Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

  
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Satellite Strategies Portfolio
      S000015982
      549300RZVRT1EE3LIJ27
      2022-12-31
      2022-03-31
      N
    
    
      118138796.13
      178725.52
      117960070.61
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      954391.74000000
      N
      
        
          
          
          
          
          
          
          
          
        
        
        
        
      
      
      
      
      
    
    
      
        Goldman Sachs Emerging Markets Equity Insights Fund
        549300UHNMO4HOGWYU58
        
        38147X259
        
          
        
        697714.23300000
        NS
        USD
        6460833.80000000
        5.477136260252
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Real Estate Securities Fund
        549300IV19H0UGZG5L86
        
        38148U718
        
          
        
        756744.78400000
        NS
        USD
        9035532.72000000
        7.659823085282
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Equity Fund
        BWG4TKY1KCT8ICDTBC46
        
        38147X226
        
          
        
        185114.16000000
        NS
        USD
        4672281.40000000
        3.960900816554
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Fund
        VJJ3YDJ4UOKOJN1I8J86
        
        38148U874
        
          
        
        1345095.36600000
        NS
        USD
        8110925.06000000
        6.875992035318
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Global Infrastructure Fund
        54930073G57DO7G34278
        
        38148U775
        
          
        
        1805374.24200000
        NS
        USD
        24878057.05000000
        21.09023580720
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Inflation Protected Securities Fund
        4OEORIROX7OTX3PIXA40
        
        38147X580
        
          
        
        612305.71400000
        NS
        USD
        6919054.57000000
        5.865590393613
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Local Emerging Markets Debt Fund
        58SWL44ZGT3G71LAHX23
        
        38145L174
        
          
        
        221604.23500000
        NS
        USD
        1105805.13000000
        0.937440206912
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International Small Cap Insights Fund
        549300VMLASEOM8ZWE07
        
        38147X234
        
          
        
        1954002.18400000
        NS
        USD
        25128468.09000000
        21.30252038681
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs MLP Energy Infrastructure Fund
        549300QNI1STTSJRLK10
        
        38150C887
        
          
        
        135802.84000000
        NS
        USD
        3915195.88000000
        3.319085737871
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Emerging Markets Debt Fund
        XC6LIVZDLLKYZ7FKO621
        
        38148U882
        
          
        
        1412963.87600000
        NS
        USD
        15062194.92000000
        12.76889276355
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs ActiveBeta Emerging Markets Equity ETF
        549300PZDHNP7HDURN13
        
        381430206
        
          
        
        105925.00000000
        NS
        USD
        3588739.00000000
        3.042333716351
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs High Yield Floating Rate Fund
        20OHG0KU8S4HBIU77D72
        
        38145L166
        
          
        
        860775.25400000
        NS
        USD
        7953563.35000000
        6.742589512595
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  
  XXXX

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

---

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased						Currency Sold						Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD			14,337,170			EUR			12,880,000				06/15/22			$	46,241
		USD			4,470,541			CHF			4,100,000				06/15/22				18,812
		USD			1,079,029			DKK			7,210,000				06/15/22				3,616
		USD			1,178,139			HKD			9,200,000				06/15/22				2,338
		USD			6,524,492			GBP			4,890,000				06/15/22				102,579
		USD			9,997,004			JPY			1,151,000,000				06/15/22				522,884
TOTAL																		$	696,470

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty		Currency Purchased						Currency Sold						Settlement Date				Unrealized Loss
MS & Co. Int. PLC		USD			197,887			ILS			640,000				06/15/22			$	(3,146	)
		USD			297,657			NOK			2,650,000				06/15/22				(3,204	)
		USD			87,866			NZD			130,000				06/15/22				(2,112	)
		USD			3,074,590			AUD			4,220,000				06/15/22				(87,439	)
		USD			471,689			SGD			640,000				06/15/22				(515	)
		USD			1,602,111			SEK			15,525,000				06/15/22				(52,324	)
TOTAL																		$	(148,740	)
TOTAL																		$	547,730

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description		Number of Contracts		Expiration Date		Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
Euro Stoxx 50 Index		187		06/17/22		$	907,119			$	40,488
S&P 500 E-Mini Index		152		06/17/22			34,433,700				2,695,739
10 Year U.S. Treasury Notes		352		06/21/22			43,252,000				(1,388,972	)
TOTAL FUTURES CONTRACTS										$	1,347,255

---

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				03/13/2023			172		$	430,000			$	105,350			$	620,238			$	(514,888	)
Eurodollar Futures			97.750				06/19/2023			96			240,000				65,400				391,501				(326,101	)
Eurodollar Futures			98.000				12/19/2022			46			115,000				20,700				114,531				(93,831	)
Eurodollar Futures			98.250				09/19/2022			48			120,000				16,800				114,711				(97,911	)
Eurodollar Futures			98.750				12/19/2022			128			320,000				17,600				118,697				(101,097	)
Eurodollar Futures			99.000				06/13/2022			94			235,000				5,288				98,918				(93,630	)
Eurodollar Futures			99.000				09/19/2022			132			330,000				9,074				100,956				(91,882	)
Eurodollar Futures			99.000				12/19/2022			384			960,000				36,000				546,824				(510,824	)
TOTAL										1,100		$	2,750,000			$	276,212			$	2,106,376			$	(1,830,164	)

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
KOSPI 200 Index		JPMorgan Securities, Inc.		$	388.330				04/14/2022			2,977,550		$	2,977,550			$	99			$	17,876			$	(17,777	)
Written option contracts
Puts
SPX Index		Citibank NA			3,877.570				12/30/2022			(415)			(415	)			(60,217	)			(74,451	)			14,234
SPX Index		Citibank NA			4,119.400				12/30/2022			(415)			(415	)			(81,338	)			(96,492	)			15,154
XLV Index		Citibank NA			127.250				12/30/2022			(7,213)			(7,213	)			(37,496	)			(59,147	)			21,651
KOSPI 200 Index		JPMorgan Securities, Inc.			339.320				04/14/2022			(2,977,550)			(2,977,550	)			(534	)			(8,467	)			7,933
SPX Index		MS & Co. Int. PLC			3,998.210				12/30/2022			(221)			(221	)			(37,295	)			(65,557	)			28,262
Total written option contracts												(2,985,814)		$	(2,985,814	)		$	(216,880	)		$	(304,114	)		$	87,234
TOTAL												(8,264)		$	(8,264	)		$	(216,781	)		$	(286,238	)		$	69,457

---

GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Call USD/Put CHF		MS & Co. Int. PLC		$	0.930				03/07/2023			390,000		$	390,000			$	6,039			$	6,408			$	(369	)
Put EUR/Call USD		MS & Co. Int. PLC			1.192				03/07/2023			344,000			344,000				24,384				19,475				4,909
Total purchased option contracts												734,000		$	734,000			$	30,423			$	25,883			$	4,540
Written option contracts
Puts
Put EUR/Call USD		MS & Co. Int. PLC			1.192				03/07/2023			(344,000)			(344,000	)			(24,384	)			(16,700	)			(7,684	)
TOTAL												390,000		$	390,000			$	6,039			$	9,183			$	(3,144	)

 

---

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

---

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased						Currency Sold								Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD			16,285,303				JPY				1,875,000,000				06/15/22			$	851,787
		USD			10,633,988				GBP				7,970,000				06/15/22				167,190
		USD			1,919,598				HKD				14,990,000				06/15/22				3,809
		USD			1,759,969				DKK				11,760,000				06/15/22				5,897
		USD			7,272,807				CHF				6,670,000				06/15/22				30,604
		USD			23,375,820				EUR				21,000,000				06/15/22				75,393
TOTAL																				$	1,134,680

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty		Currency Purchased						Currency Sold								Settlement Date				Unrealized Loss
MS & Co. Int. PLC		USD			2,608,268				SEK				25,275,000				06/15/22			$	(85,184	)
		USD			766,494				SGD				1,040,000				06/15/22				(837	)
		USD			5,019,888				AUD				6,890,000				06/15/22				(142,763	)
		USD			148,696				NZD				220,000				06/15/22				(3,573	)
		USD			482,991				NOK				4,300,000				06/15/22				(5,199	)
		USD			321,567				ILS				1,040,000				06/15/22				(5,112	)
TOTAL																				$	(242,668	)

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description		Number of Contracts				Expiration Date				Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
Euro Stoxx 50 Index			243				06/17/22			$	1,178,770			$	52,612
S&P 500 E-Mini Index			290				06/17/22				65,695,875				4,958,424
10 Year U.S. Treasury Notes			533				06/21/22				65,492,375				(2,131,311	)
TOTAL FUTURES CONTRACTS														$	2,879,725

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				06/19/2023			161		$	402,500			$	109,681			$	656,580			$	(546,899	)
Eurodollar Futures			97.750				03/13/2023			285			712,500				174,562				1,030,250				(855,688	)
Eurodollar Futures			98.000				12/19/2022			76			190,000				34,200				189,226				(155,026	)
Eurodollar Futures			98.250				09/19/2022			78			195,000				27,300				186,406				(159,106	)
Eurodollar Futures			98.750				12/19/2022			209			522,500				28,738				193,810				(165,072	)
Eurodollar Futures			99.000				06/13/2022			153			382,500				8,606				161,005				(152,399	)
Eurodollar Futures			99.000				09/19/2022			216			540,000				14,850				165,201				(150,351	)
Eurodollar Futures			99.000				12/19/2022			698			1,745,000				65,438				993,966				(928,528	)
TOTAL										1,876		$	4,690,000			$	463,375			$	3,576,444			$	(3,113,069	)

---

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts				Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
KOSPI 200 Index		JPMorgan Securities, Inc.		$	388.330				04/14/2022				3,913,060			$	3,913,060			$	130			$	23,492			$	(23,362	)
Written option contracts
Puts
SPX Index		MS & Co. Int. PLC			3,998.210				12/30/2022				(288)				(288	)			(48,602	)			(85,432	)			36,830
KOSPI 200 Index		JPMorgan Securities, Inc.			339.320				04/14/2022				(3,913,060)				(3,913,060	)			(702	)			(11,128	)			10,426
SPX Index		Citibank NA			3,877.570				12/30/2022				(546)				(546	)			(79,225	)			(97,952	)			18,727
XLV Index		Citibank NA			127.250				12/30/2022				(9,490)				(9,490	)			(49,332	)			(77,818	)			28,486
SPX Index		Citibank NA			4,119.400				12/30/2022				(546)				(546	)			(107,014	)			(126,951	)			19,937
Total written option contracts													(3,923,930)			$	(3,923,930	)		$	(284,875	)		$	(399,281	)		$	114,406
TOTAL													(10,870)			$	(10,870	)		$	(284,745	)		$	(375,789	)		$	91,044

---

GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Call USD/Put CHF		MS & Co. Int. PLC			$0.930				03/07/2023			520,000		$	520,000			$	8,052			$	8,543			$	(491	)
Puts
Put EUR/Call USD		MS & Co. Int. PLC			$1.192				03/07/2023			459,000			459,000				32,536				25,986				6,550
Total purchased option contracts												979,000		$	979,000			$	40,588			$	34,529			$	6,059
Written option contracts
Puts
Put EUR/Call USD		MS & Co. Int. PLC			1.192				03/07/2023			(459,000)			(459,000	)			(32,536	)			(22,283	)			(10,253	)
TOTAL												520,000		$	520,000			$	8,052			$	12,246			$	(4,194	)

 

---

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

---

GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION

 

 

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 31, 2022, the Portfolio had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN

 

Counterparty		Currency Purchased						Currency Sold								Settlement Date				Unrealized Gain
MS & Co. Int. PLC		USD			1,659,699				DKK				11,090,000				06/15/22			$	5,561
		USD			1,810,749				HKD				14,140,000				06/15/22				3,593
		USD			6,869,368				CHF				6,300,000				06/15/22				28,906
		USD			22,051,190				EUR				19,810,000				06/15/22				71,121
		USD			15,364,640				JPY				1,769,000,000				06/15/22				803,633
		USD			10,033,575				GBP				7,520,000				06/15/22				157,750
TOTAL																				$	1,070,564

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS

 

Counterparty		Currency Purchased						Currency Sold								Settlement Date				Unrealized Loss
MS & Co. Int. PLC		USD			454,910				NOK				4,050,000				06/15/22			$	(4,897	)
		USD			296,831				ILS				960,000				06/15/22				(4,719	)
		USD			2,461,214				SEK				23,850,000				06/15/22				(80,381	)
		USD			135,179				NZD				200,000				06/15/22				(3,249	)
		USD			722,273				SGD				980,000				06/15/22				(788	)
		USD			4,728,458				AUD				6,490,000				06/15/22				(134,475	)
TOTAL																				$	(228,509	)

FUTURES CONTRACTS — At March 31, 2022, the Portfolio had the following futures contracts:

 

Description		Number of Contracts		Expiration Date				Notional Amount				Unrealized Appreciation/ (Depreciation)
Long position contracts:
Euro Stoxx 50 Index		167			06/17/22			$	810,101			$	36,172
S&P 500 E-Mini Index		319			06/17/22				72,265,463				5,455,109
10 Year U.S. Treasury Notes		533			06/21/22				65,492,375				(2,111,099	)
TOTAL FUTURES CONTRACTS												$	3,380,182

PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2022, the Portfolio had the following purchased and written options:

EXCHANGE TRADED OPTIONS ON FUTURES

 

Description		Exercise Price				Expiration Date				Number of Contracts				Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Eurodollar Futures		$	97.750				03/13/2023				310			$	775,000			$	189,875			$	1,102,302			$	(912,427	)
Eurodollar Futures			97.750				06/19/2023				163				407,500				111,044				664,736				(553,692	)
Eurodollar Futures			98.000				12/19/2022				88				220,000				39,600				219,104				(179,504	)
Eurodollar Futures			98.250				09/19/2022				91				227,500				31,850				217,474				(185,624	)
Eurodollar Futures			98.750				12/19/2022				243				607,500				33,413				225,339				(191,926	)
Eurodollar Futures			99.000				06/13/2022				178				445,000				10,012				187,313				(177,301	)
Eurodollar Futures			99.000				09/19/2022				251				627,500				17,256				191,970				(174,714	)
Eurodollar Futures			99.000				12/19/2022				741				1,852,500				69,469				1,055,199				(985,730	)
TOTAL											2,065			$	5,162,500			$	502,519			$	3,863,437			$	(3,360,918	)

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GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON EQUITIES

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
KOSPI 200 Index		JPMorgan Securities, Inc.		$	388.330				04/14/2022			2,753,605		$	2,753,605			$	91			$	16,531			$	(16,440	)
Written option contracts
Puts
SPX Index		Citibank NA			3,877.570				12/30/2022			(384)			(384	)			(55,718	)			(68,889	)			13,171
SPX Index		Citibank NA			4,119.400				12/30/2022			(384)			(384	)			(75,262	)			(89,284	)			14,022
XLV Index		Citibank NA			127.250				12/30/2022			(6,685)			(6,685	)			(34,751	)			(54,817	)			20,066
KOSPI 200 Index		JPMorgan Securities, Inc.			339.320				04/14/2022			(2,753,605)			(2,753,605	)			(494	)			(7,831	)			7,337
SPX Index		MS & Co. Int. PLC			3,998.210				12/30/2022			(201)			(201	)			(33,921	)			(59,625	)			25,704
Total written option contracts												(2,761,259)		$	(2,761,259	)		$	(200,146	)		$	(280,446	)		$	80,300
TOTAL												(7,654)		$	(7,654	)		$	(200,055	)		$	(263,915	)		$	63,860

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GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

ADDITIONAL INVESTMENT INFORMATION (continued)

 

 

OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY

 

Description		Counterparty		Exercise Rate				Expiration Date				Number of Contracts		Notional Amount				Market Value				Premiums Paid (Received) by Portfolio				Unrealized Appreciation/ (Depreciation)
Purchased option contracts
Calls
Call USD/Put CHF		MS & Co. Int. PLC		$	0.930				03/07/2023			360,000		$	360,000			$	5,574			$	5,915			$	(341	)
Puts
Put EUR/Call USD		MS & Co. Int. PLC		$	1.192				03/07/2023			318,000			318,000				22,541				18,003				4,538
Total purchased option contracts												678,000		$	678,000			$	28,115			$	23,918			$	4,197
Written option contracts
Puts
Put EUR/Call USD		MS & Co. Int. PLC			1.192				03/07/2023			(318,000)			(318,000	)			(22,541	)			(15,438	)			(7,103	)
TOTAL												360,000		$	360,000			$	5,574			$	8,480			$	(2,906	)

 

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GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO

 

Schedule of Investments

March 31, 2022 (Unaudited)

 

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS

 

 

A. Investment Valuation — The valuation policy of the Portfolios and underlying funds (“Underlying Funds”) is to value investments at fair value.

U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, 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 Portfolios 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.

B. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Underlying Funds (including Money Market Funds) — Underlying Funds (‘Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invest in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Portfolio, if any, is noted in the Schedules of Investments.

Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

iii. Options — When a Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.

Upon the purchase of a call option or a put option by a Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

C. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolios’ 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 Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

D. Fair Value Hierarchy — The following is a summary of Portfolios’ investments and derivatives classified in the fair value hierarchy as of March 31, 2022:

 

BALANCED STRATEGY
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	19,199,029			$	—			$	—
Equity			103,336,916				—				—
Exchange Traded Funds			159,000,470				—				—
Fixed Income			203,749,062				—				—
Investment Companies			83,935,637				—				—
Total		$	569,221,114			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	696,470			$	—
Futures Contracts(a)			2,736,227				—				—
Purchased Option Contracts			276,212				30,522				—
Total		$	3,012,439			$	726,992			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)		$	—			$	(148,740	)		$	—
Futures Contracts(a)			(1,388,972	)			—				—
Written option contracts			—				(241,264	)			—
Total		$	(1,388,972	)		$	(390,004	)		$	—

 

(a)

Amount shown represents unrealized gain (loss) at period end.

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

GROWTH AND INCOME STRATEGY
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	27,770,271			$	—			$	—
Equity			250,280,937				—				—
Exchange Traded Funds			404,667,645				—				—
Fixed Income			185,229,183				—				—
Investment Companies			78,502,632				—				—
Total		$	946,450,668			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	1,134,680			$	—
Futures Contracts(a)			5,011,036				—				—
Purchased Option Contracts			463,375				40,718				—
Total		$	5,474,411			$	1,175,398			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)		$	—			$	(242,668	)		$	—
Futures Contracts(a)			(2,131,311	)			—				—
Written Option Contracts			—				(317,411	)			—
Total		$	(2,131,311	)		$	(560,079	)		$	—

 

(a)

Amount shown represents unrealized gain (loss) at period end.

 

GROWTH STRATEGY
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Dynamic		$	15,773,882			$	—			$	—
Equity			292,866,402				—				—
Exchange Traded Funds			411,676,426				—				—
Fixed Income			67,137,993				—				—
Investment Companies			110,083,481				—				—
Total		$	897,538,184			$	—			$	—
Derivative Type
Assets
Forward Foreign Currency Exchange Contracts(a)		$	—			$	1,070,564			$	—
Futures Contracts(a)			5,491,281				—				—
Purchased Option Contracts			502,519				28,206				—
Total		$	5,993,800			$	1,098,770			$	—
Liabilities
Forward Foreign Currency Exchange Contracts(a)		$	—			$	(228,509	)		$	—
Futures Contracts(a)			(2,111,099	)			—				—
Written option contracts			—				(222,687	)			—
Total		$	(2,111,099	)		$	(451,196	)		$	—

 

(a)

Amount shown represents unrealized gain (loss) at period end.

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

SATELLITE STRATEGIES
Investment Type		Level 1				Level 2				Level 3
Assets
Underlying Funds
Equity		$	74,158,729			$	—			$	—
Exchange Traded Funds			3,588,739				—				—
Fixed Income			39,319,828				—				—
Total		$	117,067,296			$	—			$	—

For further information regarding security characteristics, see the Schedules of Investments.

The Portfolios’ risks include, but are not limited to, the following:

Derivatives Risk — The Portfolios’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolios. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Dividend-Paying Investments Risk — A Portfolio’s investments in dividend-paying securities could cause a Portfolio to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Portfolio’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Portfolio to produce current income.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Portfolio or an Underlying Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Portfolio or an Underlying Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.

Investments in the Underlying Funds Risk — The investments of the Portfolios may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolios are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Portfolios have a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.

Large Shareholder Transactions Risk — A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not

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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS

 

Schedule of Investments (continued)

March 31, 2022 (Unaudited)

 

 

NOTES TO SCHEDULE OF INVESTMENTS (continued)

 

 

otherwise do so, which may negatively impact a Portfolio’s or an Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s or the Underlying Fund’s expense ratio. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.

Liquidity Risk — A Portfolio or an Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio or Underlying Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio or Underlying Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Portfolio or Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with a Portfolio investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s or Underlying Fund’s liquidity.

Market and Credit Risks — In the normal course of business, a Portfolio and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Portfolio and/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.