GOLDMAN SACHS SMALL CAP VALUE FUND
Schedule of Investments
(continued)
November 30, 2012
(Unaudited)
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Shares
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Description
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Value
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Common Stocks –
(continued)
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Textiles, Apparel & Luxury Goods* – 1.3%
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560,131
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Hanesbrands, Inc.
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$ 20,220,729
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374,575
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Steven Madden Ltd.
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16,672,333
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50,985
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The Warnaco Group, Inc.
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3,665,312
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40,558,374
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Thrifts & Mortgage Finance – 2.6%
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758,312
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Brookline Bancorp, Inc.
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6,415,320
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434,993
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Dime Community Bancshares
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6,068,152
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656,138
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Flushing Financial Corp.
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9,815,825
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737,154
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Northwest Bancshares, Inc.
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8,794,247
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914,979
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Ocwen Financial Corp.*
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32,811,147
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134,611
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Oritani Financial Corp.
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1,965,321
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671,102
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Provident Financial Services, Inc.
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9,724,268
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116,501
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WSFS Financial Corp.
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5,056,143
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80,650,423
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Trading Companies & Distributors – 1.9%
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387,162
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Applied Industrial Technologies, Inc.
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15,498,095
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654,079
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Kaman Corp.
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23,703,823
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266,323
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Watsco, Inc.
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19,092,696
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58,294,614
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TOTAL COMMON STOCKS
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$ 2,966,889,543
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Exchange Traded Fund –
1.8%
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774,366
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iShares Russell 2000 Value Index Fund
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$ 56,683,591
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Investment Company –
0.1%
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Capital Markets – 0.1%
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337,784
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THL Credit, Inc.
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$ 4,897,868
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Units Description
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Expiration
Date
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Value
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Warrant* – 0.0%
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Magnum Hunter Resources Corp.
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112,819
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10/14/13
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$ 2,820
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Principal
Amount
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Interest
Rate
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Maturity
Date
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Value
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Short-term Investment
(a)
– 2.8%
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Repurchase Agreement – 2.8%
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Joint Repurchase Agreement Account II
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$ 87,300,000
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0.239%
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12/03/12
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$ 87,300,000
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TOTAL INVESTMENTS – 99.2%
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$ 3,115,773,822
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OTHER ASSETS IN EXCESS OF
LIABILITIES – 0.8%
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24,023,749
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NET ASSETS – 100.0%
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$ 3,139,797,571
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The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
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*
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Non-income producing security.
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(a)
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Joint repurchase agreement was entered into on November 30, 2012. Additional information appears in the Notes to the Schedule of Investments
section.
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Investment Abbreviation:
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ADR — American Depositary Receipt
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For information on the mutual funds, please call our toll free Shareholder Services Line at
1-800-526-7384 or visit us on the web at
www.goldmansachsfunds.com.
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GOLDMAN SACHS SMALL CAP VALUE FUND
Schedule of Investments
(continued)
November 30, 2012
(Unaudited)
ADDITIONAL INVESTMENT INFORMATION
TAX INFORMATION
— At November 30, 2012, the Fund’s
aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
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Tax Cost
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$
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2,632,122,821
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Gross unrealized gain
|
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583,236,046
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Gross unrealized loss
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|
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(99,585,045
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)
|
|
|
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Net unrealized security gain
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|
$
|
483,651,001
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Additional information regarding the Fund is available in the Fund’s most recent Annual and Semi-Annual Reports
to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Schedule of Investments
(continued)
November 30, 2012 (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”) assumptions in determining fair value measurement).
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. Investments applying these valuation adjustments are classified as Level 2 of the fair value hierarchy.
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, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Short Term Investments
— Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which
approximates fair market value. These investments are classified as Level 2 of the fair value hierarchy.
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. During the term of a repurchase agreement, the value
of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are
held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Schedule of Investments
(continued)
November 30, 2012 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein,
the Funds, together with other 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.
Level 3 Fair Value Investments
— The valuation techniques and significant inputs used in determining the
fair values for investments classified as Level 3 are as follows:
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 Fund’s 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.
Fair Value Hierarchy
— The following is a summary of the Funds’ investments classified in the fair value
hierarchy as of November 30, 2012.
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GROWTH AND INCOME
|
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Investment Type
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Level 1
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Level 2
|
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Level 3
|
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Assets
|
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|
Common Stock and/or Other Equity Investments
|
|
$
|
417,254,622
|
|
|
$
|
2,542,373
|
|
|
$
|
—
|
|
|
Short-term Investments
|
|
|
—
|
|
|
|
3,500,000
|
|
|
|
—
|
|
|
Total
|
|
$
|
417,254,622
|
|
|
$
|
6,042,373
|
|
|
$
|
—
|
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|
|
LARGE CAP VALUE
|
|
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|
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|
|
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|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
$
|
1,402,400,681
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Short-term Investments
|
|
|
—
|
|
|
|
5,000,000
|
|
|
|
—
|
|
|
Total
|
|
$
|
1,402,400,681
|
|
|
$
|
5,000,000
|
|
|
$
|
—
|
|
|
|
|
|
|
|
MID CAP VALUE
|
|
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|
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|
|
|
|
|
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|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
$
|
7,643,617,484
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Short-term Investments
|
|
|
—
|
|
|
|
102,000,000
|
|
|
|
—
|
|
|
Total
|
|
$
|
7,643,617,484
|
|
|
$
|
102,000,000
|
|
|
$
|
—
|
|
|
|
|
|
|
|
SMALL CAP VALUE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Type
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stock and/or Other Equity Investments
|
|
$
|
3,023,573,134
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Investment Company
|
|
|
4,897,868
|
|
|
|
—
|
|
|
|
—
|
|
|
Warrant
|
|
|
2,820
|
|
|
|
—
|
|
|
|
—
|
|
|
Short-term Investments
|
|
|
—
|
|
|
|
87,300,000
|
|
|
|
—
|
|
|
Total
|
|
$
|
3,028,473,822
|
|
|
$
|
87,300,000
|
|
|
$
|
—
|
|
For further information regarding security characteristics, see Schedule of Investments.
GOLDMAN SACHS FUNDAMENTAL EQUITY VALUE FUNDS
Schedule of Investments
(continued)
November 30, 2012 (Unaudited)
NOTES TO THE SCHEDULE OF
INVESTMENTS (continued)
JOINT REPURCHASE AGREEMENT ACCOUNT II
— At November 30, 2012, the Funds had undivided interests in the Joint Repurchase Agreement Account
II, with a maturity date of December 3, 2012, as follows:
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Fund
|
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Principal
Amount
|
|
|
Maturity
Value
|
|
|
Collateral
Allocation
Value
|
|
|
Growth and Income
|
|
$
|
3,500,000
|
|
|
$
|
3,500,070
|
|
|
$
|
3,582,306
|
|
|
Large Cap Value
|
|
|
5,000,000
|
|
|
|
5,000,100
|
|
|
|
5,117,580
|
|
|
Mid Cap Value
|
|
|
102,000,000
|
|
|
|
102,002,032
|
|
|
|
104,398,641
|
|
|
Small Cap Value
|
|
|
87,300,000
|
|
|
|
87,301,739
|
|
|
|
89,352,954
|
|
REPURCHASE AGREEMENTS
— At November 30, 2012, the Principal Amounts of the Funds’ interest in the
Joint Repurchase Agreement Account II were as follows:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
Rate
|
|
|
Growth and
Income
|
|
|
Large Cap
Value
|
|
|
Mid Cap
Value
|
|
|
Small Cap
Value
|
|
|
BNP Paribas Securities Co.
|
|
|
0.230
|
%
|
|
$
|
512,809
|
|
|
$
|
732,584
|
|
|
$
|
14,944,722
|
|
|
$
|
12,790,924
|
|
|
Credit Suisse Securities LLC
|
|
|
0.220
|
|
|
|
384,867
|
|
|
|
549,810
|
|
|
|
11,216,120
|
|
|
|
9,599,679
|
|
|
Deutsche Bank Securities, Inc.
|
|
|
0.250
|
|
|
|
1,008,975
|
|
|
|
1,441,393
|
|
|
|
29,404,422
|
|
|
|
25,166,726
|
|
|
JPMorgan Securities LLC
|
|
|
0.240
|
|
|
|
1,229,286
|
|
|
|
1,756,123
|
|
|
|
35,824,893
|
|
|
|
30,661,894
|
|
|
Wells Fargo Securities LLC
|
|
|
0.240
|
|
|
|
364,063
|
|
|
|
520,090
|
|
|
|
10,609,843
|
|
|
|
9,080,777
|
|
|
TOTAL
|
|
|
|
|
|
$
|
3,500,000
|
|
|
$
|
5,000,000
|
|
|
$
|
102,000,000
|
|
|
$
|
87,300,000
|
|
At November 30, 2012, the Joint Repurchase Agreement Account II was fully collateralized by:
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|
|
|
|
|
|
|
|
|
|
Issuer
|
|
Interest Rates
|
|
|
Maturity Dates
|
|
|
Federal National Mortgage Association
|
|
|
3.000 to 5.000
|
%
|
|
|
09/01/27 to 12/01/42
|
|
|
Government National Mortgage Association
|
|
|
2.500 to 6.500
|
|
|
|
07/20/24 to 11/15/42
|
|
|
U.S. Treasury Notes
|
|
|
0.250 to 4.875
|
|
|
|
12/31/12 to 05/15/22
|
|
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.
Investments in Other Investment Companies
— As a shareholder of another investment company, including an exchange traded fund
(“ETF”), a Fund will directly bear its proportionate share of any management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that
do not apply to conventional funds, including but not limited to: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) and active trading market for an ETF’s shares may not develop
or be maintained.
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.
|
Item 2.
|
Controls and Procedures.
|
(a) The
Registrant’s President/Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s 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 Registrant’s disclosure controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
(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 January 29, 2013
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 January 29, 2013
|
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By (Signature and Title)*
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/s/ George F. Travers
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George F. Travers,
Principal Financial Officer
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Date January 29, 2013
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*
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Print the name and title of each signing officer under his or her signature.
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