NPORT-P false 0000822977 XXXXXXXX S000015787 C000043358 C000043360 C000058993 C000201770 C000043359 C000058992 C000161523 Goldman Sachs Trust 811-05349 0000822977 S2FHCT8U6D2VORP0J605 71 South Wacker Drive Chicago 60606 312-655-4400 Goldman Sachs Commodity Strategy Fund S000015787 KSLHF8U0UKNUMV03EB51 2020-12-31 2020-03-31 N 218564450.93 59830835.05 158733615.88 0.00000000 21959348.46000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 12944718.38000000 USD N FHLMC S6XOOCT0IEG5ABCC6L87 31292H4H4 5304.68370000 PA USD 5931.38000000 0.003736688014 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7A86 28999.06480000 PA USD 31284.17000000 0.019708597845 Long ABS-MBS USGSE US N 2 2025-11-01 Fixed 5.00000000 N N N N N N N/A N/A N/A -100.00000000 NC USD -90427.93000000 -0.05696835512 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 2 Year Note 2020-06-30 -22038281.20000000 USD -90427.93000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296MF38 929.96260000 PA USD 1029.25000000 0.000648413377 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138ELCH4 23600.87860000 PA USD 27558.34000000 0.017361376068 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296MGU7 1035.24820000 PA USD 1157.55000000 0.000729240617 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288JY67 5829.48450000 PA USD 6517.35000000 0.004105841074 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128K4H40 55116.57720000 PA USD 61489.08000000 0.038737276700 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B4PT7 194204.32000000 PA USD 231138.58000000 0.145614133917 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 6.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413QKA5 10541.53490000 PA USD 12335.64000000 0.007771283941 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296JQB5 1704.84120000 PA USD 1906.25000000 0.001200911344 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412AFH2 1249.28080000 PA USD 1449.97000000 0.000913461204 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312930J43 4103.11070000 PA USD 4558.95000000 0.002872075946 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296NV61 3458.03360000 PA USD 3866.57000000 0.002435886046 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31397KNW7 156733.79000000 PA USD 156551.43000000 0.098625252837 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 1.30462900 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411ELR6 145119.99920000 PA USD 169700.19000000 0.106908791221 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414UW79 796937.07290000 PA USD 897777.82000000 0.565587708074 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RG5 20000.00000000 PA USD 28428.13000000 0.017909331833 Long DBT UST US N 1 2044-05-15 Fixed 3.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407E4J9 104799.65580000 PA USD 122275.43000000 0.077031843143 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416ANN6 2256.09300000 PA USD 2635.65000000 0.001660423335 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413HL89 4163.48910000 PA USD 4874.01000000 0.003070559423 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296PBX9 8531.16700000 PA USD 9537.83000000 0.006008702030 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31415RL36 358.08370000 PA USD 419.51000000 0.000264285543 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128L6YE3 55487.21520000 PA USD 61173.47000000 0.038538446730 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296UXF3 3093.16230000 PA USD 3437.24000000 0.002165414037 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M9NT5 272622.55960000 PA USD 300507.32000000 0.189315488300 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828YD6 40000.00000000 PA USD 42118.75000000 0.026534234583 Long DBT UST US N 1 2026-08-31 Fixed 1.37500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296NDW4 1061.93290000 PA USD 1187.25000000 0.000747951209 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31283HZY4 426.94480000 PA USD 477.38000000 0.000300742849 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128KRY73 23572.10730000 PA USD 26194.24000000 0.016502011785 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7LA2 3149.75330000 PA USD 3521.25000000 0.002218339184 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414AG97 31371.39970000 PA USD 36870.50000000 0.023227909095 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136ABDT7 966333.07000000 PA USD 1219630.42000000 0.768350429893 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N N/A N/A N/A -105.00000000 NC USD -2061756.47000000 -1.29887828647 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury Ultra Bond 2020-06-19 -23346093.75000000 USD -2061756.47000000 N N N N/A N/A N/A 4000000.00000000 PA USD -138350.53000000 -0.08715893557 N/A DCO US N 2 Merrill Lynch International AHYI0DDQ2LCHPGHJC422 CIND_MLBXGSMC CIND_MLBXGSMC Natural Gas 10000.00000000 USD 16400.00000000 USD Kansas Wheat 5000.00000000 USD 24650.00000000 USD WTI 1000.00000000 USD 29790.00000000 USD Gold 100.00000000 USD 159660.00000000 USD Lead 25.00000000 USD 43575.00000000 USD Feeder Cattle 50000.00000000 USD 61450.00000000 USD Heating Oil 42000.00000000 USD 42063.00000000 USD Live Cattle 40000.00000000 USD 36830.00000000 USD Wheat 5000.00000000 USD 28437.50000000 USD WTI 1000.00000000 USD 20480.00000000 USD Corn 5000.00000000 USD 17037.50000000 USD Soybeans 5000.00000000 USD 44300.00000000 USD Brent 1000.00000000 USD 26350.00000000 USD Zinc 25.00000000 USD 47562.50000000 USD Nickel 6.00000000 USD 68787.00000000 USD Copper 25.00000000 USD 123662.50000000 USD Lean Hogs 40000.00000000 USD 24130.00000000 USD Coffee 37500.00000000 USD 44831.25000000 USD Silver 5000.00000000 USD 70780.00000000 USD Cotton 50000.00000000 USD 25565.00000000 USD Sugar 112000.00000000 USD 11670.40000000 USD Gasoil 100.00000000 USD 29475.00000000 USD Cocoa 10.00000000 USD 22490.00000000 USD Aluminum 25.00000000 USD 37856.25000000 USD Brent 1000.00000000 USD 34130.00000000 USD Gasoline RBOB 42000.00000000 USD 24893.40000000 USD Y 2020-08-13 0.00000000 USD 0.00000000 USD 4000000.00000000 USD -138350.53000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31410F5Y7 2000.51090000 PA USD 2337.08000000 0.001472328332 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296KES8 463.52030000 PA USD 518.28000000 0.000326509288 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N NCUA Guaranteed Notes Trust N/A 62889AAA1 178740.64000000 PA USD 177483.56000000 0.111812207525 Long ABS-O CORP US N 2 2020-12-07 Floating 1.07488100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296PKS0 1676.40360000 PA USD 1874.46000000 0.001180884080 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292HXB5 1153.93260000 PA USD 1290.26000000 0.000812846096 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402DGM6 7990.24200000 PA USD 9194.75000000 0.005792566337 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296NRM1 190.64170000 PA USD 213.16000000 0.000134287875 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 1700000.00000000 PA USD 3833.24000000 0.002414888603 N/A DCO US N 2 Merrill Lynch International AHYI0DDQ2LCHPGHJC422 CIND_MLBXGSMC CIND_MLBXGSMC Gasoil 100.00000000 USD 29475.00000000 USD Wheat 5000.00000000 USD 28437.50000000 USD Silver 5000.00000000 USD 70780.00000000 USD Lean Hogs 40000.00000000 USD 24130.00000000 USD Nickel 6.00000000 USD 68787.00000000 USD Corn 5000.00000000 USD 17037.50000000 USD Kansas Wheat 5000.00000000 USD 24650.00000000 USD WTI 1000.00000000 USD 20480.00000000 USD Heating Oil 42000.00000000 USD 42063.00000000 USD Brent 1000.00000000 USD 34130.00000000 USD Soybeans 5000.00000000 USD 44300.00000000 USD Zinc 25.00000000 USD 47562.50000000 USD Gold 100.00000000 USD 159660.00000000 USD Cotton 50000.00000000 USD 25565.00000000 USD WTI 1000.00000000 USD 29790.00000000 USD Aluminum 25.00000000 USD 37856.25000000 USD Feeder Cattle 50000.00000000 USD 61450.00000000 USD Copper 25.00000000 USD 123662.50000000 USD Sugar 112000.00000000 USD 11670.40000000 USD Lead 25.00000000 USD 43575.00000000 USD Natural Gas 10000.00000000 USD 16400.00000000 USD Live Cattle 40000.00000000 USD 36830.00000000 USD Cocoa 10.00000000 USD 22490.00000000 USD Brent 1000.00000000 USD 26350.00000000 USD Gasoline RBOB 42000.00000000 USD 24893.40000000 USD Coffee 37500.00000000 USD 44831.25000000 USD Y 2020-08-13 0.00000000 USD 0.00000000 USD 1700000.00000000 USD 3833.24000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 312929MQ2 114671.78980000 PA USD 126312.14000000 0.079574915054 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414FUQ2 320.21540000 PA USD 376.22000000 0.000237013437 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292HX33 17249.34980000 PA USD 19287.21000000 0.012150677657 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 91757042.77000000 PA USD -24858248.84000000 -15.6603556859 N/A DCO US N 2 Merrill Lynch International AHYI0DDQ2LCHPGHJC422 CIND_MLBXGSMC CIND_MLBXGSMC Copper 25.00000000 USD 123662.50000000 USD Kansas Wheat 5000.00000000 USD 24650.00000000 USD Lean Hogs 40000.00000000 USD 24130.00000000 USD Aluminum 25.00000000 USD 37856.25000000 USD Cotton 50000.00000000 USD 25565.00000000 USD Brent 1000.00000000 USD 34130.00000000 USD Natural Gas 10000.00000000 USD 16400.00000000 USD Heating Oil 42000.00000000 USD 42063.00000000 USD Soybeans 5000.00000000 USD 44300.00000000 USD Gold 100.00000000 USD 159660.00000000 USD Corn 5000.00000000 USD 17037.50000000 USD Live Cattle 40000.00000000 USD 36830.00000000 USD Cocoa 10.00000000 USD 22490.00000000 USD Sugar 112000.00000000 USD 11670.40000000 USD Wheat 5000.00000000 USD 28437.50000000 USD Gasoline RBOB 42000.00000000 USD 24893.40000000 USD Silver 5000.00000000 USD 70780.00000000 USD Brent 1000.00000000 USD 26350.00000000 USD Gasoil 100.00000000 USD 29475.00000000 USD WTI 1000.00000000 USD 20480.00000000 USD WTI 1000.00000000 USD 29790.00000000 USD Coffee 37500.00000000 USD 44831.25000000 USD Feeder Cattle 50000.00000000 USD 61450.00000000 USD Nickel 6.00000000 USD 68787.00000000 USD Lead 25.00000000 USD 43575.00000000 USD Zinc 25.00000000 USD 47562.50000000 USD Y 2020-08-13 0.00000000 USD 0.00000000 USD 91757042.77000000 USD -24858248.84000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31416B6S2 2039.37860000 PA USD 2388.39000000 0.001504652928 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312933JV7 1890.07700000 PA USD 2113.10000000 0.001331224005 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411NJT5 962.99560000 PA USD 1126.88000000 0.000709918937 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828XZ8 900000.00000000 PA USD 1008000.00000000 0.635026169102 Long DBT UST US N 1 2025-06-30 Fixed 2.75000000 N N N N N N NCUA Guaranteed Notes Trust N/A 62888VAA6 140097.02000000 PA USD 138985.99000000 0.087559266655 Long ABS-MBS USGSE US N 2 2020-10-07 Floating 1.46625100 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128P7K36 23731.37710000 PA USD 25839.18000000 0.016278328857 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296TGJ7 3803.81520000 PA USD 4226.40000000 0.002662574009 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EQ3N0 204688.19410000 PA USD 239011.33000000 0.150573858394 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7PB6 40895.34360000 PA USD 45038.65000000 0.028373731518 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 5.00000000 N N N N N N GMACM Home Equity Loan Trust N/A 36186MAC5 55502.68000000 PA USD 53198.77000000 0.033514495152 Long ABS-O CORP US N 2 2037-09-25 Variable 6.99999800 N N N N N N N/A N/A N/A 21.00000000 NC USD 267255.49000000 0.168367291652 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury Long Bond 2020-06-19 3772125.00000000 USD 267255.49000000 N N N United States of America 254900HROIFWPRGM1V77 912828ZC7 700000.00000000 PA USD 726085.94000000 0.457424179481 Long DBT UST US N 1 2025-02-28 Fixed 1.12500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407Y7B9 186019.39420000 PA USD 216969.43000000 0.136687763834 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QY7 1100000.00000000 PA USD 1410750.00000000 0.888753142917 Long DBT UST US N 1 2042-11-15 Fixed 2.75000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B66C0 993541.27000000 PA USD 1204617.82000000 0.758892697883 Long ABS-MBS USGSE US N 2 2043-11-15 Fixed 6.50000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M5CH1 72902.53700000 PA USD 81501.09000000 0.051344568413 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128MJH94 189862.72840000 PA USD 209135.72000000 0.131752634021 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M6JM1 136467.53960000 PA USD 150320.38000000 0.094699776834 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296LQG9 985.32620000 PA USD 1094.60000000 0.000689582980 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410WS82 2654.79040000 PA USD 3101.36000000 0.001953814245 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EHGD8 2389.98470000 PA USD 2798.88000000 0.001763255996 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 61350500.07000000 PA USD -18081386.69000000 -11.3910255176 N/A DCO AU N 2 Macquarie Bank 4ZHCHI4KYZG2WVRT8631 S&P GSCI Official Close Excess Return Index S&P GSCI Official Close Excess Return Index Y 2020-04-16 0.00000000 USD 0.00000000 USD 61350500.07000000 USD -18081386.69000000 N N N Goldman Sachs Access Treasury 0-1 Year ETF 549300Q2J4ZAD8E71F28 381430529 200000.00000000 NS USD 20154000.00000000 12.69674346436 Long RF US N 1 N N N FNMA B1V7KEBTPIMZEU4LTD58 3138EKWH4 99229.41600000 PA USD 116232.29000000 0.073224747861 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31292HXN9 17681.38600000 PA USD 19770.28000000 0.012455005129 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296LST9 570.25180000 PA USD 637.62000000 0.000401691851 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31407HTD8 280561.56410000 PA USD 326533.62000000 0.205711700190 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6.00000000 N N N N N N N/A N/A N/A -123.00000000 NC USD -435680.46000000 -0.27447271177 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 5 Year Note 2020-06-30 -15426890.63000000 USD -435680.46000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296XLG8 956.71970000 PA USD 1063.01000000 0.000669681714 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137A7NU0 5171627.74000000 PA USD 5225061.51000000 3.291717057557 Long ABS-MBS USGSE US N 2 2020-11-25 Variable 4.08399800 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413QRP5 2567.57000000 PA USD 3016.21000000 0.001900170914 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 6.00000000 N N N N N N GMACM Home Equity Loan Trust N/A 36186MAA9 1662.21000000 PA USD 1636.44000000 0.001030934746 Long ABS-O CORP US N 2 2037-09-25 Variable 6.99999800 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7HT6 168088.46360000 PA USD 185118.32000000 0.116622001567 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M6UY2 18199.57310000 PA USD 20346.14000000 0.012817789027 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296USS1 3626.02700000 PA USD 4028.86000000 0.002538126519 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31409JVL1 573.77340000 PA USD 670.52000000 0.000422418399 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810QT8 900000.00000000 PA USD 1219500.00000000 0.768268267083 Long DBT UST US N 1 2041-11-15 Fixed 3.12500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296TQ72 954.40480000 PA USD 1067.16000000 0.000672296157 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828S76 6620000.00000000 PA USD 6696026.60000000 4.218404880956 Long DBT UST US N 1 2021-07-31 Fixed 1.12500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288EK97 10686.14840000 PA USD 11947.81000000 0.007526956362 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288GH39 414.12550000 PA USD 463.05000000 0.000291715146 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414LHR2 1891.28510000 PA USD 2178.08000000 0.001372160514 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413A3U5 29397.98530000 PA USD 34372.77000000 0.021654373466 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1600000.00000000 PA USD 0.04000000 0.000000025199 N/A DIR US N 2 JPM Chase 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Swaption 1.00000000 1.77000000 USD 2020-04-08 XXXX -19425.29000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31403DA41 135630.38460000 PA USD 157494.56000000 0.099219411796 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402CVV1 4284.05950000 PA USD 4913.89000000 0.003095683275 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128KLZG5 19934.60110000 PA USD 21977.47000000 0.013845504544 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31415BPD5 537.42460000 PA USD 600.07000000 0.000378035866 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31394PP72 357549.56700000 PA USD 406711.20000000 0.256222475463 Long ABS-MBS USGSE US N 2 2034-02-15 Fixed 5.00000000 N N N N N N Goldman Sachs Financial Square Funds - Government Fund 549300BRJMXN4GUWZ402 38141W273 34163079.28000000 NS USD 34163079.28000000 21.52227119038 Long STIV RF US N 1 N N N FNMA B1V7KEBTPIMZEU4LTD58 31412SZE8 2052.41280000 PA USD 2407.20000000 0.001516502970 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 54948420.68000000 PA USD -16194066.62000000 -10.2020397697 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 S&P GSCI Official Close Excess Return Index S&P GSCI Official Close Excess Return Index Y 2020-04-08 0.00000000 USD 0.00000000 USD 54948420.68000000 USD -16194066.62000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128LC4Y9 60642.25790000 PA USD 66848.12000000 0.042113398368 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128L5AG6 47592.49630000 PA USD 52469.71000000 0.033055197356 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296XES0 3022.60650000 PA USD 3358.84000000 0.002116023112 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RD2 1990000.00000000 PA USD 2973184.38000000 1.873065363953 Long DBT UST US N 1 2043-11-15 Fixed 3.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31402DF70 7763.31220000 PA USD 8949.60000000 0.005638125201 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296LK75 5063.50560000 PA USD 5661.71000000 0.003566799614 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N N/A N/A N/A -2400000.00000000 PA USD 0.00000000 0.000000 N/A DIR US N 2 JPM Chase 7H6GLXDRUGQFU57RNE97 Put Written N/A Swaption 1.00000000 2.02000000 USD 2020-04-08 XXXX 9665.33000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128LXB90 3639.68850000 PA USD 4069.69000000 0.002563848859 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285P1 90000.00000000 PA USD 98282.81000000 0.061916821748 Long DBT UST US N 1 2023-11-30 Fixed 2.87500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296TXJ8 1189.05120000 PA USD 1329.36000000 0.000837478559 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RX8 4780000.00000000 PA USD 6565778.13000000 4.136350132012 Long DBT UST US N 1 2047-05-15 Fixed 3.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128LXBF6 1282691.90600000 PA USD 1425376.83000000 0.897967845120 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296XB38 1459.30020000 PA USD 1621.63000000 0.001021604649 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828V72 4610000.00000000 PA USD 4743798.06000000 2.988527687535 Long DBT UST US N 1 2022-01-31 Fixed 1.87500000 N N N N N N N/A N/A N/A -19.00000000 NC USD -30316.40000000 -0.01909891602 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 10 Year Ultra Note 2020-06-19 -2968156.25000000 USD -30316.40000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31415XER8 7698.69380000 PA USD 9030.75000000 0.005689248587 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414AVP4 20797.42590000 PA USD 24370.01000000 0.015352771915 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31412ANS9 89476.67610000 PA USD 104866.22000000 0.066064279717 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31297CWV8 240402.05690000 PA USD 268769.01000000 0.169320788485 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31403DGG8 1.05000000 PA USD 1.05000000 0.000000661485 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 5.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413LLL1 54596.59880000 PA USD 63629.64000000 0.040085800129 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296YUA9 418.80700000 PA USD 465.39000000 0.000293189314 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296XPM1 8949.33320000 PA USD 9944.85000000 0.006265119045 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SE9 420000.00000000 PA USD 621993.75000000 0.391847528043 Long DBT UST US N 1 2048-11-15 Fixed 3.37500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410X6R2 6633.20100000 PA USD 7749.79000000 0.004882261364 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 4067.87000000 0.002562702284 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long N/A 3 Month Eurodollar 2020-12-14 249150.00000000 USD 4067.87000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31417KUM7 8226.47000000 PA USD 8937.59000000 0.005630559066 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 4.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410WSJ8 23587.86320000 PA USD 27582.81000000 0.017376791832 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410MTC4 3170.20610000 PA USD 3684.76000000 0.002321348240 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31288H6W5 689.79330000 PA USD 771.29000000 0.000485902117 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 312930J76 2991.83310000 PA USD 3344.86000000 0.002107215904 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31376KS31 65420.56620000 PA USD 76109.70000000 0.047948066688 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128M7A97 298348.45300000 PA USD 328922.82000000 0.207216863407 Long ABS-MBS USGSE US N 2 2038-12-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31283HZN8 13527.35220000 PA USD 15125.49000000 0.009528851161 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413D7A9 37210.27600000 PA USD 42505.26000000 0.026777730579 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128284L1 200000.00000000 PA USD 214875.00000000 0.135368301672 Long DBT UST US N 1 2023-04-30 Fixed 2.75000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416BMS4 50471.92260000 PA USD 59198.04000000 0.037293952936 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31414H5C7 262476.10240000 PA USD 306834.17000000 0.193301316988 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128L8KE4 83958.32830000 PA USD 92480.95000000 0.058261729556 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 9100000.00000000 PA USD -9276.26000000 -0.00584391651 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2024-07-25 229.25000000 USD 0.00000000 USD 9100000.00000000 USD -9276.26000000 N N N FNMA B1V7KEBTPIMZEU4LTD58 31416WMD1 25443.29750000 PA USD 27699.52000000 0.017450317531 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912828W55 20000.00000000 PA USD 20609.38000000 0.012983626616 Long DBT UST US N 1 2022-02-28 Fixed 1.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413CZK8 31820.93830000 PA USD 37324.92000000 0.023514187459 Long ABS-MBS USGSE US N 2 2037-09-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31411GSQ6 1267.95080000 PA USD 1484.66000000 0.000935315428 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31413FJ29 55177.89320000 PA USD 64675.41000000 0.040744620880 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31297BBH4 5923.91610000 PA USD 6582.88000000 0.004147124075 Long ABS-MBS USGSE US N 2 2034-06-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810RU4 6600000.00000000 PA USD 8849156.25000000 5.574847017086 Long DBT UST US N 1 2046-11-15 Fixed 2.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31415VDT9 216.59720000 PA USD 253.80000000 0.000159890517 Long ABS-MBS USGSE US N 2 2038-09-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SL3 160000.00000000 PA USD 185825.00000000 0.117067200271 Long DBT UST US N 1 2050-02-15 Fixed 2.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416VJ62 6268.88030000 PA USD 7291.12000000 0.004593305557 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3128L7L96 8945.89960000 PA USD 9854.00000000 0.006207884791 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296XSF3 518.46540000 PA USD 576.14000000 0.000362960294 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 3137B6ZM6 13934598.70000000 PA USD 13951292.35000000 8.789122753019 Long ABS-MBS USGSE US N 2 2020-10-25 Variable 3.03400100 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3136A9EA2 257373.07000000 PA USD 317597.08000000 0.200081802609 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 7.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128285T3 2490000.00000000 PA USD 2793468.75000000 1.759846982955 Long DBT UST US N 1 2025-12-31 Fixed 2.62500000 N N N N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296RH27 424.50720000 PA USD 474.66000000 0.000299029287 Long ABS-MBS USGSE US N 2 2033-12-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31416VJ39 1654.40810000 PA USD 1927.36000000 0.001214210354 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 9128284R8 5960000.00000000 PA USD 6702671.90000000 4.222591328775 Long DBT UST US N 1 2025-05-31 Fixed 2.87500000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 3138ANZG1 98073.77000000 PA USD 107452.41000000 0.067693543931 Long ABS-MBS USGSE US N 2 2041-08-01 Fixed 4.50000000 N N N N N N N/A N/A N/A -19.00000000 NC USD -51628.91000000 -0.03252550489 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 10 Year Note 2020-06-19 -2638328.13000000 USD -51628.91000000 N N N FHLMC S6XOOCT0IEG5ABCC6L87 31296UCR0 584.01020000 PA USD 648.97000000 0.000408842195 Long ABS-MBS USGSE US N 2 2034-02-01 Fixed 5.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31410KHE7 36514.78460000 PA USD 42669.97000000 0.026881495619 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 6.00000000 N N N N N N 2020-04-30 Goldman Sachs Trust Peter Fortner Peter Fortner Assistant Treasurer XXXX