Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:04 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000018567
        C000059011
        C000059010
        C000051524
        C000202042
        C000051526
        C000161294
        C000051525
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Inflation Protected Securities Fund
      S000018567
      4OEORIROX7OTX3PIXA40
      2021-03-31
      2020-09-30
      N
    
    
      461749464.63
      1491910.52
      460257554.11
      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
      9311083.13000000
      
        
          USD
          
          
        
        
          CAD
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02352A SWAPTION MAY21 0.48 PUT
        000000000
        
          
        
        -5600000.00000000
        NC
        USD
        -26722.64000000
        -0.00580601877
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -26722.64000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5600000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            30215.36000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128284H0
        
          
        
        9490754.00000000
        PA
        USD
        9926617.07000000
        2.156752666275
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-04-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RL4
        
          
        
        18812052.00000000
        PA
        USD
        23900444.75000000
        5.192841385562
        Long
        DBT
        UST
        US
        N
        
        1
        
          2045-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828S50
        
          
        
        38690850.00000000
        PA
        USD
        41942105.58000000
        9.112746810012
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        11770000.00000000
        OU
        Notional Amount
        USD
        140715.06000000
        0.030573112541
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            20187.74000000
            USD
            0.00000000
            USD
            11770000.00000000
            USD
            120527.32000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR211261  IRS USD R V 12M USCP 1 CCPINFLATIONZERO / Short: BR211261  IRS USD P F  2.25125 2 CCPINFLATIONZERO
        000000000
        
          
        
        13700000.00000000
        OU
        Notional Amount
        USD
        -536606.40000000
        -0.11658828740
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-02-20
            80.45000000
            USD
            0.00000000
            USD
            13700000.00000000
            USD
            -536686.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128287D6
        
          
        
        8000804.00000000
        PA
        USD
        8947603.94000000
        1.944042821263
        Long
        DBT
        UST
        US
        N
        
        1
        
          2029-07-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SE9
        
          
        
        560000.00000000
        PA
        USD
        814800.00000000
        0.177031314907
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-11-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -2400000.00000000
        NC
        USD
        -0.24000000
        -0.00000005214
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    2400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.24000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2400000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            30479.76000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        2680000.00000000
        OU
        Notional Amount
        USD
        52006.47000000
        0.011299427795
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            96.48000000
            USD
            0.00000000
            USD
            2680000.00000000
            USD
            51909.99000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214480  IRS USD R F   .98000 2 CCPVANILLA / Short: SR214480  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        10910000.00000000
        OU
        Notional Amount
        USD
        -30013.41000000
        -0.00652100323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -15489.42000000
            USD
            10910000.00000000
            USD
            -14523.99000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        124.00000000
        NC
        USD
        41515.03000000
        0.009019956246
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            19773297.47000000
            USD
            41515.03000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828N71
        
          
        
        16081335.00000000
        PA
        USD
        17712722.27000000
        3.848437056997
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-01-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02353A SWAPTION MAY21 0.48 CALL
        000000000
        
          
        
        -5600000.00000000
        NC
        USD
        -44580.48000000
        -0.00968598551
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    5600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -44580.48000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5600000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            12357.52000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828V49
        
          
        
        6327396.00000000
        PA
        USD
        6959822.52000000
        1.512158237893
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-01-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -2400000.00000000
        NC
        USD
        -0.24000000
        -0.00000005214
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    2400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.24000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2400000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            21719.76000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810QF8
        
          
        
        14502697.00000000
        PA
        USD
        22198491.09000000
        4.823058501000
        Long
        DBT
        UST
        US
        N
        
        1
        
          2040-02-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        314.00000000
        NC
        USD
        44926.42000000
        0.009761147774
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            39519073.58000000
            USD
            44926.42000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        30700000.00000000
        OU
        Notional Amount
        USD
        18754.63000000
        0.004074811990
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            496.15000000
            USD
            0.00000000
            USD
            30700000.00000000
            USD
            18258.48000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214873  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214873  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1130000.00000000
        OU
        Notional Amount
        USD
        35590.14000000
        0.007732657439
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            36040.38000000
            USD
            0.00000000
            USD
            1130000.00000000
            USD
            -450.24000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128282L3
        
          
        
        11543427.00000000
        PA
        USD
        12824684.25000000
        2.786414722686
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-07-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        35.00000000
        NC
        USD
        -4433.10000000
        -0.00096317810
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            4886933.10000000
            USD
            -4433.10000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285M8
        
          
        
        6950000.00000000
        PA
        USD
        8370406.25000000
        1.818635278281
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        18521453.18000000
        NS
        USD
        18521453.18000000
        4.024149742814
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RF7
        
          
        
        19018620.50000000
        PA
        USD
        27005253.59000000
        5.867422131119
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828X39
        
          
        
        55370135.60000000
        PA
        USD
        56329737.70000000
        12.23874267722
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-04-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        -115.00000000
        NC
        USD
        20625.93000000
        0.004481388695
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            -20275000.93000000
            USD
            20625.93000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128285W6
        
          
        
        37344944.00000000
        PA
        USD
        43486889.55000000
        9.448381490248
        Long
        DBT
        UST
        US
        N
        
        1
        
          2029-01-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -39486.60000000
        -0.00857923995
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39486.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            8513.40000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        13.00000000
        NC
        USD
        -28322.11000000
        -0.00615353506
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            2906603.36000000
            USD
            -28322.11000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -3600000.00000000
        NC
        USD
        -12018.24000000
        -0.00261119885
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12018.24000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3600000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            27761.76000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128283R9
        
          
        
        12497856.00000000
        PA
        USD
        14014343.85000000
        3.044891653565
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-01-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR212589  IRS USD R V 12MUSCP 1 CCPINFLATIONZERO / Short: BR212589  IRS USD P F  2.00714 2 CCPINFLATIONZERO
        000000000
        
          
        
        6300000.00000000
        OU
        Notional Amount
        USD
        -160163.89000000
        -0.03479875312
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-02-07
            64.55000000
            USD
            0.00000000
            USD
            6300000.00000000
            USD
            -160228.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -6000000.00000000
        NC
        USD
        -23457.60000000
        -0.00509662465
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23457.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            3932.40000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214874  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214874  IRS USD P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        13260000.00000000
        OU
        Notional Amount
        USD
        -437304.19000000
        -0.09501293049
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-12-16
            0.00000000
            USD
            -439585.22000000
            USD
            13260000.00000000
            USD
            2281.03000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828ZZ6
        
          
        
        3031200.00000000
        PA
        USD
        3367280.30000000
        0.731607829123
        Long
        DBT
        UST
        US
        N
        
        1
        
          2030-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR212590  IRS USD R F  2.10250 2 CCPINFLATIONZERO / Short: SR212590  IRS USD P V 12MUSCP 1 CCPINFLATIONZERO
        000000000
        
          
        
        6300000.00000000
        OU
        Notional Amount
        USD
        226699.45000000
        0.049254911293
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2029-02-07
            79.98000000
            USD
            0.00000000
            USD
            6300000.00000000
            USD
            226619.47000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -8.00000000
        NC
        USD
        -276.11000000
        -0.00005999032
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            -1767286.39000000
            USD
            -276.11000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828ZJ2
        
          
        
        17952447.00000000
        PA
        USD
        19103295.26000000
        4.150566370809
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-04-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828YL8
        
          
        
        19992258.00000000
        PA
        USD
        21209703.54000000
        4.608224971128
        Long
        DBT
        UST
        US
        N
        
        1
        
          2024-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128286N5
        
          
        
        15407400.00000000
        PA
        USD
        16358608.81000000
        3.554229292690
        Long
        DBT
        UST
        US
        N
        
        1
        
          2024-04-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR211070  IRS USD R V 12M USCP 1 CCPINFLATIONZERO / Short: BR211070  IRS USD P F  2.10350 2 CCPINFLATIONZERO
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        -306666.70000000
        -0.06662936811
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-12-14
            80.45000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            -306747.15000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -4800000.00000000
        NC
        USD
        -33526.56000000
        -0.00728430412
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -33526.56000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4800000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            16849.44000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Y38
        
          
        
        18586860.30000000
        PA
        USD
        21404640.22000000
        4.650578796341
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-07-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SB5
        
          
        
        10505300.00000000
        PA
        USD
        14462275.99000000
        3.142213715093
        Long
        DBT
        UST
        US
        N
        
        1
        
          2048-02-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -3600000.00000000
        NC
        USD
        -30773.16000000
        -0.00668607385
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -30773.16000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3600000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            9006.84000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2680000.00000000
        OU
        Notional Amount
        USD
        -43434.76000000
        -0.00943705532
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            96.48000000
            USD
            0.00000000
            USD
            2680000.00000000
            USD
            -43531.24000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        6000000.00000000
        NC
        USD
        63718.80000000
        0.013844161694
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6000000.00000000
                    OU
                    Notional Amount
                    N/A
                    63718.80000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -8281.20000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828UH1
        
          
        
        32435337.00000000
        PA
        USD
        33422684.88000000
        7.261735213586
        Long
        DBT
        UST
        US
        N
        
        1
        
          2023-01-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        8899508.00000000
        PA
        USD
        9127107.40000000
        1.983043476092
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        310000.00000000
        PA
        USD
        350639.06000000
        0.076183227601
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -4800000.00000000
        NC
        USD
        -25296.00000000
        -0.00549605319
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -25296.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4800000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            25080.00000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  



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