB+/NR) |
||||||||||||
2,000,000 | 5.250 | 04/01/36 | 1,966,340 | |||||||||
Memphis Health Educational & Housing Facility Board RB for Memphis Multi-Family Housing Apartment Projects Series 2007 A (NR/NR) (e) |
||||||||||||
8,680,000 | 5.750 | 04/01/25 | 3,921,884 | |||||||||
Shelby County Health Educational & Housing Facilities Board RB for Trezevant Manor Project Series 2006 A (NR/NR) |
||||||||||||
2,000,000 | 5.625 | 09/01/26 | 1,960,000 | |||||||||
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Tennessee (continued) |
||||||||||||
Shelby County Health Educational & Housing Facilities Board RB Refunding for The Village at Germantown Residential Care Facility Mortgage Series 2012 (NR/NR) |
||||||||||||
$ | 1,500,000 | 5.250 | % | 12/01/42 | $ 1,291,530 | |||||||
2,000,000 | 5.375 | 12/01/47 | 1,719,840 | |||||||||
|
||||||||||||
26,852,166 | ||||||||||||
|
||||||||||||
Texas 6.0% |
||||||||||||
Austin Texas Convention Center Enterprises, Inc. RB Third Tier Series 2001 C-1 (NR/NR) |
||||||||||||
165,000 | 9.750 | 01/01/26 | 169,536 | |||||||||
Austin Texas Convention Center Enterprises, Inc. RB Third Tier Series 2001 C-2 (NR/NR) |
||||||||||||
8,650,000 | 9.750 | 01/01/26 | 8,886,058 | |||||||||
Bexar County Texas Health Facilities Development Corp. RB for Army Retirement Residence Foundation Project Series 2010 (BBB/NR) |
||||||||||||
3,250,000 | 6.200 | 07/01/45 | 3,227,705 | |||||||||
Brazos River Authority PCRB for TXU Energy Co. LLC Project Series 2006 (AMT) (CC/C) (f) |
||||||||||||
4,740,000 | 5.000 | 03/01/41 | 148,125 | |||||||||
Brazos River Authority PCRB Refunding for TXU Energy Co. LLC Project Series 2003 C (AMT) (CC/C) (f) |
||||||||||||
9,275,000 | 6.750 | 10/01/38 | 289,844 | |||||||||
Dallas County Flood Control District No.1 GO Bonds Refunding Series 2002 (NR/NR) (b) |
||||||||||||
6,000,000 | 7.250 | 04/01/32 | 6,008,280 | |||||||||
Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 B (NR/Baa3) |
||||||||||||
4,000,000 | 4.750 | 11/01/42 | 3,424,840 | |||||||||
Grand Parkway Transportation Corp. System Toll RB First Tier Series 2013 A (BBB/NR) |
||||||||||||
11,815,000 | 5.500 | 04/01/53 | 11,267,611 | |||||||||
Harris County Cultural Education Facilities Finance Corp. RB First Mortgage for Brazos Presbyterian Homes, Inc. Project Series 2013 B (BB+/NR) |
||||||||||||
3,030,000 | 7.000 | 01/01/48 | 2,987,428 | |||||||||
Houston Airport System Special Facilities RB for Continental Airlines, Inc. Series 1998 B (AMT) (B/B2) |
||||||||||||
1,000,000 | 5.700 | 07/15/29 | 955,380 | |||||||||
Houston Airport System Special Facilities RB for Continental Airlines, Inc. Terminal Improvement Projects Series 2011 A (AMT) (B/B2) |
||||||||||||
9,000,000 | 6.625 | 07/15/38 | 8,961,930 | |||||||||
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (BBB/Baa2) |
||||||||||||
5,200,000 | 6.300 | 11/01/29 | 5,697,380 | |||||||||
Mesquite Texas Health Facilities Development Corp. RB for Christian Care Retirement Facilities Series 2005 (BBB-/NR) |
||||||||||||
5,165,000 | 5.625 | 02/15/35 | 5,086,285 | |||||||||
North Texas Tollway Authority RB First Tier Series 2009 A (A-/A2) |
||||||||||||
25,585,000 | 6.250 | 01/01/39 | 28,127,381 | |||||||||
North Texas Tollway Authority RB Refunding Toll Second Tier Series 2008 F (BBB+/A3) |
||||||||||||
53,205,000 | 5.750 | 01/01/38 | 55,214,021 | |||||||||
Sabine River Authority Texas PCRB Refunding for TXU Electric Co. Project RMKT 11/29/05 Series 2001 C (C/C) (f) |
||||||||||||
5,950,000 | 5.200 | 05/01/28 | 185,938 | |||||||||
|
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Wisconsin (continued) |
||||||||||||
Wisconsin State Health & Educational Facilities Authority RB Refunding for Wheaton Healthcare Series 2006 B (A-/Baa1) |
||||||||||||
$ | 10,620,000 | 5.125 | % | 08/15/30 | $ 10,347,172 | |||||||
|
||||||||||||
57,525,041 | ||||||||||||
|
||||||||||||
TOTAL INVESTMENTS 98.1% | $2,681,651,855 | |||||||||||
|
||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES 1.9% |
50,979,231 | |||||||||||
|
||||||||||||
NET ASSETS 100.0% | $2,732,631,086 | |||||||||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $105,948,974, which represents approximately 3.88% of net assets as of December 31, 2013. | |
(c) | When-issued security. | |
(d) | Zero coupon bond until next reset date. | |
(e) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(f) | Security is currently in default. | |
(g) | Pre-refunded security. Maturity date disclosed is pre-refunding date. | |
(h) | Inverse floating rate security. Interest rate disclosed is that which is in effect at December 31, 2013. | |
Security ratings disclosed, if any, are issued by either Standard & Poors, Moodys Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Funds Statement of Additional Information. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
SWAP CONTRACTS At December 31, 2013, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||
Counterparty |
Referenced Obligation |
Notional Amount (000s) |
Rates
(Paid) |
Termination Date |
Credit Spread at December 31, 2013 (a) |
Upfront
Payments Made (Received) |
Unrealized
Gain (Loss) |
|||||||||||||
|
||||||||||||||||||||
Protection Sold: |
||||||||||||||||||||
Bank of America, N.A. |
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
$ | 4,000 | 1.000% | 03/20/23 | 1.370% | $ | (182,970 | ) | $ | 89,101 | |||||||||
JPMorgan Chase Bank, N.A. |
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
10,000 | 1.700 | 06/20/21 | 1.190 | | 338,375 | |||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
9,000 | 1.000 | 03/20/23 | 1.370 | (411,683 | ) | 200,478 | |||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
25,000 | 1.000 | 09/20/23 | 1.400 | (1,203,083 | ) | 530,412 | |||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
15,000 | 1.000 | 09/20/23 | 1.400 | (678,872 | ) | 275,269 | |||||||||||||
Illinois State GO Bonds, Series A, 5.0000%, 06/01/29 |
10,000 | 1.830 | 06/20/21 | 1.820 | | (3,056 | ) | |||||||||||||
Morgan Stanley Co., Inc. |
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
8,000 | 1.000 | 03/20/23 | 1.370 | (309,415 | ) | 121,676 | ||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
10,000 | 1.000 | 09/20/23 | 1.400 | (481,233 | ) | 212,165 | |||||||||||||
California State Various Purpose GO Bonds, Series 2003, 5.250%, 02/01/18 |
10,000 | 1.000 | 12/20/23 | 1.420 | (282,587 | ) | (2,523 | ) | ||||||||||||
Illinois State GO Bonds, Series A, 5.0000%, 06/01/29 |
10,000 | 1.000 | 12/20/23 | 1.990 | (764,923 | ) | 69,483 | |||||||||||||
|
||||||||||||||||||||
TOTAL |
$ | (4,314,766 | ) | $ | 1,831,380 | |||||||||||||||
|
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
GOLDMAN SACHS HIGH YIELD MUNICIPAL FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
TAX INFORMATION At December 31, 2013, the Funds aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
||||
Tax cost |
$ | 2,882,570,863 | ||
|
||||
Gross unrealized gain |
177,919,156 | |||
Gross unrealized loss |
(378,838,164 | ) | ||
|
||||
Net unrealized security loss |
$ | (200,919,008 | ) | |
|
Additional information regarding the Fund is available in the Funds most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commissions website (www.sec.gov).
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments
December 31, 2013 (Unaudited)
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Colorado 1.7% |
||||||||||||
Colorado Health Facilities Authority Hospital RB for Poudre Valley Health Care, Inc. Series 2005 F (A+/A1) |
||||||||||||
$ | 800,000 | 5.000 | % | 03/01/25 | $ 812,952 | |||||||
Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2005 (BBB-/NR) |
||||||||||||
1,150,000 | 5.000 | 12/01/35 | 994,428 | |||||||||
Denver City & County Airport RB Series 2013 A (AMT) (A/A2) |
||||||||||||
5,000,000 | 5.500 | 11/15/29 | 5,365,450 | |||||||||
E-470 Public Highway Authority RB Series 2010 A (BBB/Baa2) (e) |
||||||||||||
6,000,000 | 0.000 | 09/01/40 | 1,128,000 | |||||||||
|
||||||||||||
8,300,830 | ||||||||||||
|
||||||||||||
District of Columbia 1.4% |
||||||||||||
District of Columbia Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2001 (BBB/A1) |
||||||||||||
300,000 | 6.250 | 05/15/24 | 301,245 | |||||||||
District of Columbia Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2001 (BBB/Baa1) |
||||||||||||
1,000,000 | 6.500 | 05/15/33 | 1,041,500 | |||||||||
District of Columbia Water & Sewer Authority RB Public Utility Senior Lien Series 2009 A (AA+/Aa2) |
||||||||||||
5,000,000 | 6.000 | 10/01/35 | 5,483,700 | |||||||||
|
||||||||||||
6,826,445 | ||||||||||||
|
||||||||||||
Florida 11.9% |
||||||||||||
Arbor Greene Community Development District Special Assessment Refunding Series 2006 (A-/NR) |
||||||||||||
1,290,000 | 5.000 | 05/01/19 | 1,362,575 | |||||||||
Bluewaters Community Development District Special Assessment Series 2004 (NR/NR) |
||||||||||||
2,260,000 | 6.000 | 05/01/35 | 2,307,731 | |||||||||
Bridgewater Wesley Chapel Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR) |
||||||||||||
2,135,000 | 5.750 | 05/01/35 | 2,109,487 | |||||||||
Citizens Property Insurance Corp. RB Senior Secured for High Risk Account Series 2009 A-1 (A+/A2) |
||||||||||||
3,650,000 | 5.500 | 06/01/17 | 4,144,246 | |||||||||
Coconut Cay Community Development District Special Assessment Series 2006 (NR/NR) |
||||||||||||
885,000 | 5.375 | 05/01/36 | 907,585 | |||||||||
Covington Park Florida Community Development District Special Assessment Refunding for Capital Improvement Series 2005 (A-/NR) |
||||||||||||
445,000 | 5.000 | 05/01/21 | 448,493 | |||||||||
Crossings At Fleming Island Community Development District RB Refunding Series 2007 (NATL-RE) (A/Baa1) |
||||||||||||
125,000 | 4.750 | 10/01/36 | 116,750 | |||||||||
Crossings At Fleming Island Community Development District Special Assignment Refunding Series 2000 B (NATL-RE) (A/Baa1) |
||||||||||||
955,000 | 5.800 | 05/01/16 | 955,095 | |||||||||
Double Branch Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1 (A-/NR) |
||||||||||||
1,750,000 | 4.125 | 05/01/31 | 1,504,440 | |||||||||
Florida State Municipal Power Agency RB Series 2009 A (A+/A2) |
||||||||||||
1,000,000 | 6.250 | 10/01/31 | 1,105,600 | |||||||||
|
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Indiana (continued) |
||||||||||||
Indiana Health Facility Financing Authority RB for Ascension Health Subordinate Credit Group Residual I Series 2010-3224 (AA/NR) (b)(c) |
||||||||||||
$ | 205,000 | 25.048 | % | 11/01/27 | $ 333,717 | |||||||
Indianapolis Indiana Airport Authority RB Refunding Special Facilities for Federal Express Corp. Project Series 2004 (AMT) (BBB/Baa1) |
||||||||||||
640,000 | 5.100 | 01/15/17 | 693,440 | |||||||||
Jasper County PCRB Refunding for Northern RMKT 08/25/08 Series 1994 C (NATL-RE) (A/Baa1) |
||||||||||||
650,000 | 5.850 | 04/01/19 | 714,955 | |||||||||
Vanderburgh County Indiana Redevelopment Commission Tax Increment Tax Allocation Series 2006 (A/NR) |
||||||||||||
1,400,000 | 5.250 | 02/01/31 | 1,453,032 | |||||||||
|
||||||||||||
6,081,204 | ||||||||||||
|
||||||||||||
Iowa 0.3% |
||||||||||||
Coralville Iowa COPS Series 2006 D (NR/Ba1) |
||||||||||||
1,325,000 | 5.250 | 06/01/22 | 1,287,251 | |||||||||
|
||||||||||||
Kentucky 0.9% |
||||||||||||
Louisville & Jefferson County Metropolitan Government RB for Jewish Hospital St. Marys Healthcare Series 2008 (NR/Aaa) (h) |
||||||||||||
3,750,000 | 6.125 | 02/01/18 | 4,516,163 | |||||||||
|
||||||||||||
Louisiana 1.4% |
||||||||||||
De Soto Parish Louisiana Environmental Improvement RB Refunding for International Paper Co. Project Series 2004 A (AMT) (BBB/Baa3) |
||||||||||||
675,000 | 5.000 | 11/01/18 | 688,304 | |||||||||
De Soto Parish Louisiana Environmental Improvement RB Refunding for International Paper Co. Project Series 2005 A (AMT) (BBB/Baa3) |
||||||||||||
2,560,000 | 4.750 | 03/01/19 | 2,618,215 | |||||||||
East Baton Rouge Parish Louisiana Sales Tax RB for Road and Street Improvement Series 2009 A (ASSURED GTY) (AA-/A2) |
||||||||||||
1,230,000 | 5.250 | 08/01/28 | 1,347,809 | |||||||||
New Orleans Louisiana Aviation Board RB Refunding for Restructuring GARBs Series 2009 A-1 (ASSURED GTY) (AA-/A3) |
||||||||||||
1,350,000 | 6.000 | 01/01/23 | 1,494,720 | |||||||||
Port of New Orleans Board of Commissioners RB Refunding Series 2013 B (BBB+/Baa1) |
||||||||||||
500,000 | 5.000 | 04/01/30 | 491,235 | |||||||||
|
||||||||||||
6,640,283 | ||||||||||||
|
||||||||||||
Maryland 1.3% |
||||||||||||
Baltimore Maryland Special Obligation Tax Allocation for Harborview Lot No. 2 Series 2003 (NR/NR) |
||||||||||||
1,031,000 | 6.500 | 07/01/31 | 1,042,279 | |||||||||
Frederick County Maryland Special Tax for Lake Linganore Village Community Development Series 2001 A (Radian) (NR/NR) |
||||||||||||
235,000 | 5.600 | 07/01/20 | 235,037 | |||||||||
555,000 | 5.700 | 07/01/29 | 547,702 | |||||||||
Maryland State Health & Higher Educational Facilities Authority RB Refunding for MedStar Health Series 2004 (A-/A2) |
||||||||||||
500,000 | 5.375 | 08/15/24 | 509,650 | |||||||||
750,000 | 5.500 | 08/15/33 | 762,060 | |||||||||
|
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
New Hampshire 0.3% |
||||||||||||
New Hampshire State Business Finance Authority RB for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR) |
||||||||||||
$ | 1,250,000 | 5.200 | % | 05/01/27 | $ 1,313,800 | |||||||
|
||||||||||||
New Jersey 7.1% |
||||||||||||
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 (ASSURED GTY) (AA-/A1) |
||||||||||||
325,000 | 6.000 | 12/15/18 (h) | 398,054 | |||||||||
675,000 | 6.000 | 12/15/34 | 741,953 | |||||||||
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (A+/A1) |
||||||||||||
360,000 | 5.000 | 09/01/34 | 365,641 | |||||||||
New Jersey Economic Development Authority RB Refunding for School Facilities Construction Series 2009 AA (A+/A1) |
||||||||||||
4,000,000 | 5.500 | 12/15/29 | 4,296,760 | |||||||||
New Jersey Health Care Facilities Financing Authority RB for Childrens Specialized Hospital Series 2005 A (BBB/Baa3) |
||||||||||||
600,000 | 5.000 | 07/01/24 | 603,060 | |||||||||
175,000 | 5.500 | 07/01/30 | 175,962 | |||||||||
New Jersey Health Care Facilities Financing Authority RB for St. Josephs Healthcare System Series 2008 (BBB-/Ba1) |
||||||||||||
2,500,000 | 6.625 | 07/01/38 | 2,516,775 | |||||||||
New Jersey State Higher Education Assistance Authority RB for Student Loan Series 2008 A (AMT) (ASSURED GTY) (AA-/A2) |
||||||||||||
3,000,000 | 6.125 | 06/01/30 | 3,125,730 | |||||||||
New Jersey State Housing and Mortgage Finance Agency RB for Single Family Housing Series 2008 AA (AA/Aa2) |
||||||||||||
425,000 | 6.150 | 10/01/23 | 449,684 | |||||||||
New Jersey State Turnpike Authority RB Refunding Series 2000 B (NATL-RE) (A+/A3) (d) |
||||||||||||
6,275,000 | 0.105 | 01/01/30 | 5,642,790 | |||||||||
New Jersey State Turnpike Authority RB Series 2009 G (A+/A3) |
||||||||||||
1,650,000 | 5.000 | 01/01/18 | 1,880,885 | |||||||||
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (A+/A1) |
||||||||||||
5,260,000 | 5.500 | 06/15/41 | 5,511,428 | |||||||||
Rutgers State University RB Refunding Series 2013 J (AA-/Aa3) |
||||||||||||
5,000,000 | 5.000 | 05/01/32 | 5,341,350 | |||||||||
Rutgers State University RB Refunding Series 2013 L (AA-/Aa3) |
||||||||||||
2,500,000 | 5.000 | 05/01/43 | 2,574,950 | |||||||||
Tobacco Settlement Financing Corp. RB for Capital Appreciation Series 2007 1-C (CCC/NR) (e) |
||||||||||||
11,250,000 | 0.000 | 06/01/41 | 470,813 | |||||||||
|
||||||||||||
34,095,835 | ||||||||||||
|
||||||||||||
New Mexico 0.7% |
||||||||||||
Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D (BBB/Baa3) |
||||||||||||
2,500,000 | 5.900 | 06/01/40 | 2,558,625 | |||||||||
Santa Fe County New Mexico RB for Gross Receipts Series 2008 (AGM) (AA+/Aa3) |
||||||||||||
1,000,000 | 5.250 | 06/01/31 | 1,056,160 | |||||||||
|
||||||||||||
3,614,785 | ||||||||||||
|
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Tennessee (continued) |
||||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Charter Village Apartments Series 2007 (AMT) (FNMA) (NR/NR) (a) |
||||||||||||
$ | 1,000,000 | 4.850 | % | 06/01/25 | $ 1,003,690 | |||||||
Sullivan County Tennessee Health, Educational & Housing Facilities Board Hospital RB for Wellmont Health System Project Series 2006 C (BBB+/NR) |
||||||||||||
2,100,000 | 5.250 | 09/01/36 | 2,027,046 | |||||||||
|
||||||||||||
7,486,583 | ||||||||||||
|
||||||||||||
Texas 13.6% |
||||||||||||
Dallas County Utility & Reclamation District GO Bonds Refunding RMKT 06/25/08 Series 2005 B (AMBAC) (BBB+/A3) |
||||||||||||
2,675,000 | 5.375 | 02/15/29 | 2,799,227 | |||||||||
Hidalgo County Health Services RB for Mission Hospital, Inc. Project Series 2005 (BBB/Baa2) |
||||||||||||
700,000 | 5.000 | 08/15/19 | 700,707 | |||||||||
Houston Airport System RB Refunding Senior Lien Series 2009 A
|
||||||||||||
10,000,000 | 5.500 | 07/01/34 | 10,729,200 | |||||||||
Houston Airport System RB Subordinate Lien Series 2002 D-2 (AMT) (XLCA) (A/A2) (d) |
||||||||||||
4,300,000 | 0.338 | 07/01/32 | 3,832,383 | |||||||||
Houston Utilities System RB Refunding First Lien Series 2004 A (NATL-RE) (AA/Aa2) |
||||||||||||
1,000,000 | 5.250 | 05/15/25 | 1,017,340 | |||||||||
Lower Colorado River Authority RB Series 2008 (NR/A1) |
||||||||||||
440,000 | 5.750 | 05/15/37 | 452,232 | |||||||||
Lower Colorado River Authority RB Series 2008 (NR/A1) (h) |
||||||||||||
4,460,000 | 5.750 | 05/15/15 | 4,793,697 | |||||||||
Lower Colorado River Authority RB Series 2008 (NR/NR) (h) |
||||||||||||
100,000 | 5.750 | 05/15/15 | 107,410 | |||||||||
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (BBB/Baa2) |
||||||||||||
1,300,000 | 6.300 | 11/01/29 | 1,424,345 | |||||||||
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project Series 1996 (AMT) (NATL-RE) (A/Baa1) (d) |
||||||||||||
2,500,000 | 5.200 | 05/01/30 | 2,584,725 | |||||||||
Mesquite Texas Health Facilities Development Corp. RB for Christian Care Retirement Facilities Series 2005 (BBB-/NR) |
||||||||||||
150,000 | 5.500 | 02/15/25 | 150,967 | |||||||||
235,000 | 5.625 | 02/15/35 | 231,419 | |||||||||
North Texas Tollway Authority RB Convertible Capital Appreciation Special Project System Series 2011 (AA+/NR) (f) |
||||||||||||
1,000,000 | 0.000 | 09/01/43 | 644,150 | |||||||||
North Texas Tollway Authority RB First Tier Series 2009 A (A-/A2) |
||||||||||||
2,500,000 | 6.250 | 01/01/24 | 2,907,625 | |||||||||
1,100,000 | 6.250 | 01/01/39 | 1,209,307 | |||||||||
North Texas Tollway Authority RB Special Project System Series 2011 A (AA+/NR) |
||||||||||||
1,000,000 | 5.500 | 09/01/41 | 1,061,420 | |||||||||
1,000,000 | 6.000 | 09/01/41 | 1,097,490 | |||||||||
North Texas Tollway Authority System RB Refunding for Capital Appreciation First Tier Series 2008 I (A-/A2) (f) |
||||||||||||
6,000,000 | 0.000 | 01/01/43 | 6,382,980 | |||||||||
|
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | Security with Put features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $13,015,126, which represents approximately 2.7% of net assets as of December 31, 2013. | |
(c) | Inverse floating rate security. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(d) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(e) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(f) | Zero coupon bond until next reset date. | |
(g) | Security is currently in default. | |
(h) | Pre-refunded security. Maturity date disclosed is pre-refunding date. |
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Security ratings disclosed, if any, are issued by either Standard & Poors, Moodys Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Funds Statement of Additional Information. |
GOLDMAN SACHS MUNICIPAL INCOME FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
SWAP CONTRACTS At December 31, 2013, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||
Counterparty |
Referenced Obligation |
Notional Amount (000s) |
Rates
Received (Paid) |
Termination Date |
Credit Spread at
December 31,
|
Upfront Payments Made (Received) |
Unrealized Gain (Loss) |
|||||||||||||
|
||||||||||||||||||||
Protection Sold: |
|
|||||||||||||||||||
Bank of America, N.A. |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | $ | 1,000 | 1.000% | 03/20/23 | 1.370% | $ | (45,742 | ) | $ | 22,275 | |||||||||
JPMorgan Chase Bank, N.A. |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | 1,000 | 1.000 | 03/20/23 | 1.370 | (45,743 | ) | 22,275 | ||||||||||||
Morgan Stanley & Co. International PLC |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 | 1,000 | 1.000 | 03/20/23 | 1.370 | (38,677 | ) | 15,210 | ||||||||||||
|
||||||||||||||||||||
TOTAL |
$ | (130,162 | ) | $ | 59,760 | |||||||||||||||
|
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
TAX INFORMATION At December 31, 2013, the Funds aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
||||
Tax cost |
$ | 467,894,599 | ||
|
||||
Gross unrealized gain |
27,056,368 | |||
Gross unrealized loss |
(17,727,264 | ) | ||
|
||||
Net unrealized security gain |
$ | 9,329,104 | ||
|
Additional information regarding the Fund is available in the Funds most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commissions website (www.sec.gov).
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Florida (continued) |
||||||||||||
Fishhawk Community Development District II Special Assessment Refunding Series 2013 A (A-/NR) |
||||||||||||
$ | 355,000 | 1.800 | % | 05/01/16 | $ 351,801 | |||||||
360,000 | 2.100 | 05/01/17 | 355,547 | |||||||||
Florida Higher Educational Facilities Financing Authority RB for Nova Southeastern University Project Series 2012 A (BBB/Baa1) |
||||||||||||
100,000 | 3.000 | 04/01/14 | 100,529 | |||||||||
150,000 | 4.000 | 04/01/15 | 155,587 | |||||||||
825,000 | 3.000 | 04/01/17 | 858,091 | |||||||||
500,000 | 5.000 | 04/01/18 | 556,315 | |||||||||
500,000 | 5.000 | 04/01/19 | 557,590 | |||||||||
Florida Hurricane Catastrophe Fund Finance Corp. RB Series 2010 A (AA-/Aa3) |
||||||||||||
20,550,000 | 5.000 | 07/01/15 | 21,933,426 | |||||||||
Florida State Board of Education GO Bonds for Public Education Capital Outlay Series 2012 A (AAA/Aa1) |
||||||||||||
29,420,000 | 5.000 | 06/01/15 | 31,391,434 | |||||||||
Florida State Municipal Power Agency RB for St. Lucie Project Series 2009 A (A/A2) |
||||||||||||
2,985,000 | 5.000 | 10/01/14 | 3,087,863 | |||||||||
Florida State Municipal Power Agency RB for Stanton II Project Series 2009 A (A+/A1) |
||||||||||||
250,000 | 4.000 | 10/01/14 | 256,853 | |||||||||
Florida State Municipal Power Agency RB for Stanton Project Series 2009 A (A+/A1) |
||||||||||||
890,000 | 5.000 | 10/01/14 | 921,008 | |||||||||
Florida State Municipal Power Agency RB for Tri-City Project Series 2009 A (A+/A2) |
||||||||||||
290,000 | 3.000 | 10/01/14 | 295,687 | |||||||||
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-1 (AMBAC) (A/A2) (d) |
||||||||||||
675,000 | 0.105 | 10/01/21 | 628,350 | |||||||||
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-2 (AMBAC) (A/A2) (d) |
||||||||||||
5,325,000 | 0.138 | 10/01/21 | 4,956,982 | |||||||||
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-3 (AMBAC) (A/A2) (d) |
||||||||||||
100,000 | 0.138 | 10/01/21 | 93,089 | |||||||||
Halifax Hospital Medical Center RB Refunding & Improvement Series 2006 A (A-/NR) |
||||||||||||
855,000 | 5.000 | 06/01/14 | 868,911 | |||||||||
Highlands County Florida Health Facilities Authority RB Refunding for Adventist Health System/Sunbelt Obligated Group Series 2009 E (AA-/Aa3) |
||||||||||||
1,000,000 | 5.000 | 11/15/15 | 1,080,020 | |||||||||
Island at Doral Community Development District Special Assessment Refunding Series 2013 (A-/NR) |
||||||||||||
350,000 | 1.125 | 05/01/14 | 348,169 | |||||||||
345,000 | 1.750 | 05/01/15 | 339,677 | |||||||||
Jacksonville Florida Special RB Series 2010 B-1 (ETM) (AA-/Aa2) (f) |
||||||||||||
4,415,000 | 5.000 | 10/01/14 | 4,572,483 | |||||||||
JEA Florida Electric System RB Refunding Subseries 2009 C (ASSURED GTY) (AA-/Aa3) (f) |
||||||||||||
2,000,000 | 5.000 | 04/01/14 | 2,022,880 | |||||||||
Lake County School Board COPS for Master Lease Program Series 2012 A (A/NR) |
||||||||||||
955,000 | 5.000 | 06/01/14 | 971,674 | |||||||||
|
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Principal Amount |
Interest Rate |
Maturity Date |
Value | |||||||||
State-Specific Municipal Debt Obligations (continued) | ||||||||||||
Tennessee 0.4% |
||||||||||||
Johnson City Health & Educational Facilities Board Hospital RB for Mountain States Health Alliance Series 2010 A (BBB+/Baa1) |
||||||||||||
$ | 890,000 | 5.000 | % | 07/01/15 | $ 937,633 | |||||||
Maury County Tennessee GO Bonds Series 2006 (XLCA) (NR/Aa2) (f) |
||||||||||||
2,180,000 | 3.600 | 04/01/14 | 2,197,745 | |||||||||
Sevier County Public Building Authority RB for Local Government Public Improvement Series VII-D-1 (MUN GOVT GTD) (AA/NR) |
||||||||||||
5,000,000 | 5.000 | 06/01/14 | 5,091,200 | |||||||||
Tennessee State GO Refunding Bonds Series 2012 B (AA+/Aaa) |
||||||||||||
6,600,000 | 5.000 | 10/01/16 | 7,412,328 | |||||||||
|
||||||||||||
15,638,906 | ||||||||||||
|
||||||||||||
Texas 8.1% |
||||||||||||
Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2013 B (BBB-/Baa2) (a) |
||||||||||||
4,000,000 | 3.000 | 01/04/16 | 3,992,320 | |||||||||
City of Carrollton Texas GO Refunding Bonds Series 2012 (AAA/Aa1) |
||||||||||||
2,005,000 | 4.000 | 08/15/19 | 2,235,054 | |||||||||
City of El Paso Water and Sewer RB Refunding for Improvement Series 2012 A (AA+/NR) |
||||||||||||
1,750,000 | 2.000 | 03/01/18 | 1,804,372 | |||||||||
845,000 | 4.000 | 03/01/19 | 938,719 | |||||||||
Collin & Denton County Texas GO Bonds Refunding Series 2011 (AA/Aa1) |
||||||||||||
3,335,000 | 5.000 | 02/15/16 | 3,649,090 | |||||||||
Collin County Texas GO Bonds Refunding Limited Tax Series 2009 A (AAA/Aaa) |
||||||||||||
1,135,000 | 3.000 | 02/15/14 | 1,138,916 | |||||||||
Collin County Texas GO Bonds Refunding Series 2009 A (AAA/Aaa) |
||||||||||||
550,000 | 3.000 | 02/15/14 | 551,897 | |||||||||
Dallas County Limited Tax GO Notes Series 2011 (AAA/Aaa) |
||||||||||||
3,855,000 | 5.000 | 02/15/18 | 4,450,019 | |||||||||
Dallas-Fort Worth International Airport Joint RB Refunding Series 2009 A (A+/A2) |
||||||||||||
2,000,000 | 4.000 | 11/01/14 | 2,063,500 | |||||||||
Dallas-Fort Worth International Airport Joint RB Refunding Series 2011 D (A+/A2) |
||||||||||||
750,000 | 4.000 | 11/01/16 | 815,235 | |||||||||
250,000 | 4.000 | 11/01/17 | 276,745 | |||||||||
Dallas-Fort Worth International Airport Joint RB Refunding Series 2012 B (A+/A2) |
||||||||||||
1,750,000 | 5.000 | 11/01/18 | 2,010,855 | |||||||||
Del Mar College District Limited Tax Refunding Bonds Series 2011 (AA/Aa2) |
||||||||||||
510,000 | 3.000 | 08/15/14 | 518,859 | |||||||||
1,145,000 | 4.000 | 08/15/15 | 1,213,654 | |||||||||
Fort Bend County Texas GO Bonds Unlimited Tax Road Refunding Series 2009 (AA+/Aa1) |
||||||||||||
500,000 | 4.000 | 03/01/14 | 503,185 | |||||||||
Fort Worth Texas GO Bonds Refunding and Improvement Series 2012 (AA+/Aa1) |
||||||||||||
2,000,000 | 4.000 | 03/01/19 | 2,237,900 | |||||||||
Garland Independent School District Unlimited Tax Refunding Bonds Series 2011 A (PSF-GTD) (AAA/Aaa) (e) |
||||||||||||
1,930,000 | 0.000 | 02/15/17 | 1,866,291 | |||||||||
|
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Security with Put features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $34,310,771, which represents approximately 0.9% of net assets as of December 31, 2013. | |
(c) | Inverse floating rate security. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(d) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect at December 31, 2013. | |
(e) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(f) | Pre-refunded security. Maturity date disclosed is pre-refunding date. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
Security ratings disclosed, if any, are issued by either Standard & Poors, Moodys Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Funds Statement of Additional Information. |
GOLDMAN SACHS SHORT DURATION TAX-FREE FUND
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
SWAP CONTRACTS At December 31, 2013, the Fund had the following swap contracts:
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Market Value | ||||||||||||||||||||
Counterparty |
Referenced Obligation |
Notional Amount (000s) |
Rates
Received (Paid) |
Termination Date |
Credit Spread at
December 31,
|
Upfront Payments Made (Received) |
Unrealized Gain (Loss) |
|||||||||||||
|
||||||||||||||||||||
Protection Sold: |
|
|||||||||||||||||||
Bank of America, N.A. |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 |
$ | 5,000 | 1.000% | 03/20/23 | 1.370% | $ | (5 | ) | $ | (117,331 | ) | ||||||||
JPMorgan Chase Bank, N.A. |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 |
10,000 | 1.000 | 03/20/23 | 1.370 | (457,425 | ) | 222,753 | ||||||||||||
Morgan Stanley & Co. International PLC |
California State Various Purpose GO Bonds Series 2003, 5.250%, 02/01/18 |
11,000 | 1.000 | 03/20/23 | 1.370 | (425,561 | ) | 167,421 | ||||||||||||
|
||||||||||||||||||||
TOTAL |
$ | (882,991 | ) | $ | 272,843 | |||||||||||||||
|
(a) | Credit spread on the Referenced Obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
TAX INFORMATION At December 31, 2013, the Funds aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
||||
Tax cost |
$ | 3,898,565,437 | ||
|
||||
Gross unrealized gain |
45,040,317 | |||
Gross unrealized loss |
(50,206,641 | ) | ||
|
||||
Net unrealized security loss |
$ | (5,166,324 | ) | |
|
Additional information regarding the Fund is available in the Funds most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commissions website (www.sec.gov).
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation The Funds valuation policy is to value investments at fair value.
Investments and Fair Value Measurements The fair value of a financial instrument is 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). Accounting principles generally accepted in the United States of America ( GAAP) establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 Prices or valuations that require significant unobservable inputs (including Goldman Sachs Asset Management L.P. (GSAM)s assumptions in determining fair value measurement).
The Trustees have adopted Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities Equity securities and investment companies traded on a United States (U.S.) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, equity securities and exchange traded investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value (NAV) on the valuation date. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Debt Securities Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates fair value. With the exception of treasury securities of G8 countries (not held in money market funds), which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Inverse Floaters The interest rate on inverse floating rate securities (inverse floaters) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.
ii. When-Issued Securities and Forward Commitments When-issued securities, including TBA (To Be Announced) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.
Derivative Contracts A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors.
Exchange-traded derivatives, including futures contracts, typically fall within Level 1 of the fair value hierarchy. Over-the-counter (OTC) 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 an OTC derivative 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 derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Swap Contracts Swaps are marked-to-market daily using pricing vendor quotations, counterparty prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Funds investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in 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.
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.
B. Level 3 Fair Value Investments To the extent that the aforementioned significant inputs are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Funds NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy The following is a summary of the Funds investments and derivatives classified in the fair value hierarchy as of December 31, 2013:
HIGH YIELD MUNICIPAL | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Municipal Debt Obligations |
$ | | $ | 2,681,651,855 | $ | | ||||||
Derivative Type | ||||||||||||
Assets (a) | ||||||||||||
Credit Default Swap Contracts |
$ | | $ | 1,836,959 | $ | | ||||||
Liabilities (a) | ||||||||||||
Credit Default Swap Contracts |
$ | | $ | (5,579 | ) | $ | | |||||
MUNICIPAL INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Municipal Debt Obligations |
$ | | $ | 477,223,703 | $ | | ||||||
Derivative Type | ||||||||||||
Assets (a) | ||||||||||||
Credit Default Swap Contracts |
$ | | $ | 59,760 | $ | | ||||||
SHORT DURATION TAX-FREE | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Municipal Debt Obligations |
$ | | $ | 3,893,399,113 | $ | | ||||||
Derivative Type | ||||||||||||
Assets (a) | ||||||||||||
Credit Default Swap Contracts |
$ | | $ | 390,174 | $ | | ||||||
Liabilities (a) | ||||||||||||
Credit Default Swap Contracts |
$ | | $ | (117,331 | ) | $ | |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
GOLDMAN SACHS MUNICIPAL FIXED INCOME FUNDS
Schedule of Investments (continued)
December 31, 2013 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
The Funds risks include, but are not limited to, the following:
Shareholder Concentration Risk Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds shares. Redemptions by these entities of their holdings in the Funds may impact the Funds liquidity and NAV. These redemptions may also force the Funds to sell securities.
Liquidity Risk The Funds may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Non-Diversification Risk High Yield Municipal Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
Portfolio Concentration Risk As a result of certain of the Funds ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds investments more than if their investments were not so concentrated.
Item 2. | Controls and Procedures. |
(a) The Registrants President/Principal Executive Officer and Principal Financial Officer concluded that the Registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the Evaluation Date), based on their evaluation of the effectiveness of the Registrants disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Item 3. | Exhibits. |
(a) Separate certifications for the President/Principal Executive Officer and the Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Goldman Sachs Trust | ||
By (Signature and Title)* | /s/ James A. McNamara | |
James A. McNamara, President/Principal Executive Officer |
Date February 27, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James A. McNamara | |
James A. McNamara, President/Principal Executive Officer |
Date February 27, 2014
By (Signature and Title)* | /s/ Scott McHugh | |
Scott McHugh Principal Financial Officer |
Date February 27, 2014
* | Print the name and title of each signing officer under his or her signature. |
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