SICAV_Semi-Annual_09_ENG 6/24/09 5:29 AM Page 1 checksum = 519419148

Goldman Sachs Funds Semi-Annual Report Unaudited Financial Statements

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SICAVSAENG

Goldman Sachs Funds Table of Contents

Page Directors and Other Information 1 Investment Advisor’s Report 2 Schedules of Investments 6

GOLDMAN SACHS FUNDS—EQUITY PORTFOLIOS

Goldman Sachs Funds—Regional Equity Portfolios Goldman Sachs Funds—Asia Portfolio 6 Goldman Sachs Funds—BRICsSM Portfolio 9 Goldman Sachs Funds—Europe Equity Target Alpha Portfolio 11 Goldman Sachs Funds—Europe Portfolio 13 Goldman Sachs Funds—Global Emerging Markets Concentrated Equity Portfolio 15 Goldman Sachs Funds—Global Emerging Markets Equity Portfolio 17 Goldman Sachs Funds—Global Equity Portfolio 20 Goldman Sachs Funds—Global Equity Partners Portfolio 23 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio 25 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio II 27 Goldman Sachs Funds—India Equity Portfolio 29 Goldman Sachs Funds—Japan Portfolio 31 Goldman Sachs Funds—Japan Small Cap Portfolio 33 Goldman Sachs Funds—Sustain Portfolio 35 Goldman Sachs Funds—US Equity Portfolio 37 Goldman Sachs Funds—US Growth Equity Portfolio 39 Goldman Sachs Funds—US Value Equity Portfolio 41

Goldman Sachs Funds—Regional CORE Equity Portfolios Goldman Sachs Funds—Europe CORESM Equity Portfolio 43 Goldman Sachs Funds—Global CORESM Equity Portfolio 46 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio 51 Goldman Sachs Funds—Japan CORESM Equity Portfolio 62 Goldman Sachs Funds—US CORESM Equity Portfolio 65 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio 69

GOLDMAN SACHS FUNDS—FIXED INCOME PORTFOLIOS

Goldman Sachs Funds—Euro Fixed Income Portfolio 75 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) 81 Goldman Sachs Funds—Global Credit Portfolio (Hedged) 88 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio 97 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio 101 Goldman Sachs Funds—Global Fixed Income Portfolio 107 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) 120 Goldman Sachs Funds—Global High Yield Portfolio 129 Goldman Sachs Funds—Specialised Fixed Income Portfolio 143 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio 147 Goldman Sachs Funds—Sterling Credit Portfolio 156 Goldman Sachs Funds—US Fixed Income Portfolio 163 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio 177 Goldman Sachs Funds Table of Contents

Page GOLDMAN SACHS FUNDS—SPECIALIST PORTFOLIOS

Goldman Sachs Funds—Commodities Enhanced Index Portfolio 197 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio 200 Goldman Sachs Funds—Europe CORESM Flex Portfolio 207 Goldman Sachs Funds—Global Currency Portfolio 211 Goldman Sachs Funds—Global Currency Plus Portfolio 215 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) 220 Goldman Sachs Funds—Global Libor Plus I Portfolio 231 Goldman Sachs Funds—Global Libor Plus II Portfolio 245 Goldman Sachs Funds—Japan CORESM Flex Portfolio 258 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio 261 Goldman Sachs Funds—US CORESM Flex Portfolio 270 Statements of Assets and Liabilities 273 Statements of Operations 278 Statements of Changes in Shareholders’ Equity 284 Statistical Information 291 Notes to the Financial Statements 299 Appendix I 344 Appendix II 353 Additional Information 357 Goldman Sachs Funds SICAV Directors and Other Information

GOLDMAN SACHS FUNDS SICAV Goldman Sachs (Asia) L.L.C.3 Paying and information Agent in Italy Société d’Investissement à 68th Floor Cheung Kong Center, Societe Generale Securities Services Capital Variable 2 Queen’s Road S.p.A. (SGSS S.p.A.)—formerly An undertaking for collective investment Central, Hong Kong 2S Banca organised under the laws of the Grand Legal Advisors to the Fund and the Maciachini Center—MAC 2 Duchy of Luxembourg Investment Adviser Via Benigno Crespi, 19/A Board of Directors Arendt & Medernach 20159 Milan, Italy Frank Ennis (Irish)1 14, rue Erasme AllFunds Bank S.A. Filiale di Milano John Perlowski (US) L-2010 Luxembourg Via Santa Margherita 7 1 Eugene Regan (Irish) Shareholder Services Agent 20121 Milan, Italy David Shubotham (Irish)1 European Shareholder Services Banca Popolare Commercio e Industria Alan Shuch (US) Goldman Sachs International3 S.p.A. Theodore Sotir (US/UK) Peterborough Court Via Moscova 33 Alison Bott (UK)2 133 Fleet Street 20121 Milan, Italy Custodian, Domiciliary Agent, London, EC4A 2BB Intesa Sanpaolo S.p.A.—formerly Banca Administrator, Listing Agent and Registered Office Intesa Luxembourg Paying Agent c/o State Street Bank Luxembourg S.A. Piazza San Carlo 156 State Street Bank Luxembourg S.A. 49, avenue J-F. Kennedy 10100 Torino, Italy 49, avenue J.F. Kennedy L-1855 Luxembourg BNP Paribas Securities Services— L-1855 Luxembourg R.C. B41 751 Succursale di Milano Distributor 3 Registrar and Transfer Agent Via Ansperto 5 Goldman Sachs International RBC Dexia Investor Services Bank S.A. 20121 Milan, Italy Peterborough Court 14, Rue Porte de France 133 Fleet Street Paying Agent in Spain L-4360 Esch-sur Alzette Bankinter S.A. London EC4A 2BB Luxembourg Gespayment Independent Auditor Paying Agents: Seccion Oficio, no 28760 PricewaterhouseCoopers S.à r.l. Paying and information Agent in Tres Cantos Réviseur d’entreprises Madrid, Spain 400, route d’Esch Austria L-1471 Luxembourg Raiffeisen Zentralbank O¨ sterreich Paying Agent in Switzerland Aktiengesellschaft Clariden Leu AG Investment Advisor Am Stadpark 9 Bahnhofstrasse 32 Goldman Sachs Asset Management 1030 Vienna, Austria 8001 Zurich, Switzerland International3 Peterborough Court Paying and information Agent in Representative and Local Distributor 133 Fleet Street Belgium in Switzerland London, EC4A 2BB State Street Bank Europe Ltd Brussels Goldman Sachs Bank AG3 1789 Chaussée de Wavre Mu¨nsterhof 4 Sub-Advisors: 1160 Brussels, Belgium 8001 Zurich, Switzerland Goldman Sachs Asset Management, L.P.3 Paying Agent in France The Fund’s simplified Prospectus, 85 Broad Street State Street Banque S.A. Articles of Incorporation, Annual Report New York, 10004 21 Rue Balzac and Semi- Annual Report are available New York, US 75008 Paris, France free of charge at the offices of the local 3 Paying and information Agent in Paying Agents and Swiss Goldman Sachs (Singapore) Pte. Representative. 50 Raffles Place Germany #29-01 Shell Tower State Street Bank GmbH For Swiss Investors, the list of all Singapore 048623 Brienner Strasse 59 transactions carried out by the 80333 Munich, Germany Investment Advisor during this financial Goldman Sachs Asset Management period shall be available free of charge Co., Ltd.3 Paying Agent in Greece at the offices of Goldman Sachs Bank Roppongi Hills Mori Tower Piraeus Bank S.A. AG in Zurich. 10-1 Roppongi 6-chome 4 Amerikis Street Minato-Ku, Tokyo 106 6144, Japan 10564 Athens, Greece For German Investors, the list of all Transactions carried out by the Goldman Sachs JBWere Asset Investment Advisors during this financial Management Pty Ltd Period shall be available free of charge Level 17, 101 Collins Street at the offices of the Paying and Melbourne VIC 3000, Australia Information Agent in Germany.

1 Independent directors 2 Alison Bott resigned from her position as member of the board of directors of Goldman Sachs Funds SICAV as of 22 December 2008 and has not been replaced. 3 Related party to Goldman Sachs Funds SICAV

1 Goldman Sachs Funds Investment Advisor’s Report For the period ended 31 May 2009

Dear Shareholders:

We are pleased to present the following report on the performance of the Goldman Sachs Funds SICAV for the period ended 31 May 2009.

A Severe Global Recession The US economy was extremely weak during the six-month reporting period. After declining 0.5% in the third quarter of 2008, US gross domestic product (“GDP”) contracted 6.3% and 5.7% during the fourth quarter of 2008 and first quarter of 2009, respectively. This marked the first time in 34 years that the US economy posted three consecutive quarters of negative GDP growth. Economic weakness wasn’t limited to the US, as economic growth in both developed and emerging countries declined as well. The Eurozone economy contracted 2.5% in the first quarter of 2009 and 4.8% versus a year ago—both record highs since the region’s inception in 1995. Japan is mired in its worst recession since World War II, as its economy contracted an all-time high 14.2% during the first quarter. Japan’s economy shrank as exports fell sharply and both business and consumer spending weakened.

Equities Generate Positive Results Following a lengthy period of producing weak results, the global equity markets rallied during the six months covered by this report. After falling sharply during the first half of the reporting period, US stocks (as measured by the return of the S&P 500 Index) then rose sharply from March through May 2009. This trend occurred outside the US as well, with both developed and emerging countries outperforming their US counterparts. All told, during the six-months ended 31 May 2009, the S&P 500 Index returned 4.05%, the MSCI EAFE Index gained 15.57% and MSCI EM Index increased 54.45%.1

Gains in the Fixed Income Markets The global fixed income markets experienced periods of heightened volatility during the reporting period given changing perceptions regarding the global economy, central banks’ stimulus programs and the potential for future inflation. In the US, risk aversion triggered by the turmoil in the financial markets gave way to increased risk appetites, as investors were drawn to the higher yields offered by non-Treasury securities. In particular, high yield bonds and emerging market debt generated very strong returns as the reporting period progressed. Looking at the six month period as a whole, the U.S. fixed income market, as measured by the Barclays Capital Aggregate Bond Index, returned 5.10% and the JP Morgan Global Government Bond Index gained 0.62%, respectively.1 Goldman Sachs Asset Management International Date: June 2009

1All returns in US dollar terms. Figures to 31 May 2009.

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions. It also refers to specific securities which pertains to past performance or is the basis for previously made discretionary investment decisions. It should not be construed as research or investment advice, or recommendation to buy or sell investments in the strategy or any other investments mentioned in this report or to follow any investment strategy. Please see additional disclosures.

Past performance is not indicative of future results, which may vary.

2 Goldman Sachs Funds Investment Advisor’s Report For the period ended 31 May 2009

Performance Overview (as at 31-May-09)

Performance is calculated in the relevant Portfolio’s base currency.

6 Months Currency Launch Date cumulated (%)

Goldman Sachs Funds – Equity Portfolios

Goldman Sachs Funds – Asia Portfolio USD 31-May-94 47.73 MSCI AC Asia Free ex-Japan Index USD 49.80

Goldman Sachs Funds – BRICsSM Portfolio USD 17-Jan-06 57.27 MSCI BRIC 5-25 IMI Index USD 63.13

Goldman Sachs Funds – Europe Equity Target Alpha Portfolio EUR 30-Dec-03 (0.05) MSCI Europe Index EUR 3.61

Goldman Sachs Funds – Europe Portfolio EUR 30-Sep-96 1.98 MSCI Europe Index EUR 3.61

Goldman Sachs Funds – Global Emerging Markets Concentrated Portfolio USD 29-Jun-07 49.24 MSCI EMF Index USD 48.62

Goldman Sachs Funds – Global Emerging Markets Equity Portfolio USD 15-Dec-97 49.03 MSCI EM IMI Free Index USD 51.45

Goldman Sachs Funds – Global Equity Portfolio USD 4-Dec-92 7.89 MSCI AC World Index USD 14.21

Goldman Sachs Funds – Global Equity Partners Portfolio USD 23-Feb-06 1.01 MSCI World Index USD 10.26

Goldman Sachs Funds – GMS Alpha+ World Equity Portfolio USD 30-Jul-04 29.80 MSCI World Index USD 10.26

Goldman Sachs Funds – GMS Alpha+ World Equity Portfolio II USD 15-Mar-06 12.20 MSCI World Index USD 10.26

Goldman Sachs Funds – India Equity Portfolio USD 26-Mar-08 90.27 MSCI India Index USD 89.25

Goldman Sachs Funds – Japan Portfolio JPY 30-Apr-96 6.24 Topix JPY 9.01

Goldman Sachs Funds – Japan Small Cap Portfolio JPY 3-Sep-97 5.20 Russell/Nomura Small Cap Index JPY 9.92

Goldman Sachs Funds – Sustain Portfolio USD 16-Sep-08 12.22 MSCI World Index USD 10.26

Goldman Sachs Funds – US Equity Portfolio USD 3-Feb-06 11.83 S&P 500 Index USD 4.05

Goldman Sachs Funds – US Growth Equity Portfolio USD 15-Nov-99 19.37 S&P 500 Index USD 4.05 Russell 1000 Growth Index (USD) USD 11.95

Goldman Sachs Funds – US Value Equity Portfolio USD 1-Feb-06 2.58 Russell 1000 Value Index USD (0.79)

Regional CORE Equity Portfolios

Goldman Sachs Funds – Europe CORESM Equity Portfolio EUR 1-Oct-99 4.67 MSCI Europe Index(2) EUR 3.00

Goldman Sachs Funds – Global CORESM Equity Portfolio USD 14-Oct-04 8.57 MSCI World Index USD 10.26

Past performance is not indicative of future results, which may vary.

3 Goldman Sachs Funds Investment Advisor’s Report For the period ended 31 May 2009

6 Months Currency Launch Date cumulated (%)

Regional CORE Equity Portfolios – (continued)

Goldman Sachs Funds – Global Small Cap CORESM Equity Portfolio USD 03-Aug-06 16.10 S&P-Citigroup Developed Small Cap Index USD 18.11

Goldman Sachs Funds – Japan CORESM Equity Portfolio JPY 8-Dec-05 12.12 MSCI Japan Index JPY 12.05

Goldman Sachs Funds – US CORESM Equity Portfolio USD 19-Nov-96 0.95 S&P 500 Index – Net(3) USD 3.60

Goldman Sachs Funds – US Small Cap CORESM Equity Portfolio USD 5-Dec-05 5.45 Russell 2000 Index USD 7.02

Fixed Income Portfolios

Goldman Sachs Funds – Euro Fixed Income Portfolio EUR 15-Mar-99 (1.43) Barclays Capital Euro Aggregate Index EUR 2.43

Goldman Sachs Funds – Global Corporate Portfolio (Hedged) NOK 31-Dec-07 10.99 Barclays Capital Global Aggregate Index – NOK Hedged NOK 9.13

Goldman Sachs Funds – Global Credit Portfolio (Hedged) USD 26-Jan-06 4.62 Barclays Capital Global Aggregate Credit Bond Index USD 7.13

Goldman Sachs Funds – Global Emerging Markets Debt Local Portfolio USD 29-Jun-07 18.44 JP Morgan GBI – EM – Global Diversified Index USD 16.03

Goldman Sachs Funds – Global Emerging Markets Debt Portfolio USD 3-May-00 28.07 JP Morgan Emerging Markets Bond Index – Global Diversified USD 22.57

Goldman Sachs Funds – Global Fixed Income Portfolio USD 26-Feb-93 7.92 Barclays Capital Global Aggregate Index USD 7.38

Goldman Sachs Funds – Global Fixed Income Portfolio (Hedged) EUR 17-Dec-01 4.26 Barclays Capital Global Aggregate Index(4) EUR 3.09

Goldman Sachs Funds – Global High Yield Portfolio USD 27-Jan-98 28.72 Barclays Capital US High Yield 2% Issuer Capped Bond Index USD 36.14

Goldman Sachs Funds – Specialised Fixed Income Portfolio EUR 07-Nov-07 1.80 JP Morgan EMU I-I0yr GBI EUR 2.80

Goldman Sachs Funds – Sterling Broad Fixed Income Portfolio GBP 10-Dec-01 (0.58) Merrill Lynch Sterling Broad Market Index GBP 1.86

Goldman Sachs Funds – Sterling Credit Portfolio(1) GBP 18-Dec-08 0.03 iBoxx Sterling Non Gilts Index GBP 1.40

Goldman Sachs Funds – US Fixed Income Portfolio USD 27-Jul-98 7.39 Barclays Capital US Aggregate Index USD 4.14

Goldman Sachs Funds – US Mortgage Backed Securities Portfolio USD 30-Sep-02 6.74 Barclays Capital US Securitized Index USD 5.03

Specialist Portfolios

Goldman Sachs Funds – Commodities Enhanced Index Portfolio USD 9-Dec-05 4.23 Dow Jones – UBS Commodity Index USD 9-Dec-05 1.87

Goldman Sachs Funds – Euro Fixed Income Plus Portfolio EUR 24-Jan-06 3.84 Barclays Capital Euro Aggregate Bond Index EUR 2.43

Goldman Sachs Funds – Europe CORESM Flex Portfolio EUR 31-Aug-06 (1.29) MSCI Europe Index – Net EUR 3.00

Past performance is not indicative of future results, which may vary.

4 Goldman Sachs Funds Investment Advisor’s Report For the period ended 31 May 2009

6 Months Currency Launch Date cumulated (%)

Specialist Portfolios – (continued)

Goldman Sachs Funds – Global Currency Portfolio USD 6-Dec-05 (2.33) 3 Months USD LIBOR Index USD 0.63

Goldman Sachs Funds – Global Currency Plus Portfolio USD 02-Sep-08 1.02 Overnight US LIBOR Index USD 0.13

Goldman Sachs Funds – Global Fixed Income Plus Portfolio (Hedged) EUR 25-Jan-06 6.08 Barclays Capital Global Aggregate Index(4) EUR 3.09

Goldman Sachs Funds – Global Libor Plus I Portfolio USD 28-Jun-06 4.16 3 Months USD LIBOR Index USD 0.63

Goldman Sachs Funds – Global Libor Plus II Portfolio USD 28-Jun-06 8.68 3 Months USD LIBOR Index USD 0.63

Goldman Sachs Funds – Japan CORESM Flex Portfolio JPY 27-Feb-07 10.06 Topix – Leading JPY 11.18

Goldman Sachs Funds – Sterling Broad Fixed Income Plus Portfolio GBP 23-Jan-06 3.74 Merrill Lynch Sterling Broad Market Index GBP 1.86

Goldman Sachs Funds – US CORESM Flex Portfolio USD 31-Aug-06 0.32 S&P 500 Index – Net USD 3.60

All index returns are shown with income re-invested, except MSCI AC Asia Free ex-Japan Index (without income re- invested), and in contrast to the Portfolios without the deduction of any fees or expenses. Returns of the Portfolios are shown net of fees and expenses and after the reinvestment of dividends using month-end NAVs. For Goldman Sachs Portfolios where performance is shown relative to the index, it is for comparative purposes only. Reference to these benchmarks does not imply that the Portfolio will achieve returns, volatility or other results similar to the benchmark. (1) Returns are shown since inception. (2) Prior to 31-May-06, the Portfolio’s benchmark was the MSCI Europe Index (gross), a gross total return index. The MSCI Europe Index (net) is a net total return index. Net total return is a reflection of return to an investor by reinvesting dividends after the deduction of withholding tax. The rate of withholding tax applied to the MSCI Europe Index (net) is consistent with the actual rate of withholding tax the Portfolio will incur on dividends received from foreign companies. (3) Prior to 31-May-06, the Portfolio’s benchmark was the S&P 500 Index (gross), a gross total return index. The S&P 500 Index (net) is a net total return index. Net total return is a reflection of return to an investor by reinvesting dividends after the deduction of withholding tax. The rate of withholding tax applied to the S&P 500 Index (net) is consistent with the actual rate of withholding tax the Portfolio will incur on dividends received from foreign companies. (4) This benchmark is Euro Hedged.

Past performance is not indicative of future results, which may vary.

5 Goldman Sachs Funds—Asia Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 98.34% Hong Kong Dollar – (continued) 324,000 Shanghai Industrial Holdings Ltd. (Holding Hong Kong Dollar Companies—Diversified) 1,277,423 1.24 36,000 Anhui Conch Cement Co., Ltd. “H” 259,500 Shimao Property Holdings Ltd. (Real (Building Materials) 256,824 0.25 Estate) 441,837 0.43 663,000 Belle International Holdings Ltd. (Retail) 514,959 0.50 157,000 Sun Hung Kai Properties Ltd. (Real Estate) 1,942,105 1.88 403,500 BoC Hong Kong Holdings Ltd. (Banks) 632,745 0.61 53,000 Television Broadcasts Ltd. (Media) 218,655 0.21 166,000 Cafe de Coral Holdings Ltd. (Retail) 336,109 0.33 99,000 Want Want China Holdings Ltd. (Food, 148,000 Cheung Kong Holdings Ltd. (Real Estate) 1,819,879 1.76 Beverages & Tobacco) 48,075 0.05 39,000 Cheung Kong Infrastructure Holdings Ltd. 101,000 Weichai Power Co., Ltd. “H” (Auto Parts & (Construction & Engineering) 144,159 0.14 Equipment) 378,001 0.37 409,000 China Communications Construction Co., 241,000 Wharf Holdings Ltd. (Holding Companies— Ltd. “H” (Construction & Engineering) 562,248 0.54 Diversified) 991,143 0.96 3,066,000 China Construction Bank Corp. “H” (Banks) 1,980,096 1.92 302,000 Xinyi Glass Holdings Co., Ltd. (Auto Parts & 716,000 China Life Insurance Co., Ltd. “H” Equipment) 227,456 0.22 (Insurance) 2,603,900 2.52 494,000 Zijin Mining Group Co., Ltd. “H” (Mining) 445,513 0.43 151,000 China Mengniu Dairy Co., Ltd. (Food, 167,197 ZTE Corp. “H” (Telecommunications) 553,350 0.54 Beverages & Tobacco) 321,033 0.31 400,984 China Merchants Bank Co., Ltd. “H” 41,073,909 39.81 (Banks) 814,174 0.79 439,500 China Mobile Ltd. (Telecommunications) 4,279,698 4.15 Indian Rupee 416,160 China Overseas Land & Investment Ltd. 4,123 Adani Enterprises Ltd. (Real Estate) 874,975 0.85 (Distribution/Wholesale) 58,939 0.06 1,966,000 China Petroleum & Chemical Corp. “H” 30,943 Axis Bank Ltd. (Banks) 512,412 0.50 (Oil & Gas) 1,590,050 1.54 99,636 Crompton Greaves Ltd. (Electrical 523,000 China Railway Group Ltd. “H” Components & Equipment) 557,280 0.54 (Construction & Engineering) 427,095 0.41 15,284 Glenmark Pharmaceuticals Ltd. 74,000 China Resources Enterprise (Holding (Pharmaceuticals) 72,618 0.07 Companies—Diversified) 161,993 0.16 530,186 GVK Power & Infrastructure Ltd. (Electric) 513,477 0.50 220,000 China Resources Land Ltd. (Real Estate) 514,621 0.50 68,509 HCL Technologies Ltd. (Software) 242,421 0.23 238,000 China Resources Power Holdings Co., Ltd. 35,072 HDFC Bank Ltd. (Banks) 1,080,215 1.05 (Electric) 506,236 0.49 50,600 Hindustan Construction Co. (Construction & 345,000 China Shanshui Cement Group Ltd. Engineering) 127,268 0.12 (Building Materials) 213,337 0.21 11,484 Housing Development Finance Corp. 395,500 China Shenhua Energy Co., Ltd. “H” (Coal) 1,305,452 1.27 (Diversified Financial Services) 528,544 0.51 749,174 China Unicom Hong Kong Ltd. 39,917 ICICI Bank Ltd. (Banks) 621,209 0.60 (Telecommunications) 923,172 0.89 100,118 Idea Cellular Ltd. (Telecommunications) 175,829 0.17 101,000 China Yurun Food Group Ltd. (Food, 100,979 Indiabulls Real Estate Ltd. (Real Estate) 521,937 0.51 Beverages & Tobacco) 140,765 0.14 135,774 Indiabulls Securities Ltd. (Diversified 116,500 CLP Holdings Ltd. (Electric) 779,990 0.76 Financial Services) 154,849 0.15 1,269,000 CNOOC Ltd. (Oil & Gas) 1,681,297 1.63 26,000 Infosys Technologies Ltd.—Demat 132,000 Hang Lung Properties Ltd. (Real Estate) 438,437 0.42 (Software) 881,484 0.85 50,700 Hang Seng Bank Ltd. (Banks) 721,991 0.70 80,217 ITC Ltd. (Agriculture) 314,807 0.31 257,000 Hong Kong & China Gas Co. (Gas) 520,258 0.50 20,731 JSW Steel Ltd. (Iron/Steel) 241,346 0.23 43,000 Hong Kong Exchanges and Clearing Ltd. 20,966 Lanco Infratech Ltd. (Electric) 165,154 0.16 (Diversified Financial Services) 661,706 0.64 14,247 LIC Housing Finance (Diversified Financial 78,500 HongKong Electric Holdings (Electric) 420,120 0.41 Services) 159,967 0.16 660,000 Huabao International Holdings Ltd. 8,144 Lupin Ltd. (Pharmaceuticals) 144,765 0.14 (Chemicals) 595,713 0.58 11,741 Mphasis Ltd. (Software) 82,562 0.08 408,000 Huaneng Power International, Inc. “H” 35,564 Reliance Industries Ltd. (Oil & Gas) 1,700,193 1.65 (Electric) 269,156 0.26 29,057 Reliance Infrastructure Ltd. (Electric) 777,536 0.75 146,000 Hutchison Whampoa Ltd. (Holding 42,924 Shree Renuka Sugars Ltd. (Food, Companies—Diversified) 1,014,434 0.98 Beverages & Tobacco) 114,199 0.11 217,000 Hysan Development Co., Ltd. (Real Estate) 499,260 0.48 47,257 Sterlite Industries India Ltd. (Metal 3,796,000 Industrial & Commercial Bank of China “H” Fabricate/Hardware) 623,254 0.60 (Banks) 2,370,975 2.30 13,608 Tata Power Co., Ltd. (Electric) 308,123 0.30 178,000 Li & Fung Ltd. (Distribution/Wholesale) 473,025 0.46 9,507 United Spirits Ltd. (Food, Beverages & 129,500 Lifestyle International Holdings Ltd. (Retail) 158,700 0.15 Tobacco) 171,211 0.17 363,500 Link Real Estate Investment Trust (Real 89,529 Yes Bank Ltd. (Banks) 238,279 0.23 Estate Investment Trust) 707,564 0.69 11,089,878 10.75 254,000 Maanshan Iron & Steel “H” (Iron/Steel) 139,555 0.13 193,000 MTR Corp. (Transportation) 606,044 0.59 155,000 Parkson Retail Group Ltd. (Retail) 241,172 0.23 Indonesian Rupiah 2,888,000 Peace Mark Holdings Ltd.(a) (Miscellaneous 201,000 Bank Danamon Indonesia Tbk PT (Banks) 72,923 0.07 Manufacturing) — — 484,000 Bank Mandiri Persero Tbk PT (Banks) 139,437 0.14 1,154,000 PetroChina Co., Ltd. “H” (Oil & Gas) 1,327,434 1.29 376,500 Bank Rakyat Indonesia (Banks) 227,436 0.22 1,206,500 Bumi Resources Tbk PT (Coal) 228,035 0.22

The accompanying notes are an integral part of these financial statements.

6 Goldman Sachs Funds—Asia Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Indonesian Rupiah – (continued) South Korean Won – (continued) 1,127,500 PT Perusahaan Gas Negara (Gas) 313,937 0.30 2,710 POSCO (Iron/Steel) 901,142 0.87 1,198,000 Telekomunikasi Indonesia Tbk PT 15,580 Samsung Card Co. (Diversified Financial (Telecommunications) 873,490 0.85 Services) 587,650 0.57 8,708 Samsung Electronics Co., Ltd. 1,855,258 1.80 (Semiconductors) 3,854,832 3.74 5,909 SK Energy Co., Ltd. (Oil & Gas) 497,506 0.48 Malaysian Ringgit 110,000 AMMB Holdings Bhd (Banks) 103,737 0.10 19,051,475 18.47 167,100 Bumiputra-Commerce Holdings Bhd (Banks) 407,385 0.40 Taiwan Dollar 109,000 Genting Bhd (Lodging) 169,911 0.16 805,000 Advanced Semiconductor Engineering, Inc. 250,000 Hong Leong Financial Group Bhd (Semiconductors) 500,081 0.48 (Diversified Financial Services) 357,724 0.35 651,000 Cathay Financial Holding Co., Ltd. 141,000 IOI Corp. Bhd (Agriculture) 181,960 0.18 (Insurance) 1,052,398 1.02 32,400 PPB Group Bhd (Food, Beverages & 457,000 China Steel Corp. (Iron/Steel) 388,779 0.38 Tobacco) 97,178 0.09 1,205,876 Chinatrust Financial Holding Co., Ltd. 71,000 Public Bank Bhd (Banks) 175,581 0.17 (Diversified Financial Services) 791,901 0.77 864,200 Resorts World Bhd (Lodging) 681,678 0.66 425,410 Chunghwa Telecom Co., Ltd. 151,100 Sime Darby Bhd (Holding Companies— (Telecommunications) 807,561 0.78 Diversified) 310,743 0.30 206,000 Far Eastern Textile Co., Ltd. (Apparel) 233,619 0.23 236,700 Tenaga Nasional Bhd (Electric) 551,362 0.53 236,000 Formosa Plastics Corp. (Chemicals) 456,707 0.44 614,000 Fubon Financial Holding Co., Ltd. 3,037,259 2.94 (Diversified Financial Services) 594,652 0.58 641,668 HON HAI Precision Industry Co., Ltd. Singapore Dollar (Electronics) 2,429,092 2.35 191,000 CapitaLand Ltd. (Real Estate) 500,195 0.49 109,442 Media Tek, Inc. (Semiconductors) 1,347,561 1.31 36,000 City Developments Ltd. (Real Estate) 234,649 0.23 1,314,000 Mega Financial Holding Co., Ltd. 209,000 ComfortDelgro Corp., Ltd. (Transportation) 186,066 0.18 (Diversified Financial Services) 662,899 0.64 133,000 DBS Group Holdings Ltd. (Banks) 1,081,506 1.05 1,371,000 Micro-Star International Co., Ltd. 96,000 Keppel Corp., Ltd. (Holding Companies— (Electronics) 980,039 0.95 Diversified) 477,093 0.46 214,000 Nan Ya Printed Circuit Board Corp. 134,000 Noble Group Ltd. (Holding Companies— (Electronics) 638,133 0.62 Diversified) 146,070 0.14 388,000 Novatek Microelectronics Corp., Ltd. 63,000 Singapore Exchange Ltd. (Diversified (Semiconductors) 941,897 0.91 Financial Services) 318,773 0.31 100,000 President Chain Store Corp. (Retail) 258,220 0.25 131,000 Singapore Press Holdings Ltd. (Media) 267,953 0.26 61,060 Richtek Technology Corp. (Semiconductors) 425,556 0.41 617,000 Singapore Telecommunications Ltd. 461,000 Synnex Technology International Corp. (Telecommunications) 1,282,015 1.24 (Electronics) 755,129 0.73 101,156 United Overseas Bank Ltd. (Banks) 994,320 0.96 554,380 Taiwan Cement Corp. (Building Materials) 580,007 0.56 61,000 Wilmar International Ltd. (Agriculture) 207,077 0.20 284,000 Taiwan Fertilizer Co., Ltd. (Chemicals) 900,847 0.87 5,695,717 5.52 1,686,323 Taiwan Semiconductor Manufacturing Co., Ltd. (Semiconductors) 3,112,109 3.02 South Korean Won 303,000 Uni-President Enterprises Corp. (Food, 20,790 Hana Tour Service, Inc. (Leisure Time) 595,299 0.58 Beverages & Tobacco) 335,434 0.33 71,710 Hansol Paper Co. (Forest Products & 18,192,621 17.63 Paper) 521,060 0.50 2,893 Hite Brewery Co., Ltd. (Food, Beverages & Thailand Baht Tobacco) 360,272 0.35 121,200 Advanced Info Service PCL 43,199 Hynix Semiconductor, Inc. (Semiconductors) 441,118 0.43 (Telecommunications) 286,049 0.28 44,140 Hyundai Development Co. (Home Builders) 1,430,846 1.39 57,600 Bangkok Bank PCL (Banks) 151,934 0.15 7,640 Hyundai Engineering & Construction Co., 9,000 Banpu PCL (Coal) 82,959 0.08 Ltd. (Construction & Engineering) 389,828 0.38 218,200 Kasikornbank PCL (Banks) 370,023 0.36 4,390 Hyundai Heavy Industries (Shipbuilding) 749,086 0.73 65,400 PTT PCL (Oil & Gas) 419,231 0.41 16,540 Hyundai Mobis (Auto Parts & Equipment) 1,551,237 1.50 182,600 Total Access Communication PCL 190,620 Korea Exchange Bank (Banks) 1,388,308 1.35 (Telecommunications) 150,305 0.14 31,220 Korean Air Lines Co., Ltd. (Airlines) 929,524 0.90 153,078 Korean Reinsurance Co. (Insurance) 1,440,996 1.40 1,460,501 1.42 4,709 LG Chemical Ltd. (Chemicals) 572,540 0.55 TOTAL COMMON STOCKS 40,820 LG Dacom Corp. (Internet) 595,695 0.58 ( c o s t U S D 8 9 , 9 0 4 , 6 2 5 ) 101,456,618 98.34 23,610 LG Display Co., Ltd. (Electronics) 552,122 0.53 3,390 LG Electronics, Inc. (Electrical TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Components & Equipment) 322,972 0.31 OFFICIAL EXCHANGE LISTING 3,569 Lotte Shopping Co., Ltd. (Retail) 681,631 0.66 ( c o s t U S D 8 9 , 9 0 4 , 6 2 5 ) 101,456,618 98.34 11,526 Mirae Asset Securities Co., Ltd. (Diversified Financial Services) 687,811 0.67

The accompanying notes are an integral part of these financial statements.

7 Goldman Sachs Funds—Asia Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Allocation of Portfolio as at 31 May 2009 Net Assets Holdings Security Description USD Equity Common Stocks Other Transferable Securities Banks 13.67 Semiconductors 10.30 Equity Linked Notes – 0.31% Telecommunications 9.04 United States Dollar Real Estate 7.55 60,158 Indiabulls Real Estate Ltd.—UBS AG Equity Oil & Gas 7.00 (a) Linked Note (21/05/2012) 316,561 0.31 Diversified Financial Services 5.35 Electronics 5.18 TOTAL EQUITY LINKED NOTES Insurance 4.94 ( c o s t U S D 2 3 5 , 5 3 1 ) 316,561 0.31 Holding Companies—Diversified 4.24 Electric 4.16 TOTAL OTHER TRANSFERABLE SECURITIES Other 26.91 ( c o s t U S D 2 3 5 , 5 3 1 ) 316,561 0.31 T O T A L C O M M O N S T O C K S 98.34 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS ( c o s t U S D 9 0 , 1 4 0 , 1 5 6 ) 101,773,179 98.65 Equity Linked Notes Real Estate 0.31

Futures Contracts – 0.02% T O T A L E Q U I T Y L I N K E D N O T E S 0.31 Unrealised %of Number of Gain Shareholders’ Other Net Assets 1.35 Contracts Security Description USD Equity T O T A L 100.00 USD 36 SGX CNX Nifty Index 25/06/09 Long 14,616 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 14,616 0.02

MARKET VALUE OF INVESTMENTS ( c o s t U S D 9 0 , 1 4 0 , 1 5 6 ) 101,787,795 98.67

O T H E R A S S E T S A N D L I A B I L I T I E S 1,376,479 1.33

SHAREHOLDERS’ EQUITY 103,164,274 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 90,140,156) 101,773,179 98.65 Unrealised gain on futures contracts 14,616 0.02 Other Assets and Liabilities 1,376,479 1.33

Shareholders’ Equity 103,164,274 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. (a) These securities are fair valued. See Note 3(e).

The accompanying notes are an integral part of these financial statements.

8 Goldman Sachs Funds—BRICsSM Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 94.78% China – (continued) 12,774,000 Industrial & Commercial Bank of Brazil China “H” (Banks) 7,978,619 2.30 121,900 All America Latina Logistica S.A. 2,198,000 Maanshan Iron & Steel “H” (Iron/Steel) 1,207,650 0.35 (Transportation) 707,112 0.20 4,036,000 PetroChina Co., Ltd. “H” (Oil & Gas) 4,642,568 1.34 616,549 Banco Bradesco S.A.—ADR(a) (Banks) 9,359,214 2.69 1,175,000 Weichai Power Co., Ltd. “H” (Auto 767,392 BM&FBOVESPA S.A. (Diversified Parts & Equipment) 4,397,539 1.27 Financial Services) 4,296,621 1.24 4,356,000 Zijin Mining Group Co., Ltd. “H” (Mining) 3,928,448 1.13 64,016 Companhia de Bebidas das Americas— 710,680 ZTE Corp. “H” (Telecommunications) 2,352,043 0.68 ADR(a) (Food, Beverages & Tobacco) 4,186,006 1.21 105,255 Companhia Energetica de Sao Paulo— 78,340,224 22.55 Preferred “B” (Electric) 902,034 0.26 66,300 Cyrela Brazil Realty S.A. (Real Estate) 492,275 0.14 Hong Kong 79,307 Eletropaulo Metropolitana Eletricidade 1,255,000 China Mengniu Dairy Co., Ltd. (Food, de Sao Paulo S.A.—Preferred “B” Beverages & Tobacco) 2,668,191 0.77 (Electric) 1,204,106 0.35 1,185,500 China Mobile Ltd. (Telecommunications) 11,543,985 3.32 532,400 Gerdau S.A.—Preferred (Iron/Steel) 5,489,158 1.58 2,906,240 China Overseas Land & Investment Ltd. 204,385 Iguatemi Empresa de Shopping Centers (Real Estate) 6,110,358 1.76 S.A. (Real Estate) 1,987,664 0.57 1,310,000 China Resources Land Ltd. (Real (a) 665,818 Itau Unibanco Holding S.A.—ADR Estate) 3,064,337 0.88 (Banks) 10,786,252 3.10 1,526,000 China Resources Power Holdings Co., 428,100 Lojas Renner S.A. (Retail) 4,569,279 1.32 Ltd. (Electric) 3,245,865 0.93 1 NET Servicos de Comunicacao S.A.— 3,500,000 China Unicom Hong Kong Ltd. Preferred (Media) 10 0.00 (Telecommunications) 4,312,885 1.24 167,200 Perdigao S.A. (Food, Beverages & 6,913,000 CNOOC Ltd. (Oil & Gas) 9,159,030 2.64 Tobacco) 3,289,180 0.95 3,995,000 Huabao International Holdings Ltd. (a) 390,400 Petroleo Brasileiro S.A.—ADR (Oil & (Chemicals) 3,605,867 1.04 Gas) 13,523,456 3.89 754,000 Shanghai Industrial Holdings Ltd. 297,300 Tele Norte Leste Participacoes S.A.— (Holding Companies—Diversified) 2,972,770 0.86 (a) ADR (Telecommunications) 5,202,750 1.50 568,500 Shimao Property Holdings Ltd. (Real 186,200 Tractebel Energia S.A. (Electric) 1,725,344 0.50 Estate) 967,956 0.28 82,000 Ultrapar Participacoes S.A.—Preferred (Chemicals) 2,618,623 0.75 47,651,244 13.72 92,600 Usinas Siderurgicas de Minas Gerais S.A.—Preferred (Iron/Steel) 1,764,188 0.51 India 790,619 Vale S.A.—ADR(a) (Mining) 15,401,258 4.43 28,071 Adani Enterprises Ltd. 147,816 Vivo Participacoes S.A.—ADR(a) (Distribution/Wholesale) 401,278 0.11 (Telecommunications) 2,926,757 0.84 182,734 Axis Bank Ltd. (Banks) 3,026,048 0.87 655,295 Crompton Greaves Ltd. (Electrical 90,431,287 26.03 Components & Equipment) 3,665,167 1.05 84,943 Glenmark Pharmaceuticals Ltd. China (Pharmaceuticals) 403,587 0.12 380,000 Anhui Conch Cement Co., Ltd. “H” 3,623,520 GVK Power & Infrastructure Ltd. (Building Materials) 2,710,919 0.78 (Electric) 3,509,325 1.01 2,850,000 Belle International Holdings Ltd. (Retail) 2,213,623 0.64 430,547 HCL Technologies Ltd. (Software) 1,523,500 0.44 2,409,000 China Communications Construction 203,126 HDFC Bank Ltd. (Banks) 6,256,264 1.80 Co., Ltd. “H” (Construction & 343,524 Hindustan Construction Co. Engineering) 3,311,629 0.95 (Construction & Engineering) 864,027 0.25 15,337,000 China Construction Bank Corp. “H” 53,341 Housing Development Finance Corp. (Banks) 9,905,000 2.85 (Diversified Financial Services) 2,454,986 0.71 2,800,000 China Life Insurance Co., Ltd. “H” 188,324 ICICI Bank Ltd. (Banks) 2,930,793 0.84 (Insurance) 10,182,851 2.93 564,930 Idea Cellular Ltd. (Telecommunications) 992,143 0.29 2,037,350 China Merchants Bank Co., Ltd. “H” 697,927 Indiabulls Real Estate Ltd. (Real Estate) 3,607,426 1.04 (Banks) 4,136,715 1.19 938,609 Indiabulls Securities Ltd. (Diversified 8,696,000 China Petroleum & Chemical Corp. “H” Financial Services) 1,070,478 0.31 (Oil & Gas) 7,033,101 2.02 124,680 Infosys Technologies Ltd.—Demat 4,155,000 China Railway Group Ltd. “H” (Software) 4,227,057 1.22 (Construction & Engineering) 3,393,080 0.98 410,503 ITC Ltd. (Agriculture) 1,610,998 0.46 3,144,000 China Shanshui Cement Group Ltd. 127,183 JSW Steel Ltd. (Iron/Steel) 1,480,637 0.43 (Building Materials) 1,944,148 0.56 144,404 Lanco Infratech Ltd. (Electric) 1,137,504 0.33 1,983,500 China Shenhua Energy Co., Ltd. “H” 106,909 LIC Housing Finance (Diversified (Coal) 6,547,063 1.88 Financial Services) 1,200,385 0.34 708,000 China Yurun Food Group Ltd. (Food, 53,005 Lupin Ltd. (Pharmaceuticals) 942,201 0.27 Beverages & Tobacco) 986,746 0.28 66,496 Mphasis Ltd. (Software) 467,594 0.13 2,226,000 Huaneng Power International, Inc. “H” 143,048 Reliance Industries Ltd. (Oil & Gas) 6,838,635 1.97 (Electric) 1,468,482 0.42 179,670 Reliance Infrastructure Ltd. (Electric) 4,807,789 1.38

The accompanying notes are an integral part of these financial statements.

9 Goldman Sachs Funds—BRICsSM Portfolio Schedule of Investments As at 31 May 2009

%of Futures Contracts – 0.02% Market Value Shareholders’ Unrealised %of Holdings Security Description USD Equity Number of Gain Shareholders’ Contracts Security Description USD Equity Common Stocks – (continued) USD India – (continued) 231 SGX CNX Nifty Index 25/06/09 Long 90,798 0.02 243,114 Shree Renuka Sugars Ltd. (Food, Beverages & Tobacco) 646,802 0.19 UNREALISED GAIN ON FUTURES 286,186 Sterlite Industries India Ltd. (Metal CONTRACTS 90,798 0.02 Fabricate/Hardware) 3,774,394 1.09 81,244 Tata Power Co., Ltd. (Electric) 1,839,590 0.53 MARKET VALUE OF INVESTMENTS 54,574 United Spirits Ltd. (Food, Beverages & ( c o s t U S D 3 1 4 , 2 2 3 , 2 3 7 ) 335,320,003 96.52 Tobacco) 982,821 0.28 612,969 Yes Bank Ltd. (Banks) 1,631,397 0.47 O T H E R A S S E T S A N D L I A B I L I T I E S 12,075,911 3.48

62,292,826 17.93 SHAREHOLDERS’ EQUITY 347,395,914 100.00

Luxembourg %of 109,805 Evraz Group S.A.—GDR(a) (Iron/Steel) 2,591,398 0.75 Market Value Shareholders’ TOTAL INVESTMENTS USD Equity Russia Total Investments excluding futures contracts 289,041 Comstar United Telesystems OJSC— (cost USD 314,223,237) 335,229,205 96.50 GDR(a) (Diversified Financial Services) 1,422,082 0.41 Unrealised gain on futures contracts 90,798 0.02 429,874 Globaltrans Investment Plc.—GDR(a) Other Assets and Liabilities 12,075,911 3.48 (Transportation) 1,762,483 0.51 6,303,783 Kuzbassrazrezugol (Coal) 1,115,769 0.32 Shareholders’ Equity 347,395,914 100.00 127,842 Novorossiysk Commercial Sea Port— GDR(a) (Transportation) 1,201,715 0.35 The Futures Clearing Merchant was Goldman, Sachs & Co. (a) 911,661 OAO Gazprom—ADR (Oil & Gas) 20,959,087 6.03 + A portion of these securities were on loan at 31 May 2009. See Note 5. 23,170,315 OGK-4 OJSC (Electric) 903,642 0.26 (a) 1,006,362 Raspadskaya “S” (Coal) 2,234,124 0.64 Security holding is traded/held in USD. (ADR: American Depositary 4,542,551 Sberbank RF (Banks) 6,427,710 1.85 Receipt/GDR: Global Depositary Receipt). 399,025 Severstal—GDR(a) (Mining) 2,261,275 0.65 (b) These securities are fair valued. See Note 3(e). 492,678 Vimpel-Communications—ADR(a) (c) The yield for this fund as at 31 May 2009 was 0.530%. (Telecommunications) 6,690,567 1.93 (d) + 184,716 X 5 Retail Group NV—GDR(a) (Food, This security is admitted to an official exchange listing. Beverages & Tobacco) 2,955,456 0.85 (e) A related party to Goldman Sachs Funds. 47,933,910 13.80

TOTAL COMMON STOCKS %of ( c o s t U S D 3 0 8 , 7 7 7 , 8 8 2 ) 329,240,889 94.78 Allocation of Portfolio as at 31 May 2009 Net Assets

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING Common Stocks ( c o s t U S D 3 0 8 , 7 7 7 , 8 8 2 ) 329,240,889 94.78 Banks 17.96 Oil & Gas 17.89 Telecommunications 9.80 Other Transferable Securities Mining 6.21 Equity Linked Notes – 0.61% Electric 5.97 Real Estate 4.67 United Kingdom Food, Beverages & Tobacco 4.53 403,105 Indiabulls Real Estate Ltd.—UBS AG Equity Linked Note (21/05/2012)(b) 2,121,198 0.61 Iron/Steel 3.62 Diversified Financial Services 3.01 TOTAL EQUITY LINKED NOTES Insurance 2.93 ( c o s t U S D 1 , 5 7 8 , 2 3 7 ) 2,121,198 0.61 Other 18.19

TOTAL OTHER TRANSFERABLE SECURITIES T O T A L C O M M O N S T O C K S 94.78 ( c o s t U S D 1 , 5 7 8 , 2 3 7 ) 2,121,198 0.61 Equity Linked Notes Mutual Funds – 1.11% Banks 0.61

United States Dollar T O T A L E Q U I T Y L I N K E D N O T E S 0.61 3,867,118 Goldman Sachs US$ Liquid Reserves Fund(c)(d)(e) 3,867,118 1.11 Other Net Assets 4.61

TOTAL MUTUAL FUNDS T O T A L 100.00 ( c o s t U S D 3 , 8 6 7 , 1 1 8 ) 3,867,118 1.11

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS ( c o s t U S D 3 1 4 , 2 2 3 , 2 3 7 ) 335,229,205 96.50

The accompanying notes are an integral part of these financial statements.

10 Goldman Sachs Funds—Europe Equity Target Alpha Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 98.65% Swiss Franc – (continued) 635 Straumann Holding AG (Healthcare British Pound Sterling Products) 83,967 1.46 21,122 Amlin Plc. (Insurance) 84,607 1.47 2,273 Synthes, Inc. (Healthcare Products) 164,558 2.86 11,676 BG Group Plc. (Oil & Gas) 150,840 2.62 49,800 BP Plc. (Oil & Gas) 291,450 5.06 902,146 15.68 40,063 HSBC Holdings Plc. (Banks) 255,343 4.44 7,863 Imperial Tobacco Group Plc. (Agriculture) 144,086 2.50 TOTAL COMMON STOCKS 5,348 Rio Tinto Plc. (Mining) 171,500 2.98 ( c o s t E U R 6 , 1 3 1 , 2 8 8 ) 5,676,344 98.65 12,770 Schroders Plc. (Diversified Financial TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Services) 126,363 2.20 OFFICIAL EXCHANGE LISTING 15,964 Shire Ltd. (Pharmaceuticals) 156,323 2.72 ( c o s t E U R 6 , 1 3 1 , 2 8 8 ) 5,676,344 98.65 10,832 Smiths Group Plc. (Miscellaneous Manufacturing) 89,570 1.56 32,765 Standard Life Plc. (Insurance) 74,187 1.29 Mutual Funds – 0.50% 51,958 Tesco Plc. (Food, Beverages & Tobacco) 217,141 3.77 Euro 17,815 WPP Plc. (Media) 93,702 1.63 28,637 Goldman Sachs Euro Liquid Reserves (a)(b)(c) 1,855,112 32.24 Fund 28,637 0.50

TOTAL MUTUAL FUNDS Danish Krone ( c o s t E U R 2 8 , 6 3 7 ) 28,637 0.50 6,028 Novo Nordisk A/S “B” (Pharmaceuticals) 222,242 3.86 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES Euro CONTRACTS 2,777 Air Liquide S.A. (Chemicals) 182,060 3.16 ( c o s t E U R 6 , 1 5 9 , 9 2 5 ) 5,704,981 99.15 8,624 AXA S.A. (Insurance) 113,061 1.96 + 11,297 Azimut Holding SpA (Diversified Financial Futures Contracts – (0.00%) Services) 74,278 1.29 34,780 Banca Intesa SpA (Banks) 87,211 1.52 Unrealised %of 22,049 Banco Santander Central Hispano S.A. Number of Loss Shareholders’ (Banks) 165,147 2.87 5,877 CRH Plc. (Building Materials) 98,704 1.72 Contracts Security Description EUR Equity + 6,513 E.ON AG (Electric) 162,369 2.82 EUR 8,113 Grifols S.A. (Pharmaceuticals) 103,278 1.79 2 DJ EURO STOXX 50 Index 19/06/09 Long (100) (0.00) 10,362 Mediobanca SpA (Diversified Financial Services) 87,766 1.52 UNREALISED LOSS ON FUTURES 8,077 Nokian Renkaat Oyj (Auto Parts & CONTRACTS (100) (0.00) Equipment) 107,989 1.88 15,889 Royal KPN NV (Telecommunications) 147,355 2.56 MARKET VALUE OF INVESTMENTS + 4,386 SAP AG (Software) 133,115 2.31 ( c o s t E U R 6 , 1 5 9 , 9 2 5 ) 5,704,881 99.15 5,953 SES S.A. (Telecommunications) 83,759 1.46 2,240 Société Générale “A” (Banks) 91,840 1.60 O T H E R A S S E T S A N D L I A B I L I T I E S 49,081 0.85 13,300 Telefonica S.A. (Telecommunications) 202,426 3.52 60,722 Terna Rete Elettrica Nazionale SpA SHAREHOLDERS’ EQUITY 5,753,962 100.00 (Electric) 157,725 2.74 5,402 Total S.A. (Oil & Gas) 220,132 3.83 %of 10,968 Vivendi S.A. (Media) 203,676 3.54 Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity 2,421,891 42.09 Total Investments excluding futures contracts Norwegian Kroner (cost EUR 6,159,925) 5,704,981 99.15 24,028 ProSafe SE (Oil & Gas Services) 86,534 1.50 Unrealised loss on futures contracts (100) (0.00) Other Assets and Liabilities 49,081 0.85 Swedish Krona + 14,600 Atlas Copco AB “B” (Machinery- Shareholders’ Equity 5,753,962 100.00 Construction & Mining) 92,692 1.61 16,913 Nordea Bank AB (Banks) 95,727 1.67 The Futures Clearing Merchant was Goldman, Sachs & Co. 188,419 3.28 + A portion of these securities were on loan at 31 May 2009. See Note 5. (a) This security is admitted to an official exchange listing. Swiss Franc (b) 5,076 Crédit Suisse Group (Banks) 159,680 2.78 The yield for this fund as at 31 May 2009 was 0.895%. 1,884 Kuehne & Nagel International AG (c) A related party to Goldman Sachs Funds. (Transportation) 103,324 1.80 89 Lindt & Spruengli AG (Food, Beverages & Tobacco) 113,567 1.97 2,878 Roche Holding AG (Pharmaceuticals) 277,050 4.81

The accompanying notes are an integral part of these financial statements.

11 Goldman Sachs Funds—Europe Equity Target Alpha Portfolio Schedule of Investments As at 31 May 2009

%of Allocation of Portfolio as at 31 May 2009 Net Assets

Common Stocks Banks 14.88 Pharmaceuticals 13.18 Oil & Gas 11.51 Telecommunications 7.54 Food, Beverages & Tobacco 5.74 Electric 5.56 Media 5.17 Diversified Financial Services 5.01 Insurance 4.72 Healthcare Products 4.32 Other 21.02

T O T A L C O M M O N S T O C K S 98.65

Other Net Assets 1.35

T O T A L 100.00

The accompanying notes are an integral part of these financial statements.

12 Goldman Sachs Funds—Europe Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 99.77% Euro – (continued) 15,470 Sodexho Alliance S.A. (Food, Beverages & British Pound Sterling Tobacco) 539,594 1.04 222,138 Aegis Group Plc. (Advertising) 207,982 0.40 86,900 Telefonica S.A. (Telecommunications) 1,322,618 2.56 98,187 Amlin Plc. (Insurance) 393,302 0.76 276,034 Terna Rete Elettrica Nazionale SpA 25,992 Autonomy Corp., Plc. (Software) 457,837 0.89 (Electric) 716,998 1.39 86,020 BG Group Plc. (Oil & Gas) 1,111,279 2.15 42,543 Total S.A. (Oil & Gas) 1,733,627 3.35 26,606 BHP Billiton Plc. (Mining) 449,760 0.87 43,655 Unione di Banche Italiane SCPA (Banks) 426,509 0.82 379,500 BP Plc. (Oil & Gas) 2,220,993 4.29 73,249 Vivendi S.A. (Media) 1,360,234 2.63 151,513 Capita Group Plc. (Commercial Services) 1,240,711 2.40 21,880 Close Brothers Group Plc. (Diversified 22,673,364 43.85 Financial Services) 164,888 0.32 569,545 Friends Provident Plc. (Insurance) 439,645 0.85 Norwegian Kroner 69,337 Hiscox Ltd. (Insurance) 258,085 0.50 61,482 Petroleum Geo-Services ASA (Oil & Gas 335,052 HSBC Holdings Plc. (Banks) 2,135,463 4.13 Services) 279,543 0.54 70,189 Imperial Tobacco Group Plc. (Agriculture) 1,286,186 2.49 108,731 ProSafe SE (Oil & Gas Services) 391,582 0.76 57,669 Inmarsat Plc. (Telecommunications) 338,824 0.66 671,125 1.30 6,704 Randgold Resources Ltd. (Mining) 337,602 0.65 22,751 Rio Tinto Plc. (Mining) 729,580 1.41 85,627 Schroders Plc. (Diversified Financial Swedish Krona Services) 847,304 1.64 + 55,200 Atlas Copco AB “B” (Machinery— 85,861 Serco Group Plc. (Commercial Services) 396,046 0.77 Construction & Mining) 350,450 0.68 90,444 Shire Ltd. (Pharmaceuticals) 885,647 1.71 136,930 Nordea Bank AB (Banks) 775,020 1.50 31,218 Smiths Group Plc. (Miscellaneous 1,125,470 2.18 Manufacturing) 258,141 0.50 226,298 Standard Life Plc. (Insurance) 512,392 0.99 Swiss Franc 365,452 Tesco Plc. (Food, Beverages & Tobacco) 1,527,280 2.95 24,043 Crédit Suisse Group (Banks) 756,342 1.46 115,926 WPP Plc. (Media) 609,740 1.18 2,701 Geberit AG (Building Materials) 233,581 0.45 16,808,687 32.51 + 10,489 Kuehne & Nagel International AG (Transportation) 575,248 1.11 Danish Krone 299 Lindt & Spruengli AG (Food, Beverages & 33,323 Novo Nordisk A/S “B” (Pharmaceuticals) 1,228,564 2.37 Tobacco) 381,534 0.74 68,856 Nestlé S.A. (Food, Beverages & Tobacco) 1,761,804 3.41 Euro 15,148 Novartis AG (Pharmaceuticals) 425,647 0.82 20,711 Roche Holding AG (Pharmaceuticals) 1,993,734 3.86 17,809 Air Liquide S.A. (Chemicals) 1,167,558 2.26 + 3,714 Straumann Holding AG (Healthcare 66,014 AXA S.A. (Insurance) 865,444 1.67 Products) 491,108 0.95 + 67,258 Azimut Holding SpA (Diversified Financial 4,599 Syngenta AG (Chemicals) 787,532 1.52 Services) 442,221 0.86 + 13,492 Synthes, Inc. (Healthcare Products) 976,777 1.89 274,915 Banca Intesa SpA (Banks) 689,349 1.33 66,300 UBS AG (Banks) 698,287 1.35 82,391 Banca Popolare di Milano Scarl (Banks) 388,680 0.75 144,942 Banco Santander Central Hispano S.A. 9,081,594 17.56 (Banks) 1,085,616 2.10 14,020 CRH Plc. (Building Materials) 229,227 0.44 TOTAL COMMON STOCKS 15,024 CRH Plc. (Building Materials) 252,326 0.49 ( c o s t E U R 5 5 , 8 6 0 , 8 4 3 ) 51,588,804 99.77 + 44,541 E.ON AG (Electric) 1,110,407 2.15 60,681 ENI SpA (Oil & Gas) 1,035,218 2.00 Warrants – 0.00% 14,380 Eutelsat Communications Euro (Telecommunications) 257,258 0.50 43,655 Unione di Banche Italiane SCPA 41,660 Grifols S.A. (Pharmaceuticals) 530,332 1.03 exp. 06/11(a) (Banks) — — 15,210 Inditex S.A. (Retail) 483,982 0.94 7,204 Ipsen (Pharmaceuticals) 237,228 0.46 TOTAL WARRANTS 84,255 Mediobanca SpA (Diversified Financial (cost EUR nil) — — Services) 713,640 1.38 7,834 Mu¨nchener Ru¨ckversicherungs AG TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN (Insurance) 775,566 1.50 OFFICIAL EXCHANGE LISTING 26,532 Nokia Oyj (Telecommunications) 288,138 0.56 ( c o s t E U R 5 5 , 8 6 0 , 8 4 3 ) 51,588,804 99.77 44,835 Nokian Renkaat Oyj (Auto Parts & Equipment) 599,444 1.16 115,549 Royal KPN NV (Telecommunications) 1,071,602 2.07 + 12,567 Salzgitter AG (Iron/Steel) 828,542 1.60 + 31,729 SAP AG (Software) 962,975 1.86 19,036 SCOR SE (Insurance) 283,065 0.55 21,708 SES S.A. (Telecommunications) 305,432 0.59 10,403 Siemens AG (Miscellaneous Manufacturing) 535,130 1.04 252,703 Snam Rete Gas SpA (Gas) 772,639 1.49 + 16,165 Société Générale “A” (Banks) 662,765 1.28

The accompanying notes are an integral part of these financial statements.

13 Goldman Sachs Funds—Europe Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Allocation of Portfolio as at 31 May 2009 Net Assets Holdings Security Description EUR Equity Common Stocks Mutual Funds – 0.23% Banks 14.72 Oil & Gas 11.79 Euro Pharmaceuticals 10.25 117,975 Goldman Sachs Euro Liquid Reserves (b)(c)(d) Food, Beverages & Tobacco 8.14 Fund 117,975 0.23 Telecommunications 6.94 TOTAL MUTUAL FUNDS Insurance 6.82 ( c o s t E U R 1 1 7 , 9 7 5 ) 117,975 0.23 Diversified Financial Services 4.20 Media 3.81 MARKET VALUE OF INVESTMENTS Chemicals 3.78 ( c o s t E U R 5 5 , 9 7 8 , 8 1 8 ) 51,706,779 100.00 Electric 3.54 Other 25.78 O T H E R A S S E T S A N D L I A B I L I T I E S 1,476 0.00 T O T A L C O M M O N S T O C K S 99.77 SHAREHOLDERS’ EQUITY 51,708,255 100.00 Other Net Assets 0.23 %of Market Value Shareholders’ T O T A L 100.00 TOTAL INVESTMENTS EUR Equity

Total Investments (cost EUR 55,978,818) 51,706,779 100.00 Other Assets and Liabilities 1,476 0.00

Shareholders’ Equity 51,708,255 100.00

+ A portion of these securities were on loan at 31 May 2009. See Note 5. (a) These securities are fair valued. See Note 3(e). (b) This security is admitted to an official exchange listing. (c) The yield for this fund as at 31 May 2009 was 0.895%. (d) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

14 Goldman Sachs Funds—Global Emerging Markets Concentrated Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.45% Korea 19,880 Hana Tour Service Inc. (Leisure Time) 569,242 0.50 Brazil 70,510 Hansol Paper Co. (Forest Products & 141,600 Gerdau S.A.—Preferred (Iron/Steel) 1,459,926 1.28 Paper) 512,341 0.45 153,860 Itau Unibanco Holding S.A.—ADR(a) 5,354 Hite Brewery Co., Ltd. (Food, Beverages & (Banks) 2,492,532 2.18 Tobacco) 666,746 0.58 130,600 Lojas Renner S.A. (Retail) 1,393,945 1.22 24,560 Hyundai Development Co. (Home 150,400 Petroleo Brasileiro S.A.—ADR(a) (Oil & Builders) 796,139 0.70 Gas) 5,209,856 4.56 6,150 Hyundai Heavy Industries (Shipbuilding) 1,049,403 0.92 66,800 Tele Norte Leste Participacoes S.A.— 15,450 Hyundai Mobis (Auto Parts & Equipment) 1,449,009 1.27 ADR(a) (Telecommunications) 1,169,000 1.02 163,790 Korea Exchange Bank (Banks) 1,192,902 1.04 251,039 Vale S.A.—ADR(a) (Mining) 4,142,144 3.63 25,740 Korean Air Lines Co., Ltd. (Airlines) 766,366 0.67 66,461 Vivo Participacoes S.A.—ADR(a) 35,300 LG Display Co., Ltd. (Electronics) 825,494 0.72 (Telecommunications) 1,315,928 1.15 12,140 LG Electronics, Inc. (Electrical 17,183,331 15.04 Components & Equipment) 1,156,602 1.01 25,776 Mirae Asset Securities Co., Ltd. China (Diversified Financial Services) 1,538,176 1.35 3,374,000 China Construction Bank Corp. “H” 1,930 Samsung Electronics Co., Ltd. (Banks) 2,179,010 1.91 (Semiconductors) 854,367 0.75 580,500 China COSCO Holdings Co. “H” 9,180 Samsung Electronics Co., Ltd.—Preferred (Transportation) 793,365 0.70 (Semiconductors) 2,685,347 2.35 735,000 China Life Insurance Co., Ltd. “H” 14,062,134 12.31 (Insurance) 2,672,998 2.34 846,300 China Merchants Bank Co., Ltd. “H” Mexico (Banks) 1,718,361 1.50 33,153 America Movil SAB de CV—ADR “L”(a) 516,000 China Shanshui Cement Group Ltd. (Telecommunications) 1,284,016 1.12 (Building Materials) 319,077 0.28 220,098 Corp. GEO S.A.—Series B (Home 498,000 China Shenhua Energy Co., Ltd. “H” Builders) 389,780 0.34 (Coal) 1,643,780 1.44 20,234 Desarrolladora Homex SAB de CV— 1,928,000 Huaneng Power International, Inc. “H” ADR(a) (Home Builders) 543,687 0.48 (Electric) 1,271,893 1.11 46,100 Fomento Economico Mexicano SAB de 389,000 Weichai Power Co., Ltd. “H” (Auto Parts & CV—ADR(a) (Food, Beverages & Tobacco) 1,517,151 1.33 Equipment) 1,455,866 1.27 67,284 Grupo Televisa S.A.—ADR(a) (Media) 1,187,563 1.04 12,054,350 10.55 4,922,197 4.31

Hong Kong Russia 291,500 China Mobile Ltd. (Telecommunications) 2,838,525 2.48 234,001 Comstar United Telesystems OJSC— 777,680 China Overseas Land & Investment Ltd. GDR(a) (Diversified Financial Services) 1,151,285 1.01 (Real Estate) 1,635,069 1.43 189,488 OAO Gazprom—ADR(a) (Oil & Gas) 4,356,329 3.81 1,762,000 CNOOC Ltd. (Oil & Gas) 2,334,473 2.04 926,747 Sberbank RF (Banks) 1,311,347 1.15 326,000 Shanghai Industrial Holdings Ltd. (Holding 199,284 Severstal—GDR(a) (Mining) 1,129,342 0.99 Companies—Diversified) 1,285,309 1.13 120,556 Vimpel-Communications—ADR(a) 8,093,376 7.08 (Telecommunications) 1,637,151 1.43 70,721 X 5 Retail Group NV—GDR(a) (Food, India Beverages & Tobacco) 1,131,536 0.99 118,300 Crompton Greaves Ltd. (Electrical 10,716,990 9.38 Components & Equipment) 661,670 0.58 687,370 GVK Power & Infrastructure Ltd. (Electric) 665,707 0.58 South Africa 57,345 HDFC Bank Ltd. (Banks) 1,766,221 1.55 362,271 African Bank Investments Ltd. (Diversified 265,237 Indiabulls Real Estate Ltd. (Real Estate) 1,370,950 1.20 Financial Services) 1,183,736 1.04 38,791 Infosys Technologies Ltd.—Demat 38,400 AngloGold Ashanti Ltd.—ADR(a) (Mining) 1,624,320 1.42 (Software) 1,315,141 1.15 1 Discovery Holdings Ltd. (Insurance) 4 0.00 21,338 Jindal Steel & Power Ltd. (Iron/Steel) 944,654 0.83 51,036 Impala Platinum Holdings Ltd. (Mining) 1,237,889 1.08 41,883 Reliance Industries Ltd. (Oil & Gas) 2,002,283 1.75 252,260 JD Group Ltd. (Retail) 1,190,437 1.04 8,726,626 7.64 141,500 MTN Group Ltd. (Telecommunications) 2,051,266 1.80 291,318 Pretoria Portland Cement Co., Ltd. Israel (Building Materials) 1,120,306 0.98 67,385 Teva Pharmaceutical Industries Ltd.— 229,461 Sappi Ltd. (Forest Products & Paper) 792,453 0.69 ADR(a) (Pharmaceuticals) 3,126,664 2.73 53,400 Sasol Ltd. (Oil & Gas) 2,020,020 1.77 143,023 Telkom S.A. Ltd. (Telecommunications) 647,077 0.57

Kazakhstan 11,867,508 10.39 69,100 KazMunaiGas Exploration Production— GDR(a) (Oil & Gas) 1,519,509 1.33

The accompanying notes are an integral part of these financial statements.

15 Goldman Sachs Funds—Global Emerging Markets Concentrated Equity Portfolio Schedule of Investments As at 31 May 2009

%of Forward Currency Contracts – (0.01%) Market Value Shareholders’ Unrealised %of Holdings Security Description USD Equity Maturity Amount Amount Loss Shareholders’ Date Bought Sold USD Equity Common Stocks – (continued) 03/06/2009 USD 328,996 ZAR 2,726,618 (13,603) (0.01) Taiwan 411,530 Advanced Semiconductor Engineering, UNREALISED LOSS ON FORWARD Inc.—ADR(a) (Semiconductors) 1,296,319 1.13 CURRENCY CONTRACTS (13,603) (0.01) 2,660,000 Chinatrust Financial Holding Co., Ltd. (Diversified Financial Services) 1,746,828 1.53 MARKET VALUE OF INVESTMENTS 530,131 Chunghwa Telecom Co., Ltd. ( c o s t U S D 1 0 6 , 0 9 8 , 7 3 3 ) 113,487,133 99.33 (Telecommunications) 1,006,354 0.88 695,300 HON HAI Precision Industry Co., Ltd. O T H E R A S S E T S A N D L I A B I L I T I E S 766,638 0.67 (Electronics) 2,632,121 2.30 SHAREHOLDERS’ EQUITY 114,253,771 100.00 151,820 Media Tek, Inc. (Semiconductors) 1,869,362 1.64 588,000 Novatek Microelectronics Corp., Ltd. %of (Semiconductors) 1,427,411 1.25 Market Value Shareholders’ 1,985,382 Taiwan Semiconductor Manufacturing Co., TOTAL INVESTMENTS USD Equity Ltd. (Semiconductors) 3,664,022 3.21 13,642,417 11.94 Total Investments excluding forward currency contracts (cost USD 106,098,733) 113,500,736 99.34 Unrealised loss on forward currency contracts (13,603) (0.01) Turkey Other Assets and Liabilities 766,638 0.67 431,680 Turk Telekomunikasyon AS (Telecommunications) 1,199,150 1.05 Shareholders’ Equity 114,253,771 100.00 203,321 Turkcell Iletisim Hizmet AS (Telecommunications) 1,075,493 0.94 The counterparty for forward currency contracts was State Street Bank 531,177 Turkiye Is Bankasi (Banks) 1,827,187 1.60 London. (a) 4,101,830 3.59 Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). United States (b) This security is admitted to an official exchange listing. 64,621 Southern Copper Corp. (Mining) 1,325,377 1.16 (c) The yield for this fund as at 31 May 2009 was 0.530%. TOTAL COMMON STOCKS (d) A related party to Goldman Sachs Funds. ( c o s t U S D 1 0 3 , 9 5 6 , 3 5 5 ) 111,342,309 97.45

Mutual Funds – 1.19% %of United States Allocation of Portfolio as at 31 May 2009 Net Assets 41,913 Vanguard Emerging Markets ETF 1,354,209 1.19

TOTAL MUTUAL FUNDS Common Stocks Oil & Gas 15.26 ( c o s t U S D 1 , 3 3 8 , 1 6 0 ) 1,354,209 1.19 Telecommunications 12.44 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Banks 10.93 Semiconductors 10.33 OFFICIAL EXCHANGE LISTING Mining 8.28 ( c o s t U S D 1 0 5 , 2 9 4 , 5 1 5 ) 112,696,518 98.64 Diversified Financial Services 4.93 Electronics 3.02 Mutual Funds – 0.70% Food, Beverages & Tobacco 2.90 United States Pharmaceuticals 2.73 Real Estate 2.63 804,218 Goldman Sachs US$ Liquid Reserves Other 24.00 Fund(b)(c)(d) 804,218 0.70 T O T A L C O M M O N S T O C K S 97.45 TOTAL MUTUAL FUNDS ( c o s t U S D 8 0 4 , 2 1 8 ) 804,218 0.70 Other Net Assets 2.55

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD T O T A L 100.00 CURRENCY CONTRACTS ( c o s t U S D 1 0 6 , 0 9 8 , 7 3 3 ) 113,500,736 99.34

The accompanying notes are an integral part of these financial statements.

16 Goldman Sachs Funds—Global Emerging Markets Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.78% China – (continued) 4,238,000 Zijin Mining Group Co., Ltd. “H” (Mining) 3,822,030 0.79 Brazil 64,800 All America Latina Logistica S.A. 55,359,968 11.40 (Transportation) 375,889 0.08 (a) 385,859 Banco Bradesco S.A.—ADR (Banks) 5,857,340 1.21 Egypt 359,891 BM&FBOVESPA S.A. (Diversified 317,762 Commercial International Bank (Banks) 2,588,669 0.53 Financial Services) 2,015,026 0.41 36,548 Companhia de Bebidas das Americas— Hong Kong (a) ADR (Food, Beverages & Tobacco) 2,389,874 0.49 1,433,000 China Mengniu Dairy Co., Ltd. (Food, 65,664 Companhia Energetica de Sao Paulo— Beverages & Tobacco) 3,046,628 0.63 Preferred “B” (Electric) 562,740 0.12 1,394,750 China Mobile Ltd. (Telecommunications) 13,581,588 2.79 718,800 Companhia Vale do Rio Doce “A”— 1,959,520 China Overseas Land & Investment Ltd. Preferred (Mining) 11,783,606 2.43 (Real Estate) 4,119,883 0.85 35,400 Cyrela Brazil Realty S.A. (Real Estate) 262,844 0.05 898,000 China Resources Land Ltd. (Real Estate) 2,100,591 0.43 50,188 Eletropaulo Metropolitana Eletricidade de 3,890,000 CNOOC Ltd. (Oil & Gas) 5,153,859 1.06 Sao Paulo S.A.—Preferred “B” (Electric) 761,997 0.16 613,000 Shanghai Industrial Holdings Ltd. 302,700 Gerdau S.A.—Preferred (Iron/Steel) 3,120,902 0.64 (Holding Companies—Diversified) 2,416,854 0.50 383,269 Itau Unibanco Holding S.A.—ADR(a) (Banks) 6,208,958 1.28 30,419,403 6.26 259,300 Lojas Renner S.A. (Retail) 2,767,611 0.57 1 NET Servicos de Comunicacao S.A.— India Preferred (Media) 9 0.00 16,236 Adani Enterprises Ltd. 107,700 Perdigao S.A. (Food, Beverages & (Distribution/Wholesale) 232,095 0.05 Tobacco) 2,118,688 0.44 108,689 Axis Bank Ltd. (Banks) 1,799,874 0.37 495,380 Petroleo Brasileiro S.A.—ADR(a) (Oil & 383,208 Crompton Greaves Ltd. (Electrical Gas) 17,159,963 3.53 Components & Equipment) 2,143,342 0.44 173,700 Tele Norte Leste Participacoes S.A.— 50,734 Glenmark Pharmaceuticals Ltd. ADR(a) (Telecommunications) 3,039,750 0.63 (Pharmaceuticals) 241,051 0.05 138,800 Tractebel Energia S.A. (Electric) 1,286,132 0.26 2,129,426 GVK Power & Infrastructure Ltd. 51,800 Ultrapar Participacoes S.A.—Preferred (Electric) 2,062,317 0.42 (Chemicals) 1,654,203 0.34 256,274 HCL Technologies Ltd. (Software) 906,831 0.19 51,800 Usinas Siderurgicas de Minas Gerais 120,229 HDFC Bank Ltd. (Banks) 3,703,043 0.76 S.A.—Preferred (Iron/Steel) 986,878 0.20 195,963 Hindustan Construction Co. 93,956 Vivo Participacoes S.A.—ADR(a) (Construction & Engineering) 492,883 0.10 (Telecommunications) 1,860,329 0.38 31,422 Housing Development Finance Corp. (Diversified Financial Services) 1,446,178 0.30 64,212,739 13.22 111,089 ICICI Bank Ltd. (Banks) 1,728,823 0.36 341,979 Idea Cellular Ltd. (Telecommunications) 600,592 0.12 China 418,867 Indiabulls Real Estate Ltd. (Real Estate) 2,165,028 0.45 332,000 Anhui Conch Cement Co., Ltd. “H” 577,400 Indiabulls Securities Ltd. (Diversified (Building Materials) 2,368,487 0.49 Financial Services) 658,521 0.13 2,618,000 Belle International Holdings Ltd. (Retail) 2,033,427 0.42 73,900 Infosys Technologies Ltd.—Demat 8,438,000 China Construction Bank Corp. “H” (Software) 2,505,450 0.52 (Banks) 5,449,462 1.12 238,252 ITC Ltd. (Agriculture) 935,008 0.19 1,981,000 China Life Insurance Co., Ltd. “H” 74,634 JSW Steel Ltd. (Iron/Steel) 868,873 0.18 (Insurance) 7,204,367 1.48 82,612 Lanco Infratech Ltd. (Electric) 650,754 0.13 1,572,350 China Merchants Bank Co., Ltd. “H” 63,673 LIC Housing Finance (Diversified (Banks) 3,192,561 0.66 Financial Services) 714,927 0.15 5,732,000 China Petroleum & Chemical Corp. “H” 30,233 Lupin Ltd. (Pharmaceuticals) 537,413 0.11 (Oil & Gas) 4,635,894 0.95 40,248 Mphasis Ltd. (Software) 283,020 0.06 2,406,000 China Railway Group Ltd. “H” 101,931 Reliance Industries Ltd. (Oil & Gas) 4,872,973 1.00 (Construction & Engineering) 1,964,802 0.40 106,299 Reliance Infrastructure Ltd. (Electric) 2,844,455 0.59 2,714,000 China Shanshui Cement Group Ltd. 147,149 Shree Renuka Sugars Ltd. (Food, (Building Materials) 1,678,250 0.35 Beverages & Tobacco) 391,488 0.08 1,202,500 China Shenhua Energy Co., Ltd. “H” 170,515 Sterlite Industries India Ltd. (Metal (Coal) 3,969,167 0.82 Fabricate/Hardware) 2,248,855 0.46 515,000 China Yurun Food Group Ltd. (Food, 49,297 Tata Power Co., Ltd. (Electric) 1,116,221 0.23 Beverages & Tobacco) 717,760 0.15 31,509 United Spirits Ltd. (Food, Beverages & 3,032,000 Huaneng Power International, Inc. “H” Tobacco) 567,444 0.12 (Electric) 2,000,196 0.41 365,322 Yes Bank Ltd. (Banks) 972,293 0.20 11,287,000 Industrial & Commercial Bank of China “H” (Banks) 7,049,841 1.45 37,689,752 7.76 2,100,000 Maanshan Iron & Steel “H” (Iron/Steel) 1,153,805 0.24 3,428,000 PetroChina Co., Ltd. “H” (Oil & Gas) 3,943,192 0.81 1,116,000 Weichai Power Co., Ltd. “H” (Auto Parts & Equipment) 4,176,727 0.86

The accompanying notes are an integral part of these financial statements.

17 Goldman Sachs Funds—Global Emerging Markets Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Indonesia Mexico – (continued) 4,100,000 Bank Rakyat Indonesia (Banks) 2,476,722 0.51 2,405,819 Corp. Moctezuma S.A. de CV (Building 13,843,000 Bumi Resources Tbk PT (Coal) 2,616,404 0.54 Materials) 4,547,167 0.94 88,812 Desarrolladora Homex SAB de CV— 5,093,126 1.05 ADR(a) (Home Builders) 2,386,379 0.49 142,400 Grupo Televisa S.A.—ADR(a) (Media) 2,513,360 0.52 Israel 145,700 Check Point Software Technologies Ltd. 15,387,197 3.17 (Internet) 3,396,267 0.70 277,319 Israel Chemicals Ltd. (Chemicals) 3,091,786 0.64 Russia 148,810 Teva Pharmaceutical Industries Ltd.— 455,936 Comstar United Telesystems OJSC— ADR(a) (Pharmaceuticals) 6,904,784 1.42 GDR(a) (Diversified Financial Services) 2,243,205 0.46 668,670 OAO Gazprom—ADR(a) (Oil & Gas) 15,372,723 3.17 13,392,837 2.76 36,012,681 OGK-4 OJSC (Electric) 1,404,495 0.29 3,297,867 Sberbank RF (Banks) 4,666,482 0.96 Kazakhstan (a) 417,999 Severstal—GDR (Mining) 2,368,800 0.49 174,550 KazMunaiGas Exploration Production— (a) 516,533 Vimpel-Communications—ADR GDR(a) (Oil & Gas) 3,838,354 0.79 (Telecommunications) 7,014,518 1.44 + 291,532 X 5 Retail Group NV—GDR(a) (Food, Korea Beverages & Tobacco) 4,664,512 0.96 64,970 Hana Tour Service Inc. (Leisure Time) 1,860,344 0.38 236,170 Hansol Paper Co. (Forest Products & 37,734,735 7.77 Paper) 1,716,062 0.35 9,508 Hite Brewery Co., Ltd. (Food, South Africa Beverages & Tobacco) 1,184,054 0.24 801,070 African Bank Investments Ltd. (Diversified 129,253 Hynix Semiconductor, Inc. Financial Services) 2,617,530 0.54 (a) (Semiconductors) 1,319,841 0.27 146,200 AngloGold Ashanti Ltd.—ADR (Mining) 6,184,260 1.27 158,940 Hyundai Development Co. (Home 215,206 Impala Platinum Holdings Ltd. (Mining) 5,219,869 1.07 Builders) 5,152,213 1.06 554,804 JD Group Ltd. (Retail) 2,618,168 0.54 24,130 Hyundai Engineering & Construction Co., 619,700 MTN Group Ltd. (Telecommunications) 8,983,530 1.85 Ltd. (Construction & Engineering) 1,231,222 0.25 148,457 Naspers Ltd. (Media) 3,556,266 0.73 13,820 Hyundai Heavy Industries (Shipbuilding) 2,358,170 0.49 923,990 Pretoria Portland Cement Co., Ltd. 52,430 Hyundai Mobis (Auto Parts & Equipment) 4,917,253 1.01 (Building Materials) 3,553,339 0.73 655,550 Korea Exchange Bank (Banks) 4,774,448 0.98 921,900 Sappi Ltd. (Forest Products & Paper) 3,183,820 0.66 97,590 Korean Air Lines Co., Ltd. (Airlines) 2,905,579 0.60 148,551 Sasol Ltd. (Oil & Gas) 5,619,400 1.16 493,790 Korean Reinsurance Co. (Insurance) 4,648,280 0.96 235,122 Standard Bank Group Ltd. (Banks) 2,437,785 0.50 14,134 LG Chemical Ltd. (Chemicals) 1,718,471 0.35 586,984 Telkom S.A. Ltd. (Telecommunications) 2,655,686 0.55 142,420 LG Dacom Corp. (Internet) 2,078,366 0.43 46,629,653 9.60 76,320 LG Display Co., Ltd. (Electronics) 1,784,752 0.37 11,060 LG Electronics, Inc. (Electrical Taiwan Components & Equipment) 1,053,709 0.22 4,219,949 Advanced Semiconductor Engineering, 11,310 Lotte Shopping Co., Ltd. (Retail) 2,160,058 0.45 Inc. (Semiconductors) 2,621,512 0.54 50,710 Mirae Asset Securities Co., Ltd. 3,102,000 Cathay Financial Holding Co., Ltd. (Diversified Financial Services) 3,026,106 0.62 (Insurance) 5,014,654 1.03 7,090 POSCO (Iron/Steel) 2,357,601 0.49 8,973,001 Chinatrust Financial Holding Co., Ltd. 45,430 Samsung Card Co. (Diversified Financial (Diversified Financial Services) 5,892,590 1.21 Services) 1,713,539 0.35 1,228,570 Chunghwa Telecom Co., Ltd. 9,860 Samsung Electronics Co., Ltd. (Telecommunications) 2,332,209 0.48 (Semiconductors) 4,364,796 0.90 1,458,000 Far Eastern Textile Co., Ltd. (Apparel) 1,653,481 0.34 31,540 Samsung Electronics Co., Ltd.— 3,435,395 HON HAI Precision Industry Co., Ltd. Preferred (Semiconductors) 9,226,126 1.90 (Electronics) 13,004,997 2.68 17,032 SK Energy Co., Ltd. (Oil & Gas) 1,434,003 0.30 539,710 Media Tek, Inc. (Semiconductors) 6,645,456 1.37 62,984,993 12.97 5,354,000 Micro-Star International Co., Ltd. (Electronics) 3,827,227 0.79 Luxembourg 1,491,000 Novatek Microelectronics Corp., Ltd. 118,646 Evraz Group S.A.—GDR(a) (Iron/Steel) 2,800,046 0.58 (Semiconductors) 3,619,505 0.75 3,082,490 Taiwan Cement Corp. (Building Materials) 3,224,981 0.66 Malaysia 688,000 Taiwan Fertilizer Co., Ltd. (Chemicals) 2,182,333 0.45 5,831,000 Resorts World Bhd (Lodging) 4,599,473 0.95 7,535,227 Taiwan Semiconductor Manufacturing Co., Ltd. (Semiconductors) 13,906,260 2.86 Mexico 63,925,205 13.16 108,900 America Movil SAB de CV—ADR “L”(a) (Telecommunications) 4,217,697 0.87 972,701 Corp. GEO S.A.—Series B (Home Builders) 1,722,594 0.35

The accompanying notes are an integral part of these financial statements.

18 Goldman Sachs Funds—Global Emerging Markets Equity Portfolio Schedule of Investments As at 31 May 2009

%of Futures Contracts – 0.01% Market Value Shareholders’ Unrealised %of Holdings Security Description USD Equity Number of Gain Shareholders’ Contracts Security Description USD Equity Common Stocks – (continued) USD Thailand 143 SGX CNX Nifty Index 25/06/09 Long 58,788 0.01 2,876,100 Kasikornbank PCL (Banks) 4,877,289 1.01 2,788,300 Thai Oil PCL (Oil & Gas) 3,310,700 0.68 UNREALISED GAIN ON FUTURES 4,767,900 Thoresen Thai Agencies PCL CONTRACTS 58,788 0.01 (Transportation) 3,056,346 0.63 MARKET VALUE OF INVESTMENTS 11,244,335 2.32 ( c o s t U S D 4 3 3 , 7 3 9 , 1 1 0 ) 478,906,922 98.61

Turkey O T H E R A S S E T S A N D L I A B I L I T I E S 6,730,763 1.39 1,280,824 Turk Telekomunikasyon AS (Telecommunications) 3,557,960 0.73 SHAREHOLDERS’ EQUITY 485,637,685 100.00 539,312 Turkcell Iletisim Hizmet AS (Telecommunications) 2,852,762 0.59 %of 1,827,703 Turkiye Is Bankasi (Banks) 6,287,085 1.29 Market Value Shareholders’ TOTAL INVESTMENTS USD Equity 12,697,807 2.61 Total Investments excluding futures contracts United States (cost USD 433,739,110) 478,848,134 98.60 208,343 Southern Copper Corp. (Mining) 4,273,115 0.88 Unrealised gain on futures contracts 58,788 0.01 Other Assets and Liabilities 6,730,763 1.39 TOTAL COMMON STOCKS ( c o s t U S D 4 2 7 , 9 7 1 , 9 0 7 ) 474,871,407 97.78 Shareholders’ Equity 485,637,685 100.00 The Futures Clearing Merchant was Goldman, Sachs & Co. Warrants – 0.17% + A portion of these securities were on loan at 31 May 2009. See Note 5. United Kingdom 1,820,069 Global Investment House KSCC exp. (a) Security holding is traded/held in USD. (ADR: American Depositary 03/18(b) (Banks) 800,830 0.17 Receipt/GDR: Global Depositary Receipt). (b) TOTAL WARRANTS These securities are fair valued. See Note 3(e) ( c o s t U S D 2 , 9 4 1 , 2 3 2 ) 800,830 0.17 (c) The yield for this fund as at 31 May 2009 was 0.530%. TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN (d) This security is admitted to an official exchange listing. OFFICIAL EXCHANGE LISTING (e) ( c o s t U S D 4 3 0 , 9 1 3 , 1 3 9 ) 475,672,237 97.95 A related party to Goldman Sachs Funds.

Other Transferable Securities %of Equity Linked Notes – 0.28% Allocation of Portfolio as at 31 May 2009 Net Assets United Kingdom 259,791 Indiabulls Real Estate Ltd.—UBS AG Common Stocks Equity Linked Note(b) (21/05/2012) 1,367,060 0.28 Oil & Gas 13.45 Banks 13.19 TOTAL EQUITY LINKED NOTES Telecommunications 10.43 ( c o s t U S D 1 , 0 1 7 , 1 3 4 ) 1,367,060 0.28 Semiconductors 8.59 Mining 6.93 TOTAL OTHER TRANSFERABLE SECURITIES Diversified Financial Services 4.17 ( c o s t U S D 1 , 0 1 7 , 1 3 4 ) 1,367,060 0.28 Electronics 3.84 Insurance 3.47 Mutual Funds – 0.37% Building Materials 3.17 United States Food, Beverages & Tobacco 3.11 1,808,837 Goldman Sachs US$ Liquid Reserves Other 27.43 Fund(c)(d)(e) 1,808,837 0.37 T O T A L C O M M O N S T O C K S 97.78 TOTAL MUTUAL FUNDS ( c o s t U S D 1 , 8 0 8 , 8 3 7 ) 1,808,837 0.37 Warrants Banks 0.17 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS TOTAL WARRANTS 0.17 ( c o s t U S D 4 3 3 , 7 3 9 , 1 1 0 ) 478,848,134 98.60 Equity Linked Notes Banks 0.28

T O T A L E Q U I T Y L I N K E D N O T E S 0.28

Other Net Assets 1.77

T O T A L 100.00

The accompanying notes are an integral part of these financial statements.

19 Goldman Sachs Funds—Global Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 95.35% Japanese Yen – (continued) 3,200 East Japan Railway Co. (Transportation) 189,421 0.39 British Pound Sterling 8,000 FUJIFILM Holdings Corp. (Miscellaneous 38,192 Amlin Plc. (Insurance) 215,806 0.44 Manufacturing) 230,332 0.47 21,458 BG Group Plc. (Oil & Gas) 391,050 0.81 34,000 Fujitsu Ltd. (Computers) 173,840 0.36 91,600 BP Plc. (Oil & Gas) 756,224 1.56 3,400 Funai Electric Co., Ltd. (Electrical 71,686 HSBC Holdings Plc. (Banks) 644,516 1.33 Components & Equipment) 121,443 0.25 14,244 Imperial Tobacco Group Plc. (Agriculture) 368,202 0.76 11,000 Hitachi Metals Ltd. (Iron/Steel) 101,496 0.21 9,769 Rio Tinto Plc. (Mining) 441,918 0.91 4,800 Honda Motor Co., Ltd. (Automobile 24,353 Schroders Plc. (Diversified Financial Manufacturers) 137,527 0.28 Services) 339,938 0.70 38 Japan Tobacco, Inc. (Agriculture) 107,988 0.22 28,642 Shire Ltd. (Pharmaceuticals) 395,643 0.81 7,800 Kansai Electric Power Co., Inc. (Electric) 168,750 0.35 19,785 Smiths Group Plc. (Miscellaneous 41 KDDI Corp. (Telecommunications) 212,342 0.44 Manufacturing) 230,785 0.48 12,700 Komatsu Ltd. (Machinery-Construction & 64,698 Standard Life Plc. (Insurance) 206,647 0.43 Mining) 181,990 0.37 95,017 Tesco Plc. (Food, Beverages & Tobacco) 560,156 1.15 13,500 Kuraray Co., Ltd. (Textiles) 134,135 0.28 32,208 WPP Plc. (Media) 238,972 0.49 2,200 Kyocera Corp. (Electronics) 170,773 0.35 4,789,857 9.87 4,300 Kyushu Elec Power Co., Inc. (Electric) 89,839 0.19 2,400 Mabuchi Motor Co., Ltd. (Electronics) 118,118 0.24 Canadian Dollar 8,600 Matsushita Electric Industrial Co., Ltd. 2,600 Potash Corp. Saskatchewan (Chemicals) 295,159 0.61 (Home Furnishings) 122,014 0.25 6,500 Research in Motion Ltd. (Computers) 509,860 1.05 5,000 McDonald’s Japan Holdings Co., Ltd. (Retail) 97,611 0.20 805,019 1.66 7,900 Mitsubishi Corp. (Distribution/Wholesale) 147,718 0.30 49,000 Mitsubishi Tokyo Financial Group, Inc. Danish Krone (Banks) 306,471 0.63 11,078 Novo Nordisk A/S “B” (Pharmaceuticals) 576,148 1.19 17,200 Mitsui & Co., Ltd. (Distribution/Wholesale) 217,009 0.45 13,000 Nippon Electric Glass Co., Ltd. (Electronics) 122,290 0.25 Euro 23,000 Nippon Sheet Glass Co., Ltd. (Building 5,146 Air Liquide S.A. (Chemicals) 475,914 0.98 Materials) 65,168 0.13 15,593 AXA S.A. (Insurance) 288,371 0.59 + 2,200 Nissha Printing Co., Ltd. (Electronics) 90,127 0.19 + 22,435 Azimut Holding SpA (Diversified Financial 17,300 Nomura Holdings, Inc. (Diversified Financial Services) 208,085 0.43 Services) 129,063 0.27 62,402 Banca Intesa SpA (Banks) 220,729 0.45 192 NTT Urban Development Corp. (Real 40,272 Banco Santander Central Hispano S.A. Estate) 179,161 0.37 (Banks) 425,505 0.88 1,030 ORIX Corp. (Diversified Financial Services) 64,495 0.13 10,625 CRH Plc. (Building Materials) 251,726 0.52 4,800 Seven & I Holdings Co., Ltd. (Retail) 115,264 0.24 + 11,714 E.ON AG (Electric) 411,952 0.85 1,400 Shin-Etsu Chemical Co., Ltd. (Chemicals) 72,252 0.15 14,728 Grifols S.A. (Pharmaceuticals) 264,479 0.54 12,900 Showa Shell Sekiyu KK (Oil & Gas) 126,036 0.26 21,436 Mediobanca SpA (Diversified Financial 27 Sony Financial Holdings, Inc. (Insurance) 78,003 0.16 Services) 256,122 0.53 50,000 Sumitomo Metal Industries Ltd. (Iron/Steel) 132,981 0.27 14,605 Nokian Renkaat Oyj (Auto Parts & 10,000 Sumitomo Metal Mining Co., Ltd. (Mining) 140,568 0.29 Equipment) 275,456 0.57 2,300 Sumitomo Mitsui Financial Group, Inc. 28,821 Royal KPN NV (Telecommunications) 377,047 0.78 (Banks) 87,566 0.18 + 7,784 SAP AG (Software) 333,258 0.69 11,000 Tanabe Seiyaku Co., Ltd. (Pharmaceuticals) 120,969 0.25 1,127 SES S.A. (Telecommunications) 22,305 0.04 14,000 Toppan Printing Co., Ltd. (Commercial 10,376 SES S.A. (Telecommunications) 205,941 0.42 Services) 124,845 0.26 + 4,090 Société Générale “A” (Banks) 236,552 0.49 20,000 Toshiba Corp. (Electrical Components & 24,350 Telefonica S.A. (Telecommunications) 522,797 1.08 Equipment) 74,042 0.15 111,253 Terna Rete Elettrica Nazionale SpA 6,900 Toyota Motor Corp. (Automobile (Electric) 407,649 0.84 Manufacturers) 273,317 0.56 9,724 Total S.A. (Oil & Gas) 558,974 1.15 5,526,433 11.38 20,834 Vivendi S.A. (Media) 545,763 1.12

6,288,625 12.95 Norwegian Kroner 42,965 ProSafe SE (Oil & Gas Services) 218,275 0.45 Hong Kong Dollar 10,000 Hang Seng Bank Ltd. (Banks) 142,404 0.29 Singapore Dollar 19,000 Sun Hung Kai Properties Ltd. (Real Estate) 235,032 0.49 67,000 Singapore Press Holdings Ltd. (Media) 137,044 0.28 377,436 0.78 19,000 United Overseas Bank Ltd. (Banks) 186,762 0.39 323,806 0.67 Japanese Yen 4,500 ABC-Mart, Inc. (Retail) 100,867 0.21 22,000 Chiba Bank Ltd. (Banks) 131,846 0.27 7,000 Daiichi Sankyo Co., Ltd. (Pharmaceuticals) 130,248 0.27 5,900 Denso Corp. (Auto Parts & Equipment) 138,508 0.29

The accompanying notes are an integral part of these financial statements.

20 Goldman Sachs Funds—Global Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Swedish Krona United States Dollar – (continued) + 26,600 Atlas Copco AB “B” (Machinery- 7,560 Johnson Controls, Inc. (Auto Parts & Construction & Mining) 238,225 0.49 Equipment) 146,740 0.30 31,964 Nordea Bank AB (Banks) 255,209 0.53 17,935 JP Morgan Chase & Co. (Banks) 649,068 1.34 4,413 Kraft Foods, Inc. “A” (Food, Beverages & 493,434 1.02 Tobacco) 113,370 0.23 6,680 Laboratory Corp of America Holdings Swiss Franc (Healthcare Services) 409,083 0.84 9,178 Crédit Suisse Group (Banks) 407,283 0.84 21,417 Microsoft Corp. (Software) 437,121 0.90 3,502 Kuehne & Nagel International AG 11,183 Morgan Stanley (Banks) 335,266 0.69 (Transportation) 270,930 0.56 6,447 Mosaic Co. (Chemicals) 352,586 0.73 161 Lindt & Spruengli AG (Food, Beverages & 4,151 Nike, Inc. “B” (Apparel) 233,784 0.48 Tobacco) 289,806 0.60 28,232 Oracle Corp. (Software) 549,395 1.13 5,164 Roche Holding AG (Pharmaceuticals) 701,248 1.44 9,464 PepsiCo, Inc. (Food, Beverages & Tobacco) 485,503 1.00 1,159 Straumann Holding AG (Healthcare 19,277 Philip Morris International, Inc. (Agriculture) 812,911 1.68 Products) 216,191 0.44 3,377 Procter & Gamble Co. (Cosmetics/Personal 4,079 Synthes, Inc. (Healthcare Products) 416,574 0.86 Care) 175,435 0.36 2,302,032 4.74 3,149 Schlumberger Ltd. (Oil & Gas Services) 179,052 0.37 5,155 Smith International, Inc. (Oil & Gas United States Dollar Services) 146,196 0.30 42,847 Activision Blizzard, Inc. (Software) 505,166 1.04 123,197 Sprint Nextel Group Corp. 8,931 Aflac, Inc. (Insurance) 311,781 0.64 (Telecommunications) 623,377 1.28 2,217 Apple Computer, Inc. (Computers) 298,120 0.61 10,953 Staples, Inc. (Retail) 215,993 0.45 4,635 Avon Products, Inc. (Cosmetics/Personal 4,473 Target Corp. (Retail) 172,837 0.36 Care) 121,483 0.25 6,984 Thermo Fisher Scientific, Inc. (Electronics) 270,490 0.56 49,792 Bank of America Corp. (Banks) 554,683 1.14 10,439 Time Warner, Inc. (Media) 239,471 0.49 13,391 Baxter International, Inc. (Healthcare 6,091 TJX Cos, Inc. (Retail) 174,081 0.36 Products) 675,040 1.39 6,792 Transocean Ltd. (Oil & Gas) 536,500 1.11 3,698 Becton Dickinson & Co. (Healthcare 15,926 Travelers Cos, Inc. (Insurance) 634,492 1.31 Products) 246,952 0.51 12,598 Viacom, Inc. “B” (Media) 275,140 0.57 7,548 Biogen Idec, Inc. (Biotechnology) 384,646 0.79 5,319 Visa, Inc. “A” (Commercial Services) 356,267 0.73 12,056 Boeing Co. (Aerospace & Defence) 533,960 1.10 10,954 Wal-Mart Stores, Inc. (Retail) 538,280 1.11 5,138 CH Robinson Worldwide, Inc. 11,473 Waste Management, Inc. (Environmental (Transportation) 260,548 0.54 Control) 314,131 0.65 19,246 Cisco Systems, Inc. (Telecommunications) 351,047 0.72 14,373 Weatherford International Ltd. (Oil & Gas 38,728 Comcast Corp. “A” New (Media) 521,279 1.07 Services) 295,078 0.61 1 Delphi Corp. (Auto Parts & Equipment) — — 16,408 WellPoint, Inc. (Healthcare Services) 764,449 1.58 7,971 Devon Energy Corp. (Oil & Gas) 504,325 1.04 7,775 Wells Fargo & Co. (Banks) 188,855 0.39 18,372 DISH Network Corp. (Media) 296,340 0.61 24,580,711 50.64 21,422 Dow Chemical Co. (Chemicals) 371,672 0.77 7,004 Emerson Electric Co. (Electrical TOTAL COMMON STOCKS Components & Equipment) 224,968 0.46 ( c o s t U S D 4 9 , 3 7 8 , 1 8 1 ) 46,281,776 95.35 10,003 Entergy Corp. (Electric) 745,023 1.54 9,464 EOG Resources, Inc. (Oil & Gas) 686,708 1.41 Mutual Funds – 3.29% 6,731 Exxon Mobil Corp. (Oil & Gas) 467,805 0.96 5,672 FirstEnergy Corp. (Electric) 214,855 0.44 United States Dollar 6,604 Franklin Resources, Inc. (Diversified 98,232 iShares MSCI Australia Index Fund 1,596,270 3.29 Financial Services) 428,798 0.88 1,596,270 3.29 5,076 Freeport-McMoRan Copper & Gold, Inc. (Mining) 271,972 0.56 TOTAL MUTUAL FUNDS 6,508 General Mills, Inc. (Food, Beverages & ( c o s t U S D 1 , 1 5 0 , 0 5 8 ) 1,596,270 3.29 Tobacco) 333,405 0.69 783 Google, Inc. “A” (Internet) 323,771 0.67 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN 14,024 Hess Corp. (Oil & Gas) 937,364 1.93 OFFICIAL EXCHANGE LISTING 24,219 Hewlett-Packard Co. (Computers) 831,196 1.71 ( c o s t U S D 5 0 , 5 2 8 , 2 3 9 ) 47,878,046 98.64 11,781 Honeywell International, Inc. (Miscellaneous MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES Manufacturing) 383,354 0.79 CONTRACTS 21,908 Intel Corp. (Semiconductors) 334,754 0.69 ( c o s t U S D 5 0 , 5 2 8 , 2 3 9 ) 47,878,046 98.64 3,100 International Business Machines Corp. (Computers) 323,330 0.67 22,457 Invesco Ltd. (Diversified Financial Services) 343,368 0.71 3,094 JC Penney Co., Inc. (Retail) 78,866 0.16 20,007 Johnson & Johnson (Healthcare Products) 1,089,181 2.24

The accompanying notes are an integral part of these financial statements.

21 Goldman Sachs Funds—Global Equity Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – 0.01% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

EUR 6 DJ EURO STOXX 50 Index 19/06/09 Long 2,454 0.01

GBP 1 FTSE 100 Index 19/06/09 Long 1,107 0.00

UNREALISED GAIN ON FUTURES CONTRACTS 3,561 0.01

MARKET VALUE OF INVESTMENTS ( c o s t U S D 5 0 , 5 2 8 , 2 3 9 ) 47,881,607 98.65

O T H E R A S S E T S A N D L I A B I L I T I E S 656,658 1.35

SHAREHOLDERS’ EQUITY 48,538,265 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 50,528,239) 47,878,046 98.64 Unrealised gain on futures contracts 3,561 0.01 Other Assets and Liabilities 656,658 1.35

Shareholders’ Equity 48,538,265 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. + A portion of these securities were on loan at 31 May 2009. See Note 5.

%of Allocation of Portfolio as at 31 May 2009 Net Assets

Common Stocks Oil & Gas 10.23 Banks 9.84 Healthcare Products 5.44 Telecommunications 4.76 Media 4.63 Pharmaceuticals 4.50 Computers 4.40 Electric 4.21 Software 3.76 Food, Beverages & Tobacco 3.67 Other 39.91

T O T A L C O M M O N S T O C K S 95.35

Other Net Assets 4.65

T O T A L 100.00

The accompanying notes are an integral part of these financial statements.

22 Goldman Sachs Funds—Global Equity Partners Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 98.24% United States Dollar – (continued) 42,276 Franklin Resources, Inc. (Diversified British Pound Sterling Financial Services) 2,744,981 1.67 213,080 BG Group Plc. (Oil & Gas) 3,883,164 2.36 4,176 Google, Inc. “A” (Internet) 1,726,776 1.05 306,100 BP Plc. (Oil & Gas) 2,527,075 1.54 104,661 H&R Block, Inc. (Commercial Services) 1,495,606 0.91 366,655 HSBC Holdings Plc. (Banks) 3,296,527 2.00 75,406 Hess Corp. (Oil & Gas) 5,040,137 3.07 71,881 Rio Tinto Plc. (Mining) 3,251,667 1.98 92,665 Hewlett-Packard Co. (Computers) 3,180,263 1.93 2,880 Standard Life Plc. (Insurance) 9,200 0.01 96,584 Honeywell International, Inc. 570,805 Tesco Plc. (Food, Beverages & Tobacco) 3,365,081 2.04 (Miscellaneous Manufacturing) 3,142,843 1.91 16,332,714 9.93 72,682 Johnson & Johnson (Healthcare Products) 3,956,808 2.41 Euro 130,865 Johnson Controls, Inc. (Auto Parts & 321,572 Banco Santander Central Hispano S.A. Equipment) 2,540,090 1.55 (Banks) 3,397,656 2.07 45,539 Laboratory Corp of America Holdings 255,265 Mediobanca SpA (Diversified Financial (Healthcare Services) 2,788,808 1.70 Services) 3,049,959 1.86 93,088 Nike, Inc. “B” (Apparel) 5,242,716 3.19 23,098 Mu¨nchener Ru¨ckversicherungs AG 105,421 Philip Morris International, Inc. (Insurance) 3,225,736 1.96 (Agriculture) 4,445,604 2.70 + 39,650 SAP AG (Software) 1,697,545 1.03 295,954 Sprint Nextel Group Corp. 71,471 SES S.A. (Telecommunications) 1,418,545 0.86 (Telecommunications) 1,497,527 0.91 + 60,666 Total S.A. (Oil & Gas) 3,487,324 2.12 66,452 State Street Corp. (Banks) 2,975,721 1.81 33,215 Unilever NV (Food, Beverages & 74,683 Thermo Fisher Scientific, Inc. Tobacco) 792,079 0.48 (Electronics) 2,892,473 1.76 + 117,027 Vivendi S.A. (Media) 3,065,613 1.87 59,329 TJX Cos, Inc. (Retail) 1,695,623 1.03 34,865 Transocean Ltd. (Oil & Gas) 2,753,986 1.68 20,134,457 12.25 94,209 Travelers Cos, Inc. (Insurance) 3,753,287 2.28 64,662 Wal-Mart Stores, Inc. (Retail) 3,177,491 1.93 Japanese Yen 89,607 Waste Management, Inc. (Environmental 116,300 FUJIFILM Holdings Corp. (Miscellaneous Control) 2,453,440 1.49 Manufacturing) 3,348,445 2.04 83,270 WellPoint, Inc. (Healthcare Services) 3,879,549 2.36 158,600 Matsushita Electric Industrial Co., Ltd. 63,557 WR Berkley Corp. (Insurance) 1,360,755 0.83 (Home Furnishings) 2,250,158 1.37 177,000 Mitsubishi Corp. (Distribution/Wholesale) 3,309,625 2.01 96,102,099 58.46 45,400 Shin-Etsu Chemical Co., Ltd. (Chemicals) 2,343,026 1.42 TOTAL COMMON STOCKS 137,000 Sumitomo Metal Mining Co., Ltd. (Mining) 1,925,779 1.17 ( c o s t U S D 1 6 0 , 3 3 8 , 4 6 6 ) 161,503,537 98.24 13,177,033 8.01 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING Swedish Krona ( c o s t U S D 1 6 0 , 3 3 8 , 4 6 6 ) 161,503,537 98.24 403,406 Nordea Bank AB (Banks) 3,220,892 1.96 MARKET VALUE OF INVESTMENTS Swiss Franc ( c o s t U S D 1 6 0 , 3 3 8 , 4 6 6 ) 161,503,537 98.24 89,852 Nestlé S.A. (Food, Beverages & Tobacco) 3,243,119 1.97 35,215 Roche Holding AG (Pharmaceuticals) 4,782,041 2.91 O T H E R A S S E T S A N D L I A B I L I T I E S 2,892,898 1.76 11,143 Syngenta AG (Chemicals) 2,691,697 1.64 + 17,816 Synthes, Inc. (Healthcare Products) 1,819,485 1.11 SHAREHOLDERS’ EQUITY 164,396,435 100.00

12,536,342 7.63 %of Market Value Shareholders’ United States Dollar TOTAL INVESTMENTS USD Equity 230,150 Bank of America Corp. (Banks) 2,563,871 1.56 Total Investments (cost USD 160,338,466) 161,503,537 98.24 42,485 Baxter International, Inc. (Healthcare Other Assets and Liabilities 2,892,898 1.76 Products) 2,141,669 1.30 63,717 Becton Dickinson & Co. (Healthcare Shareholders’ Equity 164,396,435 100.00 Products) 4,255,021 2.59 60,647 Biogen Idec, Inc. (Biotechnology) 3,090,571 1.88 + A portion of these securities were on loan at 31 May 2009. See Note 5. 59,330 Boeing Co. (Aerospace & Defence) 2,627,726 1.60 48,695 Burlington Northern Santa Fe Corp. (Transportation) 3,436,893 2.09 213,612 Cisco Systems, Inc. (Telecommunications) 3,896,283 2.37 159,437 Comcast Corp. “A” New (Media) 2,146,022 1.31 100,349 DISH Network Corp. (Media) 1,618,629 0.98 21,701 Entergy Corp. (Electric) 1,616,290 0.98 54,290 EOG Resources, Inc. (Oil & Gas) 3,939,282 2.40 29,899 Everest Re Group Ltd. (Insurance) 2,025,358 1.23

The accompanying notes are an integral part of these financial statements.

23 Goldman Sachs Funds—Global Equity Partners Portfolio Schedule of Investments As at 31 May 2009

%of Allocation of Portfolio as at 31 May 2009 Net Assets

Common Stocks Oil & Gas 13.17 Banks 9.40 Healthcare Products 7.41 Insurance 6.31 Food, Beverages & Tobacco 4.49 Media 4.16 Telecommunications 4.14 Healthcare Services 4.06 Miscellaneous Manufacturing 3.95 Diversified Financial Services 3.53 Other 37.62

T O T A L C O M M O N S T O C K S 98.24

Other Net Assets 1.76

T O T A L 100.00

The accompanying notes are an integral part of these financial statements.

24 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 93.79% Japanese Yen – (continued) 48,900 Asatsu-DK, Inc. (Advertising) 978,519 1.14 Australian Dollar 42,900 Culture Convenience Club Co., Ltd. 208,194 ABB Grain Ltd. (Agriculture) 1,507,967 1.75 (Retail) 350,760 0.41 124,300 Daibiru Corp. (Real Estate) 1,033,728 1.20 British Pound Sterling 6,200 MEIJI Holdings Co., Ltd. (Food, 95,391 Barratt Developments Plc. (Home Beverages & Tobacco) 206,742 0.24 Builders) 244,270 0.28 39,700 Millea Holdings, Inc. (Insurance) 1,148,706 1.34 427,506 Brit Insurance Holdings Plc. (Insurance) 1,322,650 1.54 80,000 Mitsui Fudosan Co., Ltd. (Real Estate) 1,316,626 1.53 36,267 GlaxoSmithKline Plc. (Pharmaceuticals) 610,539 0.71 45,000 Nippon Yusen KK (Transportation) 212,893 0.25 110,010 Lloyds TSB Group Plc. (Banks) 120,858 0.14 436,000 Nipponkoa Insurance Co., Ltd. 67,425 Persimmon Plc. (Home Builders) 396,512 0.46 (Insurance) 2,513,111 2.92 660,600 Taylor Wimpey Plc. (Home Builders) 341,525 0.40 91,000 Olympus Corp. (Miscellaneous 3,036,354 3.53 Manufacturing) 1,765,874 2.05 187,000 Seino Holdings Corp., Ltd. Canadian Dollar (Transportation) 1,230,114 1.43 2,475,691 Catalyst Paper Corp. (Forest Products & 222,000 Sompo Japan Insurance, Inc. (Insurance) 1,601,850 1.86 Paper) 394,793 0.46 12,580,385 14.63 36,100 Methanex Corp. (Chemicals) 422,713 0.49 191,300 Viterra, Inc. (Transportation) 1,567,147 1.82 Norwegian Kroner 2,384,653 2.77 32,000 DnB NOR ASA (Banks) 264,175 0.31 349,600 Norske Skogindustrier ASA (Forest Euro Products & Paper) 682,677 0.79 27,000 Accor S.A. (Lodging) 1,193,283 1.39 946,852 1.10 61,000 ACS Actividades de Construccion y Servicios S.A. (Construction & Polish Zloty Engineering) 3,166,627 3.68 1,058,033 Netia S.A. (Telecommunications) 1,128,489 1.31 12,062 Allianz AG (Insurance) 1,180,859 1.37 8,200 Andritz AG (Machinery-Diversified) 330,132 0.38 Singapore Dollar 161,709 Anglo Irish Bank Corp., Plc.(a) (Banks) — — 2,074,700 Guoco Leisure Ltd. (Real Estate) 585,161 0.68 115,275 Bank of Ireland (Banks) 276,442 0.32 327,000 WBL Corp., Ltd. (Electronics) 802,173 0.93 7,600 BASF AG (Chemicals) 318,948 0.37 17,700 Cargotec Corp. (Transportation) 293,130 0.34 1,387,334 1.61 17,618 CRH Plc. (Building Materials) 417,399 0.49 208,213 Greencore Group Plc. (Food, South African Rand Beverages & Tobacco) 337,774 0.39 379,000 Metorex Ltd. (Mining) 104,787 0.12 27,961 Greencore Group Plc. (Food, Beverages & Tobacco) 45,557 0.05 South Korean Won 10,300 Hannover Rueckversicherung AG 28,550 LG Corp. (Holding Companies— (Insurance) 384,601 0.45 Diversified) 1,464,405 1.70 10,900 Kone Oyj (Machinery—Diversified) 329,048 0.38 940 Samsung Electronics Co., Ltd. 14,600 Konecranes Oyj (Hand/Machine Tools) 347,034 0.40 (Semiconductors) 416,116 0.49 12,479 Mu¨nchener Ru¨ckversicherungs AG (Insurance) 1,742,747 2.03 1,880,521 2.19 30,957 Nationale A Portefeuille (Investment Companies) 1,603,107 1.86 Taiwan Dollar 50,735 Sampo Oyj (Insurance) 951,872 1.11 4,034,180 United Microelectronics Corp. 19,947 Sanofi-Aventis (Pharmaceuticals) 1,264,814 1.47 (Semiconductors) 1,625,403 1.89 5,100 Solvay S.A. (Chemicals) 464,753 0.54 2,167,330 Yuanta Financial Holding Co., Ltd. 9,100 Technip S.A. (Oil & Gas Services) 446,982 0.52 (Diversified Financial Services) 1,607,984 1.87 40,444 Trevi Finanziaria SpA (Construction & 3,233,387 3.76 Engineering) 473,534 0.55 29,000 YIT Oyj (Construction & Engineering) 305,180 0.36 Thailand Baht 15,873,823 18.45 347,500 Thai Oil PCL (Oil & Gas) 412,606 0.48

Hong Kong Dollar United States Dollar 274,000 Cheung Kong Holdings Ltd. (Real Estate) 3,369,236 3.92 11,000 Ametek, Inc. (Electrical Components & 199,000 Hutchison Whampoa Ltd. (Holding Equipment) 341,880 0.40 Companies—Diversified) 1,382,688 1.61 58,394 Applied Materials, Inc. (Semiconductors) 638,830 0.74 5,400 BHP Billiton Ltd.—ADR(b) (Mining) 302,130 0.35 4,751,924 5.53 214,077 Cemex SAB de CV (Building Materials) 2,106,515 2.45 163,000 Chesapeake Energy Corp. (Oil & Gas) 3,683,800 4.28 Japanese Yen 8,600 Chubb Corp. (Insurance) 333,164 0.39 16,200 Asahi Breweries Ltd. (Food, Beverages & 21,430 ConocoPhillips (Oil & Gas) 987,494 1.15 Tobacco) 221,462 0.26 305,000 Dell, Inc. (Computers) 3,495,300 4.06

The accompanying notes are an integral part of these financial statements.

25 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Mutual Funds – 2.43% United States Dollar – (continued) United States Dollar 92,000 DIRECTV Group, Inc. (Media) 2,035,960 2.37 2,092,960 Goldman Sachs US$ Liquid Reserves 3,400 Fairfax Financial Holdings Ltd. Fund(c)(d)(e) 2,092,960 2.43 (Insurance) 880,124 1.02 7,100 FPL Group, Inc. (Electric) 400,298 0.47 TOTAL MUTUAL FUNDS 4,300 General Dynamics Corp. (Aerospace & ( c o s t U S D 2 , 0 9 2 , 9 6 0 ) 2,092,960 2.43 Defence) 241,101 0.28 MARKET VALUE OF INVESTMENTS 129,000 Ingersoll-Rand Co., Ltd. (Miscellaneous ( c o s t U S D 1 2 6 , 0 1 8 , 7 6 4 ) 83,065,892 96.56 Manufacturing) 2,580,000 3.00 8,200 JM Smucker Co. (Food, Beverages & O T H E R A S S E T S A N D L I A B I L I T I E S 2,956,048 3.44 Tobacco) 326,360 0.38 102,000 Koninklijke Philips Electronics NV SHAREHOLDERS’ EQUITY 86,021,940 100.00 (Electronics) 1,905,360 2.22 58,286 Leucadia National Corp. (Holding %of Companies—Diversified) 1,180,874 1.37 Market Value Shareholders’ 89,000 Liberty Media Corp.—Entertainment TOTAL INVESTMENTS USD Equity (Media) 2,110,190 2.45 Total Investments (cost USD 126,018,764) 83,065,892 96.56 266,500 Liberty Media Holding Corp.— Other Assets and Liabilities 2,956,048 3.44 Interactive “A” (Internet) 1,508,390 1.75 11,600 Marathon Oil Corp. (Oil & Gas) 365,516 0.42 Shareholders’ Equity 86,021,940 100.00 74,490 Montpelier Re Holdings Ltd. (Insurance) 968,370 1.13 22,302 Newmont Mining Corp. (Mining) 1,075,626 1.25 (a) These securities are fair valued. See Note 3(e). 6,800 Praxair, Inc. (Chemicals) 488,036 0.57 (b) 780 Quest Diagnostics, Inc. (Healthcare Security holding is traded/held in USD. (ADR: American Depositary Services) 40,217 0.05 Receipt/GDR: Global Depositary Receipt). 103,000 Walt Disney Co. (Media) 2,420,500 2.81 (c) This security is admitted to an official exchange listing. 8,400 WellPoint, Inc. (Healthcare Services) 391,356 0.46 19,267 Weyerhaeuser Co. (Forest Products & (d) The yield for this fund as at 31 May 2009 was 0.530%. Paper) 639,279 0.74 (e) A related party to Goldman Sachs Funds. 31,446,670 36.56 %of TOTAL COMMON STOCKS Allocation of Portfolio as at 31 May 2009 Net Assets ( c o s t U S D 1 2 3 , 9 2 5 , 8 0 4 ) 80,675,752 93.79 Common Stocks Rights – 0.22% Insurance 15.16 Media 7.63 Singapore Dollar Real Estate 7.33 391,500 WBL Corp., Ltd. exp. 06/09—Rights (Electronics) 189,818 0.22 Oil & Gas 6.33 Miscellaneous Manufacturing 5.05 TOTAL RIGHTS Holding Companies—Diversified 4.68 ( c o s t U S D n i l ) 189,818 0.22 Construction & Engineering 4.59 Computers 4.06 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Transportation 3.84 OFFICIAL EXCHANGE LISTING Electronics 3.15 ( c o s t U S D 1 2 3 , 9 2 5 , 8 0 4 ) 80,865,570 94.01 Other 32.09

Other Transferable Securities T O T A L C O M M O N S T O C K S 93.91

Common Stocks – 0.12% Rights British Pound Sterling Electronics 0.22 68,349 Lloyds Banking Group Plc.(a) (Banks) 32,653 0.04 660,600 Taylor Wimpey Plc.(a) (Home Builders) 74,709 0.08 T O T A L R I G H T S 0.22

107,362 0.12 Other Net Assets 5.87

TOTAL COMMON STOCKS T O T A L 100.00 ( c o s t U S D n i l ) 107,362 0.12

TOTAL OTHER TRANSFERABLE SECURITIES ( c o s t U S D n i l ) 107,362 0.12

The accompanying notes are an integral part of these financial statements.

26 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio II Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 90.83% Swiss Franc – (continued) 11,121 Novartis AG (Pharmaceuticals) 440,816 1.86 British Pound Sterling 5,479 Panalpina Welttransport Holding AG 29,680 Cadbury Plc. (Food, Beverages & (Transportation) 376,356 1.59 Tobacco) 257,977 1.09 + 6,054 Pargesa Holding S.A. “B” (Investment 17,180 Carpetright Plc. (Retail) 174,308 0.73 Companies) 407,383 1.72 31,480 Diageo Plc. (Food, Beverages & 746 Tamedia AG (Media) 39,311 0.17 Tobacco) 428,742 1.81 76,870 Experian Group Ltd. (Commercial 2,169,214 9.17 Services) 564,759 2.39 47,439 Home Retail Group Plc. (Retail) 177,044 0.75 United States Dollar 19,958 Lancashire Holdings Ltd. (Insurance) 151,225 0.64 7,700 3M Co. (Miscellaneous Manufacturing) 432,586 1.83 38,736 Savills Plc. (Commercial Services) 165,529 0.70 5,026 Accenture Ltd. “A” (Computers) 149,624 0.63 9,718 Vitec Group Plc. (Miscellaneous 1,075 Alleghany Corp. (Insurance) 276,082 1.17 Manufacturing) 42,391 0.18 26,580 Altera Corp. (Semiconductors) 440,696 1.86 11,100 American Express Co. (Diversified 1,961,975 8.29 Financial Services) 268,620 1.14 3,365 Apache Corp. (Oil & Gas) 281,146 1.19 Canadian Dollar 8,380 Arch Capital Group Ltd. (Insurance) 468,023 1.98 2,338 IGM Financial, Inc. (Diversified Financial 810 Ascent Media Corp. “A” (Entertainment) 23,377 0.10 Services) 81,385 0.34 11,100 Coca-Cola Co. (Food, Beverages & Tobacco) 530,358 2.24 Euro 38,940 Comcast Corp. “A” Special (Media) 492,980 2.08 7,736 Gemalto NV (Computers) 253,613 1.07 4,800 Costco Wholesale Corp. (Retail) 227,424 0.96 1,954 L’Oreal S.A. (Cosmetics/Personal Care) 153,780 0.65 12,970 Covidien Ltd. (Healthcare Products) 462,899 1.96 12,069 Publicis Groupe (Advertising) 389,876 1.65 5,005 Discovery Communications, Inc. (Media) 110,410 0.47 6,618 Royal Dutch Shell Plc. “A” (Oil & Gas) 177,378 0.75 5,405 Discovery Communications, Inc. (Media) 110,586 0.47 + 38,480 Societe Television Francaise 1 (Media) 447,336 1.89 8,600 Dresser-Rand Group, Inc. (Oil & Gas 4,431 Sodexho Alliance S.A. (Food, Services) 239,510 1.01 Beverages & Tobacco) 218,021 0.92 14,600 Ecolab, Inc. (Chemicals) 537,572 2.27 3,019 Total S.A. (Oil & Gas) 173,544 0.74 2,900 L-3 Communications Holdings, Inc. 9,508 Wolters Kluwer NV (Media) 179,727 0.76 (Aerospace & Defence) 210,569 0.89 1,993,275 8.43 37,209 Liberty Global, Inc. “C” (Media) 499,345 2.11 13,340 Liberty Media Corp.—Entertainment Hong Kong Dollar (Media) 316,291 1.34 48,639 Guoco Group Ltd. (Diversified Financial 8,460 Liberty Media Holding Corp.—Capital “A” Services) 415,390 1.76 (Media) 115,902 0.49 9,700 Liberty Media Holding Corp.— Interactive “A” (Internet) 54,902 0.23 Japanese Yen 27,100 Microsoft Corp. (Software) 553,111 2.34 23,628 Crédit Saison Co., Ltd. (Diversified 3,600 Millipore Corp. (Biotechnology) 226,440 0.96 Financial Services) 313,297 1.32 10,400 National Instruments Corp. (Electronics) 217,672 0.92 57,285 Daiwa Securities Group, Inc. (Diversified 2,000 Nestle S.A.—ADR(a) (Food, Beverages & Financial Services) 353,940 1.50 Tobacco) 72,880 0.31 8,347 Meitec Corp. (Commercial Services) 112,089 0.47 13,500 Newfield Exploration Co. (Oil & Gas) 487,485 2.06 5,254 Sankyo Co., Ltd. (Entertainment) 276,650 1.17 23,200 News Corp. (Media) 221,328 0.94 12,530 Seino Holdings Corp., Ltd. 7,260 Peabody Energy Corp. (Coal) 247,203 1.04 (Transportation) 82,424 0.35 7,700 Praxair, Inc. (Chemicals) 552,629 2.34 1,138,400 4.81 13,300 Progressive Corp. (Insurance) 209,209 0.88 29,572 Signet Jewelers Ltd. (Retail) 532,000 2.25 Mexican Peso 11,693 SK Telecom Co., Ltd.—ADR(a) 59,716 Grupo Modelo S.A. (Food, Beverages & (Telecommunications) 182,762 0.77 Tobacco) 223,135 0.94 7,400 Teva Pharmaceutical Industries Ltd.— ADR(a) (Pharmaceuticals) 343,360 1.45 South Korean Won 7,000 Thermo Fisher Scientific, Inc. 128 Lotte Chilsung Beverage Co., Ltd. (Food, (Electronics) 271,110 1.15 Beverages & Tobacco) 81,820 0.35 22,536 Tyco Electronics Ltd. (Electronics) 384,915 1.63 (a) 802 Samsung Electronics Co., Ltd. 17,849 Unilever Plc.—ADR (Food, (Semiconductors) 355,027 1.50 Beverages & Tobacco) 418,381 1.77 20,100 UnitedHealth Group, Inc. (Healthcare 436,847 1.85 Services) 540,288 2.28 11,080 Wal-Mart Stores, Inc. (Retail) 544,471 2.30 Swiss Franc + 8,094 Adecco S.A. (Commercial Services) 350,272 1.48 530 Givaudan (Chemicals) 345,770 1.46 9,145 Nobel Biocare Holding AG (Healthcare Products) 209,306 0.89

The accompanying notes are an integral part of these financial statements.

27 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio II Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Allocation of Portfolio as at 31 May 2009 Net Assets Holdings Security Description USD Equity Common Stocks Common Stocks – (continued) Media 10.72 Food, Beverages & Tobacco 9.43 United States Dollar – (continued) Retail 6.99 18,400 Waste Management, Inc. (Environmental Chemicals 6.07 Control) 503,792 2.13 Diversified Financial Services 6.06 11,800 Willis Group Holdings Ltd. (Insurance) 306,918 1.30 Insurance 5.97 13,064,856 55.24 Commercial Services 5.04 Oil & Gas 4.74 TOTAL COMMON STOCKS Electronics 3.70 ( c o s t U S D 2 5 , 6 6 0 , 7 5 2 ) 21,484,477 90.83 Semiconductors 3.36 Other 28.75 Participatory Notes – 1.55% T O T A L C O M M O N S T O C K S 90.83 United States Dollar 73,300 Ryanair Holding Plc.—HSBC Bank Plc. (25/09/11)(b) (Airlines) 365,822 1.55 Participatory Notes Airlines 1.55 TOTAL PARTICIPATORY NOTES ( c o s t U S D 2 7 6 , 9 1 1 ) 365,822 1.55 T O T A L P A R T I C I P A T O R Y N O T E S 1.55

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Other Net Assets 7.62 OFFICIAL EXCHANGE LISTING T O T A L 100.00 ( c o s t U S D 2 5 , 9 3 7 , 6 6 3 ) 21,850,299 92.38

Mutual Funds – 2.93% United States Dollar 691,720 Goldman Sachs US$ Liquid Reserves Fund(c)(d)(e) 691,720 2.93

TOTAL MUTUAL FUNDS ( c o s t U S D 6 9 1 , 7 2 0 ) 691,720 2.93

MARKET VALUE OF INVESTMENTS ( c o s t U S D 2 6 , 6 2 9 , 3 8 3 ) 22,542,019 95.31

O T H E R A S S E T S A N D L I A B I L I T I E S 1,110,425 4.69

SHAREHOLDERS’ EQUITY 23,652,444 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 26,629,383) 22,542,019 95.31 Other Assets and Liabilities 1,110,425 4.69

Shareholders’ Equity 23,652,444 100.00

+ A portion of these securities were on loan at 31 May 2009. See Note 5. (a) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). (b) These securities are fair valued. See Note 3(e). (c) A related party to Goldman Sachs Funds. (d) This security is admitted to an official exchange listing. (e) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

28 Goldman Sachs Funds—India Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 89.12% Electrical Components & Equipment 62,308 Amara Raja Batteries Ltd. 123,183 0.82 Agriculture 58,802 Crompton Greaves Ltd. 350,571 2.32 27,346 ITC Ltd. 112,668 0.74 97,435 Exide Industries Ltd. 143,979 0.95 33,806 Suzlon Energy Ltd. 82,167 0.54 Banks 48,035 Allahabad Bank 91,948 0.61 699,900 4.63 27,049 Axis Bank Ltd. 430,342 2.84 16,184 Federal Bank Ltd. 84,392 0.56 Food, Beverages & Tobacco 27,121 HDFC Bank Ltd. 828,442 5.48 62,005 Balrampur Chini Mills Ltd. 121,264 0.80 38,713 ICICI Bank Ltd. 598,273 3.96 33,215 Shree Renuka Sugars Ltd. 90,667 0.60 92,682 IndusInd Bank Ltd. 153,927 1.02 24,172 United Breweries Ltd. 73,599 0.49 29,509 South Indian Bank Ltd. 62,958 0.41 9,373 United Spirits Ltd. 249,721 1.65 107,049 Yes Bank Ltd. 288,792 1.91 535,251 3.54 2,539,074 16.79 Forest Products & Paper Building Materials 158,056 Ballarpur Industries Ltd. 84,976 0.56 22,093 India Cements Ltd. 137,818 0.91 4,150 Shree Cement Ltd. 91,633 0.61 Healthcare Products 46,954 Opto Circuits India Ltd. 179,258 1.19 229,451 1.52

Holding Companies—Diversified Chemicals 6,728 Asian Paints Ltd. 163,884 1.08 14,345 MAX India Ltd. 56,812 0.38 22,240 United Breweries Holdings Ltd. 113,745 0.75 7,461 Coromandel Fertilisers 29,628 0.20 170,557 1.13 193,512 1.28

Household Products/Wares Commercial Services 63,342 Marico Ltd. 94,140 0.62 1,075 Crisil Ltd. 69,264 0.46 11,145 ICRA Ltd. 170,859 1.13 Insurance 240,123 1.59 6,269 Reliance Capital Ltd. 130,986 0.87

Construction & Engineering Iron/Steel 25,489 AIA Engineering Ltd. 129,819 0.86 13,135 JSW Steel Ltd. 158,325 1.05 77,281 Hindustan Construction Co. 203,549 1.35 14,428 Patel Engineering Ltd. 113,667 0.75 Machinery—Diversified 8,656 Simplex Infrastructures Ltd. 73,354 0.48 19,558 Thermax Ltd. 167,408 1.11 520,389 3.44 Media Cosmetics/Personal Care 73,307 Dish TV India Ltd. 80,230 0.53 63,526 Dabur India Ltd. 147,301 0.97 23,775 IBN18 Broadcast Ltd. 62,317 0.41 16,664 Sun TV Network Ltd. 90,159 0.60 Distribution/Wholesale 24,070 Television Eighteen India Ltd. 76,620 0.51 11,081 Adani Enterprises Ltd. 166,634 1.10 309,326 2.05

Diversified Financial Services Metal Fabricate/Hardware 10,300 Housing Development Finance Corp. 511,217 3.38 22,865 HEG Ltd. 94,449 0.63 27,609 India Infoline Ltd. 92,295 0.61 38,424 Sterlite Industries India Ltd. 550,609 3.64 194,542 Indiabulls Securities Ltd. 222,440 1.47 23,411 LIC Housing Finance 262,199 1.74 645,058 4.27

1,088,151 7.20 Miscellaneous Manufacturing 11,536 Titagarh Wagons Ltd. 85,283 0.56 Electric 15,113 CESC Ltd. 116,167 0.77 Oil & Gas 300,611 GVK Power & Infrastructure Ltd. 293,794 1.94 6,597 Oil & Natural Gas Corp., Ltd. 164,907 1.09 22,840 Lanco Infratech Ltd. 174,613 1.15 20,427 Reliance Industries Ltd. 991,796 6.56 23,072 Reliance Infrastructure Ltd. 640,357 4.24 5,883 Tata Power Co., Ltd. 137,915 0.91 1,156,703 7.65 14,748 Torrent Power Ltd. 46,318 0.31

1,409,164 9.32

The accompanying notes are an integral part of these financial statements.

29 Goldman Sachs Funds—India Equity Portfolio Schedule of Investments As at 31 May 2009

%of Futures Contracts – 0.53% Market Value Shareholders’ Holdings Security Description USD Equity Unrealised %of Number of Gain Shareholders’ Common Stocks – (continued) Contracts Security Description USD Equity Pharmaceuticals 263 S&P CNX NIFTY Index 25/06/09 Long 80,159 0.53 27,702 Glenmark Pharmaceuticals Ltd. 134,189 0.89 6,371 Lupin Ltd. 109,880 0.72 UNREALISED GAIN ON FUTURES CONTRACTS 80,159 0.53 244,069 1.61 M A R K E T V A L U E O F I N V E S T M E N T S 14,094,376 93.22 Pipelines 86,288 Gujarat State Petronet Ltd. 110,421 0.73 O T H E R A S S E T S A N D L I A B I L I T I E S 1,025,386 6.78

SHAREHOLDERS’ EQUITY 15,119,762 100.00 Real Estate 80,684 Indiabulls Real Estate Ltd. 422,532 2.80 %of 60,711 Unitech Ltd. 119,832 0.79 Market Value Shareholders’ 542,364 3.59 TOTAL INVESTMENTS USD Equity

Total Investments excluding Futures Contracts Software (cost USD 12,218,786) 14,014,217 92.69 22,820 Aptech Ltd. 82,748 0.55 Unrealised gain on futures contracts 80,159 0.53 56,898 HCL Technologies Ltd. 207,106 1.37 Other Assets and Liabilities 1,025,386 6.78 24,951 Infosys Technologies Ltd.—Demat 892,955 5.90 21,545 Mphasis Ltd. 156,065 1.03 Shareholders’ Equity 15,119,762 100.00 40,737 Tanla Solutions Ltd. 69,131 0.46 The Futures Clearing Merchant was Goldman, Sachs & Co. 1,408,005 9.31 (a) These securities are fair valued. See Note 3(e). Telecommunications 60,116 Idea Cellular Ltd. 105,345 0.70

TOTAL COMMON STOCKS ( c o s t U S D 1 1 , 8 1 7 , 5 6 4 ) 13,473,842 89.12

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 1 1 , 8 1 7 , 5 6 4 ) 13,473,842 89.12

Other Transferable Securities Equity Linked Notes – 3.57% Banks 102,478 Indiabulls Real Estate Ltd.—UBS AG Equity Linked Note (21/05/2012)(a) 540,375 3.57

TOTAL EQUITY LINKED NOTES ( c o s t U S D 4 0 1 , 2 2 2 ) 540,375 3.57

TOTAL OTHER TRANSFERABLE SECURITIES ( c o s t U S D 4 0 1 , 2 2 2 ) 540,375 3.57

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS ( c o s t U S D 1 2 , 2 1 8 , 7 8 6 ) 14,014,217 92.69

The accompanying notes are an integral part of these financial statements.

30 Goldman Sachs Funds—Japan Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 96.74% Diversified Financial Services 650,900 Nomura Holdings, Inc. 464,540 2.47 Agriculture 26,640 ORIX Corp. 159,579 0.85 885 Japan Tobacco, Inc. 240,596 1.28 624,119 3.32 Auto Parts & Equipment 52,200 Aisin Seiki Co., Ltd. 97,807 0.52 Electric 86,500 Bridgestone Corp. 124,591 0.66 171,600 Kansai Electric Power Co., Inc. 355,156 1.89 66,700 Denso Corp. 149,797 0.80 86,100 Kyushu Elec Power Co., Inc. 172,089 0.92 111,100 Keihin Corp. 138,995 0.74 527,245 2.81 359,000 NHK Spring Co., Ltd. 192,995 1.03

704,185 3.75 Electrical Components & Equipment 61,000 Funai Electric Co., Ltd. 208,438 1.11 Automobile Manufacturers 253,000 Toshiba Corp. 89,603 0.48 149,900 Honda Motor Co., Ltd. 410,867 2.19 298,041 1.59 255,300 Toyota Motor Corp. 967,434 5.15

1,378,301 7.34 Electronics 44,700 Kyocera Corp. 331,938 1.77 Banks 44,000 Mabuchi Motor Co., Ltd. 207,163 1.10 182,000 Awa Bank Ltd. 101,389 0.54 212,000 Nippon Electric Glass Co., Ltd. 190,781 1.02 673,000 Chiba Bank Ltd. 385,846 2.05 + 36,700 Nissha Printing Co., Ltd. 143,831 0.77 128,000 Hachijuni Bank Ltd. 68,966 0.37 50,100 Yamatake Corp. 98,480 0.52 1,165,300 Mitsubishi Tokyo Financial Group, Inc. 697,242 3.71 972,193 5.18 + 249,600 Mizuho Financial Group, Inc. 56,803 0.30 422 Seven Bank Ltd. 104,254 0.56 Food, Beverages & Tobacco 47,000 Sumitomo Mitsui Financial Group, Inc. 171,182 0.91 + 101,800 Ito En Ltd. 131,691 0.70 1,585,682 8.44 54,600 MEIJI Holdings Co., Ltd. 174,174 0.93

305,865 1.63 Building Materials 284,000 Nippon Sheet Glass Co., Ltd. 76,980 0.41 Hand/Machine Tools 31,200 Disco Corp. 103,957 0.55 Chemicals 560,000 Asahi Kasei Corp. 262,210 1.39 Healthcare Products 246,000 Daicel Chemical Industries Ltd. 125,504 0.67 19,300 Hogy Medical Co., Ltd. 97,856 0.52 75,200 Hitachi Chemical Co., Ltd. 110,395 0.59 127,000 Shimadzu Corp. 81,654 0.43 28,600 Shin-Etsu Chemical Co., Ltd. 141,202 0.75 179,510 0.95 639,311 3.40

Home Builders Commercial Services 246,000 Sekisui Chemical Co., Ltd. 142,385 0.76 14,400 Benesse Corp. 57,360 0.31 183,000 Nichii Gakkan Co. 147,369 0.78 234,000 Toppan Printing Co., Ltd. 199,624 1.06 Home Furnishings 227,100 Matsushita Electric Industrial Co., Ltd. 308,234 1.64 404,353 2.15 150,200 Sony Corp. 371,346 1.98

679,580 3.62 Computers 430,000 Fujitsu Ltd. 210,326 1.12 474 NTT Data Corp. 133,772 0.71 Insurance 153,600 Mitsui Sumitomo Insurance Group 344,098 1.83 Holdings, Inc. 426,698 2.27 278 Sony Financial Holdings, Inc. 76,832 0.41 Construction & Engineering 503,530 2.68 253,000 Kinden Corp. 198,187 1.05 72,000 Maeda Road Construction Co., Ltd. 61,918 0.33 337,000 Shimizu Corp. 144,195 0.77 Internet 3,168 Rakuten, Inc. 164,677 0.88 404,300 2.15 Iron/Steel Distribution/Wholesale 159,000 Hitachi Metals Ltd. 140,348 0.75 568,000 Marubeni Corp. 243,092 1.30 1,085,000 Sumitomo Metal Industries Ltd. 276,060 1.47 175,400 Mitsubishi Corp. 313,753 1.67 189,500 Tokyo Steel Manufacturing Co., Ltd. 210,454 1.12 341,200 Mitsui & Co., Ltd. 411,823 2.19 39,000 Yamato Kogyo Co., Ltd. 99,339 0.53

968,668 5.16 726,201 3.87

The accompanying notes are an integral part of these financial statements.

31 Goldman Sachs Funds—Japan Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Common Stocks – (continued) Common Stocks – (continued) Machinery-Construction & Mining Transportation 245,700 Komatsu Ltd. 336,824 1.79 75,200 East Japan Railway Co. 425,844 2.26 681,000 Nippon Express Co., Ltd. 273,698 1.46 Machinery-Diversified 569,000 Nippon Yusen KK 257,522 1.37 410,000 Kubota Corp. 285,682 1.52 957,064 5.09

Media TOTAL COMMON STOCKS 950 Fuji Television Network, Inc. 117,909 0.63 ( c o s t ( 0 0 0 ) J P Y 1 8 , 2 7 2 , 6 1 3 ) 18,171,021 96.74

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN Mining OFFICIAL EXCHANGE LISTING 169,000 Mitsubishi Materials Corp. 53,081 0.28 209,000 Sumitomo Metal Mining Co., Ltd. 281,051 1.50 ( c o s t ( 0 0 0 ) J P Y 1 8 , 2 7 2 , 6 1 3 ) 18,171,021 96.74

334,132 1.78 Mutual Funds – 0.09% 17,250,000 Goldman Sachs Yen Liquid Reserves Miscellaneous Manufacturing Fund(a)(b)(c) 17,250 0.09 137,400 FUJIFILM Holdings Corp. 378,445 2.01 152,500 Konica Minolta Holdings, Inc. 149,322 0.80 TOTAL MUTUAL FUNDS ( c o s t ( 0 0 0 ) J P Y 1 7 , 2 5 0 ) 17,250 0.09 527,767 2.81 MARKET VALUE OF INVESTMENTS Office/Business Equipment ( c o s t ( 0 0 0 ) J P Y 1 8 , 2 8 9 , 8 6 3 ) 18,188,271 96.83 48,600 Canon, Inc. 152,479 0.81 O T H E R A S S E T S A N D L I A B I L I T I E S 595,091 3.17 Oil & Gas SHAREHOLDERS’ EQUITY 18,783,362 100.00 266,700 Showa Shell Sekiyu KK 249,277 1.33 %of Pharmaceuticals Market Value Shareholders’ 66,000 Daiichi Sankyo Co., Ltd. 117,482 0.63 TOTAL INVESTMENTS (000) JPY Equity 52,000 Kissei Pharmaceutical Co., Ltd. 112,994 0.60 46,200 Takeda Chemical Industries Ltd. 174,066 0.93 Total Investments (cost (000) JPY 18,289,863) 18,188,271 96.83 172,000 Tanabe Seiyaku Co., Ltd. 180,952 0.96 Other Assets and Liabilities 595,091 3.17

585,494 3.12 Shareholders’ Equity 18,783,362 100.00

Real Estate + A portion of these securities were on loan at 31 May 2009. See Note 5. 254,000 Mitsui Fudosan Co., Ltd. 399,907 2.13 (a) 2,202 NTT Urban Development Corp. 196,567 1.05 A related party to Goldman Sachs Funds. 22,560 Sumitomo Real Estate Sales Co., Ltd. 94,495 0.50 (b) The yield for this fund as at 31 May 2009 was 0.076%. 690,969 3.68 (c) This security is admitted to an official exchange listing.

Retail 111,600 ABC-Mart, Inc. 239,306 1.27 316,000 J Front Retailing Co., Ltd. 122,443 0.65 27,800 Komeri Co., Ltd. 59,214 0.32 72,700 McDonald’s Japan Holdings Co., Ltd. 135,774 0.72 75,000 Seven & I Holdings Co., Ltd. 172,293 0.92

729,030 3.88

Telecommunications 49,400 Hikari Tsushin, Inc. 105,133 0.56 117,000 Hitachi Kokusai Electric, Inc. 71,404 0.38 40,600 IT Holdings Corp. 63,350 0.34 984 KDDI Corp. 487,530 2.59 59,500 Nippon Telegraph & Telephone Corp. 235,022 1.25

962,439 5.12

Textiles 199,000 Kuraray Co., Ltd. 189,153 1.01

Toys/Games/Hobbies 3,100 Nintendo Co., Ltd. 79,025 0.42

The accompanying notes are an integral part of these financial statements.

32 Goldman Sachs Funds—Japan Small Cap Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 95.03% Electrical Components & Equipment + 36,000 Casio Computer Co., Ltd. 30,431 0.87 Auto Parts & Equipment 21,900 Funai Electric Co., Ltd. 74,833 2.14 21,700 Aisin Seiki Co., Ltd. 40,659 1.16 28,400 Keihin Corp. 35,531 1.02 105,264 3.01 71,000 NHK Spring Co., Ltd. 38,169 1.09 114,359 3.27 Electronics 12,100 As One Corp. 19,173 0.55 67,500 CMK Corp. 47,643 1.36 Banks 7,600 Hamamatsu Photonics KK 14,137 0.40 60,000 Awa Bank Ltd. 33,425 0.95 15,900 Mabuchi Motor Co., Ltd. 74,861 2.14 38,000 Gunma Bank Ltd. 19,082 0.54 40,000 Nippon Electric Glass Co., Ltd. 35,997 1.03 61,000 Hachijuni Bank Ltd. 32,867 0.94 + 11,900 Nissha Printing Co., Ltd. 46,637 1.33 63,000 Higo Bank Ltd. 33,148 0.95 24,300 Yamatake Corp. 47,766 1.36 66,000 Oita Bank Ltd. 32,780 0.94 257 Seven Bank Ltd. 63,491 1.81 286,214 8.17 214,793 6.13 Entertainment 9,500 Aeon Fantasy Co., Ltd. 7,610 0.22 Building Materials 100,000 Nippon Sheet Glass Co., Ltd. 27,105 0.77 Food, Beverages & Tobacco 34,000 Ito En Ltd. 43,983 1.25 Chemicals 21,100 MEIJI Holdings Co., Ltd. 67,309 1.92 63,000 Daicel Chemical Industries Ltd. 32,141 0.92 63,000 Nichirei Corp. 23,017 0.66 68,000 Denki Kagaku Kogyo KK 17,663 0.51 17,000 Nippon Meat Packers, Inc. 19,473 0.56 9,100 Hitachi Chemical Co., Ltd. 13,359 0.38 14,200 QP Corp. 13,556 0.39 162,000 Kanto Denka Kogyo Co., Ltd. 62,070 1.77 17,000 Nihon Parkerizing Co., Ltd. 16,508 0.47 167,338 4.78 48,000 Nippon Kayaku Co., Ltd. 28,113 0.80 10,300 Tokyo Ohka Kogyo Co., Ltd. 18,691 0.53 Hand/Machine Tools 188,545 5.38 7,800 Disco Corp. 25,989 0.74 65,000 Origin Electric Co., Ltd. 16,713 0.48 9,000 Union Tool Co. 22,180 0.63 Commercial Services 7,500 Benesse Corp. 29,875 0.85 64,882 1.85 34,200 Nichii Gakkan Co. 27,541 0.79 + 48 Nihon M&A Center, Inc. 15,744 0.45 Healthcare Products 16,600 Sohgo Security Services Co., Ltd. 14,366 0.41 11,000 Hogy Medical Co., Ltd. 55,773 1.59 87,526 2.50 28,000 Nipro Corp. 49,626 1.42 35,000 Shimadzu Corp. 22,503 0.64

Computers 127,902 3.65 36,800 Hitachi Maxell Ltd. 42,259 1.21 13,200 Hitachi Systems & Services Ltd. 15,426 0.44 Home Furnishings 57,685 1.65 46,200 Foster Electric Co., Ltd. 51,014 1.46

Construction & Engineering Internet 64,000 Kinden Corp. 50,134 1.43 810 Rakuten, Inc. 42,105 1.20 98,000 Maeda Road Construction Co., Ltd. 84,278 2.41 78 So-net M3, Inc. 25,969 0.74 17,000 Nippon Densetsu Kogyo Co., Ltd. 15,786 0.45 + 206 Zappallas, Inc. 44,047 1.26 5,900 SHO-BOND Holdings Co., Ltd. 10,489 0.30 112,121 3.20 27,000 Totetsu Kogyo Co., Ltd. 12,781 0.36

173,468 4.95 Iron/Steel 27,000 Hitachi Metals Ltd. 23,833 0.68 Distribution/Wholesale 94,000 Sanyo Special Steel Co., Ltd. 37,148 1.06 82,000 Marubeni Corp. 35,094 1.00 50,100 Tokyo Steel Manufacturing Co., Ltd. 55,640 1.59 + 44,900 Matsuda Sangyo Co., Ltd. 61,766 1.77 8,000 Yamato Kogyo Co., Ltd. 20,377 0.58 96,860 2.77 136,998 3.91

Diversified Financial Services Leisure Time 27,600 Iwai Securities Co., Ltd. 19,270 0.55 32,300 Yamaha Motor Co., Ltd. 34,446 0.98 3,710 ORIX Corp. 22,223 0.63 44 Osaka Securities Exchange Co., Ltd. 19,474 0.56 Media 179 Fuji Television Network, Inc. 22,217 0.63 60,967 1.74

Metal Fabricate/Hardware Electric 39,400 Ahresty Corp. 12,142 0.35 19,900 Hokkaido Electric Power Co., Inc. 35,743 1.02 111,000 Nachi-Fujikoshi Corp. 20,331 0.58 32,473 0.93

The accompanying notes are an integral part of these financial statements.

33 Goldman Sachs Funds—Japan Small Cap Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Common Stocks – (continued) Common Stocks – (continued) Mining Toys/Games/Hobbies 54,000 Mitsubishi Materials Corp. 16,961 0.49 13,500 Namco Bandai Holdings, Inc. 13,503 0.39 36,000 Sumitomo Metal Mining Co., Ltd. 48,410 1.38 65,371 1.87 Transportation 91,000 Fukuyama Transporting Co., Ltd. 33,683 0.96 70,000 Keio Corp. 39,474 1.13 Miscellaneous Manufacturing 57,000 Nippon Yusen KK 25,798 0.74 12,800 Glory Ltd. 24,013 0.69 98,955 2.83 Oil & Gas TOTAL COMMON STOCKS 39,300 Showa Shell Sekiyu KK 36,733 1.05 ( c o s t ( 0 0 0 ) J P Y 3 , 5 4 0 , 6 9 9 ) 3,327,350 95.03

Pharmaceuticals TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN 92 EPS Co., Ltd. 33,722 0.96 OFFICIAL EXCHANGE LISTING 11,000 Kissei Pharmaceutical Co., Ltd. 23,903 0.68 ( c o s t ( 0 0 0 ) J P Y 3 , 5 4 0 , 6 9 9 ) 3,327,350 95.03 41,000 Rohto Pharmaceutical Co., Ltd. 39,494 1.13 13,400 Tsumura & Co. 38,002 1.09 Mutual Funds – 2.96% 135,121 3.86 Japanese Yen 103,570,000 Goldman Sachs Yen Liquid Reserves (a)(b)(c) Real Estate Fund 103,570 2.96 22,400 Daibiru Corp. 17,821 0.51 579 NTT Urban Development Corp. 51,686 1.48 TOTAL MUTUAL FUNDS 109,100 Sankei Building Co. Ltd. 52,739 1.51 ( c o s t ( 0 0 0 ) J P Y 1 0 3 , 5 7 0 ) 103,570 2.96 9,060 Sumitomo Real Estate Sales Co., Ltd. 37,949 1.08 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES 5,900 Tokyu Community Corp. 11,269 0.32 CONTRACTS 171,464 4.90 ( c o s t ( 0 0 0 ) J P Y 3 , 6 4 4 , 2 6 9 ) 3,430,920 97.99

Retail Futures Contracts – 0.58% 24,500 ABC-Mart, Inc. 52,536 1.50 Unrealised %of 21,500 Create SD Holdings Co., Ltd. 34,830 0.99 Number of Gain Shareholders’ 96,000 J Front Retailing Co., Ltd. 37,198 1.06 21,000 Komeri Co., Ltd. 44,730 1.28 Contracts Security Description (000) JPY Equity 15,700 McDonald’s Japan Holdings Co., Ltd. 29,321 0.84 JPY 6,000 Plenus Co., Ltd. 8,405 0.24 3,270 Point, Inc. 14,722 0.42 11 TOPIX Index 12/06/09 Long 20,176 0.58 3,300 Ryohin Keikaku Co., Ltd. 12,084 0.35 UNREALISED GAIN ON FUTURES 233,826 6.68 CONTRACTS ( c o s t ( 0 0 0 ) J P Y 7 8 , 3 2 9 ) 20,176 0.58 Semiconductors 48,300 Mimasu Semiconductor Industry Co., Ltd. 53,585 1.53 MARKET VALUE OF INVESTMENTS ( c o s t ( 0 0 0 ) J P Y 3 , 6 4 4 , 2 6 9 ) 3,451,096 98.57 Software 28,700 Hudson Soft Co., Ltd. 19,092 0.55 O T H E R A S S E T S A N D L I A B I L I T I E S 50,061 1.43 14,800 Square Enix Holdings Co., Ltd. 31,095 0.89 587 Works Applications Co., Ltd. 33,768 0.96 SHAREHOLDERS’ EQUITY 3,501,157 100.00

83,955 2.40 %of Market Value Shareholders’ Storage/Warehousing TOTAL INVESTMENTS (000) JPY Equity 35,000 Sumitomo Warehouse Co., Ltd. 13,600 0.39 Total Investments (cost (000) JPY 3,644,269) 3,430,920 97.99 Unrealised gain on futures contracts 20,176 0.58 Telecommunications Other Assets and Liabilities 50,061 1.43 27,500 Hikari Tsushin, Inc. 58,526 1.67 22,000 Hitachi Kokusai Electric, Inc. 13,426 0.38 Shareholders’ Equity 3,501,157 100.00 12,600 IT Holdings Corp. 19,660 0.56 + 318 MTI Ltd. 59,685 1.71 The Futures Clearing Merchant was Goldman, Sachs & Co. 151,297 4.32 + A portion of these securities were on loan at 31 May 2009. See Note 5. (a) Textiles A related party to Goldman Sachs Funds. 42,500 Kuraray Co., Ltd. 40,397 1.15 (b) The yield for this fund as at 31 May 2009 was 0.076%. (c) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

34 Goldman Sachs Funds—Sustain Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 98.28% Euro – (continued) 1,114 Gamesa Corp. Tecnologica Australian Dollar S.A. (Electrical Components & 15,727 AMP Ltd. (Insurance) 60,735 0.31 Equipment) 24,750 0.12 438 Energy Resources of Australia 948 Grifols S.A. (Pharmaceuticals) 17,024 0.09 Ltd. (Mining) 8,573 0.04 6,481 Iberdrola Renovables S.A. (Energy 15,693 National Australia Bank Ltd. (Banks) 275,722 1.40 Sources) 31,816 0.16 997 Nufarm Ltd./Australia (Chemicals) 9,745 0.05 40,828 Iberdrola S.A. (Electric) 347,292 1.76 84,972 Telstra Corp., Ltd. (Telecommunications) 210,855 1.07 31,078 Nokia Oyj (Telecommunications) 476,104 2.42 3,825 Woodside Petroleum Ltd. (Oil & Gas) 132,303 0.67 844 Red Electrica Corp. S.A. (Electric) 39,301 0.20 1,646 WorleyParsons Ltd. (Construction & 2,103 Suez Environnement S.A. (Water) 37,957 0.19 Engineering) 29,550 0.15 9,541 Vivendi S.A. (Media) 249,934 1.27 727,483 3.69 2,341,455 11.88

Brazilian Real Hong Kong Dollar 1,200 Gerdau S.A. (Iron/Steel) 9,691 0.05 42,000 China Mobile Ltd. (Telecommunications) 409,377 2.08 800 Lojas Renner S.A. (Retail) 8,765 0.05 131,000 CNOOC Ltd. (Oil & Gas) 171,713 0.87 800 Natura Cosmeticos 22,000 GOME Electrical Appliances Holdings S.A. (Cosmetics/Personal Care) 10,451 0.05 Ltd.(a) (Retail) 2,952 0.02 1,400 NET Servicos de Comunicacao S.A.— 50,000 Want Want China Holdings Ltd. (Food, Preferred (Media) 14,018 0.07 Beverages & Tobacco) 24,319 0.12 42,925 0.22 608,361 3.09

British Pound Sterling Indian Rupee 1,864 Autonomy Corp., Plc. (Software) 46,317 0.24 387 Glenmark Pharmaceuticals 330 Aveva Group Plc. (Software) 3,919 0.02 Ltd. (Pharmaceuticals) 1,847 0.01 27,454 BG Group Plc. (Oil & Gas) 500,321 2.54 1,680 Housing Development Finance 18,034 BHP Billiton Plc. (Mining) 430,044 2.18 Corp. (Diversified Financial Services) 77,337 0.39 8,493 British Sky Broadcasting Group Plc. (Media) 60,648 0.31 79,184 0.40 41,439 Centrica Plc. (Gas) 164,694 0.84 20,370 Diageo Plc. (Food, Beverages & Japanese Yen Tobacco) 277,429 1.41 9,100 Canon, Inc. (Office/Business Equipment) 299,640 1.52 205 Hansen Transmissions International 700 Kurita Water Industries NV (Miscellaneous Manufacturing) 543 0.00 Ltd. (Environmental Control) 19,244 0.10 140,534 HSBC Holdings Plc. (Banks) 1,263,515 6.41 1,666 Johnson Matthey Plc. (Chemicals) 32,461 0.16 318,884 1.62 1,439 Petrofac Ltd. (Oil & Gas Services) 15,332 0.08 20,179 Prudential Plc. (Insurance) 138,474 0.70 Norwegian Kroner 4,871 Reckitt Benckiser Group Plc. (Household 1,000 Renewable Energy Corp. AS (Energy Products/Wares) 210,826 1.07 Sources) 10,796 0.06 8,821 Reed Elsevier Plc. (Media) 71,042 0.36 + 9,600 Statoil ASA (Oil & Gas) 201,484 1.02 12,507 Standard Chartered Plc. (Banks) 253,589 1.29 212,280 1.08 3,469,154 17.61 South African Rand Danish Krone 11,140 MTN Group Ltd. (Telecommunications) 161,492 0.82 24 ALK-Abello A/S (Pharmaceuticals & Biotechnology) 1,878 0.01 Swedish Krona 268 Genmab A/S (Biotechnology) 9,901 0.05 5,191 Atlas Copco AB “A” (Machinery— 3,997 Novo Nordisk A/S “B” (Pharmaceuticals) 207,877 1.05 Construction & Mining) 52,151 0.26 1,490 Vestas Wind Systems A/S (Electrical Components & Equipment) 108,405 0.55 Swiss Franc 18,895 ABB Ltd. (Construction & Engineering) 308,044 1.56 328,061 1.66 835 Actelion Ltd. (Pharmaceuticals) 42,910 0.22 31,391 Nestlé S.A. (Food, Beverages & Tobacco) 1,133,027 5.75 Euro 5,753 Roche Holding AG (Pharmaceuticals) 781,232 3.97 3,700 Allianz AG (Insurance) 362,227 1.84 14,553 AXA S.A. (Insurance) 269,138 1.37 2,265,213 11.50 31,098 Banco Bilbao Vizcaya Argentaria S.A. (Banks) 376,391 1.91 United States Dollar 97 DiaSorin SpA (Healthcare Products) 2,449 0.01 5,666 3M Co. (Miscellaneous Manufacturing) 323,529 1.64 119 EDF Energies Nouvelles S.A. (Energy 46 athenahealth, Inc. (Software) 1,388 0.01 Sources) 5,550 0.03 163 Baidu.com—ADR(b) (Internet) 43,024 0.22 1,566 EDP Renovaveis S.A. (Energy Sources) 16,524 0.08 12,450 Banco Bradesco S.A.—ADR(b) (Banks) 190,112 0.96 3,493 Fortum Oyj (Electric) 84,998 0.43 47,827 Cisco Systems, Inc. (Telecommunications) 884,799 4.49

The accompanying notes are an integral part of these financial statements.

35 Goldman Sachs Funds—Sustain Portfolio Schedule of Investments As at 31 May 2009

%of (b) Security holding is traded/held in USD. (ADR: American Depositary Market Value Shareholders’ Receipt/GDR: Global Depositary Receipt). Holdings Security Description USD Equity (c) This security is admitted to an official exchange listing. Common Stocks – (continued) (d) The yield for this fund as at 31 May 2009 was 0.530%. United States Dollar – (continued) (e) A related party to Goldman Sachs Funds. 15,681 Coca-Cola Co. (Food, Beverages & Tobacco) 770,878 3.91 4,073 Colgate-Palmolive %of Co. (Cosmetics/Personal Care) 268,614 1.36 Allocation of Portfolio as at 31 May 2009 Net Assets 473 Covance, Inc. (Healthcare Services) 19,875 0.10 6,146 Emerson Electric Co. (Electrical Components & Equipment) 197,225 1.00 Common Stocks Banks 13.32 5,361 Exelon Corp. (Electric) 257,382 1.31 Food, Beverages & Tobacco 11.19 19,627 Hewlett-Packard Co. (Computers) 674,187 3.42 Telecommunications 10.88 10,998 International Business Machines Computers 9.35 Corp. (Computers) 1,168,867 5.93 22,471 Johnson & Johnson (Healthcare Oil & Gas 7.15 Healthcare Products 6.36 Products) 1,239,500 6.29 Pharmaceuticals 5.51 1,040 LKQ Corp. (Distribution/Wholesale) 15,902 0.08 Insurance 4.22 510 Mindray Medical International Ltd.— (b) Mining 4.12 ADR (Healthcare Products) 11,735 0.06 Electric 3.72 4,477 Monsanto Co. (Chemicals) 367,786 1.87 Other 22.46 8,740 Morgan Stanley (Banks) 264,997 1.35 2,382 Mylan, Inc. (Pharmaceuticals) 31,466 0.16 T O T A L C O M M O N S T O C K S 98.28 4,928 Novolipetsk Steel OJSC—GDR(b) (Mining) 95,357 0.48 Other Net Assets 1.72 94 Ormat Technologies, Inc. (Electric) 3,750 0.02 9,170 Petroleo Brasileiro S.A.—ADR(b) (Oil & T O T A L 100.00 Gas) 403,755 2.05 2,403 Potash Corp. of Saskatchewan, Inc. (Chemicals) 278,364 1.41 9,783 Schlumberger Ltd. (Oil & Gas Services) 559,881 2.84 7,700 United Technologies Corp. (Aerospace & Defence) 405,097 2.06 17,182 Vale S.A. (Mining) 278,864 1.42 69 Veropharm (Pharmaceuticals) 1,601 0.01 8,757,935 44.45

TOTAL COMMON STOCKS ( c o s t U S D 1 9 , 3 4 5 , 8 2 7 ) 19,364,578 98.28

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 1 9 , 3 4 5 , 8 2 7 ) 19,364,578 98.28

Mutual Funds – 0.68% United States Dollar 134,524 Goldman Sachs US$ Liquid Reserves Fund(c)(d)(e) 134,524 0.68

TOTAL MUTUAL FUNDS ( c o s t U S D 1 3 4 , 5 2 3 ) 134,524 0.68

MARKET VALUE OF INVESTMENTS ( c o s t U S D 1 9 , 4 8 0 , 3 5 0 ) 19,499,102 98.96

O T H E R A S S E T S A N D L I A B I L I T I E S 205,747 1.04

SHAREHOLDERS’ EQUITY 19,704,849 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 19,480,350) 19,499,102 98.96 Other Assets and Liabilities 205,747 1.04

Shareholders’ Equity 19,704,849 100.00

+ A portion of these securities were on loan at 31 May 2009. See Note 5. (a) These securities are fair valued. See Note 3(e).

The accompanying notes are an integral part of these financial statements.

36 Goldman Sachs Funds—US Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.38% Electronics 64,759 Thermo Fisher Scientific, Inc. 2,508,116 2.56 Aerospace & Defence 33,477 Boeing Co. 1,482,696 1.51 Environmental Control 33,464 Waste Management, Inc. 916,244 0.94 Agriculture 38,480 Philip Morris International, Inc. 1,622,702 1.66 Food, Beverages & Tobacco 38,577 Coca-Cola Co. 1,843,209 1.88 Apparel 24,351 Kraft Foods, Inc. “A” 625,577 0.64 39,852 Coach, Inc. 1,021,407 1.04 37,552 PepsiCo, Inc. 1,926,418 1.97 42,675 Unilever NV 1,020,359 1.04 Banks 80,821 Bank of America Corp. 900,346 0.92 5,415,563 5.53 68,389 JP Morgan Chase & Co. 2,474,998 2.53 37,731 Morgan Stanley 1,131,175 1.15 Healthcare Products 15,720 Northern Trust Corp. 872,617 0.89 54,089 Baxter International, Inc. 2,726,626 2.78 15,375 Wells Fargo & Co. 373,459 0.38 17,158 Becton Dickinson & Co. 1,145,811 1.17 63,922 Johnson & Johnson 3,479,914 3.55 5,752,595 5.87 35,896 St Jude Medical, Inc. 1,370,868 1.40 15,380 Zimmer Holdings, Inc. 676,105 0.69 Biotechnology 14,654 Amgen, Inc. 724,640 0.74 9,399,324 9.59 15,382 Biogen Idec, Inc. 783,867 0.80 Healthcare Services 1,508,507 1.54 7,401 Laboratory Corp of America Holdings 453,237 0.47 21,903 WellPoint, Inc. 1,020,461 1.04 Chemicals 41,408 Dow Chemical Co. 718,429 0.73 1,473,698 1.51 16,092 Praxair, Inc. 1,154,923 1.18 Insurance 1,873,352 1.91 21,824 Aflac, Inc. 761,876 0.78 10,411 Everest Re Group Ltd. 705,241 0.72 Commercial Services 13,118 Prudential Financial, Inc. 509,372 0.52 11,145 Visa, Inc. “A” 746,492 0.76 26,393 Travelers Cos, Inc. 1,051,497 1.07 92,859 Western Union Co. 1,599,032 1.63 3,027,986 3.09 2,345,524 2.39

Internet Computers 2,527 Google, Inc. “A” 1,044,914 1.07 5,998 Apple Computer, Inc. 806,551 0.82 53,137 Dell, Inc. 608,950 0.62 Lodging 32,395 Hewlett-Packard Co. 1,111,797 1.14 40,102 Marriott International, Inc. “A” 932,773 0.95 19,411 International Business Machines Corp. 2,024,567 2.07 7,872 Research In Motion Ltd. 617,637 0.63 Media 5,169,502 5.28 117,916 Comcast Corp. “A” 1,587,149 1.62 36,480 DISH Network Corp. 588,422 0.60 Cosmetics/Personal Care 47,515 Viacom, Inc. “B” 1,037,728 1.06 35,434 Avon Products, Inc. 928,725 0.95 3,213,299 3.28 55,933 Procter & Gamble Co. 2,905,719 2.96

3,834,444 3.91 Mining 15,610 Freeport-McMoRan Copper & Gold, Inc. 836,384 0.85 Diversified Financial Services 92,217 Charles Schwab Corp. 1,570,455 1.60 Miscellaneous Manufacturing 4,955 CME Group, Inc. 1,550,915 1.58 44,027 Honeywell International, Inc. 1,432,639 1.46 15,152 Franklin Resources, Inc. 983,819 1.01 68,717 Invesco Ltd. 1,050,683 1.07 Oil & Gas 78,382 SLM Corp. 489,104 0.50 20,841 Devon Energy Corp. 1,318,610 1.34 5,644,976 5.76 20,918 EOG Resources, Inc. 1,517,810 1.55 7,732 Exxon Mobil Corp. 537,374 0.55 27,910 Hess Corp. 1,865,505 1.90 Electric 13,432 Occidental Petroleum Corp. 897,526 0.92 18,193 Entergy Corp. 1,355,015 1.38 26,074 Range Resources Corp. 1,182,717 1.21 10,461 Transocean Ltd. 826,314 0.84 Electrical Components & Equipment 26,661 Emerson Electric Co. 856,351 0.87 8,145,856 8.31

The accompanying notes are an integral part of these financial statements.

37 Goldman Sachs Funds—US Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description USD Equity

Common Stocks – (continued) Oil & Gas Services 35,496 Schlumberger Ltd. 2,018,303 2.06

Pharmaceuticals 6,730 Express Scripts, Inc. 428,768 0.44 18,808 Merck & Co., Inc. 511,954 0.52

940,722 0.96

Retail 23,154 Costco Wholesale Corp. 1,097,037 1.12 49,765 Lowe’s Companies, Inc. 927,122 0.95 15,240 McDonald’s Corp. 890,930 0.91 37,013 Target Corp. 1,430,182 1.46 26,193 TJX Cos, Inc. 748,596 0.76 18,479 Wal-Mart Stores, Inc. 908,058 0.93 6,001,925 6.13

Semiconductors 20,460 Broadcom Corp. “A” 517,024 0.53 60,307 Intel Corp. 921,491 0.94 1,438,515 1.47

Software 152,546 Activision Blizzard, Inc. 1,798,518 1.84 16,935 Electronic Arts, Inc. 381,884 0.39 127,359 Microsoft Corp. 2,599,397 2.65 110,619 Oracle Corp. 2,152,646 2.20 6,932,445 7.08

Telecommunications 66,367 American Tower Corp. “A” 2,075,296 2.12 127,062 Cisco Systems, Inc. 2,317,611 2.36 33,364 Qualcomm, Inc. 1,439,657 1.47 188,057 Sprint Nextel Group Corp. 951,568 0.97

6,784,132 6.92

Transportation 6,910 Burlington Northern Santa Fe Corp. 487,708 0.50

TOTAL COMMON STOCKS ( c o s t U S D 9 2 , 6 2 7 , 3 2 2 ) 95,417,617 97.38

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 9 2 , 6 2 7 , 3 2 2 ) 95,417,617 97.38

MARKET VALUE OF INVESTMENTS ( c o s t U S D 9 2 , 6 2 7 , 3 2 2 ) 95,417,617 97.38

O T H E R A S S E T S A N D L I A B I L I T I E S 2,568,291 2.62

SHAREHOLDERS’ EQUITY 97,985,908 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 92,627,322) 95,417,617 97.38 Other Assets and Liabilities 2,568,291 2.62

Shareholders’ Equity 97,985,908 100.00

The accompanying notes are an integral part of these financial statements.

38 Goldman Sachs Funds—US Growth Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.07% Internet 2,156 Google, Inc. “A” 891,506 1.50 Aerospace & Defence 14,680 United Technologies Corp. 762,039 1.28 Lodging 32,050 Marriott International, Inc. “A” 745,483 1.25 Apparel 30,340 Starwood Hotels & Resorts Worldwide, 30,630 Coach, Inc. 785,047 1.32 Inc. 726,036 1.22

Banks 1,471,519 2.47 8,380 JP Morgan Chase & Co. 303,272 0.51 10,500 Morgan Stanley 314,790 0.53 Media 5,200 Northern Trust Corp. 288,652 0.48 37,020 Comcast Corp. “A” 498,289 0.84 22,279 Viacom, Inc. “B” 486,574 0.82 906,714 1.52 984,863 1.66 Biotechnology 41,590 Amylin Pharmaceuticals, Inc. 467,056 0.79 Metal Fabricate/Hardware 3,730 Precision Castparts Corp. 305,301 0.51 Chemicals 13,360 Praxair, Inc. 958,847 1.61 Miscellaneous Manufacturing 10,190 Danaher Corp. 610,687 1.03 Commercial Services 17,950 Visa, Inc. “A” 1,202,291 2.02 Oil & Gas 92,227 Western Union Co. 1,588,149 2.67 15,770 Hess Corp. 1,054,067 1.77 26,490 Suncor Energy, Inc. 952,315 1.60 2,790,440 4.69 2,006,382 3.37 Computers 9,910 Apple Computer, Inc. 1,332,598 2.24 Oil & Gas Services 75,250 Dell, Inc. 862,365 1.45 25,200 Halliburton Co. 579,600 0.97 9,270 International Business Machines Corp. 966,861 1.62 32,430 Schlumberger Ltd. 1,843,970 3.10 14,540 Research In Motion Ltd. 1,140,808 1.92 52,150 Weatherford International Ltd. 1,070,639 1.80

4,302,632 7.23 3,494,209 5.87

Construction & Engineering Pharmaceuticals 26,340 ABB Ltd.—ADR(a) 430,132 0.72 23,190 Gilead Sciences, Inc. 970,733 1.63 41,400 Merck & Co., Inc. 1,126,908 1.89 Cosmetics/Personal Care 16,870 Teva Pharmaceutical Industries Ltd.— (a) 28,480 Avon Products, Inc. 746,461 1.26 ADR 782,768 1.32 29,710 Procter & Gamble Co. 1,543,434 2.59 2,880,409 4.84 2,289,895 3.85 Retail Diversified Financial Services 22,920 Costco Wholesale Corp. 1,085,950 1.82 55,617 Charles Schwab Corp. 947,158 1.59 59,580 Lowe’s Companies, Inc. 1,109,975 1.87 5,120 CME Group, Inc. 1,602,560 2.70 10,580 McDonald’s Corp. 618,507 1.04 38,500 Target Corp. 1,487,640 2.50 2,549,718 4.29 4,302,072 7.23 Electronics 45,494 Thermo Fisher Scientific, Inc. 1,761,983 2.96 Semiconductors 13,000 Broadcom Corp. “A” 328,510 0.55 Food, Beverages & Tobacco 31,770 Linear Technology Corp. 718,955 1.21 24,180 Coca-Cola Co. 1,155,320 1.94 1,047,465 1.76 23,690 Kraft Foods, Inc. “A” 608,596 1.03 28,193 PepsiCo, Inc. 1,446,301 2.43 Software 3,210,217 5.40 109,436 Activision Blizzard, Inc. 1,290,250 2.17 38,770 Electronic Arts, Inc. 874,263 1.47 Healthcare Products 110,419 Microsoft Corp. 2,253,652 3.79 31,330 Baxter International, Inc. 1,579,345 2.66 69,260 Oracle Corp. 1,347,800 2.26 7,680 CR Bard, Inc. 543,744 0.91 5,765,965 9.69 30,320 Johnson & Johnson 1,650,621 2.78 37,570 St Jude Medical, Inc. 1,434,798 2.41 Telecommunications 25,630 Zimmer Holdings, Inc. 1,126,695 1.89 48,640 American Tower Corp. “A” 1,520,973 2.56 6,335,203 10.65 95,550 Cisco Systems, Inc. 1,742,832 2.93

The accompanying notes are an integral part of these financial statements.

39 Goldman Sachs Funds—US Growth Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description USD Equity

Common Stocks – (continued) Telecommunications – (continued) 47,104 Crown Castle International Corp. 1,141,330 1.92 35,904 Qualcomm, Inc. 1,549,257 2.60

5,954,392 10.01

Transportation 6,910 Burlington Northern Santa Fe Corp. 487,708 0.82

TOTAL COMMON STOCKS ( c o s t U S D 6 4 , 1 9 9 , 3 8 9 ) 57,752,401 97.07

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 6 4 , 1 9 9 , 3 8 9 ) 57,752,401 97.07

MARKET VALUE OF INVESTMENTS ( c o s t U S D 6 4 , 1 9 9 , 3 8 9 ) 57,752,401 97.07

O T H E R A S S E T S A N D L I A B I L I T I E S 1,741,867 2.93

SHAREHOLDERS’ EQUITY 59,494,268 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 64,199,389) 57,752,401 97.07 Other Assets and Liabilities 1,741,867 2.93

Shareholders’ Equity 59,494,268 100.00

(a) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).

The accompanying notes are an integral part of these financial statements.

40 Goldman Sachs Funds—US Value Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 99.02% Environmental Control 10,890 Waste Management, Inc. 298,168 1.24 Aerospace & Defence 10,970 Boeing Co. 485,861 2.02 Food, Beverages & Tobacco 3,870 General Mills, Inc. 198,260 0.83 Agriculture 19,606 Unilever NV 468,780 1.95 16,071 Philip Morris International, Inc. 677,714 2.82 667,040 2.78 Apparel 5,565 Nike, Inc. “B” 313,421 1.30 Healthcare Products 9,867 Baxter International, Inc. 497,395 2.07 Auto Parts & Equipment 2,687 Becton Dickinson & Co. 179,438 0.75 12,857 Johnson Controls, Inc. 249,554 1.04 15,000 Johnson & Johnson 816,600 3.40 4,126 Zimmer Holdings, Inc. 181,379 0.75

Automobile Manufacturers 1,674,812 6.97 16,887 Ford Motor Co. 94,905 0.40 Healthcare Services Banks 4,968 Laboratory Corp of America Holdings 304,240 1.27 64,830 Bank of America Corp. 722,206 3.01 10,954 WellPoint, Inc. 510,347 2.12 27,601 JP Morgan Chase & Co. 998,880 4.16 2,399 M&T Bank Corp. 116,424 0.48 814,587 3.39 11,130 Morgan Stanley 333,678 1.39 8,667 State Street Corp. 388,108 1.61 Insurance 7,484 Wells Fargo & Co. 181,786 0.76 7,196 Aflac, Inc. 251,212 1.05 3,006 Chubb Corp. 116,453 0.48 2,741,082 11.41 5,357 Everest Re Group Ltd. 362,883 1.51 3,982 PartnerRe Ltd. 254,848 1.06 Biotechnology 6,221 Prudential Financial, Inc. 241,561 1.01 7,708 Biogen Idec, Inc. 392,800 1.63 15,432 Travelers Cos, Inc. 614,811 2.56 1,841,768 7.67 Chemicals 15,192 Dow Chemical Co. 263,581 1.09 4,382 Mosaic Co. 239,652 1.00 Internet 304 Google, Inc. “A” 125,704 0.52 503,233 2.09 Media Commercial Services 37,644 Comcast Corp. “A” 506,688 2.11 2,719 Visa, Inc. “A” 182,119 0.76 19,925 DISH Network Corp. 321,391 1.34 10,151 Time Warner, Inc. 232,864 0.97 Computers 12,218 Viacom, Inc. “B” 266,841 1.11 14,360 Hewlett-Packard Co. 492,835 2.05 1,327,784 5.53 Cosmetics/Personal Care Mining 5,533 Procter & Gamble Co. 287,439 1.20 4,925 Freeport-McMoRan Copper & Gold, Inc. 263,882 1.10

Diversified Financial Services Miscellaneous Manufacturing 6,045 Franklin Resources, Inc. 392,502 1.63 11,002 Honeywell International, Inc. 358,005 1.49 21,077 Invesco Ltd. 322,267 1.34 22,708 SLM Corp. 141,698 0.59 7,244 TD Ameritrade Holding Corp. 122,279 0.51 Oil & Gas 10,091 Devon Energy Corp. 638,458 2.66 978,746 4.07 6,341 EOG Resources, Inc. 460,103 1.92 6,780 Exxon Mobil Corp. 471,210 1.96 Electric 11,370 Hess Corp. 759,971 3.16 6,269 American Electric Power Co., Inc. 165,376 0.69 7,676 Occidental Petroleum Corp. 512,910 2.14 10,698 Entergy Corp. 796,787 3.32 11,674 Range Resources Corp. 529,533 2.20 9,518 FirstEnergy Corp. 360,542 1.50 4,382 Transocean Ltd. 346,134 1.44 5,616 PG & E Corp. 207,848 0.86 3,718,319 15.48 1,530,553 6.37 Oil & Gas Services Electrical Components & Equipment 9,467 Weatherford International Ltd. 194,358 0.81 6,876 Emerson Electric Co. 220,857 0.92 Pharmaceuticals Electronics 10,890 Wyeth 483,298 2.01 6,780 Thermo Fisher Scientific, Inc. 262,589 1.09

The accompanying notes are an integral part of these financial statements.

41 Goldman Sachs Funds—US Value Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description USD Equity

Common Stocks – (continued) Retail 11,098 Home Depot, Inc. 251,814 1.05 5,533 JC Penney Co., Inc. 141,036 0.59 10,426 Staples, Inc. 205,601 0.86 4,254 Target Corp. 164,375 0.68 4,500 TJX Cos, Inc. 128,610 0.53 5,853 Wal-Mart Stores, Inc. 287,616 1.20 1,179,052 4.91

Semiconductors 6,972 Intel Corp. 106,532 0.44

Software 20,597 Activision Blizzard, Inc. 242,839 1.01 12,825 Oracle Corp. 249,574 1.04 492,413 2.05

Telecommunications 9,435 AT&T, Inc. 229,365 0.95 119,025 Sprint Nextel Group Corp. 602,266 2.51 831,631 3.46

TOTAL COMMON STOCKS ( c o s t U S D 2 6 , 7 3 1 , 0 4 8 ) 23,791,061 99.02

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 2 6 , 7 3 1 , 0 4 8 ) 23,791,061 99.02

MARKET VALUE OF INVESTMENTS ( c o s t U S D 2 6 , 7 3 1 , 0 4 8 ) 23,791,061 99.02

O T H E R A S S E T S A N D L I A B I L I T I E S 235,898 0.98

SHAREHOLDERS’ EQUITY 24,026,959 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 26,731,048) 23,791,061 99.02 Other Assets and Liabilities 235,898 0.98

Shareholders’ Equity 24,026,959 100.00

The accompanying notes are an integral part of these financial statements.

42 Goldman Sachs Funds—Europe CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 96.98% Euro – (continued) + 118,682 Deutsche Bank AG (Banks) 5,613,659 1.03 British Pound Sterling 527,597 Deutsche Lufthansa AG (Airlines) 5,151,985 0.94 162,854 Antofagasta Plc. (Mining) 1,173,177 0.21 110,873 Deutsche Telekom AG 326,228 AstraZeneca Plc. (Pharmaceuticals) 9,602,160 1.75 (Telecommunications) 899,180 0.16 654,173 Aviva Plc. (Insurance) 2,506,129 0.46 172,335 E.ON AG (Electric) 4,296,312 0.78 1,527,742 BAE Systems Plc. (Aerospace & Defence) 5,979,614 1.09 1,534,608 Enel SpA (Utilities—Electric) 6,414,661 1.17 1,308,213 Barclays Plc. (Banks) 4,457,384 0.81 + 53,912 Erste Bank der Oesterreichischen 407,329 BHP Billiton Plc. (Mining) 6,885,671 1.26 Sparkassen AG (Banks) 917,043 0.17 600,913 BT Group Plc. (Telecommunications) 601,503 0.11 + 320,946 European Aeronautic Defence & Space 762,277 Centrica Plc. (Gas) 2,147,645 0.39 Co. NV (Aerospace & Defence) 3,676,436 0.67 650,898 Eurasian Natural Resources Corp. 77,047 Exor SpA (Holding Companies— (Mining) 4,838,071 0.88 Diversified) 906,843 0.17 74,840 Home Retail Group Plc. (Retail) 197,998 0.04 1,172,070 Fortis (Banks) 3,164,589 0.58 3,088,969 HSBC Holdings Plc. (Banks) 19,687,624 3.60 41,173 Fortum Oyj (Electric) 710,234 0.13 140,615 ICAP Plc. (Diversified Financial Services) 632,905 0.12 3,162 Fresenius SE—Preferred (Healthcare 2,243,427 J Sainsbury Plc. (Food, Beverages & Products) 127,934 0.02 Tobacco) 7,971,468 1.46 112,796 GEA Group AG (Holding Companies— 195,184 Kazakhmys Plc. (Mining) 1,543,556 0.28 Diversified) 1,240,756 0.23 252,338 Land Securities Group Plc. (Real Estate 2,345 HeidelbergCement AG (Building Materials) 59,797 0.01 Investment Trust) 1,406,706 0.26 59,101 Hellenic Petroleum S.A. (Oil & Gas) 419,617 0.08 1,303,646 Legal & General Group Plc. (Insurance) 901,802 0.16 9,948 Hellenic Telecommunications Organization 1,240,754 Man Group Plc. (Investment Companies) 3,428,212 0.63 S.A. (Telecommunications) 114,104 0.02 3,529,594 Morrison WM Supermarkets Plc. (Food, 34,174 Hochtief AG (Construction & Engineering) 1,169,092 0.21 Beverages & Tobacco) 9,782,610 1.79 1,184,636 Iberdrola S.A. (Electric) 7,143,355 1.31 2,146,697 Old Mutual Plc. (Insurance) 1,802,143 0.33 4,116 ICADE (Real Estate Investment Trust) 246,178 0.04 62,729 Prudential Plc. (Insurance) 305,152 0.06 178,265 InBev NV (Food, Beverages & Tobacco) 4,412,059 0.81 1,061,152 Rexam Plc. (Packaging & Containers) 3,764,467 0.69 37,553 KBC Groep NV (Banks) 544,518 0.10 851,081 Royal & Sun Alliance Insurance Group 18,065 Kerry Group Plc. “A” (Food, Beverages & (Insurance) 1,223,289 0.22 Tobacco) 303,492 0.06 115,377 Royal Dutch Shell Plc. “B” (Oil & Gas) 2,213,343 0.40 + 278,515 Kesko Oyj “B” (Food, Beverages & 27,446 Scottish & Southern Energy Plc. (Electric) 366,201 0.07 Tobacco) 5,667,780 1.04 1,560,513 Tate & Lyle Plc. (Food, Beverages & 12,607 Kone Oyj (Machinery—Diversified) 269,790 0.05 Tobacco) 5,321,496 0.97 41,769 Lagardere SCA (Media) 984,495 0.18 + 3,120,585 Thomas Cook Group Plc. (Leisure Time) 7,925,273 1.45 454,217 Marfin Investment Group S.A. (Investment 300,261 Vedanta Resources Plc. (Mining) 5,436,826 0.99 Companies) 1,698,772 0.31 24,495 Xstrata Plc. (Mining) 191,888 0.04 165,295 Metso Oyj (Machinery—Diversified) 2,219,912 0.41 112,294,313 20.52 91,186 Mobistar S.A. (Telecommunications) 3,979,357 0.73 65,511 Mu¨nchener Ru¨ckversicherungs AG (Insurance) 6,485,589 1.18 Danish Krone 177,992 National Bank of Greece S.A. (Banks) 3,424,566 0.63 468 A P Moller—Maersk A/S (Transportation) 2,036,583 0.37 164,307 Nokia Oyj (Telecommunications) 1,784,374 0.33 93 A P Moller—Maersk A/S (Transportation) 402,207 0.08 + 223,276 OMV AG (Oil & Gas) 6,396,857 1.17 29,764 Danisco A/S (Food, Beverages & Tobacco) 799,526 0.15 16,323 OPAP S.A. (Entertainment) 356,168 0.06 50,936 FLSmidth & Co. A/S (Machinery— 6,387,236 Parmalat SpA (Food, Beverages & Diversified) 1,327,205 0.24 Tobacco) 11,145,727 2.04 2,541 Novo Nordisk A/S “B” (Pharmaceuticals) 93,682 0.02 190,725 Peugeot S.A. (Automobile Manufacturers) 4,067,211 0.74 4,561 William Demant Holding (Healthcare 12,889 Porsche Automobil Holding SE—Preferred Products) 181,634 0.03 (Automobile Manufacturers) 552,294 0.10 4,840,837 0.89 26,963 PPR S.A. (Retail) 1,596,749 0.29 + 14,855 Raiffeisen International Bank Holdings AG Euro (Banks) 441,342 0.08 43,824 Adidas AG (Apparel) 1,131,097 0.21 36,599 Rautaruukki Oyj (Iron/Steel) 581,558 0.11 130,969 Allianz AG (Insurance) 9,089,249 1.66 129,660 Repsol YPF S.A. (Oil & Gas) 2,052,518 0.37 22,311 Alstom S.A. (Machinery—Diversified) 993,955 0.18 + 226,524 Royal Dutch Shell Plc. “A” (Oil & Gas) 4,303,956 0.79 129,055 AXA S.A. (Insurance) 1,691,911 0.31 167,246 RWE AG (Electric) 9,802,288 1.79 1,501,369 Banco Bilbao Vizcaya Argentaria S.A. + 15,250 Salzgitter AG (Iron/Steel) 1,005,432 0.18 (Banks) 12,881,746 2.35 36,449 Sampo Oyj (Insurance) 484,772 0.09 2,894,951 Banco Santander Central Hispano S.A. 466,267 Sanofi-Aventis (Pharmaceuticals) 20,958,702 3.83 (Banks) 21,683,183 3.96 137,214 Schneider Electric S.A. (Electrical 429,950 BASF AG (Chemicals) 12,791,012 2.34 Components & Equipment) 7,192,072 1.31 + 98,701 BNP Paribas (Banks) 4,811,674 0.88 25,849 SCOR SE (Insurance) 384,375 0.07 + 55,226 Christian Dior S.A. (Cosmetics/Personal 29,437 Siemens AG (Miscellaneous Care) 2,976,681 0.54 Manufacturing) 1,514,239 0.28 79,202 Coca Cola Hellenic Bottling Co. S.A. 8,291 Solvay S.A. (Chemicals) 535,599 0.10 (Food, Beverages & Tobacco) 1,153,181 0.21 6,762 Strabag SE (Construction & Engineering) 106,840 0.02 97,129 Compagnie Générale de Géophysique 104,565 Suedzucker AG (Food, Beverages & S.A. (Oil & Gas Services) 1,216,055 0.22 Tobacco) 1,529,786 0.28 + 97,602 Delhaize Group (Food, Beverages & 26,722 Technip S.A. (Oil & Gas Services) 930,460 0.17 Tobacco) 5,074,816 0.93 798,181 Telefonica S.A. (Telecommunications) 12,148,315 2.22 + 183,977 Telekom Austria AG (Telecommunications) 2,005,349 0.37

The accompanying notes are an integral part of these financial statements.

43 Goldman Sachs Funds—Europe CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Common Stocks – (continued) Common Stocks – (continued) Euro – (continued) Swiss Franc – (continued) 173,215 ThyssenKrupp AG (Iron/Steel) 3,116,138 0.57 18,920 Syngenta AG (Chemicals) 3,239,857 0.59 + 239,813 Total S.A. (Oil & Gas) 9,772,380 1.79 32,319 UBS AG (Banks) 340,391 0.06 + 204,736 UCB S.A. (Pharmaceuticals) 4,807,201 0.88 35,465,204 6.48 + 148,027 Umicore (Mining) 2,498,696 0.46 + 9,015 Unibail (Real Estate Investment Trust) 1,022,121 0.19 325,698 Valeo S.A. (Auto Parts & Equipment) 4,553,258 0.83 United States Dollar (a) 27,492 Verbund—Oesterreichische 800,568 BP Plc.—ADR (Oil & Gas) 28,228,298 5.16 (a) Elektrizitaetswirtschafts AG (Electric) 1,044,421 0.19 15,911 GlaxoSmithKline Plc.—ADR 13,686 Vienna Insurance Group (Insurance) 410,580 0.07 (Pharmaceuticals) 379,658 0.07 (a) 597,344 Vivendi S.A. (Media) 11,092,678 2.03 967,698 Vodafone Group Plc.—ADR 78,928 Voestalpine AG (Iron/Steel) 1,603,028 0.29 (Telecommunications) 12,828,095 2.34 7,155 Wacker Chemie AG (Chemicals) 631,286 0.11 41,436,051 7.57 57,844 Wartsila Oyj (Miscellaneous Manufacturing) 1,460,561 0.27 TOTAL COMMON STOCKS ( c o s t E U R 5 7 1 , 6 4 1 , 5 3 0 ) 530,616,912 96.98 281,645,996 51.48

Norwegian Kroner Rights – 0.00% 246,000 Aker Kvaerner ASA (Construction & Euro Engineering) 1,522,710 0.28 184,830 Fortis exp. 07/14—Rights(b) (Banks) — — 248,500 DnB NOR ASA (Banks) 1,454,284 0.26 + 41,500 Frontline Ltd. (Transportation) 697,079 0.13 TOTAL RIGHTS 19,400 Orkla ASA (Food, Beverages & Tobacco) 112,442 0.02 (cost EUR nil) — — 36,200 Renewable Energy Corp. AS (Energy Sources) 277,036 0.05 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN 140,950 SeaDrill Ltd. (Oil & Gas) 1,459,393 0.27 OFFICIAL EXCHANGE LISTING 471,000 Statoil ASA (Oil & Gas) 7,007,640 1.28 ( c o s t E U R 5 7 1 , 6 4 1 , 5 3 0 ) 530,616,912 96.98 1,136,200 Telenor ASA (Telecommunications) 6,777,197 1.24 280,050 Yara International ASA (Chemicals) 6,508,412 1.19 Mutual Funds – 2.48% 25,816,193 4.72 Euro 13,565,427 Goldman Sachs Euro Liquid Reserves (c)(d)(e) Swedish Krona Fund 13,565,427 2.48 + 467,910 Alfa Laval AB (Miscellaneous Manufacturing) 3,156,984 0.58 TOTAL MUTUAL FUNDS 14,591 Electrolux AB “B” (Home Furnishings) 130,577 0.02 ( c o s t E U R 1 3 , 5 6 5 , 4 2 7 ) 13,565,427 2.48 53,293 Investor AB “B” (Investment Companies) 590,539 0.11 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES 128,657 Modern Times Group AB (Media) 2,676,479 0.49 CONTRACTS 740,649 Nordea Bank AB (Banks) 4,192,054 0.77 ( c o s t E U R 5 8 5 , 2 0 6 , 9 5 7 ) 544,182,339 99.46 36,254 Skandinaviska Enskilda Banken AB “A” (Banks) 112,451 0.02 433,475 Skanska AB “B” (Construction & Futures Contracts – 0.00% Engineering) 3,381,628 0.62 Unrealised %of 60,980 SSAB Svenskt Stal AB (Iron/Steel) 572,861 0.10 Number of Gain Shareholders’ 29,807 Svenska Cellulosa AB “B” (Forest Contracts Security Description EUR Equity Products & Paper) 243,703 0.04 36,964 Svenska Handelsbanken AB “A” (Banks) 508,317 0.09 EUR 21,659 Swedbank AB “A” (Banks) 91,130 0.02 350 DJ EURO STOXX 50 Index 409,322 Swedish Match AB (Agriculture) 4,641,175 0.85 19/06/09 Long 17,500 0.01 603,384 Telefonaktiebolaget LM Ericsson (Telecommunications) 3,991,866 0.73 UNREALISED GAIN ON FUTURES 1,151,865 TeliaSonera AB (Telecommunications) 4,198,834 0.77 CONTRACTS 17,500 0.01 138,557 Volvo AB “B” (Machinery—Diversified) 629,720 0.11 Unrealised %of 29,118,318 5.32 Number of Loss Shareholders’ Contracts Security Description EUR Equity Swiss Franc 242,481 ABB Ltd. (Construction & Engineering) 2,802,361 0.51 GBP 73,631 Actelion Ltd. (Pharmaceuticals) 2,682,361 0.49 78 FTSE 100 Index 19/06/09 Long (41,630) (0.01) 14,505 Baloise Holding AG (Insurance) 810,362 0.15 311,226 Compagnie Financiere Richemont S.A. UNREALISED LOSS ON FUTURES (Retail) 4,769,734 0.87 CONTRACTS (41,630) (0.01) 147,365 Crédit Suisse Group (Banks) 4,635,789 0.85 45,693 Julius Baer Holding AG (Banks) 1,354,628 0.25 MARKET VALUE OF INVESTMENTS 16,089 Lonza Group AG (Chemicals) 1,172,237 0.21 ( c o s t E U R 5 8 5 , 2 0 6 , 9 5 7 ) 544,158,209 99.46 + 330,252 Nestlé S.A. (Food, Beverages & Tobacco) 8,450,089 1.55 43,015 Novartis AG (Pharmaceuticals) 1,208,687 0.22 O T H E R A S S E T S A N D L I A B I L I T I E S 2,972,058 0.54 40,033 Roche Holding AG (Pharmaceuticals) 3,853,758 0.70 3,077 Sulzer AG (Miscellaneous Manufacturing) 144,950 0.03 SHAREHOLDERS’ EQUITY 547,130,267 100.00

The accompanying notes are an integral part of these financial statements.

44 Goldman Sachs Funds—Europe CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding futures contracts (cost EUR 585,206,957) 544,182,339 99.46 Unrealised gain on futures contracts 17,500 0.01 Unrealised loss on futures contracts (41,630) (0.01) Other Assets and Liabilities 2,972,058 0.54

Shareholders’ Equity 547,130,267 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. + A portion of these securities were on loan at 31 May 2009. See Note 5. (a) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). (b) These securities are fair valued. See Note 3(e). (c) This security is admitted to an official exchange listing. (d) The yield for this fund as at 31 May 2009 was 0.895% (e) A related party to Goldman Sachs Funds.

%of Allocation of Portfolio as at 31 May 2009 Net Assets

Common Stocks Banks 16.51 Food, Beverages & Tobacco 11.31 Oil & Gas 11.31 Telecommunications 9.02 Pharmaceuticals 7.96 Insurance 4.76 Chemicals 4.54 Electric 4.27 Mining 4.12 Media 2.70 Other 20.48

T O T A L C O M M O N S T O C K S 96.98

Other Net Assets 3.02

T O T A L 100.00

The accompanying notes are an integral part of these financial statements.

45 Goldman Sachs Funds—Global CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.00% Canadian Dollar – (continued) 47,400 EnCana Corp. (Oil & Gas) 2,591,580 0.43 Australian Dollar 1,700 Fairfax Financial Holdings Ltd. (Insurance) 436,897 0.07 27,871 Amcor Ltd. (Packaging & Containers) 113,638 0.02 900 First Quantum Minerals Ltd. (Mining) 39,891 0.01 33,075 Australia & New Zealand Banking Group + 9,000 Husky Energy, Inc. (Oil & Gas) 274,822 0.05 Ltd. (Banks) 419,610 0.07 14,700 Inmet Mining Corp. (Mining) 582,427 0.10 2,276 Australian Stock Exchange Ltd. (Diversified 17,800 Methanex Corp. (Chemicals) 211,835 0.03 Financial Services) 62,907 0.01 34,500 National Bank of Canada (Banks) 1,608,680 0.26 21,808 BHP Billiton Ltd. (Mining) 603,105 0.10 2,600 Potash Corp. Saskatchewan (Chemicals) 298,287 0.05 8,494 Caltex Australia Ltd. (Oil & Gas) 81,125 0.01 4,700 Power Corp of Canada (Insurance) 108,956 0.02 369 Cochlear Ltd. (Healthcare Products) 16,046 0.00 21,400 Power Financial Corp. (Insurance) 502,141 0.08 95,282 Macquarie Airports (Construction & 19,700 Teck Cominco Ltd. (Mining) 307,868 0.05 Engineering) 159,653 0.03 21,300 Toronto-Dominion Bank (Banks) 1,079,169 0.18 6,696 Macquarie Group Ltd. (Diversified Financial 63,000 Yellow Pages Income Fund (Media) 325,506 0.05 Services) 169,098 0.03 88,739 Metcash Ltd. (Food, Beverages & Tobacco) 295,964 0.05 11,149,153 1.83 11,592 National Australia Bank Ltd. (Banks) 203,669 0.03 22,725 Tatts Group Ltd. (Entertainment) 44,424 0.01 Euro 457 Wesfarmers Ltd. (Retail) 7,774 0.00 24,885 AXA S.A. (Insurance) 460,214 0.08 16,097 Westfield Group (Real Estate) 140,639 0.02 484,790 Banco Bilbao Vizcaya Argentaria S.A. 3,342 WorleyParsons Ltd. (Construction & (Banks) 5,867,597 0.96 Engineering) 59,998 0.01 650,313 Banco Santander Central Hispano S.A. (Banks) 6,871,057 1.13 2,377,650 0.39 + 17,541 BNP Paribas (Banks) 1,206,280 0.20 + 15,122 Christian Dior S.A. (Cosmetics/Personal British Pound Sterling Care) 1,149,787 0.19 50,140 AstraZeneca Plc. (Pharmaceuticals) 2,081,859 0.34 3,560 CNP Assurances (Insurance) 336,117 0.06 95,530 Aviva Plc. (Insurance) 516,262 0.09 29,039 Coca Cola Hellenic Bottling Co. S.A. (Food, 398,932 BAE Systems Plc. (Aerospace & Defence) 2,202,629 0.36 Beverages & Tobacco) 596,434 0.10 98,143 Barclays Plc. (Banks) 471,716 0.08 + 25,184 Delhaize Group (Food, Beverages & 49,212 BHP Billiton Plc. (Mining) 1,173,522 0.19 Tobacco) 1,847,165 0.30 31,301 BP Plc. (Oil & Gas) 258,412 0.04 1,047,474 Enel SpA (Utilities—Electric) 6,176,449 1.01 46,389 Drax Group Plc. (Holding Companies— 226,841 ENI SpA (Oil & Gas) 5,459,085 0.90 Diversified) 367,048 0.06 34,534 Erste Bank der Oesterreichischen 113,820 Eurasian Natural Resources Corp. (Mining) 1,193,431 0.20 Sparkassen AG (Banks) 828,649 0.14 605,075 HSBC Holdings Plc. (Banks) 5,440,118 0.89 + 14,757 European Aeronautic Defence & Space Co. 49,775 J Sainsbury Plc. (Food, Beverages & NV (Aerospace & Defence) 238,458 0.04 Tobacco) 249,492 0.04 59,008 Exor SpA (Holding Companies—Diversified) 979,731 0.16 38,446 Kazakhmys Plc. (Mining) 428,893 0.07 14,202 Finmeccanica SpA (Aerospace & Defence) 199,139 0.03 43,602 Land Securities Group Plc. (Real Estate 18,284 Fomento de Construcciones y Contratas Investment Trust) 342,883 0.06 S.A. (Construction & Engineering) 725,280 0.12 131,818 Legal & General Group Plc. (Insurance) 128,631 0.02 166,042 Fortis (Banks) 632,413 0.10 100,543 Man Group Plc. (Investment Companies) 391,880 0.06 83,942 Iberdrola S.A. (Electric) 714,029 0.12 1,196,025 Morrison WM Supermarkets Plc. (Food, 19,881 Italcementi SpA (Building Materials) 126,203 0.02 Beverages & Tobacco) 4,676,162 0.77 14,425 KBC Groep NV (Banks) 295,055 0.05 895,059 Old Mutual Plc. (Insurance) 1,059,960 0.17 2,707 Kesko Oyj “B” (Food, Beverages & 131,074 Rexam Plc. (Packaging & Containers) 655,936 0.11 Tobacco) 77,709 0.01 10,123 Scottish & Southern Energy Plc. (Electric) 190,532 0.03 9,646 Marfin Investment Group S.A. (Investment 97,399 Tate & Lyle Plc. (Food, Beverages & Companies) 50,891 0.01 Tobacco) 468,533 0.08 75,534 Metso Oyj (Machinery—Diversified) 1,430,994 0.24 + 534,031 Thomas Cook Group Plc. (Leisure Time) 1,913,216 0.32 42,706 Mobistar S.A. (Telecommunications) 2,629,014 0.43 59,040 Vedanta Resources Plc. (Mining) 1,508,037 0.25 70,548 National Bank of Greece S.A. (Banks) 1,914,737 0.31 3,855 Vodafone Group Plc. (Telecommunications) 7,225 0.00 10,406 Nationale A Portefeuille (Investment 25,726,377 4.23 Companies) 538,874 0.09 23,618 Nokia Oyj (Telecommunications) 361,820 0.06 Canadian Dollar + 118,336 OMV AG (Oil & Gas) 4,782,564 0.79 8,900 Astral Media, Inc. (Media) 250,926 0.04 3,137,764 Parmalat SpA (Food, Beverages & 18,500 Barrick Gold Corp. (Mining) 697,417 0.11 Tobacco) 7,723,871 1.27 178,600 Bombardier, Inc. “B” (Miscellaneous 10,212 Peugeot S.A. (Automobile Manufacturers) 307,199 0.05 Manufacturing) 595,659 0.10 7,756 PPR S.A. (Retail) 647,926 0.11 17,900 Brookfield Asset Management, Inc.“A” (Real 31,056 Rautaruukki Oyj (Iron/Steel) 696,127 0.11 Estate) 310,404 0.05 13,394 Royal Dutch Shell Plc. “A” (Oil & Gas) 358,991 0.06 11,400 Canadian Natural Resources Ltd. (Oil & 34,906 Sampo Oyj (Insurance) 654,894 0.11 Gas) 672,220 0.11 97,156 Sanofi-Aventis (Pharmaceuticals) 6,160,538 1.01 24,700 CGI Group, Inc. “A” (Computers) 228,454 0.04 + 61,226 Schneider Electric S.A. (Electrical 600 Empire Co., Ltd. “A” (Food, Beverages & Components & Equipment) 4,527,003 0.74 Tobacco) 26,014 0.00 15,301 SCOR SE (Insurance) 320,959 0.05

The accompanying notes are an integral part of these financial statements.

46 Goldman Sachs Funds—Global CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Euro – (continued) Japanese Yen – (continued) 3,680 Strabag SE (Construction & Engineering) 82,021 0.01 67,900 Brother Industries Ltd. (Electrical 43,524 Telefonica S.A. (Telecommunications) 934,464 0.15 Components & Equipment) 639,501 0.10 + 53,808 Telekom Austria AG (Telecommunications) 827,357 0.14 11,600 Canon, Inc. (Office/Business Equipment) 381,958 0.06 18,056 UCB S.A. (Pharmaceuticals) 598,052 0.10 5,600 Daito Trust Construction Co., Ltd. (Real + 29,175 Umicore (Mining) 694,709 0.11 Estate) 252,297 0.04 + 2,093 Unibail (Real Estate Investment Trust) 334,753 0.06 10,000 Daiwa Securities Group, Inc. (Diversified 980,928 UniCredito Italiano SpA (Italy) (Banks) 2,558,547 0.42 Financial Services) 62,510 0.01 105,770 Valeo S.A. (Auto Parts & Equipment) 2,085,878 0.34 56,000 DIC Corp. (Chemicals) 89,563 0.01 36,019 Verbund—Oesterreichische 46,000 Fuji Electric Holdings Co., Ltd. Elektrizitaetswirtschafts AG (Electric) 1,930,280 0.32 (Hand/Machine Tools) 74,531 0.01 12,028 Vienna Insurance Group (Insurance) 509,019 0.08 139,000 Fuji Heavy Industries Ltd. (Automobile + 145,628 Vivendi S.A. (Media) 3,814,838 0.63 Manufacturers) 544,870 0.09 63,292 Voestalpine AG (Iron/Steel) 1,813,335 0.30 881 Fuji Television Network, Inc. (Media) 1,144,706 0.19 17,355 Wartsila Oyj (Miscellaneous Manufacturing) 618,166 0.10 40,700 FUJIFILM Holdings Corp. (Miscellaneous Manufacturing) 1,172,095 0.19 84,694,672 13.92 18,000 Hitachi Ltd. (Electrical Components & Equipment) 59,269 0.01 Hong Kong Dollar 120,300 Honda Motor Co., Ltd. (Automobile 501,000 BoC Hong Kong Holdings Ltd. (Banks) 791,150 0.13 Manufacturers) 3,458,161 0.57 388,000 Cathay Pacific Airways Ltd. (Airlines) 542,626 0.09 14,300 Idemitsu Kosan Co., Ltd. (Oil & Gas) 1,191,355 0.20 25,000 Cheung Kong Holdings Ltd. (Real Estate) 308,990 0.05 1,300 Japan Petroleum Exploration Co. (Oil & 155,500 CLP Holdings Ltd. (Electric) 1,042,210 0.17 Gas) 66,722 0.01 127,700 Esprit Holdings Ltd. (Apparel) 809,756 0.13 69 Japan Prime Realty Investment Corp. (Real 718,000 Foxconn International Holdings Ltd. Estate Investment Trust) 134,661 0.02 (Telecommunications) 514,111 0.08 40,000 Kawasaki Kisen Kaisha Ltd. 60,000 Hang Lung Group Ltd. (Real Estate) 270,931 0.04 (Transportation) 180,212 0.03 211,000 Hang Lung Properties Ltd. (Real Estate) 703,692 0.12 130,000 Kubota Corp. (Machinery—Diversified) 951,236 0.16 66,700 Hang Seng Bank Ltd. (Banks) 954,326 0.16 194,100 Leopalace21 Corp. (Real Estate) 1,702,293 0.28 71,100 Hong Kong Exchanges and Clearing Ltd. 2,900 Makita Corp. (Hand/Machine Tools) 64,114 0.01 (Diversified Financial Services) 1,098,920 0.18 252,000 Mazda Motor Corp. (Automobile 218,000 HongKong Electric Holdings (Electric) 1,170,009 0.19 Manufacturers) 650,645 0.11 85,000 Hopewell Holdings Ltd. (Real Estate) 259,352 0.04 9,000 Millea Holdings, Inc. (Insurance) 262,949 0.04 255,000 Hutchison Whampoa Ltd. (Holding 32,000 Mitsubishi Electric Corp. (Electrical Companies—Diversified) 1,779,823 0.29 Components & Equipment) 184,644 0.03 111,000 Hysan Development Co., Ltd. (Real Estate) 256,053 0.04 112,000 Mitsui O.S.K. Lines Ltd. (Transportation) 791,428 0.13 134,000 Kingboard Chemical Holdings Ltd. 5,000 Mitsumi Electric Co., Ltd. (Electronics) 96,012 0.02 (Chemicals) 345,760 0.06 +1,626,500 Mizuho Financial Group, Inc. (Banks) 3,876,465 0.64 180,313 Link Real Estate Investment Trust (Real 180,000 NEC Corp. (Electronics) 698,061 0.11 Estate Investment Trust) 353,598 0.06 6,900 NEC Electronics Corp. (Semiconductors) 70,468 0.01 84,000 Mongolia Energy Co., Ltd. (Mining) 34,679 0.01 11,400 Nintendo Co., Ltd. (Toys/Games/Hobbies) 3,074,479 0.51 514,000 New World Development Ltd. (Real Estate) 962,873 0.16 15 Nippon Building Fund, Inc. (Real Estate 28,000 NWS Holdings Ltd. (Holding Companies— Investment Trust) 131,710 0.02 Diversified) 60,689 0.01 171,000 Nippon Express Co., Ltd. (Transportation) 720,358 0.12 29,500 Orient Overseas International Ltd. 103,500 Nippon Mining Holdings, Inc. (Oil & Gas) 584,226 0.10 (Transportation) 127,879 0.02 86,400 Nippon Telegraph & Telephone Corp. 2,000 Pacific Basin Shipping Ltd. (Transportation) 1,404 0.00 (Telecommunications) 3,576,480 0.59 90,000 Sino Land Co. (Real Estate) 167,900 0.03 430,000 Nippon Yusen KK (Transportation) 2,049,652 0.34 225,000 Sun Hung Kai Properties Ltd. (Real Estate) 2,801,233 0.46 403,300 Nissan Motor Co., Ltd. (Automobile 71,000 Swire Pacific Ltd. “A” (Holding Manufacturers) 2,407,195 0.40 Companies—Diversified) 709,904 0.12 105,500 Nisshin Seifun Group, Inc. (Food, 84,000 Wharf Holdings Ltd. (Holding Companies— Beverages & Tobacco) 1,186,620 0.19 Diversified) 347,876 0.06 864,000 Nisshin Steel Co., Ltd. (Iron/Steel) 1,932,744 0.32 286,000 Wheelock & Co., Ltd. (Real Estate) 815,451 0.13 34,000 Nisshinbo Industries, Inc. (Textiles) 349,365 0.06 4,500 Wing Hang Bank Ltd. (Banks) 40,320 0.01 746,000 Osaka Gas Co., Ltd. (Gas) 2,347,212 0.39 141,500 Yue Yuen Industrial Holdings (Apparel) 324,584 0.05 4,800 Promise Co., Ltd. (Diversified Financial 17,596,099 2.89 Services) 63,572 0.01 57,000 Ricoh Co., Ltd. (Office/Business Equipment) 781,728 0.13 Japanese Yen 30,000 Showa Denko KK (Chemicals) 44,217 0.01 10,000 Ajinomoto Co., Inc. (Food, Beverages & 227,000 Sompo Japan Insurance, Inc. (Insurance) 1,651,513 0.27 Tobacco) 74,113 0.01 177,700 Sumitomo Corp. (Distribution/Wholesale) 1,766,505 0.29 45,800 Alps Electric Co., Ltd. (Electronics) 244,643 0.04 15,700 Sumitomo Mitsui Financial Group, Inc. 261,000 Amada Co., Ltd. (Machinery—Diversified) 1,713,354 0.28 (Banks) 602,300 0.10 29,000 Asahi Kasei Corp. (Chemicals) 142,476 0.02 88,000 Sumitomo Trust & Banking Co., Ltd. 133,900 Astellas Pharma, Inc. (Pharmaceuticals) 4,520,953 0.74 (Banks) 413,945 0.07 251,000 Bank of Yokohama Ltd. (Banks) 1,230,534 0.20 37,000 Taiheiyo Cement Corp. (Building Materials) 66,524 0.01

The accompanying notes are an integral part of these financial statements.

47 Goldman Sachs Funds—Global CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Japanese Yen – (continued) Swedish Krona – (continued) 25,000 Toho Gas Co., Ltd. (Gas) 101,657 0.02 68,673 Svenska Cellulosa AB “B” (Forest 58,100 Tokyo Steel Manufacturing Co., Ltd. Products & Paper) 792,042 0.13 (Iron/Steel) 678,385 0.11 48,099 Svenska Handelsbanken AB “A” (Banks) 933,063 0.15 56,000 Toppan Printing Co., Ltd. (Commercial 59,177 Swedish Match AB (Agriculture) 946,532 0.16 Services) 502,253 0.08 68,368 Telefonaktiebolaget LM Ericsson 4,400 Yamaha Corp. (Leisure Time) 55,377 0.01 (Telecommunications) 638,049 0.11 44,400 Yamaha Motor Co., Ltd. (Leisure Time) 498,929 0.08 372,917 TeliaSonera AB (Telecommunications) 1,917,602 0.32 2,800 Yamato Kogyo Co., Ltd. (Iron/Steel) 74,782 0.01 135,843 Volvo AB “B” (Machinery—Diversified) 870,915 0.14 5,200 Yokogawa Electric Corp. (Electronics) 26,363 0.00 17,823,052 2.93 52,414,890 8.61 United States Dollar Norwegian Kroner 269,154 Accenture Ltd. “A” (Computers) 8,055,779 1.32 102,400 Aker Kvaerner ASA (Construction & 38,391 ADC Telecommunications, Inc. Engineering) 894,131 0.15 (Telecommunications) 270,273 0.04 182,000 DnB NOR ASA (Banks) 1,502,496 0.25 14,441 Aflac, Inc. (Insurance) 512,656 0.08 7,400 Frontline Ltd. (Transportation) 175,342 0.03 23,428 AGCO Corp. (Machinery—Diversified) 676,132 0.11 60,400 Renewable Energy Corp. AS (Energy 95,829 Alcoa, Inc. (Mining) 883,543 0.15 Sources) 652,056 0.11 11,536 Alpha Natural Resources, Inc. (Coal) 317,817 0.05 51,350 SeaDrill Ltd. (Oil & Gas) 750,010 0.12 50,746 American Express Co. (Diversified Financial + 310,800 Statoil ASA (Oil & Gas) 6,523,057 1.07 Services) 1,261,038 0.21 483,800 Telenor ASA (Telecommunications) 4,070,807 0.67 140,147 Amgen, Inc. (Biotechnology) 6,998,941 1.15 149,350 Yara International ASA (Chemicals) 4,896,255 0.80 6,874 Apple Computer, Inc. (Computers) 933,558 0.15 49,763 Archer-Daniels-Midland Co. (Agriculture) 1,369,478 0.23 19,464,154 3.20 1,235 Armstrong World Industries, Inc. (Building Materials) 22,082 0.00 Singapore Dollar 51,194 Arrow Electronics, Inc. (Electronics) 1,238,383 0.20 136,000 Ascendas Real Estate Investment Trust 180,383 AT&T, Inc. (Telecommunications) 4,471,695 0.73 (Real Estate Investment Trust) 143,183 0.02 44,270 Avnet, Inc. (Electronics) 1,018,653 0.17 321,000 CapitaMall Trust (Real Estate Investment 29,730 Ball Corp. (Packaging & Containers) 1,183,254 0.19 Trust) 295,709 0.05 317,303 Bank of America Corp. (Banks) 3,576,005 0.59 75,000 City Developments Ltd. (Real Estate) 490,909 0.08 126,600 Bank of New York Mellon Corp. (Banks) 3,516,948 0.58 646,000 Cosco Corp. Singapore Ltd. 46,553 BB&T Corp. (Banks) 1,043,718 0.17 (Transportation) 572,731 0.09 426 Berkshire Hathaway, Inc. “B” (Insurance) 1,266,072 0.21 4,097,000 Golden Agri-Resources Ltd. (Agriculture) 1,206,043 0.20 7,703 Big Lots, Inc. (Retail) 177,246 0.03 53,000 Jardine Cycle & Carriage Ltd. 100,360 Biogen Idec, Inc. (Biotechnology) 5,197,644 0.85 (Distribution/Wholesale) 602,043 0.10 29,185 BorgWarner, Inc. (Auto Parts & Equipment) 941,216 0.15 31,000 Keppel Corp., Ltd. (Holding Companies— 32,312 Boyd Gaming Corp. (Lodging) 324,413 0.05 Diversified) 154,598 0.03 (a) 152,837 BP Plc.—ADR (Oil & Gas) 7,565,432 1.24 1,226,000 Noble Group Ltd. (Holding Companies— 93,367 Broadcom Corp. “A” (Semiconductors) 2,378,991 0.39 Diversified) 1,341,701 0.22 21,385 Bunge Ltd. (Agriculture) 1,353,029 0.22 848,000 Oversea-Chinese Banking Corp. (Banks) 4,252,481 0.70 16,279 Cadence Design Systems, Inc. (Computers) 91,976 0.02 124,000 SembCorp. Industries Ltd. (Construction & 36,192 Carnival Corp. (Leisure Time) 920,725 0.15 Engineering) 267,110 0.04 66,237 CBS Corp. “B” (Media) 488,829 0.08 133,000 Singapore Airlines Ltd. (Airlines) 1,151,515 0.19 21,023 CH Robinson Worldwide, Inc. 66,000 Singapore Exchange Ltd. (Diversified (Transportation) 1,068,389 0.18 Financial Services) 336,000 0.06 128,468 Chevron Corp. (Oil & Gas) 8,564,962 1.41 836,000 Singapore Telecommunications Ltd. 36,381 Cimarex Energy Co. (Oil & Gas) 1,186,748 0.19 (Telecommunications) 1,742,933 0.29 353,770 Cisco Systems, Inc. (Telecommunications) 6,544,745 1.08 68,000 United Overseas Bank Ltd. (Banks) 671,640 0.11 634,893 Citigroup, Inc. (Diversified Financial 461,000 United Overseas Land Ltd. (Real Estate) 1,056,907 0.17 Services) 2,361,802 0.39 14,285,503 2.35 11,558 Clear Channel Outdoor Holdings, Inc. “A” (Advertising) 40,684 0.01 Swedish Krona 7,112 Clearwire Corp. “A” (Telecommunications) 31,648 0.01 + 129,371 Alfa Laval AB (Miscellaneous 15,165 Colgate-Palmolive Co. (Cosmetics/Personal Manufacturing) 1,231,307 0.20 Care) 1,000,132 0.16 9,258 Investor AB “B” (Investment Companies) 144,716 0.02 77,422 Comcast Corp. “A” (Media) 1,066,101 0.18 24,997 Modern Times Group AB (Media) 733,563 0.12 58,511 Comcast Corp. “A” Special (Media) 760,643 0.12 417,648 Nordea Bank AB (Banks) 3,334,603 0.55 27,083 Comerica, Inc. (Banks) 587,159 0.10 130,293 Skandinaviska Enskilda Banken AB “A” 13,930 Commercial Metals Co. (Metal (Banks) 570,093 0.09 Fabricate/Hardware) 236,392 0.04 344,649 Skanska AB “B” (Construction & 105,398 ConocoPhillips (Oil & Gas) 4,831,444 0.79 Engineering) 3,792,784 0.62 110,153 Coventry Health Care, Inc. (Healthcare 137,896 SSAB AB “A” (Iron/Steel) 1,827,397 0.30 Services) 1,988,262 0.33 7,392 SSAB AB “B” (Iron/Steel) 90,386 0.02 315,064 Dell, Inc. (Computers) 3,648,441 0.60 119,660 Devon Energy Corp. (Oil & Gas) 7,567,298 1.24

The accompanying notes are an integral part of these financial statements.

48 Goldman Sachs Funds—Global CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) United States Dollar – (continued) United States Dollar – (continued) 30,489 Dollar Tree, Inc. (Retail) 1,364,993 0.22 6,802 McKesson Corp. (Commercial Services) 279,902 0.05 191 Dow Chemical Co. (Chemicals) 3,377 0.00 77,268 Merck & Co., Inc. (Pharmaceuticals) 2,131,051 0.35 27,706 Duke Realty Corp. (Real Estate Investment 25,222 MetLife, Inc. (Insurance) 794,493 0.13 Trust) 263,484 0.04 3,554 MF Global Ltd. (Diversified Financial 461,965 Dynegy, Inc. “A” (Electric) 928,550 0.15 Services) 21,608 0.00 11,785 Eastman Chemical Co. (Chemicals) 488,370 0.08 877,343 Microsoft Corp. (Software) 18,327,695 3.01 50,135 Eaton Vance Corp. (Diversified Financial 21,517 Mirant Corp. (Electric) 335,880 0.06 Services) 1,358,659 0.22 12,299 Moody’s Corp. (Commercial Services) 336,870 0.06 245,210 Eli Lilly & Co. (Pharmaceuticals) 8,476,910 1.39 115,916 NetApp, Inc. (Computers) 2,260,362 0.37 103,920 Embarq Corp. (Telecommunications) 4,366,718 0.72 11,745 Newmont Mining Corp. (Mining) 573,978 0.09 110,939 EMC Corp. (Computers) 1,303,533 0.21 62,168 News Corp. (Media) 608,003 0.10 168,513 Emerson Electric Co. (Electrical 83,320 NII Holdings, Inc. (Telecommunications) 1,704,727 0.28 Components & Equipment) 5,407,582 0.89 1 Oshkosh Corp. (Automobile Manufacturers) 12 0.00 40,287 Exelon Corp. (Electric) 1,934,179 0.32 28,050 Patterson-UTI Energy, Inc. (Oil & Gas) 402,237 0.07 91,585 Exterran Holdings, Inc. (Oil & Gas Services) 1,823,457 0.30 43,204 PepsiCo, Inc. (Food, Beverages & Tobacco) 2,248,768 0.37 237,614 Exxon Mobil Corp. (Oil & Gas) 16,478,531 2.71 163,522 PetSmart, Inc. (Retail) 3,329,308 0.55 2,842 Fairchild Semiconductor International, Inc. 182,556 Pfizer, Inc. (Pharmaceuticals) 2,773,026 0.46 (Semiconductors) 20,065 0.00 169,889 Philip Morris International, Inc. (Agriculture) 7,244,067 1.19 197,689 Family Dollar Stores, Inc. (Retail) 5,984,046 0.98 43,550 Plum Creek Timber Co., Inc. (Forest 7,779 Federal Mogul Corp. (Auto Parts & Products & Paper) 1,509,008 0.25 Equipment) 77,790 0.01 31,857 Prudential Financial, Inc. (Insurance) 1,271,413 0.21 15,415 Federal Realty Investment Trust (Real 40,713 Rayonier, Inc. (Forest Products & Paper) 1,628,520 0.27 Estate Investment Trust) 811,600 0.13 1,213 Regency Centers Corp. (Real Estate 49,160 FedEx Corp. (Transportation) 2,724,939 0.45 Investment Trust) 43,219 0.01 14,295 Frontier Oil Corp. (Oil & Gas) 249,734 0.04 41,494 Reliance Steel & Aluminum Co. (Iron/Steel) 1,576,357 0.26 80,959 General Electric Co. (Miscellaneous 1,980 Rockwell Automation, Inc. (Machinery— Manufacturing) 1,091,327 0.18 Diversified) 60,766 0.01 1,549 Generale Cable Corp. (Electrical 54,970 Ross Stores, Inc. (Retail) 2,152,625 0.35 Components & Equipment) 59,234 0.01 2,534 RR Donnelley & Sons Co. (Commercial 177,200 Gilead Sciences, Inc. (Pharmaceuticals) 7,637,320 1.26 Services) 34,158 0.01 6,356 GlaxoSmithKline Plc.—ADR(a) 60,796 Schlumberger Ltd. (Oil & Gas Services) 3,479,355 0.57 (Pharmaceuticals) 214,261 0.04 5,096 Schnitzer Steel Industries, Inc. “A” 8,139 Google, Inc. “A” (Internet) 3,395,835 0.56 (Iron/Steel) 277,936 0.05 96,098 Hansen Natural Corp. (Food, Beverages & 14,469 Scripps Networks Interactive, Inc. (Media) 401,370 0.07 Tobacco) 3,524,875 0.58 150,902 Seagate Technology (Computers) 1,314,356 0.22 49,364 Harman International Industries, Inc. (Home 102,542 SEI Investments Co. (Software) 1,582,223 0.26 Furnishings) 920,145 0.15 7,262 Signet Jewelers Ltd. (Retail) 130,643 0.02 16,525 Hospitality Properties Trust (Real Estate 493,847 Sprint Nextel Group Corp. Investment Trust) 230,854 0.04 (Telecommunications) 2,543,312 0.42 9,942 HSN, Inc. (Retail) 112,345 0.02 63,808 Sun Microsystems, Inc. (Computers) 574,272 0.09 41,631 Humana, Inc. (Healthcare Services) 1,304,299 0.21 37,705 Sunoco, Inc. (Oil & Gas) 1,147,363 0.19 27,722 Huntsman Corp. (Chemicals) 175,203 0.03 29,967 T Rowe Price Group, Inc. (Diversified 149,034 Ingram Micro, Inc. “A” Financial Services) 1,215,761 0.20 (Distribution/Wholesale) 2,462,042 0.40 2,862 Teekay Corp. (Transportation) 45,906 0.01 40,470 Integrated Device Technology, Inc. 3,769 Telephone & Data Systems, Inc. (Semiconductors) 227,846 0.04 (Telecommunications) 114,238 0.02 195,743 Intel Corp. (Semiconductors) 3,077,080 0.51 22,189 Tesoro Corp. (Oil & Gas) 375,882 0.06 54,224 International Business Machines Corp. 23,408 Texas Instruments, Inc. (Semiconductors) 454,115 0.07 (Computers) 5,762,927 0.95 33,414 Thermo Fisher Scientific, Inc. (Electronics) 1,300,139 0.21 84,533 Johnson & Johnson (Healthcare Products) 4,662,840 0.77 3,559 Ticketmaster Entertainment, Inc. 262,646 Johnson Controls, Inc. (Auto Parts & (Commercial Services) 27,689 0.00 Equipment) 5,234,535 0.86 96,976 Time Warner Cable, Inc. (Media) 2,985,891 0.49 103,635 JP Morgan Chase & Co. (Banks) 3,824,132 0.63 171,646 Time Warner, Inc. (Media) 4,019,949 0.66 25,344 Kimco Realty Corp. (Real Estate Investment 98,107 TJX Cos, Inc. (Retail) 2,895,138 0.48 Trust) 296,271 0.05 32,719 Toro Co. (Pharmaceuticals) 1,007,745 0.17 135,826 Liberty Media Holding Corp.—Interactive “A” 57,145 TRW Automotive Holdings Corp. (Auto (Internet) 795,940 0.13 Parts & Equipment) 509,733 0.08 10,576 Liberty Property Trust (Real Estate 58,197 Tyco Electronics Ltd. (Electronics) 1,010,882 0.17 Investment Trust) 246,209 0.04 109,339 United Parcel Service, Inc. “B” 54,075 Lincoln National Corp. (Insurance) 1,024,721 0.17 (Transportation) 5,591,596 0.92 24,966 Lockheed Martin Corp. (Aerospace & 3,345 United States Cellular Corp. Defence) 2,087,907 0.34 (Telecommunications) 138,918 0.02 181,737 Lorillard, Inc. (Agriculture) 12,418,089 2.04 78,352 United Technologies Corp. (Aerospace & 34,322 Manpower, Inc. (Commercial Services) 1,459,028 0.24 Defence) 4,122,099 0.68 183,496 Marriott International, Inc. “A” (Lodging) 4,286,467 0.70 121,713 Unum Group (Insurance) 2,082,509 0.34

The accompanying notes are an integral part of these financial statements.

49 Goldman Sachs Funds—Global CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of Futures Contracts – (continued) Market Value Shareholders’ Unrealised %of Holdings Security Description USD Equity Number of Gain Shareholders’ Contracts Security Description USD Equity Common Stocks – (continued) USD United States Dollar – (continued) 175 S&P 500 Index 19/06/09 Long 604,314 0.10 215,299 US Bancorp (Banks) 4,133,741 0.68 335,402 Valero Energy Corp. (Oil & Gas) 7,502,943 1.23 UNREALISED GAIN ON FUTURES 124,431 VeriSign, Inc. (Internet) 2,912,930 0.48 CONTRACTS 1,197,979 0.20 103,350 Vodafone Group Plc.—ADR(a) (Telecommunications) 1,945,047 0.32 MARKET VALUE OF INVESTMENTS 214,901 Wal-Mart Stores, Inc. (Retail) 10,689,176 1.76 ( c o s t U S D 5 9 9 , 0 6 3 , 0 3 6 ) 603,387,244 99.16 11,037 Walt Disney Co. (Media) 267,316 0.04 3,145 WellCare Health Plans, Inc. (Healthcare O T H E R A S S E T S A N D L I A B I L I T I E S 5,116,423 0.84 Services) 59,755 0.01 192,069 Wells Fargo & Co. (Banks) 4,897,760 0.80 SHAREHOLDERS’ EQUITY 608,503,667 100.00 2,559 Western Digital Corp. (Computers) 63,591 0.01 %of 86,851 Wyndham Worldwide Corp. (Lodging) 1,023,973 0.17 Market Value Shareholders’ 2,950 Yum! Brands, Inc. (Retail) 102,159 0.02 TOTAL INVESTMENTS USD Equity 344,734,089 56.65 Total Investments excluding futures contracts TOTAL COMMON STOCKS (cost USD 599,063,036) 602,189,265 98.96 ( c o s t U S D 5 8 7 , 1 4 5 , 0 0 5 ) 590,265,639 97.00 Unrealised gain on futures contracts 1,197,979 0.20 Other Assets and Liabilities 5,116,423 0.84

Rights – 0.00% Shareholders’ Equity 608,503,667 100.00 Australian Dollar 3,324 Santos Ltd., exp 06/09—Rights(b) The Futures Clearing Merchant was Goldman, Sachs & Co. (Telecommunications Services) 5,595 0.00 + A portion of these securities were on loan at 31 May 2009. See Note 5. (a) Euro Security holding is traded/held in USD. (ADR: American Depositary 207,403 Fortis exp. 07/14—Rights(b) (Banks) — — Receipt/GDR: Global Depositary Receipt). (b) These securities are fair valued. See Note 3(e). TOTAL RIGHTS ( c o s t U S D n i l ) 5,595 0.00 (c) This security is admitted to an official exchange listing. (d) TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN The yield for this fund as at 31 May 2009 was 0.530%. OFFICIAL EXCHANGE LISTING (e) A related party to Goldman Sachs Funds. ( c o s t U S D 5 8 7 , 1 4 5 , 0 0 5 ) 590,271,234 97.00

Mutual Funds – 1.96% %of United States Dollar Allocation of Portfolio as at 31 May 2009 Net Assets 11,918,031 Goldman Sachs US$ Liquid Reserves Fund(c)(d)(e) 11,918,031 1.96 Common Stocks Oil & Gas 13.06 TOTAL MUTUAL FUNDS Banks 11.53 ( c o s t U S D 1 1 , 9 1 8 , 0 3 1 ) 11,918,031 1.96 Telecommunications 6.48 Pharmaceuticals 5.86 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES Retail 4.54 CONTRACTS Agriculture 4.04 ( c o s t U S D 5 9 9 , 0 6 3 , 0 3 6 ) 602,189,265 98.96 Computers 3.98 Food, Beverages & Tobacco 3.77 Futures Contracts – 0.20% Software 3.27 Unrealised %of Media 2.77 Number of Gain Shareholders’ Other 37.70 Contracts Security Description USD Equity T O T A L C O M M O N S T O C K S 97.00 AUD 5 ASX SPI 200 Index 18/06/09 Long 5,486 0.00 Other Net Assets 3.00

CAD T O T A L 100.00 5 S&P TSE 60 Index 18/06/09 Long 56,911 0.01

EUR 97 DJ EURO STOXX 50 Index 19/06/09 Long 340,714 0.06

GBP 15 FTSE 100 Index 19/06/09 Long 101,180 0.02

JPY 15 TOPIX Index 12/06/09 Long 89,374 0.01

The accompanying notes are an integral part of these financial statements.

50 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.16% British Pound Sterling – (continued) 25,519 ARM Holdings Plc. (Semiconductors) 43,805 0.07 Australian Dollar 10,989 Ashmore Group Plc. (Diversified Financial 11,216 Allco Finance Group Ltd.(a) (Diversified Services) 37,106 0.06 Financial Services) — — 1,319 Bellway Plc. (Home Builders) 13,755 0.02 5,948 APA Group (Pipelines) 13,051 0.02 69,966 Brit Insurance Holdings Plc. (Insurance) 216,466 0.34 1,455 Arana Therapeutics Ltd. (Biotechnology) 1,620 0.00 8,727 British Polythene Industries (Packaging & 33,742 Ausdrill Ltd. (Mining) 23,692 0.04 Containers) 20,585 0.03 9,826 Austbrokers Holdings Ltd. (Insurance) 30,185 0.05 38,576 Charter International Plc. (Miscellaneous 40,965 Australian Infrastructure Fund (Other Manufacturing) 329,379 0.52 Finance) 55,566 0.09 18,939 Cineworld Group Plc. (Entertainment) 43,602 0.07 17,922 Automotive Holdings Group (Automobile 13,871 Close Brothers Group Plc. (Diversified Manufacturers) 17,946 0.03 Financial Services) 147,458 0.23 31,825 Beach Petroleum Ltd. (Oil & Gas) 19,807 0.03 41,098 Computacenter Plc. (Computers) 126,156 0.20 2,740 BT Investment Management Ltd. 42,148 Cookson Group Plc. (Miscellaneous (Diversified Financial Services) 4,394 0.01 Manufacturing) 183,857 0.29 7,695 Bunnings Warehouse Property Trust 18,793 De La Rue Plc. (Commercial Services) 250,942 0.40 (Real Estate) 10,622 0.02 80,823 Debenhams Plc. (Retail) 120,458 0.19 244,304 Cape Lambert Iron Ore Ltd. (Mining) 58,479 0.09 3,811 Derwent London Plc. (Real Estate 52,058 Challenger Financial Services Group Ltd. Investment Trust) 51,904 0.08 (Diversified Financial Services) 83,905 0.13 73,273 Devro Plc. (Food, Beverages & Tobacco) 117,788 0.19 84,961 Emeco Holdings Ltd. (Commercial 98,255 Dimension Data Holdings Plc. (Computers) 88,895 0.14 Services) 29,489 0.05 7,152 Domino Printing Sciences (Computers) 25,305 0.04 7,206 Energy Developments Ltd. (Energy 2,290 Drax Group Plc. (Holding Sources) 8,509 0.01 Companies—Diversified) 18,119 0.03 8,189 Fleetwood Corp. Ltd. (Home Builders) 42,144 0.07 137,789 DS Smith Plc. (Forest Products & Paper) 162,507 0.26 605 Flight Centre Ltd. (Leisure Time) 3,534 0.01 36,950 Dunelm Group Plc. (Retail) 136,705 0.22 22,778 Gloucester Coal Ltd. (Coal) 127,040 0.20 36,664 Elementis Plc. (Chemicals) 15,401 0.02 28,315 Goodman Fielder Ltd. (Food, Beverages & 6,967 Enterprise Inns Plc. (Retail) 16,659 0.03 Tobacco) 28,805 0.05 27,391 Ferrexpo Plc. (Iron/Steel) 71,690 0.11 48,948 Hastings Diversified Utilities Fund 184,100 Fiberweb Plc. (Apparel) 156,895 0.25 (Investment Companies) 47,453 0.07 14,793 Game Group Plc. (Retail) 40,510 0.06 13,238 Iluka Resources Ltd. (Mining) 33,589 0.05 3,804 Goldshield Group Plc. (Pharmaceuticals) 20,219 0.03 22,436 Imdex Ltd. (Mining) 8,414 0.01 12,636 Greene King Plc. (Food, Beverages & 105,186 ING Office Fund (Real Estate) 47,839 0.08 Tobacco) 89,416 0.14 4,440 James Hardie Industries NV (Building 8,845 Hiscox Ltd. (Insurance) 46,442 0.07 Materials) 15,269 0.02 180,466 Inchcape Plc. (Distribution/Wholesale) 49,565 0.08 603 JB Hi-Fi Ltd. (Retail) 6,009 0.01 13,094 Laird Plc. (Electrical Components & 121 Lion Selection Ltd. (Mining) 101 0.00 Equipment) 30,463 0.05 42,734 Macquarie Leisure Trust Group (Real Estate 24,690 Logica Plc. (Computers) 29,319 0.05 Investment Trust) 49,441 0.08 24,720 Lookers Plc. (Retail) 20,768 0.03 46,579 Mincor Resources NL (Mining) 49,802 0.08 45,831 Marston’s Plc. (Food, Beverages & 20,727 Mineral Deposits Ltd. (Mining) 11,577 0.02 Tobacco) 125,876 0.20 5,624 Mineral Resources Ltd. (Mining) 15,706 0.02 49,204 Mothercare Plc. (Retail) 343,812 0.55 8,386 Monadelphous Group Ltd. (Construction & 1,577 Ocean Wilsons Holdings Ltd. Engineering) 66,912 0.11 (Transportation) 16,777 0.03 4,917 Navitas Ltd. (Commercial Services) 10,789 0.02 77,903 Pendragon Plc. (Retail) 32,094 0.05 127,273 Pan Pacific Petroleum NL (Oil & Gas) 32,496 0.05 38,282 Petrofac Ltd. (Oil & Gas Services) 407,890 0.65 22,933 Premier Investments Ltd. (Investment 3,152 Phoenix IT Group Ltd. (Computers) 7,740 0.01 Companies) 97,896 0.15 13,435 PV Crystalox Solar Plc. (Semiconductors) 16,930 0.03 122,976 Resolute Mining Ltd. (Mining) 68,686 0.11 282,685 Regus Plc. (Real Estate) 316,269 0.50 17,539 Sally Malay Mining Ltd. (Mining) 28,548 0.05 33,725 Rexam Plc. (Packaging & Containers) 168,771 0.27 7,293 Salmat Ltd. (Software) 21,531 0.03 22,160 RPC Group Plc. (Packaging & Containers) 53,703 0.09 14,320 Seven Network Ltd. (Media) 62,843 0.10 2,663 SDL Plc. (Computers) 14,241 0.02 214,498 Sigma Pharmaceuticals Ltd. 152,838 Segro Plc. (Real Estate Investment Trust) 65,435 0.10 (Pharmaceuticals) 170,292 0.27 77,196 Senior Plc. (Miscellaneous Manufacturing) 44,898 0.07 19,122 Straits Resources Ltd. (Mining) 25,785 0.04 1,605 Shaftesbury Plc. (Real Estate Investment 26,492 Tassal Group Ltd. (Food, Beverages & Trust) 10,184 0.02 Tobacco) 46,926 0.07 61,910 St Ives Group Plc. (Commercial Services) 80,268 0.13 35,627 Thakral Holdings Group (Real Estate) 6,254 0.01 53,165 Sthree Plc. (Commercial Services) 170,069 0.27 61,496 Virgin Blue Holdings Ltd. (Airlines) 13,739 0.02 20,809 Tate & Lyle Plc. (Food, Beverages & 1,496,685 2.37 Tobacco) 100,101 0.16 78,313 Taylor Wimpey Plc. (Home Builders) 40,487 0.06 British Pound Sterling 133,569 Thomas Cook Group Plc. (Leisure Time) 478,523 0.76 51,192 Anglo Pacific Group Plc. (Mining) 113,307 0.18 1,256 Thomson Reuters Plc. (Media) 34,273 0.05 5,418 Anite Plc. (Computers) 2,910 0.00 24,930 TT electronics Plc. (Electronics) 10,774 0.02

The accompanying notes are an integral part of these financial statements.

51 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) British Pound Sterling – (continued) Canadian Dollar – (continued) 43,005 Tullett Prebon Plc. (Diversified Financial 8,000 Platinum Group Metals Ltd. (Mining) 9,914 0.02 Services) 205,658 0.33 5,400 Potash One, Inc. (Mining) 15,402 0.02 9,362 Weir Group Plc. (Machinery—Diversified) 77,668 0.12 7,100 QLT, Inc. (Pharmaceuticals) 15,463 0.02 7,530 WH Smith Plc. (Retail) 53,285 0.08 2,900 Quebecor, Inc. “B” (Media) 50,553 0.08 5,493 Wolseley Plc. (Distribution/Wholesale) 92,206 0.15 7,700 ShawCor Ltd. (Oil & Gas Services) 143,489 0.23 58,000 Shore Gold, Inc. (Mining) 29,597 0.05 5,806,288 9.20 100 Silver Standard Resources, Inc. (Mining) 2,358 0.00 6,400 Tanzanian Royalty Exploration Corp. Canadian Dollar (Mining) 22,745 0.04 500 Aastra Technologies Ltd. 1,400 Thompson Creek Metals Co., Inc. (Mining) 13,127 0.02 (Telecommunications) 13,578 0.02 200 Toromont Industries Ltd. 4,600 Alimentation Couche-Tard Inc. “B” (Retail) 56,211 0.09 (Machinery—Diversified) 4,153 0.01 29,100 Anvil Mining Ltd. (Mining) 36,329 0.06 800 Transat AT, Inc. “A” (Airlines) 8,588 0.01 1,400 Astral Media, Inc. (Media) 39,472 0.06 9,300 TransForce, Inc. (Transportation) 49,915 0.08 24,700 Aurizon Mines Ltd. (Mining) 108,938 0.17 500 Tree Island Wire Income Fund (Metal 1,000 Biovail Corp. (Pharmaceuticals & Fabricate/Hardware) 296 0.00 Biotechnology) 12,630 0.02 1,600 West Fraser Timber Co., Ltd. (Forest 300 Boardwalk Real Estate Investment Trust Products & Paper) 42,369 0.07 (Real Estate Investment Trust) 8,568 0.01 1,600 Westjet Airlines Ltd. (Airlines) 17,321 0.03 1,100 Bonterra Oil & Gas Ltd. (Oil & Gas) 21,050 0.03 8,400 Westshore Terminals Income Fund 161,000 Breakwater Resources Ltd. (Mining) 42,546 0.07 (Storage/Warehousing) 87,567 0.14 4,000 Canfor Corp. (Forest Products & Paper) 20,448 0.03 700 Winpak Ltd. (Packaging & Containers) 3,904 0.01 300 CCL Industries (Packaging & Containers) 5,965 0.01 6,200 Celestica, Inc. (Electronics) 40,396 0.06 2,441,586 3.87 1,600 Cogeco, Inc. (Media) 32,819 0.05 100 Constellation Software, Inc. (Software) 2,971 0.00 Danish Krone 6,100 Corus Entertainment, Inc. “B” (Media) 88,104 0.14 3,549 Auriga Industries (Chemicals) 66,569 0.11 8,900 Dalsa Corp. (Electronics) 46,227 0.07 17,921 Bang & Olufsen A/S “B” (Home 4,200 Davis & Henderson Income Fund Furnishings) 151,096 0.24 (Commercial Services) 50,443 0.08 117 Foroya Banki P/F (Banks) 2,649 0.00 27,900 Delphi Energy Corp. (Oil & Gas) 28,220 0.05 1,150 Schouw & Co. (Holding 400 Dundee Real Estate Investment Trust (Real Companies—Diversified) 21,680 0.04 Estate Investment Trust) 5,486 0.01 3,620 Sjaelso Gruppen (Construction & 19,500 Eastmain Resources Inc. (Mining) 23,633 0.04 Engineering) 19,753 0.03 9,900 Equinox Minerals Ltd. (Mining) 24,358 0.04 261,747 0.42 9,700 Exfo Electro Optical Engineering, Inc. (Telecommunications) 45,168 0.07 Euro 28,200 First Majestic Silver Corp. (Mining) 69,896 0.11 4,314 A-TEC Industries AG 4,400 First Uranium Corp. (Mining) 27,465 0.04 (Machinery—Diversified) 55,926 0.09 1,400 Flint Energy Services Ltd. (Oil & Gas 5,934 Adidas AG (Apparel) 216,050 0.34 Services) 13,855 0.02 18,743 Assystem (Commercial Services) 138,016 0.22 17,200 FNX Mining Co, Inc. (Mining) 105,796 0.17 30,500 Formation Capital Corp. (Mining) 10,422 0.02 11,198 Astaldi SpA (Construction & Engineering) 78,706 0.13 6,300 Forsys Metals Corp. (Mining) 31,804 0.05 980 Axel Springer AG (Media) 95,112 0.15 1,580 Ballast Nedam NV (Construction & 5,500 Gabriel Resources Ltd. (Mining) 11,327 0.02 Engineering) 36,218 0.06 5,200 Gennum Corp. (Semiconductors) 24,782 0.04 50,571 Banco de Sabadell S.A. (Banks) 322,448 0.51 8,000 Golden Star Resources Ltd. (Mining) 18,371 0.03 2,286 Banco de Valencia S.A. (Banks) 22,283 0.04 28,900 Grande Cache Coal Corp. (Coal) 39,239 0.06 6,805 Banco Pastor S.A. (Banks) 49,245 0.08 1,400 Harry Winston Diamond Corp. (Mining) 9,198 0.01 5 Banque Nationale de Belgique (Banks) 16,844 0.03 27,700 Highpine Oil & Gas Ltd. (Oil & Gas) 119,392 0.19 2,700 Home Capital Group, Inc. (Banks) 79,863 0.13 3,839 Baron de Ley (Food, Beverages & Tobacco) 141,886 0.23 3,100 HudBay Minerals, Inc. (Mining) 22,655 0.04 31,080 BasicNet SpA (Apparel) 69,973 0.11 427 Bauer AG (Building Materials) 18,420 0.03 5,900 Kirkland Lake Gold, Inc. (Mining) 51,129 0.08 4,833 Bechtle AG (Retail) 88,562 0.14 26,100 Laramide Resources (Mining) 45,664 0.07 535 Belvedere S.A. (Food, Beverages & 20,800 Lundin Mining Corp. (Mining) 49,849 0.08 Tobacco) 32,829 0.05 7,900 Morguard Real Estate Investment Trust 2,719 Bilfinger Berger AG (Construction & (Real Estate Investment Trust) 73,572 0.12 Engineering) 134,129 0.21 4,600 Mosaid Technologies, Inc. (Semiconductors) 55,666 0.09 6,087 BinckBank NV (Diversified Financial 2,800 Mullen Group Ltd. (Oil & Gas Services) 34,394 0.05 19,500 Nevsun Resources Ltd. (Mining) 27,542 0.04 Services) 77,967 0.12 703 Bollore (Holding Companies—Diversified) 99,813 0.16 12,200 Noranda Income Fund (Mining) 32,240 0.05 2,124 Buzzi Unicem SpA (Building Materials) 29,782 0.05 9,900 Northern Dynasty Minerals (Mining) 80,109 0.13 1,350 Carbone Lorraine (Electrical Components & 4,800 NuVista Energy Ltd. (Oil & Gas) 46,364 0.07 Equipment) 39,144 0.06 21,000 OceanaGold Corp. (Mining) 22,198 0.04 6,185 Cegid Group (Software) 96,846 0.15 7,200 Patheon, Inc. (Pharmaceuticals) 19,289 0.03 2,006 Celesio AG (Pharmaceuticals) 45,248 0.07 8,500 Petro Andina Resources, Inc. (Oil & Gas) 49,184 0.08

The accompanying notes are an integral part of these financial statements.

52 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Euro – (continued) Euro – (continued) 1,627 Cewe Color Holding AG (Retail) 52,329 0.08 10,346 Michaniki S.A. (Construction & Engineering) 30,795 0.05 1,166 Compagnie d’Entreprises CFE + 5,402 MTU Aero Engines Holding AG (Aerospace (Construction & Engineering) 52,782 0.08 & Defence) 174,658 0.28 974 Compagnie Générale de Géophysique S.A. 9,632 Nexity (Real Estate) 330,173 0.52 (Oil & Gas Services) 17,202 0.03 3,897 Nyrstar (Mining) 35,348 0.06 1,445 Corp Financiera Alba (Other Finance) 67,817 0.11 7,986 OCE NV (Office/Business Equipment) 55,088 0.09 5,108 Danieli & Co SpA 3,145 OPG Groep NV (Pharmaceuticals & (Machinery—Construction & Mining) 96,699 0.15 Biotechnology) 39,343 0.06 13,000 Danieli & Co SpA 13,630 Ordina NV (Commercial Services) 65,084 0.10 (Machinery—Construction & Mining) 131,853 0.21 7,837 Outotec Oyj (Machinery—Construction & 1,454 Delticom AG (Retail) 95,765 0.15 Mining) 195,789 0.31 4,423 Demag Cranes AG (Machinery—Diversified) 107,753 0.17 1,373 Paddy Power Plc. (Entertainment) 33,565 0.05 949 Deutsche Euroshop AG (Real Estate) 28,528 0.05 141,359 Parmalat SpA (Food, Beverages & 22,357 Deutsche Lufthansa AG (Airlines) 307,968 0.49 Tobacco) 347,967 0.55 689 Draegerwerk AG (Healthcare Products) 19,594 0.03 25 Pfeiffer Vacuum Technology AG 377 Entrepose Contracting (Construction & (Machinery—Diversified) 1,825 0.00 Engineering) 23,299 0.04 14,983 Piaggio & C SpA (Leisure Time) 31,809 0.05 3,485 Esprinet SpA (Distribution/Wholesale) 32,102 0.05 5,103 Piccolo Credito Valtellinese Scarl (Banks) 40,780 0.06 533 Esso Ste Anonyme Francaise (Oil & Gas) 70,992 0.11 3,382 PKC Group Oyj (Telecommunications) 18,368 0.03 13,183 Eurobank Properties Real Estate 1,816 Praktiker Bau- und Heimwerkermaerkte AG Investment Co. (Real Estate Investment (Retail) 18,829 0.03 Trust) 130,176 0.21 7,640 Publicis Groupe (Advertising) 246,802 0.39 10,531 Exor SpA (Holding Companies—Diversified) 116,170 0.18 13,518 Rallye S.A. (Retail) 362,886 0.58 1,150 Foncière Des Régions (Real Estate 54,258 Redes Energeticas Nacionais S.A. (Electric) 224,259 0.36 Investment Trust) 86,571 0.14 2,856 Roth & Rau AG (Electronics) 78,602 0.12 102,734 Fyffes Plc. (Food, Beverages & Tobacco) 49,273 0.08 2,969 Safran S.A. (Aerospace & Defence) 38,787 0.06 7,894 GAGFAH S.A. (Real Estate) 70,266 0.11 10,715 SCOR SE (Insurance) 224,762 0.36 3,780 GEA Group AG (Holding 667 Semperit AG Holding (Miscellaneous Companies—Diversified) 58,655 0.09 Manufacturing) 19,251 0.03 335 Gecina S.A. (Real Estate Investment Trust) 27,303 0.04 775 SMA Solar Technology AG (Electrical 4,304 Gestevision Telecinco S.A. (Media) 41,893 0.07 Components & Equipment) 62,261 0.10 8,027 Grafton Group Plc. (Retail) 31,592 0.05 2,796 Sociedad General de Aguas de Barcelona 1,477 Grafton Group Plc. (Retail) 5,855 0.01 S.A. “A” (Water) 61,174 0.10 7,460 Grifols S.A. (Pharmaceuticals) 133,963 0.21 1,000 Sperian Protection (Miscellaneous 5,012 Groupe Steria SCA (Commercial Services) 99,619 0.16 Manufacturing) 44,746 0.07 752 Grupo Ferrovial S.A. (Construction & 2,639 Takkt AG (Retail) 27,548 0.04 Engineering) 25,321 0.04 3,817 Technip S.A. (Oil & Gas Services) 187,487 0.30 15,326 Heidelberger Druckmaschinen 4,955 Tecnicas Reunidas S.A. (Construction & (Machinery—Diversified) 107,666 0.17 Engineering) 217,312 0.34 23,208 Heijmans NV (Construction & Engineering) 160,091 0.25 1,619 Tessenderlo Chemie NV (Chemicals) 54,607 0.09 140 Hellenic Duty Free Shops S.A. (Retail) 1,256 0.00 54,655 Tubos Reunidos S.A. (Iron/Steel) 164,992 0.26 4,779 Heracles General Cement Co. (Building 16,798 United Drug Plc. (Pharmaceuticals & Materials) 45,842 0.07 Biotechnology) 44,075 0.07 13,192 Iaso S.A. (Healthcare Services) 94,535 0.15 320 USG People NV (Commercial Services) 4,085 0.01 766 ICADE (Real Estate Investment Trust) 64,628 0.10 11,502 Valeo S.A. (Auto Parts & Equipment) 226,830 0.36 3,549 Impregilo SpA (Construction & Engineering) 11,252 0.02 2,169 Van der Moolen Holding NV (Diversified 524 Imtech NV (Construction & Engineering) 10,396 0.02 Financial Services) 5,660 0.01 4,050 Indesit Co SpA (Home Furnishings) 26,980 0.04 536 Vastned Offices/Industrial (Real Estate + 20,598 Infineon Technologies AG (Semiconductors) 64,506 0.10 Investment Trust) 7,115 0.01 691 Italcementi SpA (Building Materials) 7,900 0.01 1,983 YIT Oyj (Construction & Engineering) 20,868 0.03 6,025 IVG Immobilien AG (Real Estate) 43,261 0.07 18,134 Zumtobel AG (Electrical Components & 5,341 J&P-Avax S.A. (Construction & Equipment) 222,297 0.35 Engineering) 21,548 0.03 9,329,361 14.79 22,217 Kemira OYJ (Chemicals) 239,441 0.38 1,331 Kesko Oyj “A” (Food, Beverages & Hong Kong Dollar Tobacco) 40,368 0.06 14,000 Allied Group Ltd. (Holding 2,971 Kesko Oyj “B” (Food, Beverages & Companies—Diversified) 32,476 0.05 Tobacco) 85,288 0.14 99,900 Champion Real Estate Investment Trust 6,392 Lagardere SCA (Media) 212,528 0.34 (Real Estate Investment Trust) 34,155 0.05 5,665 Legrand S.A. (Electrical Components & Equipment) 118,991 0.19 78,000 China Gas Holdings Ltd. (Pipelines) 18,717 0.03 7,321 Loewe AG (Home Furnishings) 86,234 0.14 72,000 China Rare Earth Holdings Ltd. (Mining) 12,633 0.02 456,000 China Ting Group Holdings Ltd. (Apparel) 52,948 0.08 137 Maisons France Confort (Home Builders) 4,252 0.01 460,000 China WindPower Group Ltd. (Energy 988 Mercialys S.A. (Real Estate Investment Sources) 47,477 0.08 Trust) 29,784 0.05 100,000 Chow Sang Sang Holdings (Retail) 78,183 0.12

The accompanying notes are an integral part of these financial statements.

53 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Hong Kong Dollar – (continued) Japanese Yen – (continued) 99,000 Enerchina Holdings Ltd. (Electric) 1,992 0.00 2,000 FCC Co., Ltd. (Auto Parts & Equipment) 25,025 0.04 36,000 Fortune Real Estate Investment Trust (Real 4,500 Fuji Electronics Co., Ltd. Estate Investment Trust) 16,860 0.03 (Distribution/Wholesale) 34,621 0.06 8,000 Fubon Bank Hong Kong Ltd. (Banks) 4,015 0.01 31,000 Fuji Fire & Marine Insurance Co., Ltd. 129,900 Global Green Tech Group Ltd. (Household (Insurance) 44,070 0.07 Products/Wares) 6,955 0.01 12,000 Fuji Machine Manufacturing Co., Ltd. 29,000 Great Eagle Holdings Ltd. (Real Estate) 60,312 0.10 (Machinery—Diversified) 158,177 0.25 12,000 HKR International Ltd. (Holding 34,000 Fujikura Ltd. (Electrical Components & Companies—Diversified) 5,542 0.01 Equipment) 155,313 0.25 36,000 Hopson Development Holdings Ltd. (Real 17,000 Fujitec Co., Ltd. (Building Materials) 75,702 0.12 Estate) 52,112 0.08 11,600 Fujitsu Frontech, Ltd. (Computers) 110,586 0.18 240,000 Johnson Electric Holdings Ltd. (Electrical 23,000 Fukuyama Transporting Co., Ltd. Components & Equipment) 65,643 0.10 (Transportation) 89,197 0.14 90,000 Natural Beauty Bio-Technology Ltd. 12,500 Furuno Electric Co., Ltd. (Electronics) 64,940 0.10 (Cosmetics/Personal Care) 15,327 0.02 5,700 Fuyo General Lease Co., Ltd. (Diversified 20,000 Oriental Press Group(a) (Media) 2,116 0.00 Financial Services) 116,663 0.19 184,000 PYI Corp., Ltd. (Construction & 33 Global One Real Estate Investment Corp. Engineering) 18,516 0.03 (Real Estate Investment Trust) 219,391 0.35 58,000 SCMP Group Ltd. (Media) 10,775 0.02 3,870 Goldcrest Co., Ltd. (Real Estate) 97,089 0.15 516,000 Skyworth Digital Holdings Ltd. (Home 3,000 GS Yuasa Corp. (Electrical Components & Furnishings) 71,232 0.11 Equipment) 23,676 0.04 1,114,000 Solomon Systech International Ltd. 24,000 Gunze Ltd. (Apparel) 83,040 0.13 (Semiconductors) 73,298 0.12 3,400 Hitachi Software Engineering Co., Ltd. 2,210,000 Superb Summit International Timber Co., (Software) 52,600 0.08 Ltd.(a) (Forest Products & Paper) 11,690 0.02 3,200 Hosiden Corp. (Electronics) 43,151 0.07 78,000 Tai Fook Securities Group Ltd. (Diversified 13,800 Ichinen Co., Ltd. (Diversified Financial Financial Services) 22,642 0.04 Services) 59,144 0.09 10,500 Techtronic Industries Co. (Hand/Machine 5,000 Inui Steamship Co., Ltd. (Transportation) 37,161 0.06 Tools) 7,843 0.01 12 Japan Prime Realty Investment Corp. (Real 2,000 Truly International Holdings (Electronics) 1,373 0.00 Estate Investment Trust) 23,419 0.04 107,000 Varitronix International Ltd. (Electronics) 29,680 0.05 8 Japan Retail Fund Investment Corp. (Real 12,000 Wing OnCo. International Ltd. (Retail) 13,005 0.02 Estate Investment Trust) 36,461 0.06 3,300 Xinao Gas Holdings Ltd. (Gas) 5,109 0.01 4,500 JSP Corp. (Miscellaneous Manufacturing) 26,013 0.04 500 Kaga Electronics Co., Ltd. (Electronics) 4,970 0.01 772,626 1.22 12,000 Kagoshima Bank Ltd. (Banks) 82,036 0.13 18,000 Kaken Pharmaceutical Co., Ltd. Japanese Yen (Pharmaceuticals) 159,557 0.25 13,000 Aichi Machine Industry Co., Ltd. (Auto Parts 7,000 Kansai Urban Banking Corp. (Banks) 14,488 0.02 & Equipment) 33,701 0.05 31,000 Keiyo Bank Ltd. (Banks) 135,452 0.21 2,800 Aiful Corp. (Diversified Financial Services) 8,751 0.01 96 Kenedix, Inc. (Diversified Financial 5,700 Alpen Co., Ltd. (Retail) 94,201 0.15 Services) 29,001 0.05 3,400 Alpine Electronics, Inc. (Home Furnishings) 30,920 0.05 112,000 Kiyo Holdings, Inc. (Banks) 131,124 0.21 18,800 Alps Electric Co., Ltd. (Electronics) 100,421 0.16 6,000 Koike Sanso Kogyo Co., Ltd. 1,900 Arakawa Chemical Industries Ltd. (Hand/Machine Tools) 17,122 0.03 (Chemicals) 16,643 0.03 15,200 Matsui Securities Co., Ltd. (Internet) 122,502 0.19 7,000 Asahi Diamond Industrial Co., Ltd. 140 Megane TOP Co., Ltd. (Retail) 1,983 0.00 (Hand/Machine Tools) 37,464 0.06 19,000 Meisei Industrial Co., Ltd. (Construction & 9,000 ASKA Pharmaceutical Co., Ltd. Engineering) 47,666 0.08 (Pharmaceuticals) 79,120 0.13 2,600 Mimasu Semiconductor Industry Co., Ltd. 28,000 Bank of Nagoya Ltd. (Banks) 127,319 0.20 (Semiconductors) 30,276 0.05 1,400 Bank of Okinawa Ltd. (Banks) 47,562 0.08 3,200 Miraca Holdings, Inc. (Pharmaceuticals) 72,419 0.11 3,500 Bank of the Ryukyus Ltd. (Banks) 29,927 0.05 17,000 Mitsui Sugar Co., Ltd. (Food, Beverages & 18,000 Central Glass Co., Ltd. (Building Materials) 67,925 0.11 Tobacco) 48,691 0.08 3,000 Chubu Shiryo Co., Ltd. (Agriculture) 21,042 0.03 8,100 Nafco Co., Ltd. (Retail) 110,072 0.17 77,800 Chubu Steel Plate Co., Ltd. (Iron/Steel) 532,682 0.84 37,600 Namura Shipbuilding Co., Ltd. 8,400 CKD Corp. (Machinery—Diversified) 43,903 0.07 (Shipbuilding) 203,594 0.32 9,000 Daifuku Co., Ltd. (Machinery—Diversified) 65,102 0.10 4,300 NEC Fielding Ltd. (Computers) 49,443 0.08 29,513 Daiichikosho Co., Ltd. (Leisure Time) 289,685 0.46 37,000 Nippon Beet Sugar Manufacturing Co., Ltd. 4,000 Daikoku Denki Co., Ltd. (Leisure Time) 53,353 0.08 (Food, Beverages & Tobacco) 84,702 0.13 12,000 Daishinku Corp. (Electronics) 31,359 0.05 37,000 Nippon Chemi-Con Corp. (Electronics) 110,615 0.18 14,000 Daiwa Industries Ltd. (Home Furnishings) 57,367 0.09 24,000 Nippon Chemical Industrial Co., Ltd. 6,300 Denyo Co., Ltd. (Machinery—Diversified) 47,876 0.08 (Chemicals) 52,433 0.08 5,000 DTS Corp. (Computers) 49,339 0.08 3,000 Nippon Flour Mills Co., Ltd. (Food, 300 Dydo Drinco, Inc. (Food, Beverages & Beverages & Tobacco) 13,077 0.02 Tobacco) 7,777 0.01 8,000 Nippon Kayaku Co., Ltd. (Chemicals) 49,255 0.08 13,000 Ebara Corp. (Machinery—Diversified) 39,680 0.06

The accompanying notes are an integral part of these financial statements.

54 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Japanese Yen – (continued) New Zealand Dollar – (continued) 6,000 Nippon Konpo Unyu Soko Co., Ltd. 8,575 Rubicon Ltd. (Biotechnology) 4,098 0.01 (Transportation) 58,266 0.09 4,223 Tower Ltd. (Diversified Financial Services) 4,521 0.01 13,000 Nippon Shinyaku Co., Ltd. (Pharmaceuticals 49,153 0.08 & Biotechnology) 151,382 0.24 99,000 Nippon Soda Co., Ltd. (Chemicals) 431,537 0.68 Norwegian Kroner 9,000 Nippon Steel Trading Co., Ltd. (Metal 5,500 Atea ASA (Internet) 19,297 0.03 Fabricate/Hardware) 14,770 0.02 900 Ekornes ASA (Home Furnishings) 10,931 0.02 9,000 Nisshin Oillio Group Ltd. (Food, Beverages 800 Havila Shipping ASA (Transportation) 4,445 0.01 & Tobacco) 46,381 0.07 58,000 Norwegian Property ASA (Real Estate) 67,034 0.11 12,000 Nissin Electric Co., Ltd. (Electronics) 54,942 0.09 3,400 Nissin Kogyo Co., Ltd. (Auto Parts & 9,240 Sparebanken Midt-Norge (Banks) 54,277 0.08 Equipment) 41,440 0.07 7,400 Stolt-Nielsen S.A. (Transportation) 74,601 0.12 14,000 Tomra Systems ASA (Environmental 4,800 Ohashi Technica, Inc. Control) 55,121 0.09 (Distribution/Wholesale) 29,102 0.05 12,500 Veidekke ASA (Construction & Engineering) 65,488 0.10 11,600 Okabe Co., Ltd. (Building Materials) 46,199 0.07 44,500 Orient Corp. (Diversified Financial Services) 51,168 0.08 351,194 0.56 6 Orix JREIT, Inc. (Real Estate Investment Trust) 26,405 0.04 Singapore Dollar 2,500 Osaka Steel Co., Ltd. (Iron/Steel) 44,008 0.07 16,000 Amara Holdings Ltd. (Lodging) 3,602 0.01 2,300 Piolax, Inc. (Auto Parts & Equipment) 32,457 0.05 6,000 ARA Asset Management Ltd. (Investment 1,000 QP Corp. (Food, Beverages & Tobacco) 9,983 0.02 Companies) 2,577 0.00 3,200 Relo Holdings, Inc. (Real Estate) 29,771 0.05 20,000 Ascendas India Trust (Real Estate) 9,697 0.02 5,100 Round One Corp. (Leisure Time) 47,127 0.07 22,000 Asia Food & Properties Ltd. (Agriculture) 4,343 0.01 9,000 San-Ai Oil Co., Ltd. (Distribution/Wholesale) 36,126 0.06 14,000 ASL Marine Holdings Ltd. (Shipbuilding) 8,776 0.01 35,000 Sankyu, Inc. (Transportation) 123,295 0.20 56,000 Ausgroup Ltd. (Construction & Engineering) 23,660 0.04 2,600 Sanshin Electronics Co., Ltd. (Electronics) 18,780 0.03 4,000 Cambridge Industrial Trust (Real Estate 2,000 SEC Carbon Ltd. (Chemicals) 10,976 0.02 Investment Trust) 1,011 0.00 8,000 Sekisui Plastics Co., Ltd. (Miscellaneous 11,200 Creative Technology Ltd. (Computers) 31,340 0.05 Manufacturing) 24,586 0.04 48,000 CWT Ltd. (Commercial Services) 16,291 0.03 27,700 Shidax Corp. (Food, Beverages & Tobacco) 97,579 0.15 17,000 Ezra Holdings Ltd. (Transportation) 15,543 0.02 302 Sky Perfect Jsat Corp. (Media) 118,855 0.19 37,000 Financial One Corp. (Diversified Financial 7,300 Star Micronics Co., Ltd. (Electronics) 68,067 0.11 Services) 7,432 0.01 7,300 Sumitomo Densetsu Co., Ltd. (Construction 15,000 First Resources Ltd. (Energy Sources) 6,338 0.01 & Engineering) 36,552 0.06 3,000 Hi-P International Ltd. (Miscellaneous 8,000 Sumitomo Warehouse Co., Ltd. Manufacturing) 1,392 0.00 (Storage/Warehousing) 32,614 0.05 2,000 Ho Bee Investment Ltd. (Real Estate) 1,198 0.00 25,000 Taihei Kogyo Co., Ltd. (Construction & 18,000 Indiabulls Properties Investment Trust (Real Engineering) 78,660 0.12 Estate) 3,865 0.01 6,600 Takata Corp. (Auto Parts & Equipment) 99,416 0.16 16,000 Kim Eng Holdings Ltd. (Diversified Financial 2,900 Tamron Co., Ltd. (Miscellaneous Services) 18,729 0.03 Manufacturing) 32,679 0.05 42,000 Li Heng Chemical Fibre Technologies Ltd. 27,000 Toa Corp./Tokyo (Construction & (Textiles) 6,691 0.01 Engineering) 36,408 0.06 82,000 Lippo-Mapletree Indonesia Retail Trust 3 Tokyu REIT, Inc. (Real Estate Investment (Real Estate Investment Trust) 18,743 0.03 Trust) 14,551 0.02 72,000 Macarthurcook Industrial (Real Estate 13,000 Toshiba TEC Corp. (Electrical Components Investment Trust) 18,951 0.03 & Equipment) 52,726 0.08 9,000 Macquarie MEAG Prime Real Estate 12,100 Ulvac, Inc. (Electronics) 244,871 0.39 Investment Trust (Real Estate Investment 4,200 Unipres Corp. (Auto Parts & Equipment) 41,971 0.07 Trust) 4,395 0.01 15,600 Warabeya Nichiyo Co., Ltd. (Food, 6,000 Mercator Lines Singapore Ltd. Beverages & Tobacco) 193,563 0.31 (Transportation) 1,517 0.00 11,300 Yodogawa Steel Works Ltd. (Iron/Steel) 58,942 0.09 5,000 Metro Holdings Ltd. (Retail) 2,026 0.00 1,000 Yonekyu Corp. (Food, Beverages & 3,300 Orchard Parade Holdings Ltd. (Real Estate) 2,091 0.00 Tobacco) 9,910 0.02 5,000 Parkway Life Real Estate Investment Trust 5,000 Yurtec Corp. (Construction & Engineering) 25,453 0.04 (Real Estate Investment Trust) 3,255 0.01 7,630,554 12.10 18,000 Raffles Medical Group Ltd. (Healthcare Services) 11,844 0.02 5,000 Rickmers Maritime (Diversified Financial New Zealand Dollar 51,819 Fisher & Paykel Appliances Holdings Ltd. Services) 2,009 0.00 38,000 Stamford Land Corp., Ltd. (Lodging) 10,265 0.02 (Home Furnishings) 36,324 0.05 27,000 Super Coffeemix Manufacturing Ltd. (Food, 12,010 NZ Farming Systems Uruguay Ltd. Beverages & Tobacco) 11,127 0.02 (Agriculture) 4,210 0.01 24,000 Tat Hong Holdings Ltd. (Distribution/Wholesale) 18,452 0.03

The accompanying notes are an integral part of these financial statements.

55 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Singapore Dollar – (continued) South Korean Won – (continued) 20,000 UOB-Kay Hian Holdings Ltd. (Diversified 650 Pusan Bank (Banks) 4,019 0.01 Financial Services) 18,563 0.03 250 Pusan City Gas Co., Ltd. (Gas) 3,954 0.01 1,000 WBL Corp., Ltd. (Electronics) 2,452 0.00 263 Samyang Genex Co., Ltd. (Food, 36,000 Wing Tai Holdings Ltd. (Real Estate) 37,153 0.06 Beverages & Tobacco) 11,923 0.02 1,660 SKC Co., Ltd. (Miscellaneous 325,328 0.52 Manufacturing) 33,859 0.05 2,190 STX Engine Co., Ltd. South Korean Won (Machinery—Diversified) 48,857 0.08 210 Binggrae Co., Ltd. (Food, Beverages & 14,355 Sungwoo Hitech Co., Ltd. (Auto Parts & Tobacco) 7,513 0.01 Equipment) 90,355 0.14 587 Choongwae Pharma Corp. 41 Taekwang Industrial Co., Ltd. (Chemicals) 21,560 0.03 (Pharmaceuticals) 6,641 0.01 38 Young Poong Corp. (Mining) 12,610 0.02 230 CJ Corp. (Holding Companies—Diversified) 8,759 0.01 69 CJ Home Shopping (Retail) 4,755 0.01 1,317,323 2.09 8,530 Daeduck GDS Co., Ltd. (Electronics) 62,866 0.10 1,330 Daehan City Gas Co., Ltd. (Gas) 28,664 0.05 Swedish Krona 12,830 Daekyo Co., Ltd. (Media) 59,903 0.10 91,400 Acando AB (Computers) 155,255 0.25 9,770 Daishin Securities Co., Ltd. (Diversified 1,841 AF AB “B” (Construction & Engineering) 34,435 0.05 Financial Services) 128,051 0.20 429 Axis Communications AB (Electronics) 4,111 0.01 391 Daum Communications Corp. (Internet) 11,511 0.02 15,294 Betsson AB (Entertainment) 10,311 0.02 604 DMS Co., Ltd. (Machinery—Diversified) 3,816 0.01 15,294 Betsson AB (Entertainment) 170,834 0.27 380 Dong Wha Pharmaceutical Industrial Co., 12,314 Bilia AB (Retail) 75,529 0.12 Ltd. (Pharmaceuticals) 13,700 0.02 10,685 Connecta AB (Commercial Services) 55,227 0.09 270 Fursys, Inc. (Office Furnishings) 4,991 0.01 4,883 East Capital Explorer AB (Diversified 960 Global & Yuasa Battery Co., Ltd. (Electrical Financial Services) 38,729 0.06 Components & Equipment) 22,143 0.04 16,762 Hexpol AB (Miscellaneous Manufacturing) 75,779 0.12 2,130 Handsome Co., Ltd. (Apparel) 15,732 0.03 9,514 Industrial & Financial Systems “B” 1,113 Hanil Cement Manufacturing Co., Ltd. (Software) 79,861 0.13 (Building Materials) 68,548 0.11 859 Intrum Justitia AB (Diversified Financial 2,210 Hansol LCD, Inc. (Electronics) 40,763 0.06 Services) 8,715 0.01 9,830 Hanwha Chem Corp. (Chemicals) 80,670 0.13 12,825 NCC AB “B” (Construction & Engineering) 125,031 0.20 1,880 Hanwha Securities Co. (Diversified 1,344 Nolato AB (Miscellaneous Manufacturing) 8,528 0.01 Financial Services) 15,653 0.02 4,097 TradeDoubler AB (Internet) 34,661 0.05 1,533 Hyundai Elevator Co., Ltd. 877,006 1.39 (Machinery—Diversified) 75,606 0.12 1,030 Hyundai Marine & Fire Insurance Co., Ltd. Swiss Franc (Insurance) 11,941 0.02 5,012 Actelion Ltd. (Pharmaceuticals) 257,565 0.41 3,450 Iljin Electric Co., Ltd. (Electrical 5,501 Adecco S.A. (Commercial Services) 238,058 0.38 Components & Equipment) 27,488 0.04 2,791 Advanced Digital Broadcast Holdings S.A. 953 Ilsung Pharmaceuticals Co., Ltd. (Home Furnishings) 83,688 0.13 (Pharmaceuticals) 49,658 0.08 1,631 Baloise Holding AG (Insurance) 128,539 0.20 673 KIWOOM Securities Co., Ltd. (Diversified Financial Services) 27,829 0.04 98 Bell Holding AG (Food, Beverages & 4,300 Kolon Engineering & Construction Co., Ltd. Tobacco) 127,961 0.20 1,093 Clariant AG (Chemicals) 6,361 0.01 (Construction & Engineering) 28,265 0.05 95 Elektrizitaets-Gesellschaft Laufenburg AG 1,194 Korea Real Estate Investment Trust Co. (Electric) 92,679 0.15 (Real Estate) 947 0.00 1,950 Financiere Tradition (Diversified Financial 1,863 Korean Petrochemical Ind Co., Ltd. Services) 185,143 0.29 (Chemicals) 65,014 0.10 6,208 Gottex Fund Management Holdings Ltd. 4,390 Kumho Industrial Co., Ltd. (Construction & Engineering) 79,398 0.13 (Diversified Financial Services) 35,898 0.06 8,640 Kwang Dong Pharmaceutical Co., Ltd. 66 Gurit Holding AG (Chemicals) 37,980 0.06 284 Helvetia Holding AG (Insurance) 76,483 0.12 (Pharmaceuticals) 21,581 0.03 2,123 Implenia AG (Construction & Engineering) 40,096 0.06 540 Kyobo Securities Co. (Diversified Financial 313 Inficon Holding AG (Machinery—Diversified) 27,733 0.05 Services) 4,647 0.01 2,155 Lonza Group AG (Chemicals) 221,489 0.35 2,370 LG Dacom Corp. (Internet) 34,650 0.06 528 Partners Group Holding AG (Diversified 43 Lotte Confectionery Co., Ltd. (Food, Financial Services) 52,199 0.08 Beverages & Tobacco) 34,363 0.05 5,111 PSP Swiss Property AG (Real Estate) 260,031 0.41 610 Lotte Midopa Co., Ltd. (Retail) 7,169 0.01 14 Namyang Dairy Products Co., Ltd. (Food, 336 Rieter Holding AG (Machinery—Diversified) 57,034 0.09 1,278 Sulzer AG (Miscellaneous Manufacturing) 84,926 0.14 Beverages & Tobacco) 5,588 0.01 1,751 Tecan Group AG (Healthcare Products) 70,223 0.11 102 NCSoft Corp. (Internet) 15,278 0.02 218 Valora Holding AG (Retail) 42,392 0.07 256 Nong Shim Holdings Co., Ltd. (Holding Companies—Diversified) 13,156 0.02 1,290 ON*Media Corp. (Holding Companies—Diversified) 2,929 0.00

The accompanying notes are an integral part of these financial statements.

56 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Swiss Franc – (continued) United States Dollar – (continued) 1,053 Winterthur Technologie AG “A” 1,778 Blackbaud, Inc. (Software) 24,661 0.04 (Hand/Machine Tools) 32,409 0.05 5,911 BlackRock Kelso Capital Corp. (Investment Companies) 38,481 0.06 2,158,887 3.42 307 Blue Nile, Inc. (Internet) 14,091 0.02 5,533 Blyth, Inc. (Household Products/Wares) 183,751 0.29 United States Dollar 3,098 BorgWarner, Inc. (Auto Parts & Equipment) 99,910 0.16 6,001 99 Cents Only Stores (Retail) 56,229 0.09 2,648 Boyd Gaming Corp. (Lodging) 26,586 0.04 5,848 Acme Packet, Inc. (Telecommunications) 45,322 0.07 20,986 Brightpoint, Inc. (Distribution/Wholesale) 124,237 0.20 3,694 Acuity Brands, Inc. (Miscellaneous 13,063 Brown Shoe Co., Inc. (Retail) 106,072 0.17 Manufacturing) 100,403 0.16 15,452 Buckeye Technologies, Inc. (Forest 11,277 Acxiom Corp. (Software) 120,551 0.19 Products & Paper) 78,342 0.12 9,283 ADC Telecommunications, Inc. 1,119 Buckle, Inc. (Retail) 40,038 0.06 (Telecommunications) 65,352 0.10 4,613 Build-A-Bear Workshop, Inc. (Retail) 20,666 0.03 38,142 Advance America Cash Advance Centers, 3,029 Builders FirstSource, Inc. (Building Inc. (Commercial Services) 171,639 0.27 Materials) 12,449 0.02 6,163 Aeropostale, Inc. (Retail) 213,363 0.34 16,488 Cadence Design Systems, Inc. (Computers) 93,157 0.15 2,408 AGCO Corp. (Machinery—Diversified) 69,495 0.11 7,517 Cal Dive International, Inc. (Oil & Gas 6,561 Albany International Corp. “A” Services) 75,847 0.12 (Machinery—Diversified) 87,589 0.14 961 Carter’s, Inc. (Apparel) 22,728 0.04 7,914 Alkermes, Inc. (Pharmaceuticals) 64,420 0.10 3,662 Casey’s General Stores, Inc. (Retail) 92,392 0.15 2,840 Alliant Techsystems, Inc. (Aerospace & 15,372 Cathay General Bancorp (Banks) 159,254 0.25 Defence) 245,064 0.39 6,168 Cato Corp. (Retail) 118,672 0.19 1,731 Allied Nevada Gold Corp. (Mining) 13,415 0.02 49,055 Cell Genesys, Inc. (Biotechnology) 22,075 0.03 10,039 Alloy, Inc. (Internet) 52,705 0.08 26,580 Central Garden & Pet Co. (Household 782 Alpha Natural Resources, Inc. (Coal) 21,544 0.03 Products/Wares) 261,813 0.41 4,311 America Service Group, Inc. (Healthcare 10,568 Cephalon, Inc. (Pharmaceuticals) 616,220 0.98 Services) 67,726 0.11 3,206 Charlotte Russe Holding, Inc. (Retail) 32,541 0.05 18,106 American Equity Investment Life Holding 1,934 Cheesecake Factory, Inc. (Retail) 33,091 0.05 Co. (Insurance) 105,196 0.17 2,884 Choice Hotels International, Inc. (Lodging) 78,704 0.12 15,921 American Greetings Corp. “A” (Household 20,226 Ciber, Inc. (Computers) 64,925 0.10 Products/Wares) 109,059 0.17 9,805 Cimarex Energy Co. (Oil & Gas) 319,839 0.51 4,706 Ameristar Casinos, Inc. (Lodging) 94,449 0.15 2,734 Cirrus Logic, Inc. (Semiconductors) 10,635 0.02 49,601 Amkor Technology, Inc. (Semiconductors) 225,189 0.36 11,099 CKE Restaurants, Inc. (Retail) 91,234 0.14 4,355 AMN Healthcare Services, Inc. (Commercial 2,203 Clearwater Paper Corp. (Forest Products & Services) 31,356 0.05 Paper) 52,145 0.08 26,064 Apollo Investment Corp. (Investment 2,207 CNA Surety Corp. (Insurance) 33,480 0.05 Companies) 143,613 0.23 2,722 Cohu, Inc. (Semiconductors) 25,179 0.04 18,308 Applied Micro Circuits Corp. 16,453 Commvault Systems, Inc. (Software) 203,195 0.32 (Semiconductors) 143,169 0.23 5,709 Compass Minerals International, Inc. 983 Arbitron, Inc. (Commercial Services) 19,572 0.03 (Mining) 306,174 0.49 3,088 Armstrong World Industries, Inc. (Building 3,489 Computer Programs & Systems, Inc. Materials) 55,213 0.09 (Software) 119,324 0.19 8,319 Arrow Electronics, Inc. (Electronics) 201,237 0.32 1,257 Comstock Resources, Inc. (Oil & Gas) 50,066 0.08 8,229 Asbury Automotive Group, Inc. (Retail) 78,175 0.12 774 Conn’s, Inc. (Retail) 7,717 0.01 2,312 Ascent Media Corp. “A” (Entertainment) 66,863 0.11 2,605 Cooper Tire & Rubber Co. (Auto Parts & 10,844 Ashford Hospitality Trust, Inc. (Real Estate Equipment) 27,613 0.04 Investment Trust) 43,918 0.07 3,089 Cray, Inc. (Computers) 13,314 0.02 7,940 Aspen Insurance Holdings Ltd. (Insurance) 183,335 0.29 3,607 CSG Systems International, Inc. (Software) 49,668 0.08 4,367 Assisted Living Concepts, Inc. (Healthcare 4,391 Delek US Holdings, Inc. (Oil & Gas) 45,008 0.07 Services) 66,990 0.11 14,633 Depomed, Inc. (Pharmaceuticals) 31,461 0.05 1,158 Associated Banc-Corp. (Banks) 16,756 0.03 6,334 Diamond Management & Technology 4,165 Assured Guaranty Ltd. (Insurance) 54,603 0.09 Consultants, Inc. (Commercial Services) 23,753 0.04 2,932 Astoria Financial Corp. (Diversified Financial 1,662 Dice Holdings, Inc. (Internet) 7,895 0.01 Services) 22,606 0.04 3,851 Dionex Corp. (Electronics) 217,042 0.34 20,924 AVI BioPharma, Inc. (Pharmaceuticals) 25,527 0.04 6,074 Dollar Tree, Inc. (Retail) 271,933 0.43 3,589 Avnet, Inc. (Electronics) 82,583 0.13 9,283 DSP Group, Inc. (Semiconductors) 67,302 0.11 6,050 Ball Corp. (Packaging & Containers) 240,790 0.38 1,156 Dycom Industries, Inc. (Construction & 5,364 Bancorpsouth, Inc. (Banks) 119,295 0.19 Engineering) 13,514 0.02 3,261 Beckman Coulter, Inc. (Healthcare 1,458 DynCorp International, Inc. (Commercial Products) 176,746 0.28 Services) 21,097 0.03 16,176 Belden CDT, Inc. (Electrical Components & 3,948 Earthlink, Inc. (Internet) 30,952 0.05 Equipment) 296,344 0.47 524 Eastman Chemical Co. (Chemicals) 21,715 0.03 5,334 Berry Petroleum Co. “A” (Oil & Gas) 104,120 0.16 6,490 Eaton Vance Corp. (Diversified Financial 2,903 Bill Barrett Corp. (Oil & Gas) 98,789 0.16 Services) 175,879 0.28 419 Black & Decker Corp. (Hand/Machine Tools) 13,437 0.02 4,584 Electronics for Imaging, Inc. (Computers) 46,619 0.07 6,302 Black Hills Corp. (Electric) 134,863 0.21

The accompanying notes are an integral part of these financial statements.

57 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) United States Dollar – (continued) United States Dollar – (continued) 3,188 Employers Holdings, Inc. (Insurance) 38,925 0.06 2,213 Innovative Solutions & Support, Inc. 3,443 Energen Corp. (Gas) 128,148 0.20 (Aerospace & Defence) 10,113 0.02 8,382 Enzon Pharmaceuticals, Inc. 2,540 Insight Enterprises, Inc. (Computers) 19,177 0.03 (Biotechnology) 67,224 0.11 14,227 Integrated Device Technology, Inc. 11,383 Exar Corp. (Semiconductors) 73,534 0.12 (Semiconductors) 80,098 0.13 2,238 Exide Technologies (Auto Parts & 5,040 Integrys Energy Group, Inc. (Electric) 136,534 0.22 Equipment) 13,697 0.02 17,676 International Bancshares Corp. (Banks) 198,325 0.31 7,764 Exterran Holdings, Inc. (Oil & Gas Services) 154,581 0.24 5,223 J&J Snack Foods Corp. (Food, Beverages & 10,493 Extreme Networks (Telecommunications) 17,313 0.03 Tobacco) 195,967 0.31 24,162 Facet Biotech Corp. (Biotechnology) 239,445 0.38 5,914 JB Hunt Transport Services, Inc. 3,375 Fairchild Semiconductor International, Inc. (Transportation) 181,737 0.29 (Semiconductors) 23,828 0.04 2,086 JOS A Bank Clothiers, Inc. (Retail) 78,955 0.13 13,887 Family Dollar Stores, Inc. (Retail) 420,359 0.67 6,431 Kaiser Aluminum Corp. (Mining) 199,811 0.32 1,238 Federal Mogul Corp. (Auto Parts & 2,935 KBR, Inc. (Construction & Engineering) 54,063 0.09 Equipment) 12,380 0.02 8,822 Kelly Services, Inc. “A” (Commercial 5,769 Federal Realty Investment Trust (Real Services) 94,043 0.15 Estate Investment Trust) 303,738 0.48 6,702 Kforce, Inc. (Commercial Services) 62,396 0.10 6,151 Federated Investors, Inc. “B” (Diversified 1,348 Kimball International, Inc. (Home Financial Services) 153,960 0.24 Furnishings) 8,128 0.01 4,718 First American Corp. (Insurance) 107,665 0.17 14,881 Kindred Healthcare, Inc. (Healthcare 20,617 First Bancorp/Puerto Rico (Banks) 100,817 0.16 Services) 195,388 0.31 13,901 First Financial Northwest, Inc. (Diversified 4,967 Knoll, Inc. (Office Furnishings) 34,421 0.05 Financial Services) 122,190 0.19 936 Koppers Holdings, Inc. (Miscellaneous 3,600 FirstService Corp. (Commercial Services) 58,320 0.09 Manufacturing) 23,671 0.04 28,466 Fred’s, Inc. (Retail) 365,219 0.58 18,917 La-Z-Boy, Inc. (Home Furnishings) 35,375 0.06 10,412 Frontier Oil Corp. (Oil & Gas) 181,898 0.29 1,735 Lancaster Colony Corp. (Food, Beverages & 3,949 Frozen Food Express Industries Tobacco) 79,931 0.13 (Transportation) 15,796 0.02 2,631 Lance, Inc. (Food, Beverages & Tobacco) 56,119 0.09 4,310 GAMCO Investors, Inc. (Diversified 8,305 Landry’s Restaurants, Inc. (Retail) 83,631 0.13 Financial Services) 226,490 0.36 57,616 Lattice Semiconductor Corp. 2,314 Gaylord Entertainment Co. (Lodging) 32,859 0.05 (Semiconductors) 114,080 0.18 1,288 Generale Cable Corp. (Electrical 1,822 LCA-Vision, Inc. (Healthcare Products) 11,315 0.02 Components & Equipment) 49,253 0.08 27,757 Lee Enterprises, Inc. (Media) 27,757 0.04 5,600 Genesco, Inc. (Retail) 144,424 0.23 6,959 Lexmark International, Inc. “A” (Computers) 113,710 0.18 1,534 Granite Construction, Inc. (Construction & 8,675 Liberty Property Trust (Real Estate Engineering) 56,068 0.09 Investment Trust) 201,954 0.32 10,948 Hansen Natural Corp. (Food, Beverages & 5,906 LifePoint Hospitals, Inc. (Healthcare Tobacco) 401,573 0.64 Services) 160,938 0.25 9,894 Harman International Industries, Inc. (Home 20,893 Lionbridge Technologies (Internet) 34,473 0.05 Furnishings) 184,424 0.29 7,625 Live Nation, Inc. (Commercial Services) 43,615 0.07 3,642 Harris Stratex Networks, Inc. “A” 14,175 Louisiana-Pacific Corp. (Building Materials) 61,520 0.10 (Telecommunications) 17,372 0.03 18,090 LSI Logic Corp. (Semiconductors) 80,862 0.13 4,029 Health Management Associates, Inc. 728 Magellan Health Services, Inc. (Healthcare (Healthcare Services) 23,408 0.04 Services) 21,738 0.03 16,232 Healthspring, Inc. (Commercial Services) 157,613 0.25 10,813 Magma Design Automation, Inc. 1,480 Hearst-Argyle Television, Inc. (Media) 6,630 0.01 (Computers) 16,003 0.03 2,147 Herman Miller, Inc. (Office Furnishings) 30,552 0.05 2,894 Manhattan Associates, Inc. (Computers) 50,905 0.08 4,881 Hill-Rom Holdings, Inc. (Healthcare 6,407 Mannatech, Inc. (Pharmaceuticals) 19,669 0.03 Products) 78,877 0.12 4,556 Manpower, Inc. (Commercial Services) 193,676 0.31 7,762 HNI Corp. (Office Furnishings) 134,671 0.21 1,363 MAP Pharmaceuticals, Inc. 2,384 Hospitality Properties Trust (Real Estate (Pharmaceuticals) 16,479 0.03 Investment Trust) 33,304 0.05 5,783 Marchex, Inc. “B” (Advertising) 19,257 0.03 22,531 HOT Topic, Inc. (Retail) 162,449 0.26 2,669 Mariner Energy, Inc. (Oil & Gas) 38,594 0.06 2,579 HSN, Inc. (Retail) 29,143 0.05 2,778 Marshall & Ilsley Corp. (Banks) 18,279 0.03 5,380 Huntsman Corp. (Chemicals) 34,002 0.05 2,300 Martek Biosciences Corp. (Biotechnology) 48,737 0.08 3,199 Idexx Laboratories, Inc. (Healthcare 5,753 Medcath Corp. (Healthcare Services) 61,327 0.10 Products) 133,878 0.21 8,833 Mentor Graphics Corp. (Computers) 49,641 0.08 10,765 Imation Corp. (Computers) 103,990 0.16 3,210 Meritage Homes Corp. (Home Builders) 66,993 0.11 1,886 Imergent, Inc. (Internet) 16,031 0.03 1,059 Mettler Toledo International, Inc. 4,233 Imperial Sugar Co. (Food, Beverages & (Electronics) 75,390 0.12 Tobacco) 43,769 0.07 5,045 MF Global Ltd. (Diversified Financial 1,730 Ingles Markets, Inc. “A” (Food, Beverages & Services) 30,674 0.05 Tobacco) 25,846 0.04 5,649 Micrel, Inc. (Semiconductors) 41,520 0.07 26,335 Ingram Micro, Inc. “A” 2,202 Miller Industries Inc./TN (Auto Parts & (Distribution/Wholesale) 435,054 0.69 Equipment) 16,889 0.03

The accompanying notes are an integral part of these financial statements.

58 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) United States Dollar – (continued) United States Dollar – (continued) 944 Millipore Corp. (Biotechnology) 59,368 0.09 1,728 Sanderson Farms, Inc. (Food, Beverages & 23,808 MIPS Technologies, Inc. (Semiconductors) 92,613 0.15 Tobacco) 75,358 0.12 9,811 Modine Manufacturing Co. (Auto Parts & 1,677 Schulman A, Inc. (Chemicals) 25,038 0.04 Equipment) 43,855 0.07 4,683 SEI Investments Co. (Software) 72,259 0.11 10,327 ModusLink Global Solutions, Inc. (Internet) 43,890 0.07 6,491 Selective Insurance Group (Insurance) 85,746 0.14 448 Molecular Insight Pharmaceuticals, Inc. 10,749 ShoreTel, Inc. (Telecommunications) 65,676 0.10 (Biotechnology) 1,774 0.00 59,911 Silicon Image, Inc. (Semiconductors) 141,989 0.22 6,740 Molina Healthcare, Inc. (Healthcare 18,244 Silicon Storage Technology, Inc. Services) 161,356 0.26 (Computers) 33,569 0.05 36,382 MPS Group, Inc. (Commercial Services) 276,139 0.44 8,665 SiRF Technology Holdings, Inc. 4,195 NACCO Industries, Inc. “A” (Semiconductors) 34,487 0.05 (Machinery—Diversified) 146,993 0.23 1,148 SJW Corp. (Water) 23,247 0.04 6,786 National Beverage Corp. (Food, Beverages 3,000 Skywest, Inc. (Airlines) 30,750 0.05 & Tobacco) 72,950 0.12 2,315 Smithfield Foods, Inc. (Food, Beverages & 4,052 NetFlix, Inc. (Internet) 159,730 0.25 Tobacco) 28,775 0.05 4,604 NeuStar, Inc. “A” (Telecommunications) 92,310 0.15 3,119 Southwest Gas Corp. (Gas) 64,813 0.10 18,371 Nighthawk Radiology Holdings, Inc. 12,400 Spartech Corp. (Chemicals) 52,452 0.08 (Healthcare Services) 72,749 0.12 29,458 Spherion Corp. (Commercial Services) 101,336 0.16 2,762 Novatel Wireless, Inc. 8,310 St Mary Land & Exploration Co. (Oil & Gas) 179,995 0.29 (Telecommunications) 32,260 0.05 22,200 Stage Stores, Inc. (Retail) 269,286 0.43 3,942 NutriSystem, Inc. (Internet) 54,005 0.09 4,249 Standard Register Co. (Household 22,906 O’Charleys, Inc. (Retail) 184,851 0.29 Products/Wares) 14,149 0.02 8,363 OpenTV Corp. “A” (Software) 14,635 0.02 2,937 Startek, Inc. (Commercial Services) 15,948 0.03 53,283 Openwave Systems, Inc. (Internet) 93,778 0.15 10,660 Steak N Shake Co. (Retail) 92,422 0.15 2,945 Packaging Corp of America (Packaging & 551 Steiner Leisure Ltd. (Commercial Services) 16,062 0.03 Containers) 47,473 0.08 1,796 SumTotal Systems, Inc. (Internet) 8,621 0.01 1,608 Pactiv Corp. (Packaging & Containers) 36,019 0.06 6,104 Sunstone Hotel Investors, Inc. (Real Estate 41,550 PAETEC Holding Corp. Investment Trust) 35,464 0.06 (Telecommunications) 127,143 0.20 9,826 SuperGen, Inc. (Biotechnology) 19,652 0.03 3,108 Pantry, Inc. (Retail) 61,911 0.10 13,207 Susquehanna Bancshares, Inc. (Banks) 94,298 0.15 11,742 Papa John’s International, Inc. (Retail) 318,208 0.50 1,220 Swift Energy Co. (Oil & Gas) 20,045 0.03 5,721 Patterson-UTI Energy, Inc. (Oil & Gas) 82,039 0.13 22,194 Symyx Technologies (Chemicals) 107,419 0.17 30,240 PDL BioPharma, Inc. (Biotechnology) 210,168 0.33 18,248 Syniverse Holdings, Inc. 5,212 PerkinElmer, Inc. (Electronics) 84,799 0.13 (Telecommunications) 272,808 0.43 4,054 Petroquest Energy, Inc. (Oil & Gas) 22,459 0.04 8,282 Synta Pharmaceuticals Corp. 13,071 PetSmart, Inc. (Retail) 266,126 0.42 (Pharmaceuticals) 34,453 0.05 1,972 PF Chang’s China Bistro, Inc. (Retail) 62,986 0.10 1,580 Tanger Factory Outlet Centers (Real Estate 15,687 PharMerica Corp. (Pharmaceuticals) 275,150 0.44 Investment Trust) 51,129 0.08 5,026 Pinnacle Financial Partners, Inc. (Banks) 72,877 0.12 3,861 Taser International, Inc. (Electronics) 16,834 0.03 726 Plantronics, Inc. (Telecommunications) 12,952 0.02 1,376 TCF Financial Corp. (Banks) 19,759 0.03 2,503 Polaris Industries, Inc. (Leisure Time) 79,520 0.13 7,098 Tech Data Corp. (Distribution/Wholesale) 227,278 0.36 22,538 PolyOne Corp. (Chemicals) 67,839 0.11 5,152 Teekay Corp. (Transportation) 82,638 0.13 45,189 Powerwave Technologies, Inc. 1,008 Telephone & Data Systems, Inc. (Telecommunications) 61,005 0.10 (Telecommunications) 30,552 0.05 9,274 Primus Guaranty Ltd. (Insurance) 25,782 0.04 5,859 TeleTech Holdings, Inc. (Commercial 1,817 Progenics Pharmaceuticals, Inc. Services) 67,554 0.11 (Pharmaceuticals) 9,394 0.01 43,791 Tellabs, Inc. (Telecommunications) 243,040 0.39 3,586 Pzena Investment Management, Inc. “A” 1,419 Tesoro Corp. (Oil & Gas) 24,038 0.04 (Diversified Financial Services) 23,417 0.04 982 Thomas & Betts Corp. (Electronics) 30,128 0.05 31,783 Quantum Corp. (Computers) 36,550 0.06 18,984 TiVo, Inc. (Home Furnishings) 132,888 0.21 22,012 Questcor Pharmaceuticals, Inc. 2,017 Tollgrade Communications, Inc. (Pharmaceuticals) 93,771 0.15 (Telecommunications) 11,336 0.02 14,583 Rayonier, Inc. (Forest Products & Paper) 583,320 0.92 8,279 Toro Co. (Pharmaceuticals) 254,993 0.40 43,040 RealNetworks, Inc. (Internet) 110,182 0.17 3,621 Transatlantic Holdings, Inc. (Insurance) 140,169 0.22 12,912 Realty Income Corp. (Real Estate 3,241 Trustmark Corp. (Banks) 63,491 0.10 Investment Trust) 277,221 0.44 5,197 TRW Automotive Holdings Corp. (Auto 4,271 Regency Centers Corp. (Real Estate Parts & Equipment) 46,357 0.07 Investment Trust) 152,176 0.24 3,524 Unisource Energy Corp. (Electric) 89,651 0.14 5,518 Reinsurance Group of America, Inc. 500 United Stationers, Inc. (Insurance) 202,952 0.32 (Distribution/Wholesale) 17,905 0.03 1,854 Rockwood Holdings, Inc. (Chemicals) 27,662 0.04 12,159 Universal American Corp. (Insurance) 109,309 0.17 1,636 Rosetta Resources, Inc. (Oil & Gas) 14,282 0.02 2,230 URS Corp. (Construction & Engineering) 107,218 0.17 4,252 Ruby Tuesday, Inc. (Retail) 26,277 0.04 20,532 USA Mobility, Inc. (Telecommunications) 229,548 0.36 1,672 Rudolph Technologies, Inc. 6,506 UTi Worldwide, Inc. (Transportation) 85,294 0.14 (Semiconductors) 7,407 0.01 1,064 Vail Resorts, Inc. (Entertainment) 29,249 0.05

The accompanying notes are an integral part of these financial statements.

59 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Other Transferable Securities United States Dollar – (continued) Common Stocks – 0.00% 1,000 Valeant Pharmaceuticals International Japanese Yen (Pharmaceuticals) 22,990 0.04 35 Re Plus, Inc.(a) (Real Estate) — — 18,350 Valueclick, Inc. (Internet) 202,767 0.32 1,682 Varian, Inc. (Electronics) 58,567 0.09 TOTAL COMMON STOCKS 11,882 Venoco, Inc. (Oil & Gas) 85,313 0.14 (cost USD 14,841) — — 1,476 VeriFone Holdings, Inc. (Software) 11,262 0.02 4,636 Virgin Mobile USA, Inc. “A” Rights – 0.00% (Telecommunications) 22,299 0.04 8,572 Volt Information Sciences, Inc. (Commercial Swedish Krona (a) Services) 57,090 0.09 39,570 Telelogic AB exp. 11/47—Rights 2,753 W&T Offshore, Inc. (Oil & Gas) 28,081 0.04 (Telecommunications Services) — — 10,782 Wabash National Corp. (Automobile TOTAL RIGHTS Manufacturers) 13,478 0.02 (cost USD nil) — — 8,346 Washington Federal, Inc. (Diversified Financial Services) 109,500 0.17 TOTAL OTHER TRANSFERABLE SECURITIES 3,934 Web.com Group, Inc. (Internet) 18,805 0.03 (cost USD 14,841) — — 8,853 Westlake Chemical Corp. (Chemicals) 181,044 0.29 1,323 Willbros Group, Inc. (Oil & Gas Services) 20,202 0.03 12,581 Wilshire Bancorp, Inc. (Banks) 60,640 0.10 Mutual Funds— 1.59% 2,540 Wintrust Financial Corp. (Banks) 45,720 0.07 United States Dollar 4,401 Woodward Governor Co. (Electronics) 90,353 0.14 1,003,391 Goldman Sachs US$ Liquid Reserves 2,236 World Fuel Services Corp. (Retail) 94,896 0.15 Fund(b)(c)(d) 1,003,391 1.59 12,022 Worthington Industries, Inc. (Metal Fabricate/Hardware) 168,188 0.27 TOTAL MUTUAL FUNDS 7,052 Wyndham Worldwide Corp. (Lodging) 83,143 0.13 ( c o s t U S D 1 , 0 0 3 , 3 9 1 ) 1,003,391 1.59 21,113 Xyratex Ltd. (Computers) 69,673 0.11 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES 10,752 Zoran Corp. (Semiconductors) 119,132 0.19 CONTRACTS 28,469,602 45.13 ( c o s t U S D 6 1 , 8 9 0 , 0 2 1 ) 62,379,074 98.89

TOTAL COMMON STOCKS Futures Contracts — 0.52% ( c o s t U S D 6 0 , 7 9 2 , 4 8 5 ) 61,287,340 97.16 Unrealised %of Number of Gain Shareholders’ Mutual Funds – 0.14% Contracts Security Description USD Equity British Pound Sterling AUD 1,072 Caledonia Investments Plc. 25,944 0.04 1 ASX SPI 200 Index 18/06/09 Long 7,879 0.01

Canadian Dollar EUR 5,200 Vicwest Income Fund 52,597 0.09 11 DJ EURO STOXX 50 Index 19/06/09 Long 77,360 0.12

United States Dollar GBP 17,000 First Ship Lease Trust 6,889 0.01 2 FTSE 100 Index 19/06/09 Long 20,478 0.03

TOTAL MUTUAL FUNDS JPY ( c o s t U S D 7 9 , 3 0 4 ) 85,430 0.14 2 TOPIX Index 12/06/09 Long 41,541 0.07

USD Rights – 0.00% 16 Russell 2000 Index 19/06/09 Long 178,440 0.29 Australian Dollar 8,085 Bunnings Warehouse exp. 06/09—Rights(a) UNREALISED GAIN ON FUTURES (Telecommunications Services) 1,489 0.00 CONTRACTS 325,698 0.52

MARKET VALUE OF INVESTMENTS Swiss Franc ( c o s t U S D 6 1 , 8 9 0 , 0 2 1 ) 62,704,772 99.41 1,909 Financiere Tradition exp. 06/09—Rights (Diversified Financial Services) 1,424 0.00 O T H E R A S S E T S A N D L I A B I L I T I E S 373,985 0.59

TOTAL RIGHTS SHAREHOLDERS’ EQUITY 63,078,757 100.00 ( c o s t U S D n i l ) 2,913 0.00

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 6 0 , 8 7 1 , 7 8 9 ) 61,375,683 97.30

The accompanying notes are an integral part of these financial statements.

60 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 61,890,021) 62,379,074 98.89 Unrealised gain on futures contracts 325,698 0.52 Other Assets and Liabilities 373,985 0.59

Shareholders’ Equity 63,078,757 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. + A portion of these securities were on loan at 31 May 2009. See Note 5. (a) These securities are fair valued. See Note 3(e). (b) This security is admitted to an official exchange listing. (c) The yield for this fund as at 31 May 2009 was 0.530% (d) A related party to Goldman Sachs Funds.

%of Allocation of Portfolio as at 31 May 2009 Net Assets

Common Stocks Retail 9.12 Food, Beverages & Tobacco 4.61 Commercial Services 4.19 Pharmaceuticals 3.99 Diversified Financial Services 3.57 Banks 3.39 Real Estate Investment Trust 3.38 Mining 3.13 Electronics 3.03 Chemicals 2.98 Other 55.77

T O T A L C O M M O N S T O C K S 97.16

Other Net Assets 2.84

TOTAL 100.00

The accompanying notes are an integral part of these financial statements.

61 Goldman Sachs Funds—Japan CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 96.97% Commercial Services 104,000 Dai Nippon Printing Co., Ltd. 130,520 1.22 Agriculture 30,000 Kamigumi Co., Ltd. 22,080 0.21 66 Japan Tobacco, Inc. 17,820 0.17 136,000 Toppan Printing Co., Ltd. 119,000 1.12

Auto Parts & Equipment 271,600 2.55 12,800 Aisin Seiki Co., Ltd. 24,486 0.23 11,000 Bridgestone Corp. 15,895 0.15 Computers 17,900 Denso Corp. 40,633 0.38 49,000 Fujitsu Ltd. 24,451 0.23 34,800 JTEKT Corp. 29,163 0.28 1,500 Itochu Techno-Solutions Corp. 3,825 0.04

110,177 1.04 28,276 0.27

Automobile Manufacturers Construction & Engineering 214,600 Fuji Heavy Industries Ltd. 81,762 0.77 8,000 Kinden Corp. 6,352 0.06 57,000 Hino Motors Ltd. 16,131 0.15 128,100 Honda Motor Co., Ltd. 353,556 3.33 Cosmetics/Personal Care 93,000 Isuzu Motors Ltd. 15,159 0.14 26,000 Kao Corp. 54,210 0.51 219,000 Mazda Motor Corp. 54,312 0.51 222,200 Nissan Motor Co., Ltd. 129,765 1.22 Distribution/Wholesale 88,500 Toyota Motor Corp. 338,070 3.18 33,500 Canon Marketing Japan, Inc. 43,583 0.41 988,755 9.30 67,000 Marubeni Corp. 30,954 0.29 104,300 Mitsui & Co., Ltd. 134,130 1.26 Banks 267,900 Sojitz Corp. 54,384 0.51 135,100 Sumitomo Corp. 134,830 1.27 249,200 Bank of Yokohama Ltd. 120,862 1.14 4,100 Toyota Tsusho Corp. 5,654 0.05 72,000 Chuo Mitsui Trust Holdings, Inc. 25,416 0.24 210,000 Fukuoka Financial Group, Inc. 91,770 0.86 403,535 3.79 89,000 Hokuhoku Financial Group, Inc. 18,512 0.17 562,200 Mitsubishi Tokyo Financial Group, Inc. 346,315 3.26 Diversified Financial Services + 849,800 Mizuho Financial Group, Inc. 200,553 1.89 14,600 Crédit Saison Co., Ltd. 19,564 0.19 18,000 Nishi-Nippon City Bank Ltd. 4,032 0.04 79,000 Daiwa Securities Group, Inc. 49,217 0.46 + 17,100 Resona Holdings, Inc. 25,000 0.23 66,700 Nomura Holdings, Inc. 49,491 0.47 97 Seven Bank Ltd. 23,804 0.22 12,950 Promise Co., Ltd. 16,343 0.15 74,000 Shinsei Bank Ltd. 9,768 0.09 39,000 Sumitomo Mitsui Financial Group, Inc. 147,030 1.38 134,615 1.27 193,000 Sumitomo Trust & Banking Co., Ltd. 90,131 0.85 24,000 Yamaguchi Financial Group, Inc. 29,256 0.28 Electric 11,200 Chubu Electric Power Co., Inc. 24,304 0.23 1,132,449 10.65

Electrical Components & Equipment Building Materials 46,800 Brother Industries Ltd. 42,167 0.40 36,000 Asahi Glass Co., Ltd. 25,488 0.24 306,000 Hitachi Ltd. 98,838 0.93 33,000 Matsushita Electric Works Ltd. 26,433 0.25 157,800 Mitsubishi Electric Corp. 86,474 0.81 71,000 Nippon Sheet Glass Co., Ltd. 19,525 0.18 80,100 Sumitomo Electric Industries Ltd. 85,387 0.80 83,000 Taiheiyo Cement Corp. 14,608 0.14 312,866 2.94 86,054 0.81

Electronics Chemicals 95,800 Alps Electric Co., Ltd. 50,295 0.47 247,000 Asahi Kasei Corp. 115,843 1.09 3,800 Kyocera Corp. 28,310 0.27 57,000 Daicel Chemical Industries Ltd. 29,355 0.28 19,800 Mitsumi Electric Co., Ltd. 36,769 0.34 33,000 DIC Corp. 5,214 0.05 226,000 NEC Corp. 86,106 0.81 121,000 Kaneka Corp. 82,401 0.77 83,800 Yokogawa Electric Corp. 41,229 0.39 13,000 Kansai Paint Co., Ltd. 7,774 0.07 25,000 Mitsubishi Gas Chemical Co., Inc. 13,575 0.13 242,709 2.28 24,000 Mitsui Chemicals, Inc. 8,136 0.08 16,000 Nissan Chemical Industries Ltd. 16,240 0.15 Food, Beverages & Tobacco 11,900 Shin-Etsu Chemical Co., Ltd. 58,548 0.55 16,700 Asahi Breweries Ltd. 21,977 0.21 79,000 Showa Denko KK 11,376 0.11 121,300 Nisshin Seifun Group, Inc. 131,368 1.23

348,462 3.28 153,345 1.44

Forest Products & Paper 14,300 Nippon Paper Group, Inc. 38,181 0.36

The accompanying notes are an integral part of these financial statements.

62 Goldman Sachs Funds—Japan CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Common Stocks – (continued) Common Stocks – (continued) Gas Miscellaneous Manufacturing 681,800 Osaka Gas Co., Ltd. 205,904 1.94 51,500 FUJIFILM Holdings Corp. 141,110 1.32 156,000 Toho Gas Co., Ltd. 61,152 0.57 31,000 Konica Minolta Holdings, Inc. 33,728 0.32 203,000 Tokyo Gas Co., Ltd. 70,847 0.67 174,838 1.64 337,903 3.18 Office/Business Equipment Hand/Machine Tools 65,800 Canon, Inc. 207,270 1.95 71,000 Fuji Electric Holdings Co., Ltd. 11,644 0.11 82,200 Ricoh Co., Ltd. 107,928 1.01 19,700 Makita Corp. 41,666 0.39 16,600 Seiko Epson Corp. 23,174 0.22

53,310 0.50 338,372 3.18

Home Builders Oil & Gas 63,000 Daiwa House Industry Co., Ltd. 58,275 0.55 20,000 Cosmo Oil Co., Ltd. 7,040 0.07 94,000 Sekisui Chemical Co., Ltd. 55,084 0.52 10,300 Idemitsu Kosan Co., Ltd. 83,533 0.78 80,000 Sekisui House Ltd. 75,520 0.71 6,800 Japan Petroleum Exploration Co. 34,748 0.33 215,500 Nippon Mining Holdings, Inc. 120,249 1.13 188,879 1.78 245,570 2.31 Home Furnishings 53,700 Matsushita Electric Industrial Co., Ltd. 74,052 0.69 Packaging & Containers 47,000 Sharp Corp. 51,089 0.48 15,900 Toyo Seikan Kaisha Ltd. 28,779 0.27 58,000 Sony Corp. 149,640 1.41 Pharmaceuticals 274,781 2.58 117,600 Astellas Pharma, Inc. 393,960 3.70 11,600 Ono Pharmaceutical Co., Ltd. 49,416 0.46 Insurance 89,300 Takeda Chemical Industries Ltd. 348,270 3.28 54,400 Millea Holdings, Inc. 153,408 1.44 38,000 Tanabe Seiyaku Co., Ltd. 39,976 0.38 1,200 Mitsui Sumitomo Insurance Group Holdings, Inc. 3,372 0.03 831,622 7.82 142,000 Sompo Japan Insurance, Inc. 101,672 0.96 19,800 T&D Holdings, Inc. 52,668 0.50 Pharmaceuticals & Biotechnology 89,700 Dainippon Sumitomo Pharma Co., Ltd. 69,787 0.66 311,120 2.93 9,600 Santen Pharmaceutical Co., Ltd. 27,216 0.26 2,700 Suzuken Co., Ltd. 6,750 0.06 Internet 72,400 Matsui Securities Co., Ltd. 57,051 0.54 103,753 0.98

Iron/Steel Real Estate 31,800 JFE Holdings, Inc. 105,576 0.99 18,600 Daito Trust Construction Co., Ltd. 82,398 0.78 155,000 Kobe Steel Ltd. 27,280 0.26 107,500 Leopalace21 Corp. 90,407 0.85 370,000 Nisshin Steel Co., Ltd. 91,390 0.86 + 31,300 Nomura Real Estate Holdings, Inc. 52,115 0.49 180,000 Sumitomo Metal Industries Ltd. 48,240 0.45 6,000 Sumitomo Realty & Development Co., Ltd. 8,664 0.08 71,800 Tokyo Steel Manufacturing Co., Ltd. 81,565 0.77 30,000 Tokyo Tatemono Co., Ltd. 14,280 0.13 12,400 Yamato Kogyo Co., Ltd. 32,798 0.31 121,900 Tokyu Land Corp. 49,857 0.47

386,849 3.64 297,721 2.80

Leisure Time Real Estate Investment Trust 42,500 Yamaha Corp. 50,915 0.48 73 Japan Prime Realty Investment Corp. 13,301 0.12 88,700 Yamaha Motor Co., Ltd. 97,126 0.91 20 Japan Real Estate Investment Corp. 14,880 0.14 29 Nippon Building Fund, Inc. 24,331 0.23 148,041 1.39 52,512 0.49 Machinery-Diversified 204,500 Amada Co., Ltd. 126,585 1.19 Retail 119,000 Kubota Corp. 84,847 0.80 41,800 Isetan Mitsukoshi Holdings Ltd. 36,115 0.34 199,000 Mitsubishi Heavy Industries Ltd. 70,645 0.66 23,900 Marui Co., Ltd. 13,288 0.13 85,000 Sumitomo Heavy Industries Ltd. 33,490 0.32 18,300 Seven & I Holdings Co., Ltd. 42,548 0.40 1,010 USS Co., Ltd. 5,454 0.05 315,567 2.97 97,405 0.92 Media 872 Fuji Television Network, Inc. 108,738 1.02 Semiconductors 10,500 Elpida Memory, Inc. 10,133 0.10 Mining 21,000 NEC Electronics Corp. 20,559 0.19 12,000 Sumitomo Metal Mining Co., Ltd. 17,268 0.16 8,900 Rohm Co., Ltd. 54,913 0.52

The accompanying notes are an integral part of these financial statements.

63 Goldman Sachs Funds—Japan CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of Futures Contracts – 0.22% Market Value Shareholders’ Unrealised %of Holdings Security Description (000) JPY Equity Number of Gain Shareholders’ Contracts Security Description (000) JPY Equity Common Stocks – (continued) JPY Semiconductors – (continued) 34 TOPIX Index 12/06/09 Long 22,842 0.22 3,200 Sumco Corp. 4,448 0.04 3,800 Tokyo Electron Ltd. 16,872 0.16 UNREALISED GAIN ON FUTURES 106,925 1.01 CONTRACTS 22,842 0.22

MARKET VALUE OF INVESTMENTS Shipbuilding ( c o s t ( 0 0 0 ) J P Y 1 3 , 4 6 4 , 1 0 6 ) 10,487,662 98.64 44,000 Mitsui Engineering & Shipbuilding Co., Ltd. 10,076 0.09 O T H E R A S S E T S A N D L I A B I L I T I E S 145,004 1.36 Telecommunications 81,000 Nippon Telegraph & Telephone Corp. 319,950 3.01 SHAREHOLDERS’ EQUITY 10,632,666 100.00 943 NTT DoCoMo, Inc. 132,869 1.25 %of 452,819 4.26 Market Value Shareholders’ TOTAL INVESTMENTS (000) JPY Equity Textiles 48,000 Nisshinbo Industries, Inc. 47,184 0.44 Total Investments excluding futures contracts (cost (000) JPY 13,464,106) 10,464,820 98.42 Unrealised gain on futures contracts 22,842 0.22 Toys/Games/Hobbies Other Assets and Liabilities 145,004 1.36 34,000 Namco Bandai Holdings, Inc. 34,748 0.33 9,100 Nintendo Co., Ltd. 241,605 2.27 Shareholders’ Equity 10,632,666 100.00 276,353 2.60 The Futures Clearing Merchant was Goldman, Sachs & Co. Transportation + A portion of these securities were on loan at 31 May 2009. See Note 5. 114 Central Japan Railway Co. 71,022 0.67 (a) This security is admitted to an official exchange listing. 13,200 East Japan Railway Co. 75,900 0.71 178,000 Kawasaki Kisen Kaisha Ltd. 82,414 0.78 (b) The yield for this fund as at 31 May 2009 was 0.076%. 28,000 Keisei Electric Railway Co., Ltd. 14,420 0.14 (c) A related party to Goldman Sachs Funds. 156,000 Mitsui O.S.K. Lines Ltd. 112,164 1.05 313,000 Nippon Express Co., Ltd. 131,147 1.23 326,000 Nippon Yusen KK 156,154 1.47 157 West Japan Railway Co. 50,083 0.47

693,304 6.52

TOTAL COMMON STOCKS ( c o s t ( 0 0 0 ) J P Y 1 3 , 3 0 9 , 7 3 6 ) 10,310,450 96.97

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t ( 0 0 0 ) J P Y 1 3 , 3 0 9 , 7 3 6 ) 10,310,450 96.97

Mutual Funds – 1.45% Japanese Yen 154,370,000 Goldman Sachs Yen Liquid Reserves Fund(a)(b)(c) 154,370 1.45

TOTAL MUTUAL FUNDS ( c o s t ( 0 0 0 ) J P Y 1 5 4 , 3 7 0 ) 154,370 1.45

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS ( c o s t ( 0 0 0 ) J P Y 1 3 , 4 6 4 , 1 0 6 ) 10,464,820 98.42

The accompanying notes are an integral part of these financial statements.

64 Goldman Sachs Funds—US CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.99% Coal 7,751 Alpha Natural Resources, Inc. 213,540 0.08 Advertising 4,496 Clear Channel Outdoor Holdings, Inc. “A” 15,826 0.01 Commercial Services 19,518 Manpower, Inc. 829,710 0.31 Aerospace & Defence 10,228 McKesson Corp. 420,882 0.15 2,316 Goodrich Corp. 112,419 0.04 16,375 Moody’s Corp. 448,511 0.17 21,569 Lockheed Martin Corp. 1,803,816 0.67 19,423 Robert Half International, Inc. 415,458 0.15 29,181 Northrop Grumman Corp. 1,389,599 0.51 2,262 Ticketmaster Entertainment, Inc. 17,599 0.01 2,776 Rockwell Collins, Inc. 117,758 0.04 65,263 United Technologies Corp. 3,433,486 1.26 2,132,160 0.79

6,857,078 2.52 Computers 103,131 Accenture Ltd. “A” 3,086,711 1.14 Agriculture 23,349 Apple Computer, Inc. 3,171,028 1.17 56,477 Archer-Daniels-Midland Co. 1,554,247 0.57 206 Cadence Design Systems, Inc. 1,164 0.00 17,075 Bunge Ltd. 1,080,335 0.40 145,097 Dell, Inc. 1,680,223 0.62 72,450 Lorillard, Inc. 4,950,509 1.82 142,410 EMC Corp. 1,673,317 0.61 72,560 Philip Morris International, Inc. 3,093,958 1.14 22,945 Hewlett-Packard Co. 788,161 0.29 10,679,049 3.93 29,936 International Business Machines Corp. 3,181,598 1.17 95,003 NetApp, Inc. 1,852,558 0.68 Apparel 33,191 Seagate Technology 289,094 0.11 8,251 Coach, Inc. 216,754 0.08 49,909 Sun Microsystems, Inc. 449,181 0.16 6,226 Jones Apparel Group, Inc. 56,656 0.02 5,090 Western Digital Corp. 126,487 0.05

273,410 0.10 16,299,522 6.00

Auto Parts & Equipment Construction & Engineering 14,909 BorgWarner, Inc. 480,815 0.18 6,711 URS Corp. 322,665 0.12 2,420 Federal Mogul Corp. 24,200 0.01 102,106 Johnson Controls, Inc. 2,034,973 0.75 Cosmetics/Personal Care 12,986 TRW Automotive Holdings Corp. 115,835 0.04 41,055 Colgate-Palmolive Co. 2,707,577 0.99 66,277 Procter & Gamble Co. 3,442,428 1.27 2,655,823 0.98 6,150,005 2.26 Banks 229,213 Bank of America Corp. 2,583,230 0.95 Distribution/Wholesale 61,625 Bank of New York Mellon Corp. 1,711,942 0.63 64,458 Ingram Micro, Inc. “A” 1,064,846 0.39 25,769 BB&T Corp. 577,741 0.21 28,710 Comerica, Inc. 622,433 0.23 Diversified Financial Services 118,832 JP Morgan Chase & Co. 4,384,901 1.62 41,306 American Express Co. 1,026,454 0.38 105,653 US Bancorp 2,028,538 0.75 3,505 BlackRock, Inc. 559,047 0.20 165,528 Wells Fargo & Co. 4,220,964 1.55 380,898 Citigroup, Inc. 1,416,940 0.52 52,097 Eaton Vance Corp. 1,411,829 0.52 16,129,749 5.94 29,957 Federated Investors, Inc. “B” 749,824 0.27 7,577 Franklin Resources, Inc. 506,522 0.19 Biotechnology 951 Investment Technology Group, Inc. 19,781 0.01 70,423 Amgen, Inc. 3,516,925 1.29 41,273 T Rowe Price Group, Inc. 1,674,446 0.62 43,424 Biogen Idec, Inc. 2,248,929 0.83 7,364,843 2.71 5,765,854 2.12

Electric Building Materials 105,727 Duke Energy Corp. 1,496,037 0.55 4,088 Armstrong World Industries, Inc. 73,093 0.03 411,322 Dynegy, Inc. “A” 826,757 0.30 54,176 Exelon Corp. 2,600,990 0.96 Chemicals 58,787 Mirant Corp. 917,665 0.34 4,868 Air Products & Chemicals, Inc. 315,349 0.12 4,466 CF Industries Holdings, Inc. 346,740 0.13 5,841,449 2.15 35,217 Dow Chemical Co. 622,637 0.23 16,716 Eastman Chemical Co. 692,711 0.25 Electrical Components & Equipment 18,807 Ecolab, Inc. 702,442 0.26 111,723 Emerson Electric Co. 3,585,191 1.32 19,622 Huntsman Corp. 124,011 0.04 14,115 Monsanto Co. 1,159,547 0.43 Electronics 13,290 Arrow Electronics, Inc. 321,485 0.12 3,963,437 1.46 14,530 Avnet, Inc. 334,335 0.12

The accompanying notes are an integral part of these financial statements.

65 Goldman Sachs Funds—US CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Electronics – (continued) Internet 27,676 Thermo Fisher Scientific, Inc. 1,076,873 0.40 7,173 Amazon.com, Inc. 559,422 0.21 23,991 Tyco Electronics Ltd. 416,724 0.15 17,406 eBay, Inc. 306,694 0.11 8,425 Google, Inc. “A” 3,515,163 1.29 2,149,417 0.79 34,515 Liberty Media Holding Corp.—Interactive “A” 202,258 0.08 40,564 VeriSign, Inc. 949,603 0.35 Entertainment 1,013 Ascent Media Corp. “A” 29,296 0.01 5,533,140 2.04 2,301 Penn National Gaming, Inc. 76,094 0.03 Iron/Steel 105,390 0.04 13,033 Allegheny Technologies, Inc. 461,499 0.17 28,307 Reliance Steel & Aluminum Co. 1,075,383 0.39 Food, Beverages & Tobacco 12,382 Schnitzer Steel Industries, Inc. “A” 675,314 0.25 20,359 Coca-Cola Co. 1,000,849 0.37 20,189 Coca-Cola Enterprises, Inc. 336,349 0.12 2,212,196 0.81 52,201 Hansen Natural Corp. 1,914,733 0.70 8,697 Hershey Co. 306,308 0.11 Leisure Time 9,133 Hormel Foods Corp. 317,280 0.12 57,333 Carnival Corp. 1,458,552 0.54 51,047 PepsiCo, Inc. 2,656,996 0.98 6,620 Royal Caribbean Cruises Ltd. 99,697 0.03 19,704 Tyson Foods, Inc. “A” 262,457 0.10 1,558,249 0.57 6,794,972 2.50 Lodging Forest Products & Paper 11,599 Boyd Gaming Corp. 116,454 0.04 22,008 Plum Creek Timber Co., Inc. 762,577 0.28 2,507 Choice Hotels International, Inc. 68,416 0.02 29,049 Rayonier, Inc. 1,161,960 0.43 54,154 Marriott International, Inc. “A” 1,265,037 0.47 39,162 Wyndham Worldwide Corp. 461,720 0.17 1,924,537 0.71 1,911,627 0.70 Gas 11,397 NiSource, Inc. 121,834 0.05 Machinery—Diversified 33,452 AGCO Corp. 965,425 0.35 Healthcare Products 10,731 Cummins, Inc. 348,006 0.13 2,441 Baxter International, Inc. 124,955 0.05 1,313,431 0.48 1,391 Beckman Coulter, Inc. 75,392 0.03 129,909 Boston Scientific Corp. 1,221,145 0.45 Media 1,451 Hill-Rom Holdings, Inc. 23,448 0.01 50,920 CBS Corp. “B” 375,790 0.14 13,417 Hologic, Inc. 169,993 0.06 132,732 Comcast Corp. “A” 1,827,720 0.67 85,267 Johnson & Johnson 4,703,328 1.73 37,437 Comcast Corp. “A” Special 486,681 0.18 18,585 Medtronic, Inc. 638,395 0.23 52,084 News Corp. 509,381 0.19 31,903 Stryker Corp. 1,226,351 0.45 11,655 Scripps Networks Interactive, Inc. 323,310 0.12 8,183,007 3.01 29,531 Time Warner Cable, Inc. 909,259 0.33 132,715 Time Warner, Inc. 3,108,185 1.14 Healthcare Services 57,767 Walt Disney Co. 1,399,117 0.52 56,458 Coventry Health Care, Inc. 1,019,067 0.38 8,939,443 3.29 33,153 Humana, Inc. 1,038,683 0.38 15,460 LifePoint Hospitals, Inc. 421,285 0.15 Metal Fabricate/Hardware 9,216 UnitedHealth Group, Inc. 245,146 0.09 4,259 Commercial Metals Co. 72,275 0.03 2,328 WellCare Health Plans, Inc. 44,232 0.02 14,589 WellPoint, Inc. 679,410 0.25 Mining 3,447,823 1.27 57,148 Alcoa, Inc. 526,904 0.20 6,811 Titanium Metals Corp. 63,070 0.02 Home Furnishings 589,974 0.22 90,024 Harman International Industries, Inc. 1,678,047 0.62

Miscellaneous Manufacturing Insurance 233,718 General Electric Co. 3,150,519 1.16 23,019 Aflac, Inc. 817,174 0.30 20,465 Illinois Tool Works, Inc. 660,815 0.24 374 First American Corp. 8,535 0.01 24,684 Tyco International Ltd. 681,525 0.25 19,528 Lincoln National Corp. 370,056 0.14 33,434 Loews Corp. 904,390 0.33 4,492,859 1.65 26,837 MetLife, Inc. 845,365 0.31 17,181 Prudential Financial, Inc. 685,694 0.25 Office Furnishings 30,542 Travelers Cos, Inc. 1,241,838 0.46 2,951 Steelcase, Inc. “A” 14,253 0.01 78,030 Unum Group 1,335,093 0.49

6,208,145 2.29

The accompanying notes are an integral part of these financial statements.

66 Goldman Sachs Funds—US CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Oil & Gas Savings & Loans 76,990 Chevron Corp. 5,132,923 1.89 24,221 Hudson City Bancorp, Inc. 310,755 0.11 24,668 Cimarex Energy Co. 804,670 0.30 93,770 ConocoPhillips 4,298,417 1.58 Semiconductors 55,875 Devon Energy Corp. 3,533,535 1.30 57,768 Broadcom Corp. “A” 1,471,929 0.54 178,334 Exxon Mobil Corp. 12,367,463 4.55 27,925 Integrated Device Technology, Inc. 157,218 0.06 23,111 Frontier Oil Corp. 403,749 0.15 235,284 Intel Corp. 3,698,664 1.36 30,718 Occidental Petroleum Corp. 2,061,485 0.76 101,556 LSI Logic Corp. 453,955 0.17 61,866 Patterson-UTI Energy, Inc. 887,159 0.33 57,665 Texas Instruments, Inc. 1,118,701 0.41 16,426 Sunoco, Inc. 499,843 0.18 6,900,467 2.54 18,493 Tesoro Corp. 313,272 0.11 140,641 Valero Energy Corp. 3,146,139 1.16 Software 33,448,655 12.31 31,457 Adobe Systems, Inc. 886,458 0.33 440,730 Microsoft Corp. 9,206,850 3.39 Oil & Gas Services 61,675 Oracle Corp. 1,208,213 0.44 33,085 Exterran Holdings, Inc. 658,722 0.24 93,195 SEI Investments Co. 1,437,999 0.53 52,577 Schlumberger Ltd. 3,008,982 1.11 12,739,520 4.69 3,667,704 1.35 Telecommunications Packaging & Containers 17,049 ADC Telecommunications, Inc. 120,025 0.04 27,916 Ball Corp. 1,111,057 0.41 155,087 AT&T, Inc. 3,844,607 1.42 3,387 Packaging Corp. of America 54,598 0.02 281,147 Cisco Systems, Inc. 5,201,219 1.92 37,077 Corning, Inc. 545,032 0.20 1,165,655 0.43 640 EchoStar Corp. “A” 10,259 0.00 69,104 Embarq Corp. 2,903,750 1.07 Pharmaceuticals 157 Leap Wireless International, Inc. 5,886 0.00 36,941 Abbott Laboratories 1,664,562 0.61 31,749 NII Holdings, Inc. 649,585 0.24 24,367 Bristol-Myers Squibb Co. 485,391 0.18 24,852 Qualcomm, Inc. 1,083,299 0.40 122,941 Eli Lilly & Co. 4,250,070 1.57 275,194 Sprint Nextel Group Corp. 1,417,249 0.52 90,723 Gilead Sciences, Inc. 3,910,161 1.44 3,021 Telephone & Data Systems, Inc. 91,566 0.03 15,239 Medco Health Solutions, Inc. 699,318 0.26 97,566 Tellabs, Inc. 541,491 0.20 102,738 Merck & Co., Inc. 2,833,514 1.04 3,069 United States Cellular Corp. 127,456 0.05 233,260 Pfizer, Inc. 3,543,219 1.30 11,936 Verizon Communications, Inc. 349,247 0.13 22,374 Schering-Plough Corp. 545,926 0.20 36,244 Toro Co. 1,116,315 0.41 16,890,671 6.22

19,048,476 7.01 Transportation 20,278 CH Robinson Worldwide, Inc. 1,030,528 0.38 Pharmaceuticals & Biotechnology 21,062 Expeditors International of Washington, Inc. 691,044 0.25 45,527 Forest Laboratories, Inc. 1,078,535 0.40 30,750 FedEx Corp. 1,704,473 0.63 1,057 JB Hunt Transport Services, Inc. 32,482 0.01 Real Estate Investment Trust 53,995 United Parcel Service, Inc. “B” 2,761,304 1.02 5,948 Duke Realty Corp. 56,565 0.02 7,807 Federal Realty Investment Trust 411,039 0.15 6,219,831 2.29 7,934 Hospitality Properties Trust 110,838 0.04 TOTAL COMMON STOCKS 9,853 Kimco Realty Corp. 115,182 0.04 ( c o s t U S D 2 8 9 , 6 1 7 , 9 2 9 ) 266,173,913 97.99 13,994 Liberty Property Trust 325,780 0.12 9,766 Nationwide Health Properties, Inc. 259,483 0.10 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN 9,126 Regency Centers Corp. 325,159 0.12 OFFICIAL EXCHANGE LISTING 1,604,046 0.59 ( c o s t U S D 2 8 9 , 6 1 7 , 9 2 9 ) 266,173,913 97.99

Retail Mutual Funds – 1.93% 13,825 Big Lots, Inc. 318,113 0.12 United States Dollar 9,444 BJ’s Wholesale Club, Inc. 332,807 0.12 5,231,728 Goldman Sachs US$ Liquid Reserves 12,976 Costco Wholesale Corp. 629,596 0.23 (a)(b)(c) Fund 5,231,728 1.93 28,349 Dollar Tree, Inc. 1,269,185 0.47 87,535 Family Dollar Stores, Inc. 2,649,684 0.97 TOTAL MUTUAL FUNDS 2,311 HSN, Inc. 26,114 0.01 ( c o s t U S D 5 , 2 3 1 , 7 2 8 ) 5,231,728 1.93 98,551 PetSmart, Inc. 2,006,498 0.74 45,690 Ross Stores, Inc. 1,789,220 0.66 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES 9,433 Signet Jewelers Ltd. 169,700 0.06 CONTRACTS 44,182 TJX Cos, Inc. 1,303,811 0.48 ( c o s t U S D 2 9 4 , 8 4 9 , 6 5 7 ) 271,405,641 99.92 119,958 Wal-Mart Stores, Inc. 5,966,711 2.20

16,461,439 6.06

The accompanying notes are an integral part of these financial statements.

67 Goldman Sachs Funds—US CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – 0.06% %of Number of Unrealised Gain Shareholders’ Contracts Security Description USD Equity

USD 106 S&P 500 Index 19/06/09 Long 166,271 0.06

UNREALISED GAIN ON FUTURES CONTRACTS 166,271 0.06

MARKET VALUE OF INVESTMENTS ( c o s t U S D 2 9 4 , 8 4 9 , 6 5 7 ) 271,571,912 99.98

O T H E R A S S E T S A N D L I A B I L I T I E S 57,951 0.02

SHAREHOLDERS’ EQUITY 271,629,863 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 294,849,657) 271,405,641 99.92 Unrealised gain on futures contracts 166,271 0.06 Other Assets and Liabilities 57,951 0.02

Shareholders’ Equity 271,629,863 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. (a) This security is admitted to an official exchange listing. (b) The yield for this fund as at 31 May 2009 was 0.530%. (c) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

68 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 97.38% Biotechnology – (continued) 2,043 Dendreon Corp. 46,315 0.16 Advertising 11,578 Enzon Pharmaceuticals, Inc. 92,855 0.32 15,560 Marchex, Inc. “B” 51,815 0.18 26,336 Facet Biotech Corp. 260,990 0.90 1,604 Idera Pharmaceuticals, Inc. 8,710 0.03 Aerospace & Defence 11,154 Lexicon Pharmaceuticals, Inc. 15,504 0.05 1,619 AAR Corp. 23,800 0.08 8,104 Martek Biosciences Corp. 171,724 0.59 1,573 Alliant Techsystems, Inc. 135,734 0.47 10,021 Maxygen, Inc. 71,049 0.24 1,377 Esterline Technologies Corp. 37,647 0.13 6,559 Molecular Insight Pharmaceuticals, Inc. 25,973 0.09 197,181 0.68 1,098 Myriad Genetics, Inc. 39,704 0.14 22,653 PDL BioPharma, Inc. 157,438 0.54 Airlines 4,468 Regeneron Pharmaceuticals, Inc. 68,405 0.24 5,158 Skywest, Inc. 52,869 0.18 26,792 XOMA Ltd. 21,701 0.07 1,078,611 3.71 Apparel 8,357 Carter’s, Inc. 197,643 0.68 Building Materials 3,922 Apogee Enterprises, Inc. 48,319 0.17 Auto Parts & Equipment 1,175 Armstrong World Industries, Inc. 21,009 0.07 2,261 Amerigon, Inc. 10,039 0.03 3,339 Builders FirstSource, Inc. 13,723 0.05 670 ATC Technology Corp. 9,768 0.03 5,190 Comfort Systems USA, Inc. 48,423 0.17 936 Dorman Products, Inc. 13,291 0.05 4,263 Gibraltar Industries, Inc. 32,911 0.11 4,382 Exide Technologies 26,818 0.09 7,903 Louisiana-Pacific Corp. 34,299 0.12 740 Federal Mogul Corp. 7,400 0.03 10,113 LSI Industries, Inc. 49,250 0.17 6,636 Modine Manufacturing Co. 29,663 0.10 2,129 Quanex Building Products Corp. 23,504 0.08 5,800 Superior Industries International, Inc. 70,064 0.24 2,252 Universal Forest Products, Inc. 68,596 0.23 2,257 Tenneco, Inc. 13,813 0.05 340,034 1.17 929 TRW Automotive Holdings Corp. 8,287 0.03

189,143 0.65 Chemicals 1,836 Balchem Corp. 44,284 0.15 Automobile Manufacturers 1,200 Innospec, Inc. 10,692 0.04 20,735 Wabash National Corp. 25,919 0.09 939 Minerals Technologies, Inc. 36,734 0.13 383 OM Group, Inc. 10,149 0.03 Banks 13,795 PolyOne Corp. 41,523 0.14 574 1st Source Corp. 10,275 0.04 2,573 Rockwood Holdings, Inc. 38,389 0.13 6,330 Associated Banc-Corp. 91,595 0.31 5,649 Schulman A, Inc. 84,340 0.29 4,820 Bancorpsouth, Inc. 107,197 0.37 10,369 Spartech Corp. 43,861 0.15 8,954 Cathay General Bancorp 92,763 0.32 17,785 Symyx Technologies 86,079 0.30 1,462 Central Pacific Financial Corp. 8,743 0.03 8,511 Westlake Chemical Corp. 174,050 0.60 608 City National Corp. 22,235 0.08 570,101 1.96 338 Community Trust Bancorp, Inc. 9,305 0.03 1,418 Cullen/Frost Bankers, Inc. 69,411 0.24 Coal 10,382 CVB Financial Corp. 65,926 0.23 1,797 Alpha Natural Resources, Inc. 49,507 0.17 15,382 First Bancorp/Puerto Rico 75,218 0.26 727 Glacier Bancorp, Inc. 12,046 0.04 3,826 Heritage Commerce Corp. 23,224 0.08 Commercial Services 13,110 International Bancshares Corp. 147,094 0.51 2,264 Administaff, Inc. 48,676 0.17 994 MB Financial, Inc. 10,149 0.03 24,958 Advance America Cash Advance Centers, Inc. 112,311 0.39 1,854 People’s United Financial, Inc. 29,293 0.10 9,496 AMN Healthcare Services, Inc. 68,371 0.23 5,091 Pinnacle Financial Partners, Inc. 73,820 0.25 3,426 Arbitron, Inc. 68,212 0.23 3,782 Renasant Corp. 51,813 0.18 4,066 CDI Corp. 45,661 0.16 11,494 Sterling Bancshares, Inc. 72,872 0.25 1,150 Cross Country Healthcare, Inc. 8,924 0.03 18,015 Susquehanna Bancshares, Inc. 128,627 0.44 4,220 DynCorp International, Inc. 61,063 0.21 2,572 TCF Financial Corp. 36,934 0.13 4,061 ExlService Holdings, Inc. 40,204 0.14 720 Texas Capital Bancshares, Inc. 11,052 0.04 915 Genpact Ltd. 9,571 0.03 4,194 Trustmark Corp. 82,160 0.28 2,632 Gevity HR, Inc. 10,502 0.04 1,664 Whitney Holding Corp. 20,634 0.07 13,534 Hackett Group, Inc. 31,805 0.11 11,270 Wilshire Bancorp, Inc. 54,321 0.19 11,594 Healthspring, Inc. 112,578 0.39 6,180 Wintrust Financial Corp. 111,240 0.38 3,944 ICT Group, Inc. 34,825 0.12 1,838 Integrated Electrical Services, Inc. 18,123 0.06 1,417,947 4.88 12,993 Kelly Services, Inc. “A” 138,505 0.48 10,338 Kforce, Inc. 96,247 0.33 Biotechnology 11,583 Live Nation, Inc. 66,255 0.23 904 Bio-Rad Laboratories, Inc. “A” 67,294 0.23 26,818 MPS Group, Inc. 203,549 0.70 2,018 Cambrex Corp. 7,265 0.03 330 Pre-Paid Legal Services, Inc. 13,979 0.05 52,631 Cell Genesys, Inc. 23,684 0.08 1,289 Robert Half International, Inc. 27,572 0.09

The accompanying notes are an integral part of these financial statements.

69 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Commercial Services – (continued) Electrical Components & Equipment 23,253 Spherion Corp. 79,990 0.27 9,540 Belden CDT, Inc. 174,773 0.60 5,531 Startek, Inc. 30,033 0.10 3,280 C&D Technologies, Inc. 5,871 0.02 971 Steiner Leisure Ltd. 28,305 0.10 3,510 Encore Wire Corp. 74,517 0.26 3,916 TeleTech Holdings, Inc. 45,151 0.16 1,208 EnerSys 19,570 0.07 5,636 TrueBlue, Inc. 48,075 0.17 2,086 Fushi Copperweld, Inc. 17,710 0.06 1,651 VistaPrint Ltd. 63,217 0.22 3,681 Insteel Industries, Inc. 31,730 0.11 6,584 Volt Information Sciences, Inc. 43,849 0.15 12,199 Power-One, Inc. 17,201 0.06 3,017 Vicor Corp. 16,412 0.05 1,555,553 5.36 357,784 1.23 Computers 871 Agilysys, Inc. 5,627 0.02 Electronics 26,327 Ciber, Inc. 84,510 0.29 862 Arrow Electronics, Inc. 20,852 0.07 8,408 Cray, Inc. 36,239 0.13 1,249 Avnet, Inc. 28,740 0.10 2,212 Digimarc Corp. 22,474 0.08 519 Bel Fuse, Inc. 7,007 0.02 4,173 Electronics for Imaging, Inc. 42,439 0.15 5,876 Benchmark Electronics, Inc. 71,687 0.25 11,089 Imation Corp. 107,120 0.37 1,940 CTS Corp. 11,194 0.04 3,455 Insight Enterprises, Inc. 26,085 0.09 3,425 Dionex Corp. 193,033 0.66 14,595 Magma Design Automation, Inc. 21,601 0.07 3,593 Methode Electronics, Inc. 20,983 0.07 5,519 Manhattan Associates, Inc. 97,079 0.33 21,398 Taser International, Inc. 93,295 0.32 8,289 Mentor Graphics Corp. 46,584 0.16 1,496 Thomas & Betts Corp. 45,897 0.16 37,596 Quantum Corp. 43,235 0.15 2,715 Varian, Inc. 94,536 0.33 3,149 Radisys Corp. 27,270 0.09 4,974 Woodward Governor Co. 102,116 0.35 33,786 Silicon Storage Technology, Inc. 62,166 0.21 689,340 2.37 1,357 STEC, Inc. 22,241 0.08

644,670 2.22 Entertainment 2,712 National CineMedia, Inc. 33,927 0.12 Construction & Engineering 1,000 Vail Resorts, Inc. 27,490 0.09 5,502 Dycom Industries, Inc. 64,318 0.22 61,417 0.21 3,698 Granite Construction, Inc. 135,162 0.47 1,018 Layne Christensen Co. 21,765 0.07 Food, Beverages & Tobacco 221,245 0.76 417 Boston Beer Co, Inc. 11,893 0.04 1,218 Flowers Foods, Inc. 25,785 0.09 Distribution/Wholesale 3,698 Hansen Natural Corp. 135,643 0.47 19,350 Brightpoint, Inc. 114,552 0.40 7,108 Imperial Sugar Co. 73,497 0.25 10,951 Ingram Micro, Inc. “A” 180,910 0.62 3,223 Ingles Markets, Inc. “A” 48,151 0.17 2,112 Tech Data Corp. 67,626 0.23 3,482 J&J Snack Foods Corp. 130,645 0.45 1,916 United Stationers, Inc. 68,612 0.24 1,343 Lancaster Colony Corp. 61,872 0.21 1,055 Watsco, Inc. 51,938 0.18 4,258 Lance, Inc. 90,823 0.31 12,301 National Beverage Corp. 132,236 0.46 483,638 1.67 714 Peet’s Coffee & Tea, Inc. 18,628 0.06 3,073 Sanderson Farms, Inc. 134,013 0.46 Diversified Financial Services 1,326 Cohen & Steers, Inc. 20,460 0.07 863,186 2.97 2,152 Eaton Vance Corp. 58,319 0.20 2,484 FBR Capital Markets Corp. 12,544 0.04 Forest Products & Paper 2,338 Federated Investors, Inc. “B” 58,520 0.20 12,442 Buckeye Technologies, Inc. 63,081 0.22 1,939 Financial Federal Corp. 48,068 0.17 2,528 Clearwater Paper Corp. 59,838 0.21 12,036 First Financial Northwest, Inc. 105,796 0.36 7,349 Rayonier, Inc. 293,960 1.01 3,402 GAMCO Investors, Inc. 178,775 0.62 416,879 1.44 2,914 MF Global Ltd. 17,717 0.06 1,187 Piper Jaffray Cos 42,815 0.15 2,733 Pzena Investment Management, Inc. “A” 17,847 0.06 Gas 1,887 Virtus Investment Partners, Inc. 27,928 0.10 1,822 Southwest Gas Corp. 37,861 0.13 4,124 Washington Federal, Inc. 54,107 0.19 1,500 World Acceptance Corp. 30,045 0.10 Hand/Machine Tools 2,677 Baldor Electric Co. 62,080 0.21 672,941 2.32 Healthcare Products Electric 1,924 American Medical Systems Holdings, Inc. 29,187 0.10 3,369 Black Hills Corp. 72,097 0.25 3,416 Angiodynamics, Inc. 41,915 0.14 578 OGE Energy Corp. 14,924 0.05 278 Atrion Corp. 30,636 0.10 4,687 Unisource Energy Corp. 119,237 0.41 1,857 Beckman Coulter, Inc. 100,650 0.35 206,258 0.71 2,061 Cepheid, Inc. 20,816 0.07 3,342 EV3, Inc. 30,546 0.10

The accompanying notes are an integral part of these financial statements.

70 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Healthcare Products – (continued) Insurance – (continued) 986 Gen-Probe, Inc. 42,033 0.14 13,705 Primus Guaranty Ltd. 38,100 0.13 2,456 Hill-Rom Holdings, Inc. 39,689 0.14 403 ProAssurance Corp. 18,220 0.06 3,465 Idexx Laboratories, Inc. 145,010 0.50 3,221 Reinsurance Group of America, Inc. 118,468 0.41 4,737 Invacare Corp. 80,434 0.28 963 Safety Insurance Group, Inc. 30,055 0.10 1,405 IRIS International, Inc. 16,790 0.06 3,473 Selective Insurance Group 45,878 0.16 4,029 LCA-Vision, Inc. 25,020 0.09 1,168 Transatlantic Holdings, Inc. 45,213 0.16 4,334 Medical Action Industries, Inc. 44,250 0.15 581 United Fire & Casualty Co. 10,115 0.03 2,237 Palomar Medical Technologies, Inc. 22,750 0.08 8,905 Universal American Corp. 80,056 0.28 6,594 Steris Corp. 155,816 0.54 922,938 3.18 825,542 2.84 Internet Healthcare Services 3,056 1-800-FLOWERS.COM, Inc. “A” 7,120 0.02 4,372 Assisted Living Concepts, Inc. 67,066 0.23 6,176 Art Technology Group, Inc. 22,234 0.08 2,276 Centene Corp. 41,378 0.14 586 Blue Nile, Inc. 26,897 0.09 3,099 Five Star Quality Care, Inc. 6,539 0.02 3,166 DealerTrack Holdings, Inc. 45,432 0.16 8,093 Kindred Healthcare, Inc. 106,261 0.37 6,304 Dice Holdings, Inc. 29,944 0.10 941 LifePoint Hospitals, Inc. 25,642 0.09 17,033 Earthlink, Inc. 133,539 0.46 2,485 Magellan Health Services, Inc. 74,202 0.25 11,299 Internap Network Services Corp. 31,750 0.11 5,912 Medcath Corp. 63,022 0.22 2,900 Liquidity Services, Inc. 28,391 0.10 4,314 Molina Healthcare, Inc. 103,277 0.36 7,616 ModusLink Global Solutions, Inc. 32,368 0.11 19,337 Nighthawk Radiology Holdings, Inc. 76,575 0.26 4,088 NetFlix, Inc. 161,149 0.55 1,560 Skilled Healthcare Group, Inc. “A” 14,680 0.05 6,759 NutriSystem, Inc. 92,598 0.32 2,044 PC-Tel, Inc. 11,365 0.04 578,642 1.99 2,224 Perficient, Inc. 14,145 0.05 25,676 RealNetworks, Inc. 65,731 0.23 Holding Companies—Diversified 1,040 Thinkorswim Group, Inc. 10,494 0.04 11,323 Compass Diversified Holdings 99,642 0.34 9,185 TIBCO Software, Inc. 60,896 0.21 8,453 United Online, Inc. 54,099 0.19 Home Builders 11,402 Valueclick, Inc. 125,992 0.43 801 Amrep Corp. 11,534 0.04 856 Vignette Corp. 11,077 0.04 2,647 Meritage Homes Corp. 55,243 0.19 5,582 Web.com Group, Inc. 26,682 0.09

66,777 0.23 991,903 3.42

Home Furnishings Investment Companies 2,659 American Woodmark Corp. 51,079 0.18 23,361 Apollo Investment Corp. 128,719 0.44 5,331 Harman International Industries, Inc. 99,370 0.34 5,499 BlackRock Kelso Capital Corp. 35,799 0.12 739 Hooker Furniture Corp. 9,164 0.03 2,592 Hercules Technology Growth Capital, Inc. 19,440 0.07 7,241 Kimball International, Inc. 43,663 0.15 2,749 Kohlberg Capital Corp. 11,436 0.04 11,010 La-Z-Boy, Inc. 20,589 0.07 4,124 MVC Capital, Inc. 33,404 0.12 26,077 TiVo, Inc. 182,539 0.63 4,093 NGP Capital Resources Co. 32,253 0.11

406,404 1.40 261,051 0.90

Household Products/Wares Iron/Steel 7,924 American Greetings Corp. “A” 54,279 0.19 5,532 Sutor Technology Group Ltd. 18,864 0.07 2,695 Blyth, Inc. 89,501 0.31 18,544 Central Garden & Pet Co. 182,659 0.63 Leisure Time 1,444 Prestige Brands Holdings, Inc. 8,996 0.03 2,744 Polaris Industries, Inc. 87,177 0.30 8,094 Standard Register Co. 26,953 0.09 362,388 1.25 Lodging 1,536 Ameristar Casinos, Inc. 30,828 0.11 Insurance 449 Choice Hotels International, Inc. 12,253 0.04 10,956 American Equity Investment Life Holding 2,486 Gaylord Entertainment Co. 35,301 0.12 Co. 63,654 0.22 78,382 0.27 5,846 Aspen Insurance Holdings Ltd. 134,984 0.47 3,491 Assured Guaranty Ltd. 45,767 0.16 Machinery—Diversified 9,367 CNA Surety Corp. 142,098 0.49 2,203 AGCO Corp. 63,579 0.22 697 eHealth, Inc. 11,152 0.04 7,747 Albany International Corp. “A” 103,422 0.36 457 Endurance Specialty Holdings Ltd. 12,554 0.04 4,213 Briggs & Stratton Corp. 64,038 0.22 1,883 FBL Financial Group, Inc. “A” 13,652 0.05 671 Cascade Corp. 19,372 0.07 771 First American Corp. 17,594 0.06 732 iRobot Corp. 9,150 0.03 1,918 Infinity Property & Casualty Corp. 70,602 0.24 324 Platinum Underwriters Holdings Ltd. 9,341 0.03 3,176 PMA Capital Corp. “A” 15,435 0.05

The accompanying notes are an integral part of these financial statements.

71 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Machinery—Diversified – (continued) Other Finance 1,164 Kadant, Inc. 16,249 0.05 4,979 MCG Capital Corp. 10,755 0.04 3,334 NACCO Industries, Inc. “A” 116,823 0.40 Other Industrial 392,633 1.35 924 AM Castle & Co 9,702 0.03

Media Packaging & Containers 16,769 Entercom Communications Corp. 26,663 0.09 1,383 Ball Corp. 55,043 0.19 14,142 Lee Enterprises, Inc. 14,142 0.05

40,805 0.14 Pharmaceuticals 11,300 Alkermes, Inc. 91,982 0.32 Metal Fabricate/Hardware 2,195 Cephalon, Inc. 127,991 0.44 1,376 Mueller Industries, Inc. 30,231 0.10 4,396 Cubist Pharmaceuticals, Inc. 74,996 0.26 6,833 Worthington Industries, Inc. 95,593 0.33 27,418 Depomed, Inc. 58,949 0.20 582 Endo Pharmaceuticals Holdings, Inc. 9,271 0.03 125,824 0.43 5,095 Isis Pharmaceuticals, Inc. 70,311 0.24 11,003 Mannatech, Inc. 33,779 0.12 Mining 24,124 Nabi Biopharmaceuticals 68,271 0.24 4,274 Brush Engineered Materials, Inc. 65,606 0.23 15,118 PharMerica Corp. 265,170 0.91 3,640 Compass Minerals International, Inc. 195,213 0.67 15,688 Progenics Pharmaceuticals, Inc. 81,107 0.28 5,321 Kaiser Aluminum Corp. 165,324 0.57 19,989 Questcor Pharmaceuticals, Inc. 85,153 0.29 426,143 1.47 8,614 Synta Pharmaceuticals Corp. 35,834 0.12 8,451 Theragenics Corp. 10,141 0.04 Miscellaneous Manufacturing 6,834 Toro Co. 210,487 0.73 4,023 Acuity Brands, Inc. 109,345 0.38 4,477 Valeant Pharmaceuticals International 102,926 0.35 1,077 AO Smith Corp. 32,299 0.11 1,326,368 4.57 2,207 Ceradyne, Inc. 49,878 0.17 3,021 EnPro Industries, Inc. 53,200 0.18 Real Estate Investment Trust 1,540 John Bean Technologies Corp. 23,162 0.08 7,457 Ashford Hospitality Trust, Inc. 30,201 0.10 4,800 Lydall, Inc. 17,712 0.06 2,973 BioMed Realty Trust, Inc. 29,225 0.10 1,884 Polypore International, Inc. 18,727 0.06 1,648 BRE Properties, Inc. 41,167 0.14 2,483 Trimas Corp. 7,176 0.03 1,089 Digital Realty Trust, Inc. 38,953 0.13 311,499 1.07 2,864 Federal Realty Investment Trust 150,790 0.52 7,112 Franklin Street Properties Corp. 89,611 0.31 Office Furnishings 709 Home Properties, Inc. 23,610 0.08 6,295 HNI Corp. 109,218 0.38 2,304 LaSalle Hotel Properties 31,519 0.11 5,777 Liberty Property Trust 134,488 0.46 Oil & Gas 4,521 LTC Properties, Inc. 94,082 0.32 4,368 Berry Petroleum Co. “A” 85,263 0.29 4,439 Nationwide Health Properties, Inc. 117,944 0.41 4,277 Bill Barrett Corp. 145,546 0.50 3,770 Omega Healthcare Investors, Inc. 60,207 0.21 6,469 Cimarex Energy Co. 211,019 0.73 11,542 Realty Income Corp. 247,807 0.85 2,326 Comstock Resources, Inc. 92,645 0.32 3,719 Regency Centers Corp. 132,508 0.46 7,488 Delek US Holdings, Inc. 76,752 0.26 602 Saul Centers, Inc. 17,283 0.06 4,501 Frontier Oil Corp. 78,632 0.27 8,261 Senior Housing Properties Trust 138,372 0.48 2,567 Patterson-UTI Energy, Inc. 36,811 0.13 1,757 Sunstone Hotel Investors, Inc. 10,208 0.04 4,113 Petroquest Energy, Inc. 22,786 0.08 1,762 Tanger Factory Outlet Centers 57,018 0.20 9,261 Rosetta Resources, Inc. 80,849 0.28 994 Weingarten Realty Investors 15,785 0.05 5,127 St Mary Land & Exploration Co. 111,051 0.38 1,460,778 5.03 3,849 Swift Energy Co. 63,239 0.22 1,849 Unit Corp. 61,960 0.21 Retail 12,227 Venoco, Inc. 87,790 0.30 4,831 99 Cents Only Stores 45,267 0.16 1,154,343 3.97 6,537 Aeropostale, Inc. 226,311 0.78 1,314 AFC Enterprises, Inc. 9,145 0.03 Oil & Gas Services 5,569 Asbury Automotive Group, Inc. 52,906 0.18 10,802 Cal Dive International, Inc. 108,992 0.37 8,710 Brown Shoe Co., Inc. 70,725 0.24 388 CARBO Ceramics, Inc. 14,674 0.05 1,839 Buffalo Wild Wings, Inc. 65,285 0.23 2,904 Exterran Holdings, Inc. 57,819 0.20 7,854 Build-A-Bear Workshop, Inc. 35,186 0.12 136 SEACOR Holdings, Inc. 10,392 0.04 2,210 California Pizza Kitchen, Inc. 30,830 0.11 1,193 Union Drilling, Inc. 11,679 0.04 4,225 Casey’s General Stores, Inc. 106,597 0.37 5,138 Willbros Group, Inc. 78,457 0.27 533 Cash America International, Inc. 12,270 0.04 7,079 Cato Corp. 136,200 0.47 282,013 0.97 1,332 CEC Entertainment, Inc. 42,797 0.15 2,002 Charlotte Russe Holding, Inc. 20,320 0.07 1,434 Cheesecake Factory, Inc. 24,536 0.09

The accompanying notes are an integral part of these financial statements.

72 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Retail – (continued) Software – (continued) 596 Citi Trends, Inc. 15,365 0.05 9,494 FalconStor Software, Inc. 34,463 0.12 6,029 CKE Restaurants, Inc. 49,558 0.17 5,822 Lawson Software, Inc. 30,624 0.11 1,453 Conn’s, Inc. 14,486 0.05 1,242 MicroStrategy, Inc. 58,126 0.20 771 Cracker Barrel Old Country Store, Inc. 24,225 0.08 13,870 OpenTV Corp. “A” 24,272 0.08 1,567 Dollar Tree, Inc. 70,155 0.24 2,985 Parametric Technology Corp. 34,566 0.12 4,123 Domino’s Pizza, Inc. 37,354 0.13 6,250 QAD, Inc. 18,625 0.07 4,696 Family Dollar Stores, Inc. 142,148 0.49 2,273 Renaissance Learning, Inc. 22,298 0.08 21,746 Fred’s, Inc. 279,001 0.96 4,301 RightNow Technologies, Inc. 37,806 0.13 1,482 Fuqi International, Inc. 18,095 0.06 4,919 Seachange International, Inc. 36,401 0.13 2,835 Genesco, Inc. 73,115 0.25 5,301 SEI Investments Co. 81,794 0.28 16,885 HOT Topic, Inc. 121,741 0.42 4,145 Unica Corp. 18,528 0.06 3,189 HSN, Inc. 36,036 0.12 2,756 VeriFone Holdings, Inc. 21,028 0.07 3,030 Jo-Ann Stores, Inc. 65,478 0.23 1,247,346 4.29 2,230 JOS A Bank Clothiers, Inc. 84,406 0.29 2,720 Krispy Kreme Doughnuts, Inc. 9,438 0.03 Telecommunications 5,619 Landry’s Restaurants, Inc. 56,583 0.20 16,229 3Com Corp. 70,109 0.24 9,489 O’Charleys, Inc. 76,576 0.26 9,760 Acme Packet, Inc. 75,640 0.26 1,589 Panera Bread Co. “A” 84,598 0.29 2,854 Airvana, Inc. 16,782 0.06 1,857 Pantry, Inc. 36,991 0.13 7,565 Papa John’s International, Inc. 205,012 0.71 1,290 Arris Group, Inc. 15,635 0.05 5,649 Aruba Networks, Inc. 36,775 0.13 5,900 PetSmart, Inc. 120,124 0.41 6,873 BigBand Networks, Inc. 35,877 0.12 3,126 PF Chang’s China Bistro, Inc. 99,845 0.34 832 Black Box Corp. 27,389 0.10 3,630 Ruby Tuesday, Inc. 22,433 0.08 3,518 Centennial Communications Corp. 29,586 0.10 13,700 Stage Stores, Inc. 166,181 0.57 10,259 Extreme Networks 16,927 0.06 11,769 Steak N Shake Co. 102,037 0.35 26,705 Finisar Corp. 17,358 0.06 3,665 Tuesday Morning Corp. 12,864 0.05 7,002 Harris Stratex Networks, Inc. “A” 33,400 0.12 4,053 World Fuel Services Corp. 172,009 0.59 3,497 Ixia 21,332 0.07 3,074,229 10.59 1,177 Netgear, Inc. 16,513 0.06 3,335 NeuStar, Inc. “A” 66,867 0.23 Semiconductors 4,549 Novatel Wireless, Inc. 53,132 0.18 1,275 Actel Corp. 14,382 0.05 45,590 Oclaro, Inc. 28,266 0.10 21,607 Amkor Technology, Inc. 98,096 0.34 31,326 PAETEC Holding Corp. 95,858 0.33 11,779 Applied Micro Circuits Corp. 92,112 0.32 1,367 Plantronics, Inc. 24,387 0.08 3,356 AuthenTec, Inc. 5,873 0.02 2,864 Polycom, Inc. 49,576 0.17 4,411 Cirrus Logic, Inc. 17,159 0.06 34,917 Powerwave Technologies, Inc. 47,138 0.16 1,446 Cohu, Inc. 13,375 0.05 17,118 ShoreTel, Inc. 104,591 0.36 5,245 Cypress Semiconductor Corp. 45,107 0.15 10,999 Symmetricom, Inc. 56,535 0.20 5,912 DSP Group, Inc. 42,862 0.15 8,151 Syniverse Holdings, Inc. 121,857 0.42 16,933 Entegris, Inc. 48,767 0.17 18,166 Tellabs, Inc. 100,821 0.35 15,519 Exar Corp. 100,253 0.34 5,890 Tollgrade Communications, Inc. 33,102 0.11 8,570 Integrated Device Technology, Inc. 48,249 0.16 26,791 USA Mobility, Inc. 299,523 1.03 42,883 Lattice Semiconductor Corp. 84,908 0.29 6,881 Virgin Mobile USA, Inc. “A” 33,098 0.11 8,550 Micrel, Inc. 62,842 0.22 1,528,074 5.26 15,519 MIPS Technologies, Inc. 60,369 0.21 1,515 MKS Instruments, Inc. 20,468 0.07 Textiles 3,168 PLX Technology, Inc. 10,201 0.03 347 G&K Services, Inc. 7,440 0.03 2,262 Rudolph Technologies, Inc. 10,021 0.03 54,732 Silicon Image, Inc. 129,715 0.45 9,954 SiRF Technology Holdings, Inc. 39,617 0.14 Transportation 1,994 Standard Microsystems Corp. 36,769 0.13 384 Landstar System, Inc. 14,592 0.05 5,895 Ultratech, Inc. 74,041 0.25 5,568 Marten Transport Ltd. 118,766 0.41 1,430 Volterra Semiconductor Corp. 19,534 0.07 1,487 Overseas Shipholding Group 50,290 0.17 5,815 Zoran Corp. 64,430 0.22 901 Saia, Inc. 12,389 0.04 1,204 Teekay Corp. 19,312 0.07 1,139,150 3.92 2,548 Universal Truckload Services, Inc. 34,627 0.12 5,636 UTi Worldwide, Inc. 73,888 0.26 Software 3,607 Werner Enterprises, Inc. 64,890 0.22 17,509 Accelrys, Inc. 82,117 0.28 388,754 1.34 12,969 Acxiom Corp. 138,639 0.48 5,297 ArcSight, Inc. 85,335 0.29 5,786 Avid Technology, Inc. 82,393 0.28 4,868 Blackbaud, Inc. 67,519 0.23 13,144 Commvault Systems, Inc. 162,328 0.56 4,701 Computer Programs & Systems, Inc. 160,774 0.55 3,610 CSG Systems International, Inc. 49,710 0.17

The accompanying notes are an integral part of these financial statements.

73 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description USD Equity

Common Stocks – (continued) Water 2,470 SJW Corp. 50,018 0.17

TOTAL COMMON STOCKS ( c o s t U S D 2 9 , 4 2 1 , 0 6 5 ) 28,283,467 97.38

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING ( c o s t U S D 2 9 , 4 2 1 , 0 6 5 ) 28,283,467 97.38

Mutual Funds — 2.05% United States Dollar 593,671 Goldman Sachs US$ Liquid Reserves Fund(a)(b)(c) 593,671 2.05

TOTAL MUTUAL FUNDS ( c o s t U S D 5 9 3 , 6 7 1 ) 593,671 2.05

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES CONTRACTS ( c o s t U S D 3 0 , 0 1 4 , 7 3 6 ) 28,877,138 99.43

Futures Contracts – 0.06% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

USD 12 Russell 2000 Index 19/06/09 Long 18,580 0.06

UNREALISED GAIN ON FUTURES CONTRACTS 18,580 0.06

MARKET VALUE OF INVESTMENTS ( c o s t U S D 3 0 , 0 1 4 , 7 3 6 ) 28,895,718 99.49

O T H E R A S S E T S A N D L I A B I L I T I E S 148,307 0.51

SHAREHOLDERS’ EQUITY 29,044,025 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 30,014,736) 28,877,138 99.43 Unrealised gain on futures contracts 18,580 0.06 Other Assets and Liabilities 148,307 0.51

Shareholders’ Equity 29,044,025 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co. (a) This security is admitted to an official exchange listing. (b) The yield for this fund as at 31 May 2009 was 0.530%. (c) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

74 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 31.93% British Pound Sterling 150,000 Resolution Plc.(c) 6.586% 29/11/49 25,769 0.11

Euro 100,000 Alliance & Leicester Plc. 5.000% 04/10/10 100,532 0.42 50,000 Allianz Finance II BV 5.000% 06/03/13 52,309 0.22 50,000 Autoroutes du Sud de la France 7.375% 20/03/19 52,532 0.22 100,000 Aviva Plc. 6.875% 22/05/38 63,101 0.26 40,000 AXA S.A.(c) 5.777% 29/07/49 22,493 0.09 70,000 BAA Funding Ltd. 4.600% 15/02/20 44,100 0.18 50,000 Banco Popolare Scarl(c) 6.156% 29/06/49 22,500 0.09 100,000 Banco Santander S.A. 3.875% 27/05/14 99,630 0.41 150,000 Bank Nederlandse Gemeenten 4.125% 28/06/16 151,785 0.63 50,000 BAT International Finance Plc. 5.875% 12/03/15 52,133 0.22 100,000 BNP Paribas 5.000% 16/12/13 105,058 0.44 50,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 52,206 0.22 100,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 97,986 0.41 50,000 Centrica Plc. 7.125% 09/12/13 55,354 0.23 100,000 Commerzbank AG 5.000% 06/02/14 102,742 0.43 200,000 Credit Agricole Covered Bonds 4.500% 29/01/16 200,602 0.83 50,000 Credit Suisse/London 6.125% 16/05/14 52,759 0.22 100,000 DaimlerChrysler NA Holding Corp. 4.375% 16/03/10 101,021 0.42 400,000 Deutsche Postbank AG 3.750% 12/02/14 408,280 1.70 100,000 Diageo Finance Plc. 6.625% 05/12/14 109,741 0.46 50,000 E.ON International Finance BV 5.750% 07/05/20 51,888 0.22 100,000 ELM BV for Swiss Life Insurance & Pension Group(c) 5.849% 29/04/49 40,000 0.17 150,000 Erste Group Bank AG 2.250% 13/05/11 150,223 0.62 100,000 France Telecom S.A. 5.625% 22/05/18 103,550 0.43 300,000 German Postal Pensions Securitisation 2 Plc. 4.250% 18/01/17 294,666 1.22 150,000 Glencore Finance Europe S.A. 7.125% 23/04/15 120,751 0.50 80,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 29,600 0.12 110,000 HSH Nordbank AG 2.000% 11/05/11 110,317 0.46 50,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 51,775 0.21 150,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 157,132 0.65 150,000 ING Bank NV 4.750% 27/05/19 147,811 0.61 100,000 Intesa Sanpaolo SpA 6.625% 08/05/18 95,960 0.40 50,000 Intesa Sanpaolo SpA(c) 8.047% 29/06/49 35,250 0.15 90,000 Kommunalkredit Austria AG 2.375% 12/05/11 90,311 0.37 250,000 Kommunekredit 4.375% 02/10/12 259,642 1.08 369,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 375,148 1.56 400,000 Landesbank Baden-Wuerttemberg 3.750% 12/02/14 408,696 1.70 150,000 Morgan Stanley 5.500% 02/10/17 132,898 0.55 100,000 Morgan Stanley 6.500% 28/12/18 93,915 0.39 200,000 Nordea Bank AB 4.500% 12/05/14 201,716 0.84 50,000 Philip Morris International, Inc. 5.750% 24/03/16 52,295 0.22 250,000 Raiffeisen Zentralbank Oesterreich AG 2.500% 04/05/11 251,907 1.05 50,000 Roche Holdings, Inc. 4.625% 04/03/13 52,283 0.22 540,000 Romulus Finance S.R.L 4.940% 20/02/13 430,974 1.79 50,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 49,576 0.21 100,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 81,621 0.34 50,000 SL Finance Plc.(c) 5.314% 29/01/49 24,500 0.10 100,000 SLM Student Loan Trust 3.800% 17/06/10 98,909 0.41 150,000 Societe Generale(c) 7.756% 22/05/49 92,812 0.39 50,000 StatoilHydro ASA 4.375% 11/03/15 50,757 0.21 125,000 Swedbank AB 3.375% 27/05/14 124,295 0.52 50,000 Telecom Italia Finance S.A. 7.750% 24/01/33 48,072 0.20 50,000 Telefonica Emisiones SAU 5.580% 12/06/13 52,818 0.22 100,000 Telefonica Emisiones SAU 5.496% 01/04/16 103,346 0.43 50,000 Tesco Plc. 5.875% 12/09/16 53,159 0.22 50,000 UniCredit SpA 6.700% 05/06/18 39,566 0.16 150,000 UT2 Funding Plc. 5.321% 30/06/16 34,500 0.14 50,000 Vattenfall Treasury AB 6.750% 31/01/19 55,109 0.23 50,000 Verizon Wireless Capital LLC 8.750% 18/12/15 57,770 0.24

The accompanying notes are an integral part of these financial statements.

75 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) Euro – (continued) 100,000 Wachovia Bank NA 6.000% 23/05/13 101,728 0.42 50,000 WM Covered Bond Program 4.000% 27/09/16 41,407 0.17

6,795,517 28.24

United States Dollar 300,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 34,027 0.14 200,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 146,264 0.61 490,000 Capital One Financial Corp. 5.700% 15/09/11 339,154 1.41 165,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 98,661 0.41 100,000 Energy Transfer Partners LP 8.500% 15/04/14 75,905 0.31 150,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 95,841 0.40 150,000 SLM Corp. 8.450% 15/06/18 71,419 0.30 861,271 3.58

TOTAL CORPORATE BONDS (cost EUR 8,708,211) 7,682,557 31.93

Government Bonds – 45.39% Euro 390,000 Austria Government Bond 4.350% 15/03/19 390,183 1.62 220,000 Belgium Government Bond 3.500% 28/03/15 220,110 0.91 250,000 Belgium Government Bond 3.750% 28/09/15 252,382 1.05 150,000 Belgium Government Bond 5.500% 28/03/28 165,288 0.69 1,830,000 Bundesrepublik Deutschland 5.000% 04/01/12 1,980,975 8.23 560,000 Bundesrepublik Deutschland 4.250% 04/07/39 546,465 2.27 450,000 Bundesschatzanweisungen 4.750% 11/06/10 467,113 1.94 100,000 Government of France 4.250% 25/04/19 102,090 0.42 1,050,000 Government of France 5.500% 25/04/29 1,177,659 4.89 350,000 Government of Spain 3.150% 31/01/16 338,576 1.41 260,000 Hellenic Republic Government Bond 5.500% 20/08/14 274,212 1.14 160,000 Hellenic Republic Government Bond 6.000% 19/07/19 166,376 0.69 140,000 Hellenic Republic Government Bond 4.700% 20/03/24 125,675 0.52 140,000 Ireland Government Bond 4.400% 18/06/19 128,414 0.53 500,000 Italy Buoni Poliennali Del Tesoro 5.000% 01/02/12 533,530 2.22 700,000 Italy Buoni Poliennali Del Tesoro 3.750% 01/08/15 701,834 2.92 100,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/03/19 100,219 0.42 250,000 Italy Buoni Poliennali Del Tesoro 5.000% 01/08/39 237,287 0.99 550,000 Netherlands Government Bond 4.000% 15/07/18 552,849 2.30 710,000 Republic of Finland 3.875% 15/09/17 711,250 2.96 1,200,000 Republic of Italy 4.250% 01/08/14 1,242,948 5.17 300,000 Republic of Italy 6.500% 01/11/27 341,925 1.42 165,000 Sweden Government International Bond 3.125% 07/05/14 164,652 0.68

10,922,012 45.39

TOTAL GOVERNMENT BONDS (cost EUR 10,890,921) 10,922,012 45.39

Supranationals – 3.00% Euro 525,000 European Investment Bank 3.125% 15/04/14 525,053 2.18 200,000 European Investment Bank 3.500% 15/04/16 196,762 0.82 721,815 3.00

TOTAL SUPRANATIONALS (cost EUR 718,232) 721,815 3.00

The accompanying notes are an integral part of these financial statements.

76 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Asset Backed Obligations – 1.95% Euro 500,000 Citibank Credit Card Issuance Trust 5.375% 11/04/11 468,658 1.95

TOTAL ASSET BACKED OBLIGATIONS (cost EUR 499,578) 468,658 1.95

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 20,816,942) 19,795,042 82.27

Transferable securities dealt in another regulated market Corporate Bonds – 0.68% United States Dollar 100,000 Bombardier, Inc. 144A(d) 6.300% 01/05/14 60,965 0.25 100,000 Bombardier, Inc. 144A(d) 7.450% 01/05/34 53,167 0.22 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 27,839 0.11 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 23,261 0.10

165,232 0.68

TOTAL CORPORATE BONDS (cost EUR 236,526) 165,232 0.68

Asset Backed Obligations – 10.95% Euro 435,268 Eclipse Plc.(c) 1.424% 20/11/22 241,266 1.00 462,175 Epic Drummond Ltd.(c) 1.596% 25/01/22 302,354 1.26 662,962 Granite Master Issuer Plc.(c) 0.906% 20/12/54 420,442 1.75 515,214 Paragon Mortgages Plc.(c) 1.615% 16/04/35 346,315 1.44 528,397 Talisman Finance Plc.(c) 1.635% 22/04/17 290,618 1.21 626,815 Titan Europe Plc.(c) 1.575% 23/04/17 272,616 1.13

1,873,611 7.79

United States Dollar 827,556 American Home Mortgage Assets “A1”(c) 2.139% 25/02/47 197,087 0.82 809,375 Countrywide Alternative Loan Trust 5.750% 25/07/37 315,568 1.31 433,874 Countrywide Alternative Loan Trust 5.500% 25/10/35 249,129 1.03

761,784 3.16

TOTAL ASSET BACKED OBLIGATIONS (cost EUR 4,493,798) 2,635,395 10.95

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 4,730,324) 2,800,627 11.63

Other Transferable Securities Corporate Bonds – 0.23% Euro 50,000 Inbev NV 8.625% 30/01/17 55,864 0.23

TOTAL CORPORATE BONDS (cost EUR 49,815) 55,864 0.23

TOTAL OTHER TRANSFERABLE SECURITIES (cost EUR 49,815) 55,864 0.23

The accompanying notes are an integral part of these financial statements.

77 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Mutual Funds – 2.84% Euro 683,303 Goldman Sachs Euro Liquid Reserves Fund(e)(f)(g) 683,303 2.84

TOTAL MUTUAL FUNDS (cost EUR 683,303) 683,303 2.84

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost EUR 26,280,384) 23,334,836 96.97

Futures Contracts – 0.06% Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

AUD (6) Australia Treasury Bonds 3YR 15/06/09 Short 1,020 0.00

EUR 57 German Federal Republic Bonds 08/06/09 Long 6,030 0.03 (4) German Federal Republic Bonds 08/06/09 Short 3,590 0.01 9,620 0.04

GBP (5) UK Treasury Bonds 28/09/09 Short 2,920 0.01

USD 2 US Treasury Bonds 30YR 21/09/09 Long 166 0.00 (4) US Treasury Notes 5YR 30/09/09 Short 1,523 0.01 1,689 0.01

UNREALISED GAIN ON FUTURES CONTRACTS 15,249 0.06

Unrealised %of Number of Loss Shareholders’ Contracts Security Description EUR Equity

USD (8) US Treasury Notes 2YR 30/09/09 Short (332) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (332) (0.00)

Forward Currency Contracts – 0.19% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 EUR 16,677 JPY 2,208,410 309 0.00 26/06/2009 EUR 1,948,673 USD 2,681,295 47,587 0.20

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 47,896 0.20

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold EUR Equity

26/06/2009 USD 334,602 EUR 241,068 (3,829) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (3,829) (0.01)

The accompanying notes are an integral part of these financial statements.

78 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (0.19%)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 210,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 5,900 0.02 210,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 5,550 0.02 210,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 5,722 0.02 210,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 6,347 0.03 210,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 4,888 0.02 360,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 1,202 0.01 400,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 1,295 0.01 300,000 Floating (EUR 6 month EURIBOR) Fixed 4.750% EUR 17/12/2018 22,388 0.09 790,000 Fixed 4.000% Floating (EUR 6 month LIBOR) EUR 17/06/2019 13,554 0.06 680,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 11,637 0.05 110,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 511 0.00 110,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 692 0.00 140,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 1,232 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 80,918 0.34

Credit Default Swaps 50,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 946 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 946 0.00

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 81,864 0.34

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 170,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (1,507) (0.01) 170,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (1,348) (0.01) 170,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (1,384) (0.01) 170,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (1,667) (0.01) 170,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (1,299) (0.01) 80,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (3,038) (0.01) 80,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (2,880) (0.01) 80,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (3,106) (0.01) 80,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (3,476) (0.01) 80,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (2,413) (0.01) 1,470,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 (4,971) (0.02) 300,000 Fixed 4.750% Floating (EUR 6 month LIBOR) EUR 17/12/2018 (23,038) (0.10) 250,000 Floating (EUR 6 month LIBOR) Fixed 4.000% EUR 17/06/2019 (3,064) (0.01) 540,000 Floating (EUR 6 month LIBOR) Fixed 4.000% EUR 17/06/2019 (15,627) (0.07) 780,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 16/12/2019 (14,084) (0.06) 40,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (312) (0.00) 18,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (2,895) (0.01) 121,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (21,520) (0.09) 18,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (487) (0.00) 63,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (563) (0.00) 70,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (631) (0.00) 590,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (3,523) (0.01) 100,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (6,883) (0.03)

UNREALISED LOSS ON INTEREST RATE SWAPS (119,716) (0.50)

The accompanying notes are an integral part of these financial statements.

79 Goldman Sachs Funds—Euro Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Credit Default Swaps 50,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (718) (0.00) 400,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (2,187) (0.01) 800,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (4,454) (0.02)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (7,359) (0.03)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (127,075) (0.53)

MARKET VALUE OF INVESTMENTS (cost EUR 26,280,384) 23,348,609 97.03

OTHER ASSETS AND LIABILITIES 714,079 2.97

SHAREHOLDERS’ EQUITY 24,062,688 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding forward currency, futures and swaps contracts (cost EUR 26,280,384) 23,334,836 96.97 Unrealised gain on futures contracts 15,249 0.06 Unrealised loss on futures contracts (332) (0.00) Unrealised gain on forward currency contracts 47,896 0.20 Unrealised loss on forward currency contracts (3,829) (0.01) Unrealised gain on swaps contracts 81,864 0.34 Unrealised loss on swaps contracts (127,075) (0.53) Other Assets and Liabilities 714,079 2.97

Shareholders’ Equity 24,062,688 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Asset Backed Obligations and Supranationals are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc. and Deutsche Bank AG London. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) This security is admitted to an official exchange listing. (f) The yield for this fund as at 31 May 2009 was 0.895%. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

80 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) NOK Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 61.95% British Pound Sterling 1,390,000 Anglian Water Services Financing Plc. 5.250% 30/10/15 14,370,794 0.19 3,800,000 Glencore Finance Europe S.A. 6.500% 27/02/19 25,483,920 0.33 4,000,000 New York Life Funding(c) 2.071% 08/09/09 40,225,149 0.53 4,310,000 Royal KPN NV 5.750% 18/03/16 44,490,763 0.58 5,300,000 Telefonica Emision SAU 5.375% 02/02/18 52,325,786 0.69 12,350,000 UBS AG/London 6.625% 11/04/18 126,950,937 1.67 7,400,000 Vodafone Group Plc. 4.625% 08/09/14 75,057,671 0.98 378,905,020 4.97

Euro 5,300,000 Allianz Finance II BV 5.000% 06/03/13 49,316,058 0.65 4,500,000 American General Finance Corp. 4.625% 22/06/11 20,986,870 0.27 1,150,000 ArcelorMittal 8.250% 03/06/13 10,472,837 0.14 3,500,000 AT&T, Inc. 6.125% 02/04/15 33,173,738 0.43 1,450,000 Atlantia SpA 5.625% 06/05/16 13,002,925 0.17 1,400,000 Australia & New Zealand Banking Group Ltd. 5.250% 20/05/13 12,879,249 0.17 2,150,000 Autoroutes du Sud de la France 7.375% 20/03/19 19,951,144 0.26 480,000 BAA Funding Ltd. 4.600% 15/02/20 2,778,124 0.04 11,400,000 Bank of America Corp. 4.625% 18/02/14 95,875,675 1.26 4,500,000 Bank of America Corp. 5.125% 26/09/14 38,116,889 0.50 5,050,000 Barclays Bank Plc. 5.250% 27/05/14 44,623,785 0.58 9,300,000 BES Finance Ltd.(c) 1.656% 08/10/09 82,032,793 1.08 4,000,000 BHP Billiton Finance Ltd. 6.375% 04/04/16 38,311,148 0.50 3,250,000 BNP Paribas 5.000% 16/12/13 30,911,346 0.40 7,300,000 Cargill, Inc. 6.250% 24/07/15 65,239,270 0.86 3,850,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 35,743,093 0.47 5,000,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 43,308,904 0.57 6,900,000 Centrica Plc. 7.125% 09/12/13 67,549,477 0.89 5,200,000 Commerzbank AG 5.000% 06/02/14 47,368,171 0.62 3,450,000 CRH Finance BV 7.375% 28/05/14 30,492,314 0.40 4,750,000 Diageo Capital BV 5.500% 01/07/13 44,250,503 0.58 1,200,000 Diageo Finance Plc. 6.625% 05/12/14 11,568,044 0.15 8,700,000 E.ON International Finance BV 5.125% 02/10/12 82,133,602 1.08 4,450,000 France Telecom S.A. 5.625% 22/05/18 40,998,435 0.54 5,400,000 GE Capital European Funding 5.250% 18/05/15 47,545,290 0.62 3,700,000 German Postal Pensions Securitisation 2 Plc. 4.250% 18/01/17 32,650,178 0.43 3,900,000 GlaxoSmithKline Capital Plc. 5.125% 13/12/12 36,554,694 0.48 2,100,000 Glencore Finance Europe S.A. 7.125% 23/04/15 15,052,810 0.20 7,550,000 Intesa Sanpaolo SpA 5.000% 28/04/11 69,984,354 0.92 6,200,000 Intesa Sanpaolo SpA(c) 1.720% 01/10/14 51,935,445 0.68 5,800,000 John Deere Bank S.A. 6.000% 23/06/11 53,089,628 0.70 3,900,000 Kaupthing Bank Hf(c) 4.850% 21/05/09 3,125,389 0.04 6,200,000 KeyBank NA(c) 1.497% 09/02/12 39,660,599 0.52 3,550,000 Kommunekredit 4.375% 02/10/12 32,946,917 0.43 17,300,000 Morgan Stanley 5.500% 02/10/17 135,446,211 1.78 4,350,000 PPR 8.625% 03/04/14 40,813,445 0.53 3,800,000 Rentokil Initial Plc. 4.625% 27/03/14 29,209,542 0.38 3,700,000 Rexam Plc. 4.375% 15/03/13 29,171,342 0.38 2,125,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 18,668,574 0.24 8,100,000 Royal Bank of Scotland Plc. 5.750% 21/05/14 71,566,057 0.94 5,900,000 Royal KPN NV 4.750% 29/05/14 53,326,214 0.70 8,150,000 St George Bank Ltd. 6.500% 24/06/13 76,597,195 1.00 668,000 Telecom Italia Finance S.A. 7.750% 24/01/33 5,635,168 0.07 2,400,000 Telefonica Emisiones SAU 5.496% 01/04/16 21,884,543 0.29 950,000 Tesco Plc. 5.875% 12/09/16 8,979,651 0.12 8,200,000 UniCredito Italiano SpA 4.375% 10/02/14 72,929,952 0.96 5,400,000 Verizon Wireless Capital LLC 8.750% 18/12/15 56,995,082 0.75 6,850,000 Volkswagen Leasing GmbH 4.875% 18/10/12 61,307,943 0.80 3,650,000 Wachovia Bank NA 6.000% 23/05/13 32,789,190 0.43 4,450,000 WM Covered Bond Program 4.000% 27/09/16 32,525,106 0.43 350,000 WM Covered Bond Program 4.375% 19/05/14 2,809,440 0.04

The accompanying notes are an integral part of these financial statements.

81 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) NOK Equity

Corporate Bonds – (continued) Euro – (continued) 6,900,000 WPP Group Plc. 6.625% 12/05/16 55,233,912 0.72 11,650,000 Zurich Finance USA, Inc. 4.500% 17/09/14 103,164,311 1.35

2,252,682,576 29.54

United States Dollar 3,300,000 Alliance & Leicester Plc.(c) 1.189% 12/01/10 20,381,030 0.27 5,500,000 Anadarko Petroleum Corp. 5.950% 15/09/16 32,986,720 0.43 18,100,000 AT&T, Inc. 4.125% 15/09/09 114,759,356 1.50 4,950,000 AT&T, Inc. 5.600% 15/05/18 31,756,613 0.42 8,070,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 52,410,776 0.69 10,850,000 Bear Stearns Cos, Inc. 6.400% 02/10/17 66,870,433 0.88 4,800,000 BellSouth Corp. 4.750% 15/11/12 31,166,896 0.41 16,000,000 British Telecommunications Plc. 8.625% 15/12/10 106,652,631 1.40 10,500,000 Canadian Natural Resources Ltd. 5.700% 15/05/17 64,128,154 0.84 14,200,000 Chubb Corp. 5.750% 15/05/18 90,457,559 1.19 6,700,000 Citigroup, Inc. 6.875% 05/03/38 36,927,380 0.48 7,660,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 55,402,206 0.73 1,570,000 Daimler Finance North America LLC 4.875% 15/06/10 9,876,478 0.13 3,010,000 DaimlerChrysler NA Holding Corp. 8.500% 18/01/31 18,691,574 0.24 4,450,000 Dow Chemical Co. 9.400% 15/05/39 27,912,540 0.37 3,850,000 DR Horton, Inc. 7.875% 15/08/11 23,977,194 0.31 5,550,000 Eli Lilly & Co. 3.550% 06/03/12 35,947,232 0.47 3,551,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 18,589,137 0.24 1,300,000 Endurance Specialty Holdings Ltd. 7.000% 15/07/34 5,315,684 0.07 3,020,000 Energy Transfer Partners LP 5.650% 01/08/12 18,943,001 0.25 3,320,000 Energy Transfer Partners LP 5.950% 01/02/15 19,901,013 0.26 4,600,000 Energy Transfer Partners LP 6.625% 15/10/36 24,462,731 0.32 2,925,000 Enterprise Products Operating LP 6.875% 01/03/33 16,515,447 0.22 3,000,000 Exelon Corp. 4.900% 15/06/15 17,411,216 0.23 6,550,000 FirstEnergy Corp.—Series C 7.375% 15/11/31 35,751,844 0.47 1,200,000 Fortune Brands, Inc. 5.875% 15/01/36 5,515,211 0.07 16,570,000 General Electric Capital Corp. 5.000% 08/02/10 104,755,372 1.37 5,120,000 HBOS Treasury Services Plc. 5.000% 17/08/09 31,894,348 0.42 7,920,000 Health Care Property Investors, Inc. 5.950% 15/09/11 49,054,922 0.64 16,200,000 JPMorgan Chase & Co. 4.500% 15/01/12 103,407,679 1.36 8,750,000 Kellogg Co. 5.125% 03/12/12 58,253,447 0.76 3,000,000 Macys Retail Holdings, Inc. 5.350% 15/03/12 17,338,880 0.23 7,850,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 44,759,998 0.59 14,550,000 Merrill Lynch & Co., Inc. 6.875% 25/04/18 84,945,623 1.11 7,570,000 New Cingular Wireless Services, Inc. 7.875% 01/03/11 51,738,849 0.68 2,750,000 ONEOK Partners LP 5.900% 01/04/12 17,320,974 0.23 3,750,000 ONEOK Partners LP 6.850% 15/10/37 19,813,737 0.26 3,150,000 Pacific Gas & Electric Co. 6.250% 01/03/39 20,418,513 0.27 5,000,000 Progress Energy, Inc. 6.050% 15/03/14 32,708,984 0.43 8,650,000 Reed Elsevier Capital, Inc. 7.750% 15/01/14 57,091,091 0.75 2,740,000 Simon Property Group LP 5.600% 01/09/11 17,083,611 0.22 3,500,000 Simon Property Group LP 5.750% 01/05/12 22,237,801 0.29 6,700,000 Simon Property Group, Inc. 5.300% 30/05/13 40,623,025 0.53 2,150,000 Simon Property Group, Inc. 6.125% 30/05/18 12,307,852 0.16 7,125,000 SLM Corp. 8.450% 15/06/18 30,702,792 0.40 11,000,000 Telecom Italia Capital S.A. 6.999% 04/06/18 68,204,597 0.89 1,100,000 Telecom Italia Capital S.A. 6.000% 30/09/34 5,406,535 0.07 950,000 Telecom Italia Capital S.A. 7.200% 18/07/36 5,401,525 0.07 9,950,000 Time Warner Cable, Inc. 6.750% 01/07/18 64,439,515 0.85 2,950,000 Travelers Cos, Inc. 6.250% 15/06/37 18,130,025 0.24 3,290,000 Tyson Foods, Inc. 8.250% 01/10/11 20,996,171 0.28 10,250,000 Xerox Corp. 5.500% 15/05/12 63,190,584 0.83 7,750,000 XTO Energy, Inc. 5.500% 15/06/18 47,174,219 0.62

2,092,110,725 27.44

TOTAL CORPORATE BONDS (cost NOK 4,322,497,032) 4,723,698,321 61.95

The accompanying notes are an integral part of these financial statements.

82 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) NOK Equity

Government Bonds – 1.68% British Pound Sterling 8,690,000 UK Treasury 5.250% 07/06/12 96,136,610 1.26 500,000 UK Treasury 4.750% 07/12/30 5,293,926 0.07

101,430,536 1.33

United States Dollar 4,000,000 Development Bank of Japan 5.125% 01/02/17 26,297,272 0.35

TOTAL GOVERNMENT BONDS (cost NOK 118,601,506) 127,727,808 1.68

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost NOK 4,441,098,538) 4,851,426,129 63.63

Transferable securities dealt in another regulated market Corporate Bonds – 24.43% Euro 11,600,000 JPMorgan Chase & Co. 5.250% 08/05/13 103,796,477 1.36

United States Dollar 17,350,000 American Express Centurion Bank 5.550% 17/10/12 107,970,787 1.42 10,350,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/19 69,216,355 0.91 2,650,000 Anheuser-Busch InBev Worldwide Inc. 144A(d) 7.750% 15/01/19 17,931,560 0.23 4,450,000 Anheuser-Busch InBev Worldwide Inc. 144A(d) 5.375% 15/11/14 28,086,693 0.37 9,400,000 ArcelorMittal 9.850% 01/06/19 60,315,711 0.79 5,300,000 BHP Billiton Finance USA Ltd. 5.500% 01/04/14 35,444,039 0.46 1,450,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 7,164,368 0.09 945,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 3,901,367 0.05 1,300,000 Canadian Natural Resources Ltd. 6.750% 01/02/39 7,512,582 0.10 3,250,000 Capital One Financial Corp. 7.375% 23/05/14 21,065,319 0.28 5,600,000 CenterPoint Energy Resources Corp.—Series B 7.875% 01/04/13 35,832,870 0.47 5,950,000 Comcast Corp. 5.700% 15/05/18 36,994,448 0.48 12,900,000 Comcast Corp. 6.400% 15/05/38 76,302,004 1.00 16,680,000 Countrywide Home Loans, Inc. 4.125% 15/09/09 104,419,227 1.37 2,900,000 COX Communications Inc. 144A(d) 8.375% 01/03/39 19,161,026 0.25 12,160,000 COX Communications, Inc. 4.625% 15/01/10 76,833,936 1.01 2,290,000 CPG Partners LP 8.250% 01/02/11 14,751,053 0.19 16,650,000 Credit Suisse/New York 5.500% 01/05/14 105,640,801 1.39 2,500,000 Deutsche Telekom International Finance BV 6.750% 20/08/18 16,992,097 0.22 1,400,000 E.ON International Finance BV 144A(d) 5.800% 30/04/18 8,887,573 0.12 4,650,000 EnCana Corp. 6.500% 15/05/19 30,182,392 0.40 3,550,000 Enterprise Products Operating LP 5.750% 01/03/35 17,217,919 0.23 6,895,000 Greater Bay Bancorp 5.125% 15/04/10 44,255,662 0.58 8,770,000 HSBC Bank USA NA(c) 1.450% 14/12/09 54,732,987 0.72 7,000,000 ING Security Life Institutional Funding 144A(d) 4.250% 15/01/10 42,822,343 0.56 5,650,000 Metropolitan Life Global Funding I 144A(d) 5.125% 10/04/13 35,087,186 0.46 1,330,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 7,841,058 0.10 3,600,000 Morgan Stanley 6.000% 13/05/14 22,888,404 0.30 6,790,000 National Grid Plc. 6.300% 01/08/16 43,154,308 0.57 7,850,000 New York Life Global Funding 144A(d) 4.650% 09/05/13 48,721,750 0.64 3,500,000 News America, Inc. 6.400% 15/12/35 18,311,830 0.24 6,500,000 News America, Inc. 6.650% 15/11/37 35,017,071 0.46 6,300,000 Oracle Corp. 5.750% 15/04/18 42,122,154 0.55 9,050,000 Pfizer, Inc. 7.200% 15/03/39 63,959,238 0.84 5,500,000 Roche Holdings Inc. 144A(d) 5.000% 01/03/14 36,417,173 0.48 6,250,000 State of California 7.500% 01/04/34 38,066,508 0.50 2,650,000 Telefonica Emisiones SAU 7.045% 20/06/36 18,208,022 0.24 6,500,000 Tesco Plc. 144A(d) 6.150% 15/11/37 37,409,738 0.49 10,400,000 TIAA Global Markets, Inc. 144A(d) 5.125% 10/10/12 68,919,917 0.90 8,475,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 56,430,467 0.74 2,200,000 Unilever Capital Corp. 3.650% 15/02/14 13,917,415 0.18 7,900,000 Valero Energy Corp. 6.125% 15/06/17 45,713,622 0.60 250,000 WEA Finance LLC / WT Finance Aust Pty Ltd. 144A(d) 7.500% 02/06/14 1,558,047 0.02

The accompanying notes are an integral part of these financial statements.

83 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) NOK Equity

Corporate Bonds – (continued) United States Dollar – (continued) 7,600,000 WEA Finance LLC 144A(d) 7.125% 15/04/18 44,817,147 0.59 9,350,000 White Mountains Re Group Ltd. 144A(d) 6.375% 20/03/17 36,755,965 0.48

1,758,952,139 23.07

TOTAL CORPORATE BONDS (cost NOK 1,722,266,563) 1,862,748,616 24.43

Asset Backed Obligations – 4.00% Euro 13,400,000 Citibank Credit Card Issuance Trust(c) 1.347% 24/05/13 104,715,023 1.37 5,500,000 Pillar Funding Plc.(c) 1.391% 15/11/12 44,510,349 0.59

149,225,372 1.96

United States Dollar 9,639,089 Banc of America Funding Corp.(c) 0.476% 20/02/47 28,236,661 0.37 10,521,869 Countrywide Alternative Loan Trust 5.750% 25/07/37 33,455,715 0.44 5,640,360 Countrywide Alternative Loan Trust 5.500% 25/10/35 27,633,687 0.36 6,625,835 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 16,098,139 0.21 9,966,374 Lehman XS Trust(c) 0.549% 25/06/47 14,180,693 0.18 6,155,204 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 19,857,241 0.26 3,565,169 Residential Accredit Loans, Inc. 5.750% 25/09/35 16,554,819 0.22

156,016,955 2.04

TOTAL ASSET BACKED OBLIGATIONS (cost NOK 360,893,257) 305,242,327 4.00

Government Bonds – 1.79% United States Dollar 20,197,000 Farmer Mac Guaranteed Notes Trust 2006-2 144A(d) 5.500% 15/07/11 136,220,862 1.79

TOTAL GOVERNMENT BONDS (cost NOK 110,672,944) 136,220,862 1.79

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost NOK 2,193,832,764) 2,304,211,805 30.22

Other Transferable Securities Asset Backed Obligations – 0.16% United States Dollar 4,114,654 Banc of America Funding Corp.(c) 0.506% 20/10/46 12,277,260 0.16

TOTAL ASSET BACKED OBLIGATIONS (cost NOK 14,951,910) 12,277,260 0.16

Corporate Bonds – 1.09% Australian Dollar 11,400,000 National Australia Bank Ltd. 5.750% 19/12/13 58,374,911 0.77

Euro 2,450,000 Inbev NV 8.625% 30/01/17 24,332,893 0.32

TOTAL CORPORATE BONDS (cost NOK 74,365,843) 82,707,804 1.09

TOTAL OTHER TRANSFERABLE SECURITIES (cost NOK 89,317,753) 94,985,064 1.25

The accompanying notes are an integral part of these financial statements.

84 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) NOK Equity

Mutual Funds – 2.89% Euro 24,766,760 Goldman Sachs Euro Liquid Reserves Fund(e)(f)(g) 220,529,258 2.89

TOTAL MUTUAL FUNDS (cost NOK 219,071,758) 220,529,258 2.89

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost NOK 6,943,320,813) 7,471,152,256 97.99

Futures Contracts – 0.01% Unrealised %of Number of Gain Shareholders’ Contracts Security Description NOK Equity

EUR (278) German Federal Republic Bonds 08/06/09 Short 2,231,670 0.03 586 German Federal Republic Bonds 08/06/09 Long 1,209,597 0.01 3,441,267 0.04

GBP (140) UK Treasury Bonds 28/09/09 Short 819,647 0.01

USD 88 US Treasury Bonds 30YR 21/09/09 Long 1,191,704 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 5,452,618 0.07

Unrealised %of Number of Loss Shareholders’ Contracts Security Description NOK Equity

EUR 177 German Federal Republic Bonds 08/06/09 Long (4,025,341) (0.06)

USD (360) US Treasury Notes 5YR 30/09/09 Short (38,186) (0.00) (26) US Treasury Notes 2YR 30/09/09 Short (50,424) (0.00) 53 US Treasury Notes 10YR 21/09/09 Long (63,448) (0.00)

(152,058) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (4,177,399) (0.06)

Forward Currency Contracts – 0.07% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold NOK Equity

10/06/2009 EUR 294,787 JPY 39,037,397 51,828 0.00 26/06/2009 EUR 486,324,996 USD 669,303,368 119,220,940 1.56 02/07/2009 EUR 54,668,301 GBP 47,534,088 4,524,302 0.06

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 123,797,070 1.62

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold NOK Equity

05/06/2009 EUR 5,793,035 AUD 10,694,521 (2,262,046) (0.03) 18/06/2009 NOK 7,553,968,000 EUR 861,016,873 (115,268,407) (1.51) 26/06/2009 USD 7,061,000 EUR 5,097,790 (965,287) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (118,495,740) (1.55)

The accompanying notes are an integral part of these financial statements.

85 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (0.13%) Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date NOK Equity

Interest Rate Swaps 2,590,000 Floating (CAD 6 month CDOR) Fixed 4.000% CAD 17/12/2013 759,798 0.01 4,780,000 Floating (CAD 6 month CDOR) Fixed 4.000% CAD 17/12/2013 1,975,610 0.03 5,780,000 Floating (CAD 3 month CDOR) Fixed 4.000% CAD 17/12/2013 1,705,533 0.02 6,900,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 1,448,536 0.02 6,900,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 1,345,794 0.02 6,950,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 1,406,208 0.02 6,950,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 1,590,714 0.02 6,840,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 1,141,462 0.01 2,250,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 440,826 0.01 6,350,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 198,266 0.00 7,070,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 214,323 0.00 2,740,000 Fixed 4.000% Floating (EUR 6 month LIBOR) EUR 17/06/2019 411,719 0.01 2,650,000 Fixed 3.750% Floating (EUR 6 month LIBOR) EUR 17/06/2039 437,005 0.01 7,280,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 251,237 0.00 8,380,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 17/06/2039 174,433 0.00 1,008,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/12/2013 1,943,788 0.03 1,871,000,000 Floating (JPY 6 month LIBOR) Fixed 2.000% JPY 17/12/2018 6,624,259 0.09 57,590,000 Floating (USD 3 month LIBOR) Fixed 3.750% USD 17/12/2011 18,959,653 0.25 25,000,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 446,752 0.01 53,510,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 3,132,577 0.04 1,750,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 232,686 0.00 1,750,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 258,382 0.00 2,230,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 379,217 0.00 3,500,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 1,541,152 0.02

UNREALISED GAIN ON INTEREST RATE SWAPS 47,019,930 0.62

Credit Default Swaps 4,200,000 Fixed 3.430% Floating (Renault) EUR 20/06/2014 707,268 0.01

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 707,268 0.01

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 47,727,198 0.63

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date NOK Equity

Interest Rate Swaps 5,620,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (365,336) (0.00) 5,620,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (318,120) (0.00) 5,620,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (328,843) (0.00) 5,620,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (411,659) (0.01) 5,580,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (301,241) (0.00) 2,640,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (678,499) (0.01) 2,640,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (631,739) (0.01) 2,550,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (674,837) (0.01) 2,550,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (780,397) (0.01) 2,530,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (472,972) (0.01) 2,740,000 Floating (EUR 6 month LIBOR) Fixed 4.000% EUR 17/06/2019 (730,176) (0.01) 2,690,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 16/12/2019 (432,304) (0.01) 2,650,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 17/06/2039 (5,062,241) (0.07) 2,550,000 Floating (EUR 6 month LIBOR) Fixed 4.000% EUR 16/12/2039 (468,562) (0.01) 8,380,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2039 (10,103,803) (0.13) 8,320,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 16/12/2039 (251,452) (0.00) 158,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (252,249) (0.00) 1,112,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (89,165) (0.00) 1,224,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (217,639) (0.00) 1,239,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (100,078) (0.00) 23,000,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 19/12/2011 (6,862,542) (0.09) 34,590,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 19/12/2011 (8,430,946) (0.11) 11,300,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (1,906,619) (0.02) 15,000,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (649,351) (0.01) 4,550,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (1,297,630) (0.02) 5,730,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (1,175,543) (0.02)

UNREALISED LOSS ON INTEREST RATE SWAPS (42,993,943) (0.56)

The accompanying notes are an integral part of these financial statements.

86 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date NOK Equity

Credit Default Swaps 59,400,000 Fixed 1.200% Floating (ITRX Index) EUR 20/12/2013 (8,049,328) (0.10) 1,250,000 Fixed 4.850% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (1,238,696) (0.02) 2,550,000 Fixed 4.800% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (2,478,456) (0.03) 1,950,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (101,749) (0.00) 4,200,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (536,958) (0.01) 14,100,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (759,607) (0.01) 24,500,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (1,316,160) (0.02) 900,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (508,924) (0.01) 5,800,000 Fixed 1.000% Floating (Target Corp.) USD 20/09/2014 (124,455) (0.00)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (15,114,333) (0.20)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (58,108,276) (0.76)

MARKET VALUE OF INVESTMENTS (cost NOK 6,943,320,813) 7,467,347,727 97.94

OTHER ASSETS AND LIABILITIES 157,246,158 2.06

SHAREHOLDERS’ EQUITY 7,624,593,885 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS NOK Equity

Total Investments excluding forward currency, futures and swaps contracts (cost NOK 6,943,320,813) 7,471,152,256 97.99 Unrealised gain on futures contracts 5,452,618 0.07 Unrealised loss on futures contracts (4,177,399) (0.06) Unrealised gain on forward currency contracts 123,797,070 1.62 Unrealised loss on forward currency contracts (118,495,740) (1.55) Unrealised gain on swaps contracts 47,727,198 0.63 Unrealised loss on swaps contracts (58,108,276) (0.76) Other Assets and Liabilities 157,246,158 2.06

Shareholders’ Equity 7,624,593,885 100.00

Rates disclosed for Corporate Bonds, Government Bonds and Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Credit Suisse London, Deutsche Bank AG London, HSBC Bank Plc., Royal Bank of Canada, and Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Merrill Lynch, Morgan Stanley, Royal Bank of Canada, and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) The yield for this fund as at 31 May 2009 was 0.895%. (f) This security is admitted to an official exchange listing. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

87 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 65.86% British Pound Sterling 50,000 Commerzbank Capital Funding Trust I(c) 5.905% 29/03/49 18,579 0.01 50,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 49,276 0.01 50,000 Old Mutual Plc.(c) 5.000% 21/01/16 34,736 0.01 50,000 Resolution Plc.(c) 6.586% 29/11/49 12,117 0.00 50,000 Royal KPN NV 5.750% 18/03/16 82,246 0.03 50,000 SL Finance Plc.(c) 6.546% 29/01/49 37,967 0.01 1,500,000 Vodafone Group Plc. 4.625% 08/09/14 2,420,608 0.77 2,655,529 0.84

Euro 900,000 Allianz Finance II BV 5.000% 06/03/13 1,328,215 0.42 60,000 Allied Irish Banks Plc.(c) 7.500% 29/12/49 33,856 0.01 100,000 American Express Credit Corp. 3.625% 13/10/09 138,596 0.04 450,000 ArcelorMittal 8.250% 03/06/13 649,336 0.21 1,300,000 ASIF III Jersey Ltd. 4.750% 11/09/13 1,180,648 0.38 450,000 Atlantia SpA 5.625% 06/05/16 647,292 0.21 350,000 Australia & New Zealand Banking Group Ltd. 5.250% 20/05/13 513,590 0.16 450,000 Autoroutes du Sud de la France 7.375% 20/03/19 666,932 0.21 900,000 AXA S.A. 6.000% 18/06/13 1,357,885 0.43 1,050,000 AXA S.A.(c) 5.777% 29/07/49 832,913 0.27 100,000 AXA S.A.(c) 6.211% 29/10/49 80,407 0.03 100,000 BAA Funding Ltd. 4.600% 15/02/20 88,871 0.03 51,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 57,554 0.02 1,100,000 Banco Bilbao Vizcaya Argentaria S.A. 4.375% 20/10/19 1,355,082 0.43 150,000 Banco Popolare Scarl(c) 6.156% 29/06/49 95,219 0.03 1,900,000 Bank of America Corp. 5.125% 26/09/14 2,554,023 0.81 1,250,000 Bank of Tokyo Mitsubishi UFJ Ltd. 3.500% 16/12/15 1,681,213 0.53 400,000 Barclays Bank Plc. 5.750% 08/03/11 570,038 0.18 500,000 Barclays Bank Plc. 4.500% 04/03/19 574,678 0.18 2,650,000 BAT International Finance Plc. 5.875% 12/03/15 3,897,695 1.24 550,000 BHP Billiton Finance Ltd. 6.375% 04/04/16 835,684 0.27 2,250,000 BNP Paribas 5.000% 16/12/13 3,334,502 1.06 100,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 56,384 0.02 400,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 589,155 0.19 1,050,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 1,451,352 0.46 750,000 Centrica Plc. 7.125% 09/12/13 1,171,287 0.37 1,650,000 Citigroup, Inc. 6.400% 27/03/13 2,322,103 0.74 1,000,000 Commerzbank AG 2.750% 13/01/12 1,432,247 0.46 2,000,000 Commerzbank AG 5.000% 06/02/14 2,898,660 0.92 1,750,000 Commerzbank AG 4.125% 13/09/16 1,728,046 0.55 2,150,000 Credit Agricole S.A./London 6.000% 24/06/13 3,307,739 1.05 1,650,000 Credit Suisse/London 6.125% 16/05/14 2,455,985 0.78 750,000 CRH Finance BV 7.375% 28/05/14 1,056,210 0.34 300,000 DaimlerChrysler NA Holding Corp. 4.375% 16/03/10 427,516 0.14 1,650,000 Danske Bank A/S(c) 6.000% 20/03/16 1,854,307 0.59 50,000 Deutsche Postbank Funding Trust IV(c) 5.983% 29/06/49 31,916 0.01 300,000 Diageo Capital BV 5.500% 01/07/13 447,605 0.14 1,350,000 Diageo Finance Plc. 6.625% 05/12/14 2,089,883 0.67 529,000 Dresdner Funding Trust II 5.790% 30/06/11 522,364 0.17 350,000 E.ON International Finance BV 5.125% 02/10/12 522,922 0.17 1,750,000 E.ON International Finance BV 5.500% 19/01/16 2,592,662 0.83 2,300,000 France Telecom S.A. 5.625% 22/05/18 3,359,675 1.07 50,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 38,569 0.01 4,800,000 GE Capital European Funding 5.250% 18/05/15 6,715,936 2.14 2,600,000 GlaxoSmithKline Capital Plc. 5.125% 13/12/12 3,870,220 1.23 1,800,000 Glencore Finance Europe S.A. 7.125% 23/04/15 2,044,057 0.65 1,150,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 600,232 0.19 1,900,000 HSBC Finance Corp. 3.375% 08/06/12 2,612,854 0.83 1,400,000 HSBC Holdings Plc. 6.250% 19/03/18 2,015,198 0.64 1,000,000 HSH Nordbank AG 2.750% 20/01/12 1,430,674 0.46 2,100,000 Imperial Tobacco Finance Plc. 4.375% 22/11/13 2,834,391 0.90 400,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 584,286 0.19 1,000,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 1,477,727 0.47

The accompanying notes are an integral part of these financial statements.

88 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) Euro – (continued) 1,000,000 International Business Machines Corp. 6.625% 30/01/14 1,556,977 0.50 2,300,000 Intesa Sanpaolo SpA 5.000% 28/04/11 3,386,182 1.08 600,000 Intesa Sanpaolo SpA 6.625% 08/05/18 812,196 0.26 150,000 Intesa Sanpaolo SpA(c) 8.047% 29/06/49 149,176 0.05 1,000,000 John Deere Bank S.A. 6.000% 23/06/11 1,464,706 0.47 1,350,000 Koninklijke KPN NV 6.250% 04/02/14 2,049,129 0.65 350,000 Koninklijke KPN NV 6.500% 15/01/16 532,609 0.17 51,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 73,142 0.02 1,800,000 Morgan Stanley 4.375% 01/03/10 2,538,459 0.81 100,000 Morgan Stanley 5.500% 02/10/17 124,982 0.04 500,000 Morgan Stanley 6.500% 28/12/18 662,406 0.21 250,000 Pernod-Ricard S.A. 7.000% 15/01/15 353,428 0.11 950,000 Philip Morris International, Inc. 5.750% 24/03/16 1,401,629 0.45 1,000,000 PPR 8.625% 03/04/14 1,500,903 0.48 2,700,000 Rabobank Nederland NV 3.625% 15/07/11 3,872,057 1.23 1,300,000 RCI Banque S.A. 8.125% 15/05/12 1,886,678 0.60 900,000 Rentokil Initial Plc. 4.625% 27/03/14 1,115,115 0.35 1,650,000 Resona Bank Ltd. 3.750% 15/04/15 2,141,413 0.68 1,915,000 Resona Bank Ltd.(c) 4.125% 31/12/49 1,890,976 0.60 50,000 Rexam Plc. 4.375% 15/03/13 64,382 0.02 2,250,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 3,147,016 1.00 4,500,000 Royal Bank of Scotland Group Plc.(c) 7.092% 29/10/49 2,031,336 0.65 1,000,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 1,151,387 0.37 1,800,000 Santander International Debt S.A. 4.125% 04/04/11 2,585,078 0.82 100,000 Santander Issuances S.A. Unipersonal(c) 5.435% 24/10/17 133,154 0.04 1,650,000 Schlumberger Finance BV 4.500% 25/03/14 2,362,533 0.75 3,200,000 SL Finance Plc. 6.375% 12/07/22 3,323,085 1.06 300,000 SL Finance Plc.(c) 5.314% 29/01/49 207,366 0.07 250,000 SLM Corp. 3.125% 17/09/12 229,231 0.07 1,800,000 Societe Generale 5.125% 19/12/13 2,650,843 0.84 400,000 Societe Generale(c) 7.756% 22/05/49 349,136 0.11 2,450,000 St George Bank Ltd. 6.500% 24/06/13 3,659,929 1.16 1,550,000 StatoilHydro ASA 4.375% 11/03/15 2,219,590 0.71 1,160,000 Sumitomo Mitsui Banking Corp.(c) 4.375% 31/12/49 1,227,266 0.39 1,400,000 Telecom Italia SpA 7.875% 22/01/14 2,145,463 0.68 2,350,000 Telefonica Emisiones SAU 5.580% 12/06/13 3,501,830 1.11 1,400,000 Tesco Plc. 5.875% 12/09/16 2,099,685 0.67 2,100,000 UBS AG London 6.000% 18/04/18 2,962,276 0.94 450,000 UBS AG/London 5.375% 11/04/11 650,294 0.21 1,300,000 UniCredit SpA 4.875% 12/02/13 1,882,204 0.60 600,000 UT2 Funding Plc. 5.321% 30/06/16 194,670 0.06 900,000 Vattenfall Treasury AB 6.750% 31/01/19 1,399,299 0.45 1,600,000 Verizon Wireless Capital 8.750% 18/12/15 2,607,784 0.83 2,300,000 Wachovia Bank NA 6.000% 23/05/13 3,300,560 1.05 100,000 WM Covered Bond Program 4.375% 19/05/14 127,915 0.04 1,050,000 WM Covered Bond Program 4.000% 27/09/16 1,226,612 0.39 1,600,000 WPP Group Plc. 6.625% 12/05/16 2,029,598 0.65 1,150,000 Zurich Finance USA, Inc. 4.500% 17/09/14 1,616,992 0.51

155,615,068 49.54

United States Dollar 50,000 Anadarko Petroleum Corp. 5.950% 15/09/16 46,587 0.01 120,000 AT&T, Inc. 4.125% 15/09/09 120,937 0.04 3,400,000 AT&T, Inc. 5.600% 15/05/18 3,303,122 1.05 550,000 AT&T, Inc. 6.300% 15/01/38 494,909 0.16 100,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 16,000 0.01 70,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 72,215 0.02 250,000 Bear Stearns Cos, Inc. 6.400% 02/10/17 241,840 0.08 3,150,000 Canadian Natural Resources Ltd. 5.700% 15/05/17 3,009,194 0.96 270,000 Capital One Financial Corp. 5.700% 15/09/11 263,623 0.08 150,000 Citigroup, Inc. 6.125% 21/11/17 132,283 0.04 2,100,000 Citigroup, Inc. 6.125% 15/05/18 1,838,997 0.59 75,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 84,058 0.03 1,600,000 Commonwealth Edison Co. 5.900% 15/03/36 1,367,053 0.43 100,000 Countrywide Financial Corp. 6.250% 15/05/16 83,009 0.03

The accompanying notes are an integral part of these financial statements.

89 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 90,000 Crédit Suisse USA, Inc. 5.250% 02/03/11 92,559 0.03 150,000 CVS Caremark Corp. 5.750% 01/06/17 147,925 0.05 30,000 DaimlerChrysler NA Holding Corp. 8.500% 18/01/31 29,056 0.01 300,000 Deutsche Bank AG/London 6.000% 01/09/17 293,007 0.09 1,050,000 Dow Chemical Co. 9.400% 15/05/39 1,037,140 0.33 175,000 DR Horton, Inc. 7.875% 15/08/11 175,000 0.06 1,300,000 Eli Lilly & Co. 3.550% 06/03/12 1,338,171 0.43 950,000 EnCana Corp. 6.500% 01/02/38 867,121 0.28 100,000 Endurance Specialty Holdings Ltd. 7.000% 15/07/34 64,255 0.02 475,000 Energy Transfer Partners LP 5.650% 01/08/12 470,240 0.15 500,000 Energy Transfer Partners LP 8.500% 15/04/14 535,378 0.17 1,100,000 Energy Transfer Partners LP 9.000% 15/04/19 1,199,755 0.38 100,000 Energy Transfer Partners LP 7.500% 01/07/38 88,525 0.03 954,000 Enterprise Products Operating LP 5.600% 15/10/14 913,046 0.29 25,000 Enterprise Products Operating LP 6.875% 01/03/33 21,859 0.01 1,320,000 FirstEnergy Corp.—Series C 7.375% 15/11/31 1,123,125 0.36 450,000 General Electric Capital Corp. 5.875% 14/01/38 350,344 0.11 600,000 General Electric Co. 5.000% 01/02/13 614,157 0.20 1,000,000 HBOS Plc. 144A(d) 6.750% 21/05/18 700,267 0.22 100,000 HBOS Treasury Services Plc. 5.000% 17/08/09 99,012 0.03 80,000 Health Care Property Investors, Inc. 5.950% 15/09/11 78,684 0.02 2,100,000 HSBC Finance Corp. 5.500% 19/01/16 1,899,006 0.60 1,350,000 HSBC Holdings Plc. 6.800% 01/06/38 1,243,349 0.40 1,200,000 ING Bank NV(c) 0.836% 23/05/16 906,648 0.29 70,000 Landwirtschaftliche Rentenbank 5.125% 01/02/17 71,548 0.02 900,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 811,186 0.26 2,400,000 Merrill Lynch & Co., Inc. 6.875% 25/04/18 2,204,992 0.70 200,000 MUFG Capital Finance 1 Ltd.(c) 6.346% 29/07/49 170,344 0.05 70,000 New Cingular Wireless Services, Inc. 7.875% 01/03/11 75,997 0.02 50,000 ONEOK Partners LP 6.850% 15/10/37 40,648 0.01 700,000 Pacific Gas & Electric Co. 6.250% 01/03/39 693,085 0.22 210,000 Petroleos Mexicanos 8.000% 03/05/19 228,375 0.07 300,000 Philip Morris International, Inc. 6.875% 17/03/14 331,465 0.11 1,050,000 Progress Energy, Inc. 6.050% 15/03/14 1,065,207 0.34 30,000 Progress Energy, Inc. 7.750% 01/03/31 31,377 0.01 2,600,000 Reed Elsevier Capital, Inc. 7.750% 15/01/14 2,716,406 0.86 300,000 Rogers Communications, Inc. 6.800% 15/08/18 313,855 0.10 60,000 Rogers Wireless Communications, Inc. 8.000% 15/12/12 61,650 0.02 70,000 Simon Property Group LP 5.600% 01/09/11 69,266 0.02 2,050,000 Simon Property Group, Inc. 5.300% 30/05/13 1,947,416 0.62 1,750,000 SLM Corp. 8.450% 15/06/18 1,175,384 0.37 50,000 Sprint Capital Corp. 7.625% 30/01/11 49,188 0.02 50,000 Telecom Italia Capital S.A. 4.875% 01/10/10 50,603 0.02 90,000 Telefonica Europe BV 7.750% 15/09/10 95,165 0.03 1,500,000 TEPPCO Partners LP 7.550% 15/04/38 1,261,206 0.40 550,000 Time Warner Cable, Inc. 6.750% 01/07/18 547,164 0.17 2,650,000 Time Warner Cable, Inc. 8.750% 14/02/19 2,977,299 0.95 1,500,000 Transocean, Inc. 6.800% 15/03/38 1,449,664 0.46 50,000 Travelers Cos, Inc. 6.250% 15/06/37 46,029 0.01 30,000 Tyson Foods, Inc. 8.250% 01/10/11 30,279 0.01 2,850,000 Wells Fargo & Co. 5.625% 11/12/17 2,675,131 0.85 750,000 Wells Fargo Capital XIII 7.700% 29/12/49 585,000 0.19 50,000 Xerox Corp. 5.500% 15/05/12 48,727 0.02 1,000,000 Xerox Corp. 8.250% 15/05/14 1,014,959 0.32 450,000 XTO Energy, Inc. 5.500% 15/06/18 424,989 0.14 48,625,060 15.48

TOTAL CORPORATE BONDS (cost USD 191,645,128) 206,895,657 65.86

The accompanying notes are an integral part of these financial statements.

90 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – 1.65% British Pound Sterling 1,390,000 UK Treasury 5.250% 07/06/12 2,448,364 0.78 310,000 UK Treasury 4.750% 07/03/20 540,279 0.17

2,988,643 0.95

Euro 100,000 Bundesrepublik Deutschland 5.500% 04/01/31 159,982 0.05

Japanese Yen 100,000,000 Government of Japan 1.400% 20/12/11 1,071,238 0.34 26,000,000 Government of Japan 1.300% 20/06/12 278,299 0.09 20,000,000 Government of Japan 1.300% 20/12/18 205,829 0.07

1,555,366 0.50

Mexican Peso 1,730,000 Mexican Bonos 8.000% 19/12/13 137,712 0.04 3,900,000 Mexican Bonos 10.000% 05/12/24 341,828 0.11

479,540 0.15

TOTAL GOVERNMENT BONDS (cost USD 4,899,831) 5,183,531 1.65

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 196,544,959) 212,079,188 67.51

Transferable securities dealt in another regulated market Corporate Bonds – 15.18% Euro 3,350,000 JPMorgan Chase & Co. 5.250% 08/05/13 4,804,408 1.53

United States Dollar 2,450,000 Altria Group, Inc. 9.700% 10/11/18 2,700,555 0.86 1,000,000 American Express Bank FSB 3.150% 09/12/11 1,035,606 0.33 2,350,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/19 2,424,208 0.77 1,250,000 Anheuser-Busch InBev Worldwide, Inc. 144A(d) 5.375% 15/11/14 1,239,845 0.40 850,000 Anheuser-Busch InBev Worldwide, Inc. 144A(d) 7.750% 15/01/19 895,804 0.29 250,000 ArcelorMittal 6.125% 01/06/18 208,557 0.07 1,850,000 ArcelorMittal 9.850% 01/06/19 1,870,067 0.60 60,000 Arch Capital Group Ltd. 7.350% 01/05/34 35,879 0.01 50,000 Aspen Insurance Holdings Ltd. 6.000% 15/08/14 38,957 0.01 950,000 Bacardi Ltd. 144A(d) 7.450% 01/04/14 988,453 0.31 4,350,000 Bank of America Corp. 7.625% 01/06/19 4,334,732 1.38 1,050,000 Bank of America Corp. “L” 5.650% 01/05/18 920,510 0.29 1,750,000 Bear Stearns Cos, Inc. 6.950% 10/08/12 1,899,407 0.61 1,650,000 BHP Billiton Finance USA Ltd. 5.500% 01/04/14 1,746,011 0.56 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 39,271 0.01 550,000 Capital One Financial Corp. 7.375% 23/05/14 558,346 0.18 50,000 Chubb Corp.(c) 6.375% 29/03/67 38,077 0.01 1,150,000 Comcast Corp. 5.700% 15/05/18 1,120,457 0.36 2,300,000 Comcast Corp. 6.500% 15/01/15 2,356,835 0.75 1,050,000 COX Communications Inc. 144A(d) 8.375% 01/03/39 1,061,859 0.34 100,000 Deutsche Telekom International Finance BV 6.750% 20/08/18 105,506 0.03 200,000 EnCana Corp. 6.500% 15/05/19 201,064 0.06 1,700,000 Enterprise Products Operating LP 5.750% 01/03/35 1,274,776 0.41 70,000 Greater Bay Bancorp 5.125% 15/04/10 71,413 0.02 50,000 JP Morgan Chase Capital XVII 5.850% 01/08/35 36,076 0.01 150,000 JP Morgan Chase Capital XVII 6.450% 02/02/37 108,023 0.03 1,800,000 JPMorgan Chase & Co. 7.900% 29/04/49 1,476,324 0.47 10,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 8,812 0.00 600,000 MidAmerican Energy Holdings Co. 5.750% 01/04/18 590,824 0.19 3,100,000 Morgan Stanley 6.000% 28/04/15 3,037,885 0.97 850,000 News America, Inc. 6.650% 15/11/37 699,783 0.22 350,000 Oracle Corp. 5.750% 15/04/18 365,409 0.12 2,000,000 Pfizer, Inc. 7.200% 15/03/39 2,176,622 0.69

The accompanying notes are an integral part of these financial statements.

91 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 70,000 Reinsurance Group of America, Inc.(c) 6.750% 15/12/65 35,379 0.01 1,300,000 Roche Holdings, Inc. 144A(d) 5.000% 01/03/14 1,360,684 0.43 1,500,000 State of California 7.500% 01/04/34 1,449,105 0.46 1,800,000 Swiss Re Capital I LP 144A(d) 6.854% 29/05/49 1,037,314 0.33 75,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 78,182 0.03 100,000 TransCanada Pipelines Ltd.(c) 6.350% 15/05/67 66,000 0.02 500,000 Unilever Capital Corp. 3.650% 15/02/14 499,949 0.16 50,000 Valero Energy Corp. 6.125% 15/06/17 46,169 0.01 1,850,000 WEA Finance LLC / WT Finance Aust Pty Ltd. 144A(d) 7.500% 02/06/14 1,821,114 0.58 1,300,000 ZFS Finance USA Trust I 144A(d) 6.450% 15/12/65 819,000 0.26

42,878,849 13.65

TOTAL CORPORATE BONDS (cost USD 46,188,726) 47,683,257 15.18

Asset Backed Obligations – 0.08% United States Dollar 274,972 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 106,193 0.03 115,441 Countrywide Alternative Loan Trust “A2”(c) 0.499% 25/10/46 47,109 0.01 123,692 Thornburg Mortgage Securities Trust “A1”(c) 0.429% 25/09/46 110,629 0.04

263,931 0.08

TOTAL ASSET BACKED OBLIGATIONS (cost USD 514,105) 263,931 0.08

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 46,702,831) 47,947,188 15.26

Other Transferable Securities Corporate Bonds – 2.23% Australian Dollar 500,000 National Australia Bank Ltd. 5.750% 19/12/13 404,499 0.13

Euro 850,000 Carrefour S.A. 5.375% 12/06/15 1,260,192 0.40 150,000 Inbev NV 8.625% 30/01/17 236,412 0.08 3,600,000 US Bank NA/Cincinnati OH 4.375% 28/02/17 4,097,205 1.30

5,593,809 1.78

United States Dollar 1,000,000 Macquarie Bank Ltd. 4.100% 17/12/13 1,008,447 0.32

TOTAL CORPORATE BONDS (cost USD 6,563,880) 7,006,755 2.23

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 6,563,880) 7,006,755 2.23

Mutual Funds – 4.73% United States Dollar 14,845,931 Goldman Sachs US$ Liquid Reserves Fund(e)(f)(g) 14,845,931 4.73

TOTAL MUTUAL FUNDS (cost USD 14,845,931) 14,845,931 4.73

The accompanying notes are an integral part of these financial statements.

92 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Time Deposits – 16.35% United States Dollar 51,349,098 JP Morgan London USD Time Deposit 0.150% 01/06/09 51,349,098 16.35

TOTAL TIME DEPOSITS (cost USD 51,349,098) 51,349,098 16.35

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES, FORWARD CURRENCY AND SWAPS CONTRACTS (cost USD 316,006,699) 333,228,160 106.08

Futures Contracts – 0.00% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

AUD (25) Australia Treasury Bonds 3YR 15/06/09 Short 5,987 0.00

EUR (44) German Federal Republic Bonds 08/06/09 Short 60,192 0.02 44 German Federal Republic Bonds 08/06/09 Long 9,339 0.00 69,531 0.02

USD 27 EURODOLLAR 15/06/09 Long 48,094 0.02 24 US Treasury Bonds 30YR 21/09/09 Long 7,984 0.00 (47) US Treasury Notes 5YR 30/09/09 Short 25,281 0.01 81,359 0.03

UNREALISED GAIN ON FUTURES CONTRACTS 156,877 0.05

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

EUR 10 German Federal Republic Bonds 08/06/09 Long (91,269) (0.03) 16 German Federal Republic Bonds 08/06/09 Long (22,683) (0.01)

(113,952) (0.04)

GBP 18 UK Treasury Bonds 28/09/09 Long (14,557) (0.00)

USD 14 US Treasury Note 2YR 30/09/09 Long (656) (0.00) 15 US Treasury Notes 10YR 21/09/09 Long (18,789) (0.01) (19,445) (0.01)

UNREALISED LOSS ON FUTURES CONTRACTS (147,954) (0.05)

Forward Currency Contracts – (1.44%) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

26/06/2009 EUR 990,664 USD 1,372,843 24,392 0.01

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 24,392 0.01

The accompanying notes are an integral part of these financial statements.

93 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

05/06/2009 USD 356,214 AUD 496,812 (40,106) (0.01) 10/06/2009 JPY 651,090,142 USD 6,851,237 (44,660) (0.02) 10/06/2009 USD 8,282,323 JPY 796,254,264 (41,817) (0.01) 23/06/2009 USD 448,467 MXN 5,993,084 (7,656) (0.00) 26/06/2009 USD 162,377,435 EUR 118,226,055 (4,368,843) (1.39) 02/07/2009 USD 6,951,130 GBP 4,338,924 (58,099) (0.02)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (4,561,181) (1.45)

Swap Contracts – (0.28%)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 20,000 Floating (CAD 3 month LIBOR) Fixed 4.000% CAD 17/12/2013 1,253 0.00 20,000 Floating (CAD 6 month CDOR) Fixed 4.000% CAD 17/12/2013 841 0.00 50,000 Floating (CAD 3 month CDOR) Fixed 4.000% CAD 17/12/2013 2,065 0.00 150,000 Floating (CAD 6 month CDOR) Fixed 4.000% CAD 17/12/2013 3,407 0.00 1,380,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 54,698 0.02 1,380,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 51,450 0.02 1,390,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 53,430 0.02 1,390,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 59,265 0.02 1,400,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 45,968 0.01 220,000 Floating (CAD 6 month CDOR) Fixed 4.500% CAD 17/12/2018 9,618 0.00 420,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2010 18,377 0.01 3,500,000 Floating (EUR 6 month LIBOR) Fixed 3.000% EUR 17/06/2011 16,200 0.01 3,130,000 Fixed 2.250% Floating (EUR 6 month LIBOR) EUR 17/12/2012 24,874 0.01 1,600,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 6,630 0.00 1,780,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 7,124 0.00 2,200,000 Fixed 3.750% Floating (EUR 6 month LIBOR) EUR 17/06/2016 33,931 0.01 2,130,000 Fixed 3.250% Floating (EUR 6 month LIBOR) EUR 16/12/2016 46,471 0.02 950,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 18/06/2029 10,561 0.00 160,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 17/06/2039 653 0.00 62,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 988 0.00 106,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 1,814 0.00 195,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 4,156 0.00 1,500,000 Floating (USD 3 month LIBOR) Fixed 2.500% USD 17/06/2011 20,786 0.01 2,000,000 Floating (USD 3 month LIBOR) Fixed 2.500% USD 17/06/2011 31,714 0.01 390,000 Floating (USD 3 month LIBOR) Fixed 3.750% USD 17/12/2011 19,375 0.01 1,200,000 Floating (USD 3 month LIBOR) Fixed 2.750% USD 18/06/2012 12,218 0.00 1,330,000 Floating (USD 3 month LIBOR) Fixed 2.750% USD 18/06/2012 11,297 0.00 70,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 502 0.00 70,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 662 0.00 90,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 1,164 0.00 700,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 77,481 0.02 70,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2039 10,501 0.00

UNREALISED GAIN ON INTEREST RATE SWAPS 639,474 0.20

Credit Default Swaps 900,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 24,010 0.01 100,000 Fixed 0.160% Floating (McDonald’s Corp.) USD 20/06/2014 1,264 0.00 100,000 Fixed 0.200% Floating (Aetna, Inc.) USD 20/06/2014 3,046 0.00 1,350,000 Fixed 1.000% Floating (Target Corp.) USD 20/09/2014 1,776 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 30,096 0.01

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 669,570 0.21

The accompanying notes are an integral part of these financial statements.

94 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 1,130,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (14,128) (0.01) 1,130,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (12,641) (0.00) 1,130,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (12,981) (0.00) 1,130,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (15,628) (0.01) 1,140,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (12,292) (0.00) 500,000 Floating (CAD 6 month CDOR) Fixed 2.500% CAD 17/06/2014 (5,460) (0.00) 2,500,000 Floating (CAD 3 month CDOR) Fixed 2.500% CAD 17/06/2014 (48,401) (0.02) 250,000 Floating (CAD 6 month CDOR) Fixed 3.500% CAD 17/06/2019 (8,034) (0.00) 1,700,000 Floating (CAD 3 month CDOR) Fixed 3.500% CAD 17/06/2019 (61,743) (0.02) 530,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (28,390) (0.01) 530,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (26,914) (0.01) 510,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (27,933) (0.01) 510,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (31,255) (0.01) 520,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (22,124) (0.01) 3,500,000 Fixed 3.000% Floating (EUR 6 month LIBOR) EUR 17/06/2011 (12,818) (0.00) 2,870,000 Floating (EUR 6 month LIBOR) Fixed 2.000% EUR 16/12/2011 (5,331) (0.00) 1,000,000 Fixed 2.455% Floating (EUR 3 month EURIBOR) EUR 13/01/2012 (16,580) (0.01) 1,000,000 Fixed 2.457% Floating (EUR 3 month EURIBOR) EUR 20/01/2012 (16,440) (0.01) 3,500,000 Fixed 3.250% Floating (EUR 6 month LIBOR) EUR 18/06/2012 (19,910) (0.01) 3,500,000 Floating (EUR 6 month LIBOR) Fixed 3.250% EUR 18/06/2012 (13,458) (0.01) 300,000 Fixed 4.500% Floating (EUR 6 month LIBOR) EUR 17/12/2013 (18,127) (0.01) 890,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 (11,305) (0.00) 12,800,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 (7,221) (0.00) 2,200,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 17/06/2016 (37,607) (0.01) 650,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (5,655) (0.00) 200,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (8,428) (0.00) 250,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (21,353) (0.01) 500,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (8,261) (0.00) 960,000 Floating (GBP 6 month LIBOR) Fixed 4.250% GBP 17/12/2029 (12,651) (0.00) 160,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2039 (28,136) (0.01) 160,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 16/12/2039 (985) (0.00) 281,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (2,901) (0.00) 312,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (3,250) (0.00) 50,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/06/2019 (1,390) (0.00) 1,645,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (3,989) (0.00) 1,645,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (4,098) (0.00) 390,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 19/12/2011 (1,692) (0.00) 400,000 Floating (USD 3 month LIBOR) Fixed 2.750% USD 18/06/2012 (1,311) (0.00) 3,140,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (36,694) (0.01) 18,000,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (260,950) (0.08) 100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (10,131) (0.00) 3,000,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (232,927) (0.08) 3,500,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (188,582) (0.06) 10,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (313) (0.00) 30,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (508) (0.00) 60,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (1,708) (0.00) 60,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (797) (0.00) 70,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (581) (0.00) 230,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 (35,691) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (1,359,703) (0.43)

The accompanying notes are an integral part of these financial statements.

95 Goldman Sachs Funds—Global Credit Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Credit Default Swaps 300,000 Fixed 4.850% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (47,097) (0.01) 600,000 Fixed 4.800% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (92,388) (0.03) 900,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (18,229) (0.01) 1,300,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (12,655) (0.00) 2,300,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (21,767) (0.01)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (192,136) (0.06)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (1,551,839) (0.49)

MARKET VALUE OF INVESTMENTS (cost USD 316,006,699) 327,818,025 104.36

OTHER ASSETS AND LIABILITIES (13,695,721) (4.36)

SHAREHOLDERS’ EQUITY 314,122,304 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures, forward currency and swaps contracts (cost USD 316,006,699) 333,228,160 106.08 Net unrealised gain on futures contracts 156,877 0.05 Net unrealised loss on futures contracts (147,954) (0.05) Net unrealised gain on forward currency contracts 24,392 0.01 Net unrealised loss on forward currency contracts (4,561,181) (1.45) Net unrealised gain on swaps contracts 669,570 0.21 Net unrealised loss on swaps contracts (1,551,839) (0.49) Other Assets and Liabilities (13,695,721) (4.36)

Shareholders’ Equity 314,122,304 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Asset Backed Obligations and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Credit Suisse London, Deutsche Bank AG London, JP Morgan Chase Bank and Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase NA, Merrill Lynch, Morgan Stanley, Royal Bank of Canada, Royal Bank of Scotland and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) The yield for this fund as at 31 May 2009 was 0.530%. (f) This security is admitted to an official exchange listing. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

96 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 8.35% Brazil 13,000,000 Companhia Energetica de Sao Paulo 9.750% 15/01/15 6,500,000 0.80 13,000,000 RBS-Zero Hora Editora Jornalistica S.A. 11.250% 15/06/17 4,918,033 0.60

11,418,033 1.40

Cayman Islands 73,200,000 Jafz Sukuk Ltd.(c) 4.169% 27/11/12 14,549,712 1.78

Germany 67,000,000 Kreditanstalt fuer Wiederaufbau 8.500% 18/01/11 346,743 0.04

Ireland 202,000,000 GPB Eurobond Finance Plc. for Gazprombank 7.250% 22/02/10 6,383,103 0.78 272,697,165 Red Arrow International Leasing Plc. 8.375% 30/06/12 7,777,484 0.95

14,160,587 1.73

United Kingdom 51,517,000 Morgan Stanley 10.090% 03/05/17 21,048,560 2.58

United States 114,682,482 International Bank for Reconstruction & Development 3.400% 15/04/17 3,950,921 0.48 147,000,000 JPMorgan Chase & Co. 6.000% 10/10/12 2,759,135 0.34

6,710,056 0.82

TOTAL CORPORATE BONDS (cost USD 80,316,242) 68,233,691 8.35

Government Bonds – 37.46% Colombia 26,200,000,000 Republic of Colombia 9.850% 28/06/27 13,105,238 1.60

Egypt 46,700,000 Arab Republic of Egypt 8.750% 18/07/12 7,642,120 0.94

Hungary 7,977,000,000 Republic of Hungary 7.250% 12/06/12 36,633,083 4.49

Mexico 800,000,000 Mexican Bonos 10.000% 05/12/24 70,118,589 8.58

Peru 96,000,000 Republic of Peru 12.250% 10/08/11 37,563,691 4.60

Poland 94,000,000 Government of Poland 5.250% 25/04/13 29,084,147 3.56 85,038,750 Government of Poland 3.000% 24/08/16 24,748,956 3.03

53,833,103 6.59

Turkey 19,870,000 Republic of Turkey 14.000% 19/01/11 13,218,725 1.62 41,000,000 Republic of Turkey 10.000% 15/02/12 32,834,118 4.02 23,000,000 Republic of Turkey 16.000% 07/03/12 15,778,679 1.93 9,000,000 Republic of Turkey 16.000% 28/08/13 6,288,171 0.77

68,119,693 8.34

The accompanying notes are an integral part of these financial statements.

97 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – (continued) Uruguay 445,000,000 Republic of Uruguay 5.000% 14/09/18 18,932,058 2.32

TOTAL GOVERNMENT BONDS (cost USD 338,762,808) 305,947,575 37.46

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 419,079,050) 374,181,266 45.81

Other Transferable Securities Corporate Bonds – 4.34% Hong Kong 95,000,000,000 Hongkong & Shanghai Banking Corp., Ltd.(c) 10.000% 15/07/17 8,864,543 1.09

United Kingdom 29,811,168 JPMorgan Chase Bank 10.000% 18/07/17 26,543,864 3.25

TOTAL CORPORATE BONDS (cost USD 39,990,643) 35,408,407 4.34

Government Bonds – 0.09% Egypt 4,300,000 Arab Republic of Egypt 144A(d) 8.750% 18/07/12 703,664 0.09

TOTAL GOVERNMENT BONDS (cost USD 755,402) 703,664 0.09

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 40,746,045) 36,112,071 4.43

Mutual Funds – 4.80% United States Dollar 39,241,322 Goldman Sachs US$ Liquid Reserves Fund(e)(f)(g) 39,241,322 4.80

TOTAL MUTUAL FUNDS (cost USD 39,241,322) 39,241,322 4.80

Time Deposits – 39.34% Luxembourg 67,526,060 Deutsche Bank AG USD Time Deposit 0.030% 01/06/09 67,526,060 8.27 71,350,755 BNP Paribas USD Time Deposit 0.240% 01/06/09 71,350,755 8.74

138,876,815 17.01

United States 70,997,625 JP Morgan London USD Time Deposit 0.150% 01/06/09 70,997,625 8.69 36,775,552 Northern Trust Company USD Time Deposit 0.000% 01/06/09 36,775,552 4.50 74,633,639 Rabobank USD Time Deposit 0.120% 01/06/09 74,633,639 9.14

182,406,816 22.33

TOTAL TIME DEPOSITS (cost USD 321,283,631) 321,283,631 39.34

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY AND SWAPS CONTRACTS (cost USD 820,350,048) 770,818,290 94.38

The accompanying notes are an integral part of these financial statements.

98 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – 2.81% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 SGD 21,882,000 USD 14,377,637 777,520 0.09 17/06/2009 ZAR 219,319,000 USD 20,248,257 7,232,227 0.89 30/06/2009 BRL 120,432,439 USD 55,006,591 5,336,348 0.65 30/06/2009 CLP 12,789,299,400 USD 22,023,622 873,701 0.11 30/06/2009 INR 1,724,003,000 USD 34,434,988 2,055,195 0.25 30/06/2009 KRW 85,957,204,600 USD 64,899,290 3,671,185 0.45 30/06/2009 MYR 52,996,260 USD 14,690,916 456,499 0.06 30/06/2009 PHP 640,000,000 USD 13,199,413 280,571 0.03 30/06/2009 RUB 1,041,559,333 USD 31,167,569 2,361,933 0.29 30/06/2009 TWD 749,544,942 USD 22,367,899 792,533 0.10 30/06/2009 USD 14,490,000 CNY 98,575,470 38,648 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 23,876,360 2.92

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

30/06/2009 CNY 305,655,878 USD 44,809,873 (136) (0.00) 03/08/2009 USD 7,824,373 BRL 17,464,000 (857,274) (0.11)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (857,410) (0.11)

Swap Contracts – 0.64%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 91,000,000 Floating (BRL 1 month LIBOR) Fixed 16.140% BRL 02/01/2012 4,752,692 0.58 41,000,000,000 Floating (KRW 3 month KWCDC) Fixed 4.080% KRW 04/12/2013 434,776 0.06

UNREALISED GAIN ON INTEREST RATE SWAPS 5,187,468 0.64

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 5,187,468 0.64

MARKET VALUE OF INVESTMENTS (cost USD 820,350,048) 799,024,708 97.83

OTHER ASSETS AND LIABILITIES 17,726,287 2.17

SHAREHOLDERS’ EQUITY 816,750,995 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency and swaps contracts (cost USD 820,350,048) 770,818,290 94.38 Unrealised gain on forward currency contracts 23,876,360 2.92 Unrealised loss on forward currency contracts (857,410) (0.11) Unrealised gain on swaps contracts 5,187,468 0.64 Other Assets and Liabilities 17,726,287 2.17

Shareholders’ Equity 816,750,995 100.00

Rates disclosed for Corporate Bonds, Government Bonds and Time Deposits are those that were in effect at 31 May 2009. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, HSBC Bank Plc., JP Morgan Chase Bank, Merrill Lynch International, Morgan Stanley London and UBS AG London. The counterparties for swaps contracts were Citibank NA and JP Morgan Chase Bank NA. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009.

The accompanying notes are an integral part of these financial statements.

99 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio Schedule of Investments As at 31 May 2009

(d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) A related party to Goldman Sachs Funds. (f) The yield for this fund as at 31 May 2009 was 0.530%. (g) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

100 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 10.22% Brazil 9,350,000 Cia Energetica de Sao Paulo 9.750% 15/01/15 4,675,000 0.96 5,450,000 Independencia International Ltd. 144A(c) 9.875% 15/05/15 654,000 0.13 3,800,000 RBS-Zero Hora Editora Jornalistica S.A. 11.250% 15/06/17 1,437,579 0.29

6,766,579 1.38

Colombia 1,990,000 EEB International Ltd. 144A(c) 8.750% 31/10/14 2,039,750 0.42

Ireland 2,960,000 VIP Finance Ireland Ltd. for OJSC Vimpel Communications 8.375% 30/04/13 2,693,600 0.55 2,790,000 VIP Finance Ireland Ltd. for OJSC Vimpel Communications 9.125% 30/04/18 2,315,700 0.47

5,009,300 1.02

Mexico 8,710,000 Petroleos Mexicanos 8.000% 03/05/19 9,472,125 1.93

Netherlands 2,930,000 Kazkommerts International BV 7.875% 07/04/14 1,552,900 0.31 1,060,000 Kazkommerts International BV 6.875% 13/02/17 740,168 0.15 1,960,000 Majapahit Holding BV 7.750% 17/10/16 1,768,900 0.36 1,500,000 Majapahit Holding BV 7.875% 29/06/37 1,162,500 0.24 4,850,000 TuranAlem Finance BV 8.000% 24/03/14 1,115,500 0.23

6,339,968 1.29

South Africa 5,760,000 Peermont Global Ltd. 7.750% 30/04/14 6,337,769 1.29

United States 2,910,000 KazMunaiGaz Finance Sub BV 144A(c) 8.375% 02/07/13 2,706,300 0.55 5,550,000 Pemex Project Funding Master Trust 5.750% 01/03/18 5,258,625 1.08

7,964,925 1.63

Venezuela 6,670,000 Petroleos de Venezuela S.A. 5.250% 12/04/17 2,818,075 0.58 8,630,000 Petroleos de Venezuela S.A. 5.375% 12/04/27 3,102,485 0.63 660,000 Petroleos de Venezuela S.A. 5.500% 12/04/37 235,950 0.05

6,156,510 1.26

TOTAL CORPORATE BONDS (cost USD 60,799,280) 50,086,926 10.22

Government Bonds – 64.56% Argentina 950,000 Republic of Argentina(d) 1.683% 03/08/12 594,237 0.12 16,060,000 Republic of Argentina 7.000% 03/10/15 5,797,660 1.18 16,580,000 Republic of Argentina(e) 2.500%/3.750% 31/12/38 3,680,760 0.75 919,520 Republic of Argentina(e) 2.260%/3.380% 31/12/38 241,265 0.05 12,230,000 Republic of Argentina—Series V 7.000% 28/03/11 7,325,770 1.50

17,639,692 3.60

Brazil 24,080,000 Republic of Brazil 6.000% 17/01/17 24,561,600 5.01 2,410,000 Republic of Brazil 5.875% 15/01/19 2,403,975 0.49 7,330,000 Republic of Brazil 8.250% 20/01/34 8,539,450 1.74

35,505,025 7.24

The accompanying notes are an integral part of these financial statements.

101 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – (continued) Colombia 6,340,000 Republic of Colombia 7.375% 18/03/19 6,720,400 1.37 1,650,000 Republic of Colombia 8.375% 15/02/27 1,773,750 0.36 3,900,000 Republic of Colombia 7.375% 18/09/37 3,909,750 0.80

12,403,900 2.53

Dominican Republic 1,453,653 Republic of Dominican 9.040% 23/01/18 1,290,117 0.26

El Salvador 3,972,000 Republic of El Salvador 8.250% 10/04/32 3,614,520 0.74

Gabon 3,950,000 Gabonese Republic 144A(c) 8.200% 12/12/17 3,515,500 0.72

Georgia 1,650,000 Government of Georgia 7.500% 15/04/13 1,254,000 0.26

Ghana 1,360,000 Republic of Ghana 8.500% 04/10/17 1,081,200 0.22

Indonesia 12,200,000 Republic of Indonesia 11.625% 04/03/19 15,280,500 3.12 190,000 Republic of Indonesia 144A(c) 6.625% 17/02/37 158,650 0.03 15,960,000 Republic of Indonesia 144A(c) 7.750% 17/01/38 15,002,400 3.06 30,441,550 6.21

Korea 470,000 Republic of Korea 5.625% 03/11/25 405,610 0.08

Lebanon 8,631,000 Government of Lebanon 4.000% 31/12/17 7,293,195 1.49

Malaysia 9,902,000 Government of Malaysia 7.500% 15/07/11 10,853,582 2.21

Mexico 3,020,000 Republic of Mexico 5.950% 19/03/19 3,071,340 0.62 9,040,000 Republic of Mexico 7.500% 08/04/33 9,989,200 2.04 1,580,000 Republic of Mexico 6.050% 11/01/40 1,469,400 0.30

14,529,940 2.96

Pakistan 1,180,000 Republic of Pakistan 6.875% 01/06/17 702,100 0.14

Panama 700,000 Republic of Panama 9.375% 01/04/29 859,250 0.17 6,043,000 Republic of Panama 6.700% 26/01/36 5,831,495 1.19

6,690,745 1.36

Peru 7,860,000 Republic of Peru 7.125% 30/03/19 8,370,900 1.71 6,010,000 Republic of Peru 6.550% 14/03/37 5,769,600 1.17 14,140,500 2.88

Philippines 20,000 Republic of Philippines 8.375% 17/06/19 23,100 0.00 9,278,000 Republic of Philippines 7.500% 25/09/24 9,788,290 2.00 2,720,000 Republic of Philippines 9.500% 21/10/24 3,264,000 0.67 11,300,000 Republic of Philippines 10.625% 16/03/25 15,000,750 3.06

28,076,140 5.73

The accompanying notes are an integral part of these financial statements.

102 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – (continued) Russia 33,878,400 Russian Federation 7.500% 31/03/30 33,878,400 6.91

Serbia 2,780,000 Republic of Serbia(e) 3.750%/6.750% 01/11/24 2,363,000 0.48

South Africa 1,950,000 Republic of South Africa 5.875% 30/05/22 1,764,750 0.36

Trinidad And Tobago 700,000 Republic of Trinidad & Tobago 9.750% 01/07/20 819,000 0.17 3,920,000 Republic of Trinidad & Tobago 5.875% 17/05/27 3,332,000 0.68

4,151,000 0.85

Turkey 6,000,000 Republic of Turkey 10.000% 15/02/12 4,804,993 0.98 4,800,000 Republic of Turkey 16.000% 07/03/12 3,292,942 0.67 1,110,258 Republic of Turkey 12.000% 14/08/13 801,662 0.17 800,000 Republic of Turkey 6.750% 03/04/18 776,000 0.16 3,200,000 Republic of Turkey 7.500% 07/11/19 3,251,200 0.66 20,480,000 Republic of Turkey 7.250% 05/03/38 19,123,200 3.90

32,049,997 6.54

Ukraine 580,000 Republic of Ukraine(d) 5.151% 05/08/09 548,100 0.11 2,440,000 Republic of Ukraine 6.875% 04/03/11 2,013,000 0.41 5,710,000 Republic of Ukraine 6.385% 26/06/12 4,382,425 0.90 8,060,000 Republic of Ukraine 7.650% 11/06/13 6,353,967 1.30 1,980,000 Republic of Ukraine 4.950% 13/10/15 1,675,852 0.34 2,730,000 Republic of Ukraine 6.580% 21/11/16 1,829,100 0.37

16,802,444 3.43

United States 7,290,000 Republic of Indonesia 6.625% 17/02/37 6,087,150 1.24

Uruguay 8,924,381 Republic of Uruguay 8.000% 18/11/22 9,330,440 1.90 6,910,000 Republic of Uruguay 7.625% 21/03/36 6,754,525 1.38

16,084,965 3.28

Venezuela 2,325,000 Republic of Venezuela 5.750% 26/02/16 1,261,313 0.26 22,560,000 Republic of Venezuela 6.000% 09/12/20 10,490,400 2.14 4,260,000 Republic of Venezuela 7.650% 21/04/25 2,161,950 0.44

13,913,663 2.84

TOTAL GOVERNMENT BONDS (cost USD 318,425,550) 316,532,685 64.56

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 379,224,830) 366,619,611 74.78

Transferable securities dealt in another regulated market Corporate Bonds – 4.05% Brazil 2,250,000 Telemar Norte Leste S.A. 144A(c) 9.500% 23/04/19 2,379,375 0.48

Colombia 1,910,000 TGI International Ltd. 144A(c) 9.500% 03/10/17 1,895,675 0.39

The accompanying notes are an integral part of these financial statements.

103 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) Ireland 5,700,000 VIP Finance Ireland Ltd. for OJSC Vimpel Communications 144A(c) 9.125% 30/04/18 4,745,250 0.97

Korea 6,130,000 Hana Bank 6.500% 09/04/12 6,436,500 1.31 4,190,000 Hana Bank 144A(c) 6.500% 09/04/12 4,387,483 0.90

10,823,983 2.21

TOTAL CORPORATE BONDS (cost USD 20,017,522) 19,844,283 4.05

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 20,017,522) 19,844,283 4.05

Other Transferable Securities Corporate Bonds – 0.83% Bermuda 3,900,000 Digicel Group Ltd. 8.875% 15/01/15 3,081,000 0.63

Cayman Islands 1,000,000 TGI International Ltd. 9.500% 03/10/17 995,000 0.20

TOTAL CORPORATE BONDS (cost USD 4,319,794) 4,076,000 0.83

Government Bonds – 2.31% Iraq 5,900,000 Republic of Iraq 5.800% 15/01/28 3,658,000 0.75

Qatar 2,950,000 Republic of Qatar 144A(c) 6.550% 09/04/19 3,060,625 0.62

South Africa 4,570,000 Republic of South Africa 6.875% 27/05/19 4,592,850 0.94

TOTAL GOVERNMENT BONDS (cost USD 11,755,926) 11,311,475 2.31

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 16,075,720) 15,387,475 3.14

Mutual Funds – 4.77% United States 23,398,097 Goldman Sachs US$ Liquid Reserves Fund(f)(g)(h) 23,398,097 4.77

TOTAL MUTUAL FUNDS (cost USD 23,398,097) 23,398,097 4.77

Time Deposits – 7.87% United States 38,588,259 Rabobank Nederland USD Time Deposit 0.120% 29/05/2009 38,588,259 7.87

TOTAL TIME DEPOSITS (cost USD 38,588,259) 38,588,259 7.87

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY AND SWAPS CONTRACTS (cost USD 477,304,428) 463,837,725 94.61

The accompanying notes are an integral part of these financial statements.

104 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (0.26%) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

03/08/2009 BRL 19,613,919 USD 9,184,000 566,407 0.11

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 566,407 0.11

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 USD 7,498,707 TRY 13,013,258 (914,730) (0.18) 23/06/2009 USD 1,974,782 MXN 26,390,000 (33,712) (0.01) 26/06/2009 USD 8,227,307 EUR 6,008,843 (247,577) (0.05) 30/06/2009 KRW 5,687,892,000 USD 4,583,313 (45,922) (0.01) 03/08/2009 USD 5,286,673 BRL 11,821,000 (589,744) (0.12)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (1,831,685) (0.37)

Swap Contracts – 0.12%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 110,000,000 Floating (BRL 1 month LIBOR) Fixed 9.959% BRL 04/01/2010 193,233 0.04 33,000,000 Floating (BRL 1 month LIBOR) Fixed 10.270% BRL 03/01/2011 89,271 0.02 110,000,000 Floating (MXN 1 month TIIE) Fixed 8.390% MXN 03/12/2010 329,977 0.06

UNREALISED GAIN ON INTEREST RATE SWAPS 612,481 0.12

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 612,481 0.12

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 41,280,000,000 Floating (KRW 3 month KORIBOR) Fixed 2.980% KRW 20/01/2011 (1,817) (0.00) 373,600,000 Floating (MXN 1 month TIIE) Fixed 5.930% MXN 27/05/2011 (10,882) (0.00)

UNREALISED LOSS ON INTEREST RATE SWAPS (12,699) 0.00

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (12,699) 0.00

MARKET VALUE OF INVESTMENTS (cost USD 477,304,428) 463,172,229 94.47

OTHER ASSETS AND LIABILITIES 27,111,122 5.53

SHAREHOLDERS’ EQUITY 490,283,351 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency and swaps contracts (cost USD 477,304,428) 463,837,725 94.61 Unrealised gain on forward currency contracts 566,407 0.11 Unrealised loss on forward currency contracts (1,831,685) (0.37) Unrealised gain on swaps contracts 612,481 0.12 Unrealised loss on swaps contracts (12,699) (0.00) Other Assets and Liabilities 27,111,122 5.53

Shareholders’ Equity 490,283,351 100.00

Rates disclosed for Corporate Bonds, Government Bonds and Time Deposits are those that were in effect at 31 May 2009. The counterparties for forward currency contracts were Barclays Bank Plc., HSBC Bank Plc., JP Morgan Chase Bank and Westpac Banking Corp. The counterparties for swaps contracts were Citibank NA, Credit Suisse International, Deutsche Bank AG and JP Morgan Chase Bank NA. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices.

The accompanying notes are an integral part of these financial statements.

105 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio Schedule of Investments As at 31 May 2009

(b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (d) Variable and floating coupon rates are those quoted as of 31 May 2009. (e) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future. (f) A related party to Goldman Sachs Funds. (g) This security is admitted to an official exchange listing. (h) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

106 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 23.35% British Pound Sterling 30,000 AMP Group Finance Services Ltd.(c) 7.125% 06/08/19 41,198 0.02 730,000 Eksportfinans A/S 6.000% 06/09/10 1,227,767 0.50 177,000 Kreditanstalt fuer Wiederaufbau 5.125% 07/01/11 301,475 0.12 123,000 Kreditanstalt fuer Wiederaufbau 5.250% 12/01/12 213,135 0.09 150,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 147,827 0.06 200,000 Resolution Plc.(c) 6.586% 29/11/49 48,468 0.02 150,000 SL Finance Plc.(c) 6.546% 29/01/49 113,900 0.05 2,093,770 0.86

Euro 350,000 Alliance & Leicester Plc. 5.000% 04/10/10 496,354 0.20 250,000 Allianz Finance II BV 5.000% 06/03/13 368,948 0.15 210,000 Allied Irish Banks Plc.(c) 7.500% 29/12/49 118,495 0.05 590,000 Anglo Irish Bank Corp., Plc.(c) 2.010% 25/06/14 424,465 0.17 100,000 ArcelorMittal 8.250% 03/06/13 144,297 0.06 150,000 Atlantia SpA 5.625% 06/05/16 215,764 0.09 100,000 Australia & New Zealand Banking Group Ltd. 5.250% 20/05/13 146,740 0.06 200,000 Autoroutes du Sud de la France 7.375% 20/03/19 296,414 0.12 400,000 Aviva Plc. 6.875% 22/05/38 356,054 0.15 550,000 AXA S.A.(c) 6.211% 29/10/49 442,239 0.18 600,000 BA Covered Bond Issuer 4.125% 05/04/12 818,121 0.33 350,000 BA Covered Bond Issuer 4.250% 05/04/17 407,419 0.17 550,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 620,686 0.25 200,000 Banco Bilbao Vizcaya Argentaria S.A. 4.500% 30/05/14 289,632 0.12 350,000 Banco Popolare Scarl(c) 6.156% 29/06/49 222,177 0.09 600,000 Banco Santander S.A. 3.875% 27/05/14 843,258 0.34 880,000 Bank Nederlandse Gemeenten 4.000% 15/02/12 1,289,413 0.53 400,000 BAT International Finance Plc. 5.875% 12/03/15 588,331 0.24 400,000 BNP Paribas 5.000% 16/12/13 592,800 0.24 300,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 169,151 0.07 400,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 589,155 0.24 200,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 276,448 0.11 700,000 Centrica Plc. 7.125% 09/12/13 1,093,202 0.45 700,000 Chester Asset Receivables Dealings No 11—Series A 6.125% 15/10/10 919,923 0.38 450,000 Commerzbank AG 5.000% 06/02/14 652,199 0.27 550,000 Commerzbank AG(c) 4.125% 13/09/16 543,100 0.22 150,000 Credit Suisse/London 6.125% 16/05/14 223,271 0.09 50,000 Deutsche Postbank Funding Trust IV(c) 5.983% 29/06/49 31,916 0.01 400,000 Diageo Finance Plc. 6.625% 05/12/14 619,225 0.25 900,000 Erste Group Bank AG 2.250% 13/05/11 1,271,477 0.52 200,000 France Telecom S.A. 5.625% 22/05/18 292,146 0.12 200,000 GE Capital European Funding 5.250% 18/05/15 279,831 0.11 650,000 Glencore Finance Europe S.A. 7.125% 23/04/15 738,132 0.30 140,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 73,072 0.03 350,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 511,250 0.21 500,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 738,863 0.30 550,000 ING Bank NV 4.750% 27/05/19 764,538 0.31 300,000 Intesa Sanpaolo SpA 5.000% 28/04/11 441,676 0.18 400,000 Intesa Sanpaolo SpA 6.625% 08/05/18 541,464 0.22 350,000 Intesa Sanpaolo SpA 8.047% 29/06/49 348,078 0.14 100,000 JPMorgan Chase & Co.(c) 4.375% 12/11/19 113,453 0.05 400,000 Kommunekredit 4.375% 02/10/12 586,024 0.24 100,000 Koninklijke KPN NV 6.500% 15/01/16 152,174 0.06 450,000 Kreditanstalt fuer Wiederaufbau 2.250% 21/05/12 633,859 0.26 801,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 1,148,755 0.47 750,000 LeasePlan Corp. NV 3.250% 22/05/14 1,046,223 0.43 300,000 Merrill Lynch & Co., Inc. 6.750% 21/05/13 417,990 0.17 500,000 Morgan Stanley 5.500% 02/10/17 624,911 0.26 350,000 MUFG Capital Finance 4 Ltd.(c) 5.271% 29/01/49 340,672 0.14 700,000 Oesterreichische Kontrollbank AG 3.500% 28/04/14 988,867 0.40 270,000 Resona Bank Ltd.(c) 3.750% 15/04/15 350,413 0.14 350,000 Resona Bank Ltd. 4.125% 31/12/49 345,609 0.14 250,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 349,668 0.14

The accompanying notes are an integral part of these financial statements.

107 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) Euro – (continued) 50,000 Royal Bank of Scotland Group Plc.(c) 7.092% 29/10/49 22,570 0.01 300,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 345,416 0.14 350,000 Royal KPN NV 4.750% 29/05/14 501,430 0.21 350,000 SL Finance Plc. 6.375% 12/07/22 363,462 0.15 100,000 SL Finance Plc.(c) 5.314% 29/01/49 69,122 0.03 1,000,000 Societe Financement de l’Economie Francaise 2.125% 20/05/12 1,407,744 0.58 300,000 Societe Generale(c) 7.756% 22/05/49 261,852 0.11 100,000 St George Bank Ltd. 6.500% 24/06/13 149,385 0.06 300,000 Sumitomo Mitsui Banking Corp.(c) 4.375% 31/12/49 317,396 0.13 1,400,000 Swedbank AB 3.375% 27/05/14 1,963,772 0.80 159,000 Telecom Italia Finance S.A. 7.750% 24/01/33 215,645 0.09 350,000 Telefonica Emisiones SAU 5.580% 12/06/13 521,549 0.21 550,000 Tesco Plc. 5.875% 12/09/16 824,876 0.34 150,000 UBS AG/Jersey(c) 4.500% 16/09/19 162,594 0.07 350,000 UBS AG/London 5.375% 11/04/11 505,784 0.21 200,000 UniCredit SpA 6.700% 05/06/18 223,252 0.09 50,000 UniCredito Italiano SpA(c) 4.125% 20/09/16 63,291 0.03 300,000 UT2 Funding Plc. 5.321% 30/06/16 97,335 0.04 500,000 Verizon Wireless Capital 8.750% 18/12/15 814,933 0.33 250,000 Wachovia Bank NA 6.000% 23/05/13 358,757 0.15 50,000 WM Covered Bond Program 4.375% 19/05/14 63,957 0.03 450,000 WM Covered Bond Program 4.000% 27/09/16 525,691 0.22 550,000 WPP Plc. 4.375% 05/12/13 699,280 0.29

37,377,435 15.29

United States Dollar 500,000 AT&T, Inc. 5.600% 15/05/18 485,753 0.20 450,000 AT&T, Inc. 6.300% 15/01/38 404,926 0.17 822,000 Bank Nederlandse Gemeenten 5.125% 20/10/11 877,871 0.36 1,000,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 160,000 0.07 240,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 247,594 0.10 100,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 101,941 0.04 230,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 257,779 0.11 130,000 Countrywide Home Loans, Inc. 5.625% 15/07/09 130,055 0.05 310,000 Crédit Suisse First Boston USA, Inc. 4.875% 15/08/10 315,869 0.13 207,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 174,603 0.07 250,000 Endurance Specialty Holdings Ltd. 7.000% 15/07/34 160,637 0.07 233,000 Energy Transfer Partners LP 5.650% 01/08/12 230,665 0.09 100,000 Energy Transfer Partners LP 8.500% 15/04/14 107,076 0.04 200,000 Energy Transfer Partners LP 9.000% 15/04/19 218,137 0.09 300,000 Enterprise Products Operating LLC 6.500% 31/01/19 279,285 0.11 1,200,000 Europaische Hypothekenbank S.A. Luxembourg 4.625% 30/09/10 1,184,964 0.48 377,000 HSBC Finance Corp.(c) 1.369% 24/04/12 333,197 0.14 600,000 HSBC Holdings Plc. 6.800% 01/06/38 552,599 0.23 100,000 ING Bank NV(c) 0.836% 23/05/16 75,554 0.03 560,000 Kreditanstalt fuer Wiederaufbau 5.125% 14/03/16 587,703 0.24 1,280,000 Landwirtschaftliche Rentenbank 5.000% 08/11/16 1,297,728 0.53 890,000 Landwirtschaftliche Rentenbank 5.125% 01/02/17 909,678 0.37 550,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 495,725 0.20 400,000 Merrill Lynch & Co., Inc. 6.875% 25/04/18 367,499 0.15 600,000 Nord/LB Covered Finance Banks S.A. 5.375% 05/06/17 493,163 0.20 700,000 NRW.BANK 4.750% 02/11/10 725,438 0.30 590,000 Petroleos Mexicanos 8.000% 03/05/19 641,625 0.26 500,000 Philip Morris International, Inc. 6.875% 17/03/14 552,442 0.23 450,000 Reed Elsevier Capital, Inc. 7.750% 15/01/14 470,147 0.19 290,000 Simon Property Group LP 5.600% 01/09/11 286,960 0.12 250,000 Simon Property Group, Inc. 5.300% 30/05/13 237,490 0.10 50,000 Simon Property Group, Inc. 6.125% 30/05/18 44,743 0.02 550,000 SLM Corp. 8.450% 15/06/18 369,406 0.15 850,000 Societe Financement de l’Economie Francaise 144A(d) 3.375% 05/05/14 840,991 0.34 271,000 Telecom Italia Capital S.A. 4.875% 01/10/10 274,268 0.11 300,000 Telecom Italia Capital S.A. 6.999% 04/06/18 284,171 0.12 50,000 Telecom Italia Capital S.A. 6.000% 30/09/34 38,228 0.02 530,000 Telefonica Europe BV 7.750% 15/09/10 560,413 0.23 250,000 Time Warner Cable, Inc. 8.750% 14/02/19 280,877 0.11

The accompanying notes are an integral part of these financial statements.

108 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 250,000 Time Warner Cable, Inc. 6.550% 01/05/37 224,413 0.09 250,000 Wells Fargo Capital XIII(c) 7.700% 29/12/49 195,000 0.08 675,000 Westpac Securities NZ Ltd. 144A(d) 2.500% 25/05/12 670,387 0.27 500,000 XTO Energy, Inc. 5.500% 15/06/18 472,210 0.19 17,619,210 7.20

TOTAL CORPORATE BONDS (cost USD 60,952,719) 57,090,415 23.35

Government Bonds – 39.69% British Pound Sterling 2,270,000 UK Treasury 5.250% 07/06/12 3,998,407 1.63 30,000 UK Treasury 5.000% 07/09/14 54,252 0.02 850,000 UK Treasury 4.750% 07/03/20 1,481,410 0.61 1,280,000 UK Treasury 4.250% 07/06/32 2,018,757 0.83 700,000 UK Treasury 4.500% 07/12/42 1,114,695 0.46 1,740,000 United Kingdom Gilt 2.250% 07/03/14 2,738,567 1.12 900,000 United Kingdom Gilt 4.000% 07/09/16 1,547,653 0.63

12,953,741 5.30

Danish Krone 4,000,000 Kingdom of Denmark 6.000% 15/11/11 829,352 0.34

Euro 410,000 Austria Government Bond 4.350% 15/03/19 578,638 0.24 210,000 Austria Government Bond 4.150% 15/03/37 266,548 0.11 2,220,000 Belgium Government Bond 3.500% 28/03/15 3,133,209 1.28 210,000 Bundesrepublik Deutschland 3.750% 04/01/19 300,058 0.12 1,100,000 Bundesrepublik Deutschland 4.750% 04/07/28 1,616,623 0.66 500,000 Bundesrepublik Deutschland 5.500% 04/01/31 799,909 0.33 590,000 Bundesrepublik Deutschland 4.250% 04/07/39 812,167 0.33 4,600,000 Bundesschatzanweisungen 1.250% 11/03/11 6,477,311 2.65 1,500,000 France Government Bond 3.000% 25/10/15 2,079,559 0.85 2,100,000 French Treasury Note BTAN 4.500% 12/07/12 3,171,360 1.30 925,000 French Treasury Note BTAN 3.750% 12/01/13 1,364,483 0.56 570,000 Government of France 4.250% 25/10/18 823,786 0.34 555,000 Government of France 5.500% 25/04/29 878,097 0.36 420,000 Government of France 4.000% 25/10/38 541,402 0.22 870,000 Government of Netherlands 4.250% 15/07/13 1,300,435 0.53 820,000 Government of Netherlands 3.250% 15/07/15 1,151,482 0.47 800,000 Hellenic Republic Government Bond 6.000% 19/07/19 1,173,492 0.48 630,000 Hellenic Republic Government Bond 4.700% 20/03/24 797,777 0.33 290,000 Ireland Government Bond 4.400% 18/06/19 375,232 0.15 1,350,000 Italy Buoni Poliennali Del Tesoro 4.250% 15/10/12 1,994,074 0.81 500,000 Italy Buoni Poliennali Del Tesoro 4.250% 01/08/13 734,744 0.30 1,650,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/02/18 2,373,659 0.97 350,000 Italy Buoni Poliennali Del Tesoro 5.250% 01/11/29 494,863 0.20 320,000 Italy Buoni Poliennali Del Tesoro 6.000% 01/05/31 487,715 0.20 750,000 Italy Buoni Poliennali Del Tesoro 5.000% 01/08/34 1,020,482 0.42 1,670,000 Republic of Finland 3.125% 15/09/14 2,354,490 0.96 390,000 Republic of Finland 4.375% 04/07/19 563,187 0.23 200,000 Republic of Italy 6.500% 01/11/27 321,558 0.13

37,986,340 15.53

Japanese Yen 310,000,000 Government of Japan 0.800% 20/06/09 3,241,414 1.33 570,000,000 Government of Japan 1.300% 20/06/11 6,072,691 2.48 350,000,000 Government of Japan 1.500% 20/06/12 3,767,480 1.54 186,000,000 Government of Japan 1.000% 20/06/13 1,967,985 0.80 480,000,000 Government of Japan 1.200% 20/09/13 5,115,852 2.09 29,203,000 Government of Japan 0.800% 10/12/15 262,374 0.11 169,512,000 Government of Japan 1.000% 10/06/16 1,516,775 0.62 81,000,000 Government of Japan 1.700% 20/09/16 874,866 0.36

The accompanying notes are an integral part of these financial statements.

109 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – (continued) Japanese Yen – (continued) 100,000,000 Government of Japan 1.700% 20/12/16 1,079,977 0.44 137,685,000 Government of Japan 1.200% 10/03/17 1,237,028 0.51 259,000,000 Government of Japan 1.500% 20/09/18 2,718,194 1.11 170,000,000 Government of Japan 1.300% 20/12/18 1,749,544 0.72 251,000,000 Government of Japan 1.900% 20/03/24 2,628,593 1.08 148,000,000 Government of Japan 2.100% 20/06/27 1,547,467 0.63 60,000,000 Government of Japan 2.100% 20/03/29 622,830 0.25 90,000,000 Government of Japan 2.400% 20/03/34 967,238 0.40 50,000,000 Government of Japan 2.500% 20/09/37 548,184 0.22

35,918,492 14.69

South Korean Won 1,500,000,000 Korea Treasury Bond 5.000% 10/03/11 1,242,822 0.51

Swedish Krona 4,850,000 Kingdom of Sweden 6.750% 05/05/14 754,892 0.31

United States Dollar 500,000 Development Bank of Japan 5.125% 01/02/17 521,215 0.21 200,000 Export Development Canada 3.125% 24/04/14 193,280 0.08 600,000 Japan Bank for International Cooperation 4.875% 22/03/12 638,016 0.26 1,300,000 Kommunalbanken AS 5.125% 30/05/12 1,381,484 0.57 500,000 Province of Quebec Canada 5.125% 14/11/16 490,869 0.20 900,000 Tennessee Valley Authority 5.500% 18/07/17 959,765 0.39 200,000 Tennessee Valley Authority 5.375% 01/04/56 190,319 0.08 40,000 United States Treasury Bonds 7.500% 15/11/24 54,038 0.02 2,680,000 United States Treasury Notes 5.250% 15/11/28 2,931,973 1.20

7,360,959 3.01

TOTAL GOVERNMENT BONDS (cost USD 91,518,438) 97,046,598 39.69

Supranationals – 2.22% Euro 890,000 European Investment Bank 4.250% 15/10/14 1,313,682 0.54

United States Dollar 1,250,000 European Investment Bank 3.000% 08/04/14 1,243,935 0.51 2,100,000 European Investment Bank 3.125% 04/06/14 2,084,040 0.85 400,000 Inter-American Development Bank 3.000% 22/04/14 393,700 0.16 400,000 International Finance Corp. 3.000% 22/04/14 385,333 0.16

4,107,008 1.68

TOTAL SUPRANATIONALS (cost USD 5,443,646) 5,420,690 2.22

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 157,914,803) 159,557,703 65.26

Transferable securities dealt in another regulated market Corporate Bonds – 4.61% United States Dollar 500,000 Altria Group, Inc. 9.700% 10/11/18 551,134 0.22 800,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/14 833,031 0.34 300,000 Anz Capital Trust I 144A(d) 5.360% 29/12/49 230,191 0.09 650,000 ArcelorMittal 9.850% 01/06/19 657,051 0.27 250,000 Bank of America Corp. 7.375% 15/05/14 259,905 0.11 200,000 Bank of America Corp. 7.625% 01/06/19 199,298 0.08 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 39,271 0.02 125,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 82,034 0.03 150,000 Canadian Natural Resources Ltd. 6.750% 01/02/39 134,652 0.05 250,000 Capital One Financial Corp. 7.375% 23/05/14 253,794 0.10

The accompanying notes are an integral part of these financial statements.

110 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 200,000 Comcast Corp. 5.700% 15/05/18 194,862 0.08 450,000 Comcast Corp. 6.400% 15/05/38 407,773 0.17 780,000 COX Communications, Inc. 4.625% 15/01/10 782,649 0.32 200,000 Deutsche Telekom International Finance BV 6.750% 20/08/18 211,012 0.09 650,000 JPMorgan Chase & Co.(c) 7.900% 29/04/49 533,117 0.22 200,000 Morgan Stanley 6.000% 13/05/14 199,500 0.08 750,000 Morgan Stanley 6.000% 28/04/15 734,972 0.30 550,000 Pfizer, Inc. 7.200% 15/03/39 598,571 0.24 250,000 Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.832% 30/09/16 245,275 0.10 550,000 Roche Holdings, Inc. 144A(d) 5.000% 01/03/14 575,674 0.24 2,075,000 Royal Bank of Scotland Plc. 144A(d) 2.625% 11/05/12 2,070,278 0.85 200,000 Swiss Re Capital I LP 144A(c)(d) 6.854% 29/05/49 115,257 0.05 325,000 Telefonica Emisiones SAU 7.045% 20/06/36 342,125 0.14 50,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 52,121 0.02 350,000 Unicredit Luxembourg Finance S.A. 144A(c)(d) 5.584% 13/01/17 240,627 0.10 600,000 ZFS Finance USA Trust I 144A(c)(d) 6.150% 15/12/65 387,000 0.16 543,000 ZFS Finance USA Trust I 144A(d) 6.450% 15/12/65 342,090 0.14

11,273,264 4.61

TOTAL CORPORATE BONDS (cost USD 11,780,113) 11,273,264 4.61

Government Bonds – 2.47% Canadian Dollar 2,550,000 Government of Canada 3.500% 01/06/13 2,429,854 0.99 950,000 Government of Canada 4.500% 01/06/15 946,208 0.39 700,000 Government of Canada 8.000% 01/06/27 945,338 0.39 600,000 Government of Canada 5.750% 01/06/33 674,521 0.28

4,995,921 2.05

United States Dollar 200,000 United States Treasury Note/Bond 1.375% 15/05/12 199,204 0.08 500,000 United States Treasury Note/Bond 3.125% 15/05/19 477,265 0.20 400,000 United States Treasury Principal-Only Stripped 4.505% 15/11/21 223,689 0.09 300,000 United States Treasury Strip Principal 4.580% 15/02/27 130,671 0.05

1,030,829 0.42

TOTAL GOVERNMENT BONDS (cost USD 5,411,597) 6,026,750 2.47

Preferred Stocks – 0.15% United States Dollar 140,000 Resona Preferred Global Securities Cayman Ltd.(c) 7.191% 29/12/49 99,876 0.04 390,000 Resona Preferred Global Securities Cayman Ltd. 144A(c)(d) 7.191% 29/12/49 269,100 0.11

368,976 0.15

TOTAL PREFERRED STOCKS (cost USD 534,509) 368,976 0.15

Agencies Asset Backed Obligations – 15.34% United States Dollar 800,000 Federal Home Loan Mortgage Corp. (FHLMC) 2.125% 23/03/12 808,990 0.33 400,000 Federal Home Loan Mortgage Corp. (FHLMC) 1.750% 15/06/12 398,418 0.16 22,727 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/17 23,786 0.01 286,422 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/18 296,694 0.12 1,000,000 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 15/05/18 1,019,432 0.42 134,854 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 141,033 0.06 125,923 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 131,693 0.05 57,280 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 59,904 0.03 21,858 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 22,856 0.01 31,137 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 32,558 0.01 20,718 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/18 21,671 0.01

The accompanying notes are an integral part of these financial statements.

111 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 615,822 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/20 635,051 0.26 32,688 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/35 33,144 0.01 288,050 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/36 292,071 0.12 268,050 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/36 271,791 0.11 142,779 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/36 144,861 0.06 321,182 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 329,582 0.14 216,889 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/37 222,562 0.09 160,248 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/37 170,820 0.07 60,704 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/37 62,292 0.03 253,699 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/10/37 271,112 0.11 24,534 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 25,175 0.01 926,085 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 956,219 0.39 908,171 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 946,064 0.39 868,111 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 890,769 0.37 254,819 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/38 261,470 0.11 399,372 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/39 404,447 0.17 2,000,000 Federal Home Loan Mortgage Corp. (FHLMC) TBA(e) 4.500% 01/12/99 2,027,500 0.83 1,962,865 Federal Home Loan Mortgage Corp. Remic(c) 0.684% 15/02/37 1,918,121 0.79 422,491 Federal Home Loan Mortgage Corp. Remic(c) 0.794% 15/07/37 415,284 0.17 800,000 Federal National Mortgage Association (FNMA) 1.750% 23/03/11 810,070 0.33 200,000 Federal National Mortgage Association (FNMA) 1.875% 20/04/12 200,289 0.08 207,436 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 214,857 0.09 99,884 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 103,457 0.04 152,381 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 157,832 0.07 44,225 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 45,813 0.02 67,668 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 70,098 0.03 197,215 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 204,297 0.08 32,969 Federal National Mortgage Association (FNMA) 5.000% 01/05/18 34,153 0.01 80,117 Federal National Mortgage Association (FNMA) 5.000% 01/05/18 82,994 0.03 52,872 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 54,771 0.02 129,224 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 130,369 0.05 306,279 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 308,991 0.13 43,890 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 44,278 0.02 29,226 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 29,485 0.01 87,548 Federal National Mortgage Association (FNMA) 5.000% 01/11/18 90,692 0.04 370,282 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 379,877 0.16 15,982 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 16,396 0.01 61,341 Federal National Mortgage Association (FNMA) 5.000% 01/02/19 63,360 0.03 113,299 Federal National Mortgage Association (FNMA) 5.000% 01/03/19 117,028 0.05 90,663 Federal National Mortgage Association (FNMA) 5.000% 01/03/19 93,647 0.04 79,577 Federal National Mortgage Association (FNMA) 5.000% 01/03/19 82,195 0.03 165,336 Federal National Mortgage Association (FNMA) 5.000% 01/03/19 170,777 0.07 125,713 Federal National Mortgage Association (FNMA) 5.000% 01/04/19 129,849 0.05 171,266 Federal National Mortgage Association (FNMA) 4.000% 01/06/19 172,783 0.07 115,967 Federal National Mortgage Association (FNMA) 5.000% 01/08/19 119,783 0.05 107,830 Federal National Mortgage Association (FNMA) 5.000% 01/08/19 111,378 0.05 97,890 Federal National Mortgage Association (FNMA) 5.000% 01/10/19 101,111 0.04 3,385,163 Federal National Mortgage Association (FNMA) 5.000% 01/08/20 3,503,247 1.43 39,915 Federal National Mortgage Association (FNMA) 4.500% 01/12/20 40,725 0.02 32,789 Federal National Mortgage Association (FNMA) 4.500% 01/04/22 33,304 0.01 81,091 Federal National Mortgage Association (FNMA) 4.500% 01/04/23 82,364 0.03 476,015 Federal National Mortgage Association (FNMA) 4.500% 01/04/23 483,484 0.20 90,604 Federal National Mortgage Association (FNMA) 4.500% 01/05/23 92,026 0.04 31,869 Federal National Mortgage Association (FNMA) 4.500% 01/10/23 32,369 0.01 93,196 Federal National Mortgage Association (FNMA) 6.500% 01/11/26 99,220 0.04 4,377 Federal National Mortgage Association (FNMA) 5.500% 01/09/33 4,515 0.00 73,469 Federal National Mortgage Association (FNMA) 5.500% 01/01/34 75,677 0.03 5,661 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 5,838 0.00 27,952 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 28,793 0.01 883 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 913 0.00 355,123 Federal National Mortgage Association (FNMA)(c) 5.138% 01/07/34 370,660 0.15 943,205 Federal National Mortgage Association (FNMA) 5.000% 01/07/34 958,051 0.39 21,219 Federal National Mortgage Association (FNMA) 5.500% 01/10/34 21,844 0.01 62,279 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 64,226 0.03 166,840 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 171,751 0.07

The accompanying notes are an integral part of these financial statements.

112 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 13,765 Federal National Mortgage Association (FNMA) 5.500% 01/07/35 14,158 0.01 7,468 Federal National Mortgage Association (FNMA) 5.500% 01/09/35 7,704 0.00 15,877 Federal National Mortgage Association (FNMA) 5.500% 01/06/36 16,307 0.01 5,641 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 5,811 0.00 5,111,716 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 5,256,607 2.15 35,523 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 36,700 0.02 1,846 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 1,901 0.00 142,444 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 148,640 0.06 21,588 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 22,303 0.01 114,164 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 117,946 0.05 23,056 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 23,820 0.01 23,516 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 24,295 0.01 19,794 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 20,324 0.01 16,766 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 17,215 0.01 17,216 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 17,677 0.01 21,131 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 21,697 0.01 819 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 844 0.00 53,718 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 56,146 0.02 24,389 Federal National Mortgage Association (FNMA) 5.500% 01/08/37 25,200 0.01 29,258 Federal National Mortgage Association (FNMA) 5.500% 01/10/37 30,232 0.01 225,399 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 235,621 0.10 9,191 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 9,468 0.00 103,475 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 106,596 0.04 15,779 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 16,255 0.01 8,741 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 9,005 0.00 23,123 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 23,820 0.01 23,722 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 24,438 0.01 329,797 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 339,742 0.14 90,978 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 93,410 0.04 229,929 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 236,074 0.10 70,562 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 73,817 0.03 41,739 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 43,522 0.02 96,325 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 98,849 0.04 35,943 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 36,903 0.02 10,739 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 11,064 0.01 66,437 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 68,451 0.03 1,343 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,384 0.00 2,069 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 2,132 0.00 100,747 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 103,440 0.04 52,303 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 53,701 0.02 7,396 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 7,620 0.00 34,178 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 35,073 0.01 43,942 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 45,785 0.02 28,709 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 29,673 0.01 158,661 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 162,901 0.07 110,952 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 113,917 0.05 23,151 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 23,770 0.01 4,238 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 4,367 0.00 1,559 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 1,607 0.00 38,830 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 40,007 0.02 144,088 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 150,735 0.06 80,828 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 84,556 0.04 8,776 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 9,042 0.00 30,216 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 31,132 0.01 25,450 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 26,130 0.01 11,873 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 12,233 0.01 10,481 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 10,798 0.01 11,524 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 11,874 0.01 28,462 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 29,222 0.01 20,799 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 21,355 0.01 16,598 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 17,101 0.01 26,875 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 27,690 0.01 11,957 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 12,320 0.01 4,119 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 4,244 0.00 43,609 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 44,931 0.02

The accompanying notes are an integral part of these financial statements.

113 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 9,271 Federal National Mortgage Association (FNMA) 5.500% 01/03/39 9,552 0.00 1,000,000 Federal National Mortgage Association (FNMA) TBA(e) 5.500% 01/12/99 1,025,312 0.42 1,000,000 Federal National Mortgage Association Guaranteed 4.500% 25/11/16 1,028,024 0.42 1,000,000 Federal National Mortgage Association Guaranteed 4.500% 25/03/17 1,029,535 0.42 352,056 Federal National Mortgage Association Remic(c) 1.149% 25/04/48 348,388 0.14 1,840,967 Federal National Mortgage Association Remic(c) 1.249% 25/07/48 1,821,734 0.75 7,551 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/23 7,840 0.00 4,210 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/23 4,356 0.00 4,355 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/23 4,507 0.00 11,597 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/23 11,994 0.01 2,663 Government National Mortgage Association (GNMA)(c) 4.375% 20/03/24 2,766 0.00 7,544 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/24 7,835 0.00 16,475 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/24 17,112 0.01 2,905 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/24 3,017 0.00 4,890 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 5,083 0.00 13,083 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 13,598 0.01 6,437 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 6,690 0.00 8,044 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/24 8,322 0.00 8,113 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/24 8,393 0.00 7,831 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/24 8,108 0.00 15,076 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/24 15,608 0.01 4,491 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/24 4,649 0.00 2,857 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/24 2,956 0.00 7,063 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/24 7,298 0.00 3,388 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/24 3,520 0.00 2,604 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/24 2,690 0.00 4,989 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/25 5,182 0.00 2,444 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/25 2,539 0.00 8,529 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/25 8,865 0.00 7,463 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/25 7,725 0.00 3,155 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/26 3,278 0.00 203 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/26 210 0.00 4,977 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/27 5,169 0.00 4,274 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/27 4,440 0.00 3,065 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/27 3,184 0.00 13,373 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/27 13,900 0.01 11,363 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/27 11,810 0.01 3,043 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/27 3,163 0.00 2,893 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/27 3,007 0.00 929 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/27 961 0.00 3,699 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/27 3,825 0.00 7,776 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/28 8,077 0.00 3,235 Government National Mortgage Association (GNMA)(c) 4.250% 20/02/28 3,360 0.00 2,968 Government National Mortgage Association (GNMA)(c) 4.375% 20/03/28 3,083 0.00 18,760 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/29 19,428 0.01 7,710 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/29 7,991 0.00 2,500 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/29 2,588 0.00 2,369 Government National Mortgage Association (GNMA)(c) 4.125% 20/10/29 2,450 0.00 5,354 Government National Mortgage Association (GNMA)(c) 4.125% 20/10/29 5,536 0.00 6,325 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/29 6,540 0.00 3,621 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/29 3,745 0.00 704 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/29 729 0.00 1,689 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/29 1,747 0.00 4,016 Government National Mortgage Association (GNMA)(c) 4.250% 20/01/30 4,171 0.00 1,988 Government National Mortgage Association (GNMA)(c) 4.250% 20/02/30 2,065 0.00 7,949 Government National Mortgage Association (GNMA)(c) 4.250% 20/03/30 8,257 0.00 7,518 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/30 7,814 0.00 2,518 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/30 2,618 0.00 10,507 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/30 10,921 0.01 14,042 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/30 14,595 0.01 2,488 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/30 2,586 0.00 26,365 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/30 27,311 0.01

The accompanying notes are an integral part of these financial statements.

114 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 3,886 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/30 4,025 0.00 6,226 Government National Mortgage Association (GNMA)(c) 3.875% 20/10/30 6,400 0.00

37,498,491 15.34

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost USD 36,756,162) 37,498,491 15.34

Non-Agencies Asset Backed Obligations – 5.74% British Pound Sterling 181,130 European Loan Conduit(c) 1.715% 25/07/14 117,054 0.05

Euro 140,324 JLOC Ltd.(c) 1.471% 16/02/16 163,307 0.07 500,000 Pillar Funding Plc.(c) 1.391% 15/11/12 638,474 0.26 459,664 Titan Europe Plc.(c) 1.575% 23/04/17 282,015 0.11

1,083,796 0.44

Japanese Yen 25,324,000 JLOC Ltd.(c) 0.794% 15/01/15 237,714 0.10 14,034,000 JLOC Ltd.(c) 0.796% 16/02/16 123,888 0.05

361,602 0.15

United States Dollar 17,363 American Home Mortgage Investment Trust(c) 0.679% 25/10/34 12,918 0.01 587,808 Banc of America Funding Corp.(c) 0.506% 20/10/46 282,328 0.12 2,446,465 Chaseflex Trust(c) 0.769% 25/07/37 1,121,255 0.46 1,000,000 Citigroup Commercial Mortgage Trust “A3”(c) 5.726% 15/03/49 801,305 0.33 763,597 Citigroup Mortgage Loan Trust, Inc. “1A2”(c) 0.659% 25/11/36 328,647 0.13 500,000 Citigroup/Deutsche Bank Commercial Mortgage Trust(c) 5.225% 15/07/44 422,675 0.17 867,748 Countrywide Alternative Loan Trust 5.500% 25/10/35 702,868 0.29 1,026,425 Countrywide Alternative Loan Trust(c) 0.579% 25/02/36 448,107 0.18 800,546 Countrywide Alternative Loan Trust(c) 0.709% 25/12/36 284,571 0.12 911,884 Countrywide Alternative Loan Trust(c) 0.759% 25/01/37 355,700 0.14 967,372 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 373,593 0.15 428,198 Countrywide Home Equity Loan Trust(c) 0.494% 15/11/36 153,498 0.06 183,416 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 60,903 0.02 168,411 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 58,586 0.02 297,070 Harborview Mortgage Loan Trust(c) 0.568% 19/03/36 118,696 0.05 867,116 Indymac Index Mortgage Loan Trust(c) 0.609% 25/07/36 356,251 0.15 1,000,000 LB-UBS Commercial Mortgage Trust 5.156% 15/02/31 802,465 0.33 1,358,177 Lehman Mortgage Trust(c) 0.659% 25/09/36 516,060 0.21 185,110 Luminent Mortgage Trust(c) 0.499% 25/07/36 78,857 0.03 1,000,000 Merrill Lynch First Franklin Mortgage Loan Trust(c) 0.439% 25/06/37 382,967 0.16 359,632 Morgan Stanley Mortgage Loan Trust(c) 4.635% 25/09/34 291,642 0.12 879,315 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 445,148 0.18 594,195 Residential Accredit Loans, Inc. 5.750% 25/09/35 437,742 0.18 1,996,760 Residential Asset Securitization Trust(c) 0.679% 25/09/36 897,032 0.37 267,074 Sequoia Mortgage Trust(c) 1.971% 20/11/34 178,634 0.07 371,076 Thornburg Mortgage Securities Trust “A1”(c) 0.429% 25/09/46 331,886 0.14 1,370,601 United States Treasury Inflation Indexed Bonds 1.750% 15/01/28 1,234,610 0.50 681,515 Wells Fargo Mortgage Backed Securities Trust “2A1”(c) 5.240% 25/04/36 454,626 0.19 400,000 Yapi Kredi DPR Finance Co. “A”(c) 1.003% 21/11/14 311,060 0.13 300,000 Yapi Kredi DPR Finance Co. “B”(c) 0.973% 21/11/14 233,061 0.09

12,477,691 5.10

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost USD 20,602,549) 14,040,143 5.74

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 75,084,930) 69,207,624 28.31

The accompanying notes are an integral part of these financial statements.

115 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Other Transferable Securities Corporate Bonds – 1.07% Australian Dollar 1,300,000 National Australia Bank Ltd. 5.750% 19/12/13 1,051,698 0.43

Euro 200,000 Inbev NV 8.625% 30/01/17 315,215 0.13 400,000 US Bank NA 4.375% 28/02/17 455,245 0.19

770,460 0.32

United States Dollar 450,000 American Express Centurion Bank 5.200% 26/11/10 449,973 0.18 300,000 BAT International Finance Plc. 144A(d) 9.500% 15/11/18 339,155 0.14

789,128 0.32

TOTAL CORPORATE BONDS (cost USD 2,425,013) 2,611,286 1.07

Government Bonds – 0.79% United States Dollar 300,000 Federal Farm Credit Bank 4.650% 12/12/16 309,226 0.13 800,000 Federal Farm Credit Bank 5.050% 06/11/17 820,298 0.33 800,000 Federal Home Loan Banks 1.625% 16/03/11 807,825 0.33 1,937,349 0.79

TOTAL GOVERNMENT BONDS (cost USD 1,902,989) 1,937,349 0.79

Supranationals – 0.37% United States Dollar 760,000 Inter-American Development Bank 7.000% 15/06/25 893,802 0.37

TOTAL SUPRANATIONALS (cost USD 892,718) 893,802 0.37

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 5,220,720) 5,442,437 2.23

Mutual Funds – 2.86% United States Dollar 6,994,819 Goldman Sachs US$ Liquid Reserves Fund(f)(g)(h) 6,994,819 2.86

TOTAL MUTUAL FUNDS (cost USD 6,994,819) 6,994,819 2.86

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost USD 245,215,272) 241,202,583 98.66

Futures Contracts – 0.00% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

AUD (56) Australia Treasury Bonds 3YR 15/06/09 Short 13,412 0.01

EUR (99) German Federal Republic Bonds 08/06/09 Short 130,986 0.05 214 German Federal Republic Bonds 08/06/09 Long 54,641 0.02

185,627 0.07

GBP (36) UK Treasury Bonds 28/09/09 Short 30,082 0.01

The accompanying notes are an integral part of these financial statements.

116 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

USD 3 EURODOLLAR 15/06/09 Long 4,575 0.00 2 EURODOLLAR 14/12/09 Long 2,500 0.00 2 EURODOLLAR 14/09/09 Long 2,925 0.00 (41) US Treasury Notes 5YR 30/09/09 Short 16,938 0.01 26,938 0.01

UNREALISED GAIN ON FUTURES CONTRACTS 256,059 0.10

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

EUR 65 German Federal Republic Bonds 08/06/09 Long (184,259) (0.08)

JPY 2 Government of Japan 10YR 11/06/09 Long (49,130) (0.02)

USD

(22) US Treasury Notes 2YR 30/09/09 Short (1,172) (0.00) 25 US Treasury Notes 10YR 21/09/09 Long (8,531) (0.00) 3 US Treasury Bonds 30YR 21/09/09 Long (47) (0.00)

(9,750) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (243,139) (0.10)

Forward Currency Contracts – 0.02% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

08/06/2009 SEK 1,910,000 USD 233,211 19,265 0.01 10/06/2009 JPY 829,496,213 USD 8,597,720 73,935 0.03 18/06/2009 NOK 1,532,028 USD 239,327 3,772 0.00 19/06/2009 SGD 447,128 USD 304,169 5,502 0.00 22/06/2009 ZAR 3,032,000 USD 358,494 21,035 0.01 23/06/2009 MXN 8,321,000 USD 622,666 10,630 0.01 20/07/2009 HUF 49,439,000 USD 231,836 12,149 0.01 21/07/2009 PLN 1,524,349 USD 459,612 18,239 0.01 22/07/2009 CZK 4,770,000 USD 243,442 6,798 0.00 22/07/2009 MYR 1,432,000 USD 406,703 2,283 0.00 22/07/2009 TWD 30,489,000 USD 933,813 10,561 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 184,169 0.08

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

10/06/2009 USD 831,746 JPY 80,479,988 (9,602) (0.00) 26/06/2009 USD 5,527,603 EUR 3,990,175 (100,148) (0.04) 02/07/2009 USD 2,682,422 GBP 1,674,379 (22,420) (0.01) 22/07/2009 KRW 1,007,036,000 USD 814,886 (11,014) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (143,184) (0.06)

The accompanying notes are an integral part of these financial statements.

117 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (0.09%)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 1,530,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 60,643 0.02 1,530,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 57,042 0.02 1,540,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 59,195 0.02 1,540,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 65,661 0.03 1,510,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 49,580 0.02 460,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 18,278 0.01 1,160,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 36,735 0.02 3,280,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 13,591 0.01 3,650,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 14,608 0.01 2,760,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2015 269,517 0.11 460,000 Fixed 3.500% Floating (GBP 6 month LIBOR) GBP 16/12/2014 4,762 0.00 50,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 1,066 0.00 930,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 20,767 0.01 720,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 5,163 0.00 720,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 6,805 0.00 920,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 11,896 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 695,309 0.29

Credit Default Swaps 400,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 10,671 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 10,671 0.00

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 705,980 0.29

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 1,250,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (15,628) (0.01) 1,250,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (13,984) (0.01) 1,250,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (14,360) (0.01) 1,250,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (17,287) (0.01) 1,230,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (13,262) (0.01) 590,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (31,604) (0.01) 590,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (29,961) (0.01) 570,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (31,219) (0.01) 570,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (34,932) (0.01) 560,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (23,826) (0.01) 6,000,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 (717) (0.00) 2,760,000 Fixed 4.500% Floating (EUR 6 month LIBOR) EUR 17/12/2015 (171,115) (0.07) 490,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 17/06/2014 (3,578) (0.00) 490,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (3,413) (0.00) 763,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (191,113) (0.08) 574,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (5,925) (0.00) 640,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (6,666) (0.00) 2,360,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (19,590) (0.01) 40,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (3,896) (0.00) 400,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (32,878) (0.01) 480,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (19,531) (0.01) 600,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (60,127) (0.03)

UNREALISED LOSS ON INTEREST RATE SWAPS (744,612) (0.31)

The accompanying notes are an integral part of these financial statements.

118 Goldman Sachs Funds—Global Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Credit Default Swaps 100,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (973) (0.00) 300,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (2,839) (0.00) 400,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (8,102) (0.00) 3,900,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (166,216) (0.07)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (178,130) (0.07)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (922,742) (0.38)

MARKET VALUE OF INVESTMENTS (cost USD 245,215,272) 241,039,726 98.59

OTHER ASSETS AND LIABILITIES 3,454,298 1.41

SHAREHOLDERS’ EQUITY 244,494,024 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency, futures and swaps contracts (cost USD 245,215,272) 241,202,583 98.65 Unrealised gain on futures contracts 256,059 0.10 Unrealised loss on futures contracts (243,139) (0.10) Unrealised gain on forward currency contracts 184,169 0.08 Unrealised loss on forward currency contracts (143,184) (0.06) Unrealised gain on swaps contracts 705,980 0.29 Unrealised loss on swaps contracts (922,742) (0.38) Other Assets and Liabilities 3,454,298 1.41

Shareholders’ Equity 244,494,024 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranationals, Preferred Stocks, Agencies Asset Backed Obligations and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Credit Suisse London Branch, Deutsche Bank AG London, JP Morgan Chase Bank NA and Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada, Royal Bank of Scotland and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (f) A related party to Goldman Sachs Funds. (g) This security is admitted to an official exchange listing. (h) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

119 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 31.98% British Pound Sterling 100,000 Glencore Finance Europe S.A. 6.500% 27/02/19 74,444 0.08 50,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 34,931 0.04 50,000 Resolution Plc.(c) 6.586% 29/11/49 8,589 0.01 150,000 SL Finance Plc.(c) 6.546% 29/01/49 80,743 0.08

198,707 0.21

Euro 50,000 Alliance & Leicester Plc. 5.000% 04/10/10 50,266 0.05 100,000 Allianz Finance II BV 5.000% 06/03/13 104,618 0.11 190,000 Allied Irish Banks Plc.(c) 7.500% 29/12/49 76,000 0.08 200,000 Anglo Irish Bank Corp., Plc.(c) 2.010% 25/06/14 102,000 0.11 100,000 ArcelorMittal 8.250% 03/06/13 102,291 0.11 100,000 Atlantia SpA 5.625% 06/05/16 101,969 0.11 60,000 Australia & New Zealand Banking Group Ltd. 5.250% 20/05/13 62,414 0.07 100,000 Autoroutes du Sud de la France 7.375% 20/03/19 105,063 0.11 260,000 Aviva Plc. 6.875% 22/05/38 164,063 0.17 560,000 AXA S.A.(c) 6.211% 29/10/49 319,200 0.34 100,000 BA Covered Bond Issuer 4.125% 05/04/12 96,660 0.10 50,000 BA Covered Bond Issuer 4.250% 05/04/17 41,260 0.04 193,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 154,400 0.16 50,000 Banco Bilbao Vizcaya Argentaria S.A. 4.500% 30/05/14 51,330 0.05 300,000 Banco Popolare Scarl(c) 6.156% 29/06/49 135,000 0.14 400,000 Banco Santander S.A. 3.875% 27/05/14 398,520 0.42 360,000 BAT International Finance Plc. 5.875% 12/03/15 375,358 0.40 200,000 BNP Paribas 5.000% 16/12/13 210,116 0.22 100,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 39,970 0.04 300,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 313,236 0.33 250,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 244,965 0.26 350,000 Centrica Plc. 7.125% 09/12/13 387,481 0.41 300,000 Commerzbank AG 5.000% 06/02/14 308,226 0.33 250,000 Commerzbank AG(c) 4.125% 13/09/16 175,000 0.18 150,000 Credit Suisse/London 6.125% 16/05/14 158,275 0.17 50,000 DaimlerChrysler NA Holding Corp. 4.375% 16/03/10 50,511 0.05 250,000 Diageo Finance Plc. 6.625% 05/12/14 274,352 0.29 200,000 E.ON International Finance BV 5.125% 02/10/12 211,826 0.22 600,000 Erste Group Bank AG 2.250% 13/05/11 600,894 0.63 130,000 France Telecom S.A. 5.625% 22/05/18 134,615 0.14 130,000 GE Capital European Funding 5.250% 18/05/15 128,940 0.14 300,000 Glencore Finance Europe S.A. 7.125% 23/04/15 241,503 0.25 50,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 18,500 0.02 240,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 248,518 0.26 400,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 419,020 0.44 900,000 ING Bank NV 3.375% 03/03/14 904,149 0.95 375,000 ING Bank NV 4.750% 27/05/19 369,529 0.39 250,000 Intesa Sanpaolo SpA 5.000% 28/04/11 260,917 0.28 400,000 Intesa Sanpaolo SpA 6.625% 08/05/18 383,840 0.40 200,000 Intesa Sanpaolo SpA(c) 8.047% 29/06/49 141,000 0.15 250,000 JPMorgan Chase & Co.(c) 4.375% 12/11/19 201,065 0.21 100,000 Kommunekredit 4.375% 02/10/12 103,857 0.11 200,000 Koninklijke KPN NV 6.500% 15/01/16 215,750 0.23 300,000 Kreditanstalt fuer Wiederaufbau 2.250% 21/05/12 299,559 0.32 900,000 Kreditanstalt fuer Wiederaufbau 3.125% 25/02/14 903,267 0.95 464,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 471,730 0.50 500,000 LeasePlan Corp. NV 3.250% 22/05/14 494,440 0.52 200,000 Merrill Lynch & Co., Inc. 6.750% 21/05/13 197,540 0.21 560,000 Morgan Stanley 5.500% 02/10/17 496,154 0.52 220,000 MUFG Capital Finance 4 Ltd.(c) 5.271% 29/01/49 151,800 0.16 475,000 Oesterreichische Kontrollbank AG 3.500% 28/04/14 475,679 0.50 50,000 Old Mutual Plc.(c) 4.500% 18/01/17 22,000 0.02 100,000 Philip Morris International, Inc. 5.750% 24/03/16 104,590 0.11 210,000 Resona Bank Ltd.(c) 3.750% 15/04/15 193,204 0.20 50,000 Resona Bank Ltd. 4.125% 31/12/49 35,000 0.04 250,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 247,877 0.26

The accompanying notes are an integral part of these financial statements.

120 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) Euro – (continued) 200,000 Royal Bank of Scotland Group Plc.(c) 7.092% 29/10/49 64,000 0.07 280,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 228,539 0.24 190,000 Royal KPN NV 4.750% 29/05/14 192,964 0.20 400,000 Santander Issuances S.A. Unipersonal(c) 5.435% 24/10/17 377,568 0.40 200,000 SL Finance Plc. 6.375% 12/07/22 147,232 0.16 120,000 SL Finance Plc.(c) 5.314% 29/01/49 58,800 0.06 50,000 SLM Corp. 3.125% 17/09/12 32,500 0.03 650,000 Societe Financement de l’Economie Francaise 2.125% 20/05/12 648,661 0.68 250,000 Societe Generale(c) 7.756% 22/05/49 154,687 0.16 250,000 St George Bank Ltd. 6.500% 24/06/13 264,745 0.28 730,000 Sumitomo Mitsui Banking Corp.(c) 4.375% 31/12/49 547,500 0.58 450,000 Swedbank AB 3.375% 27/05/14 447,462 0.47 300,000 Telefonica Emisiones SAU 5.580% 12/06/13 316,905 0.33 420,000 Tesco Plc. 5.875% 12/09/16 446,536 0.47 150,000 UBS AG/Jersey(c) 4.500% 16/09/19 115,262 0.12 300,000 UBS AG/London 5.375% 11/04/11 307,326 0.32 150,000 UniCredit SpA 4.875% 12/02/13 153,955 0.16 260,000 UniCredit SpA 6.700% 05/06/18 205,741 0.22 50,000 UniCredito Italiano SpA(c) 4.125% 20/09/16 44,867 0.05 450,000 UT2 Funding Plc. 5.321% 30/06/16 103,500 0.11 300,000 Verizon Wireless Capital 8.750% 18/12/15 346,620 0.37 350,000 Wachovia Bank NA 6.000% 23/05/13 356,048 0.38 250,000 WM Covered Bond Program 4.000% 27/09/16 207,032 0.22 300,000 WPP Plc. 4.375% 05/12/13 270,390 0.29

19,318,147 20.35

United States Dollar 100,000 Alliance & Leicester Plc.(c) 1.189% 12/01/10 69,592 0.07 380,000 AT&T, Inc. 5.600% 15/05/18 261,704 0.28 50,000 AT&T, Inc. 6.300% 15/01/38 31,894 0.03 2,000,000 Bank Nederlandse Gemeenten 2.250% 18/02/11 1,433,566 1.51 1,250,000 Bank Nederlandse Gemeenten 2.375% 04/06/12 884,964 0.93 1,400,000 Bank Nederlandse Gemeenten 4.375% 24/07/13 1,028,426 1.08 590,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 66,919 0.07 170,000 Bear Stearns Cos, Inc.(c) 5.850% 19/07/10 124,325 0.13 150,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 108,398 0.11 150,000 Canadian Natural Resources Ltd. 5.700% 15/05/17 101,581 0.11 65,000 Countrywide Home Loans, Inc. 5.625% 15/07/09 46,098 0.05 110,000 Crédit Suisse First Boston USA, Inc. 4.875% 15/08/10 79,455 0.08 108,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 64,578 0.07 291,000 Energy Transfer Partners LP 5.650% 01/08/12 204,221 0.22 50,000 Energy Transfer Partners LP 8.500% 15/04/14 37,953 0.04 150,000 Enterprise Products Operating LLC 6.500% 31/01/19 98,991 0.10 500,000 Europaische Hypothekenbank S.A. Luxembourg 4.625% 30/09/10 350,005 0.37 510,000 HSBC Holdings Plc. 6.800% 01/06/38 332,974 0.35 600,000 Kreditanstalt fuer Wiederaufbau 3.500% 10/03/14 429,772 0.45 470,000 Kreditanstalt fuer Wiederaufbau 4.875% 17/01/17 346,034 0.37 240,000 Landwirtschaftliche Rentenbank 4.875% 10/01/14 180,023 0.19 260,000 Landwirtschaftliche Rentenbank 5.125% 01/02/17 188,387 0.20 825,000 Lloyds TSB Bank Plc. 2.800% 02/04/12 592,674 0.62 340,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 217,239 0.23 1,200,000 Network Rail Infrastructure Finance Plc. 5.250% 09/05/11 910,430 0.96 370,000 Petroleos Mexicanos 8.000% 03/05/19 285,241 0.30 150,000 Philip Morris International, Inc. 6.875% 17/03/14 117,487 0.12 250,000 Reed Elsevier Capital, Inc. 7.750% 15/01/14 185,158 0.20 140,000 Rogers Communications, Inc. 6.800% 15/08/18 103,829 0.11 270,000 Simon Property Group LP 5.600% 01/09/11 189,395 0.20 70,000 Simon Property Group, Inc. 5.300% 30/05/13 47,139 0.05 50,000 Simon Property Group, Inc. 6.125% 30/05/18 31,718 0.03 425,000 SLM Corp. 8.450% 15/06/18 202,354 0.21 605,000 Societe Financement de l’Economie Francaise 144A(d) 3.375% 05/05/14 424,334 0.45 120,000 Telecom Italia Capital S.A. 4.875% 01/10/10 86,093 0.09 260,000 Telecom Italia Capital S.A. 6.999% 04/06/18 174,587 0.18 50,000 Telecom Italia Capital S.A. 6.000% 30/09/34 27,099 0.03 50,000 Telecom Italia Capital S.A. 7.200% 18/07/36 29,860 0.03

The accompanying notes are an integral part of these financial statements.

121 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) United States Dollar – (continued) 120,000 Telefonica Europe BV 7.750% 15/09/10 89,949 0.10 420,000 Time Warner Cable, Inc. 6.550% 01/05/37 267,262 0.28 300,000 Wells Fargo Capital XIII(c) 7.700% 29/12/49 165,881 0.18 340,000 XTO Energy, Inc. 5.500% 15/06/18 227,627 0.24 10,845,216 11.42

TOTAL CORPORATE BONDS (cost EUR 31,749,231) 30,362,070 31.98

Government Bonds – 34.47% British Pound Sterling 1,370,000 UK Treasury 5.250% 07/06/12 1,710,655 1.80 280,000 UK Treasury 8.750% 25/08/17 445,457 0.47 210,000 UK Treasury 4.750% 07/03/20 259,452 0.27 420,000 UK Treasury 4.750% 07/12/30 501,615 0.53 300,000 UK Treasury 4.250% 07/06/32 335,410 0.35 470,000 UK Treasury 4.500% 07/12/42 530,562 0.56 500,000 United Kingdom Gilt 4.500% 07/03/13 613,716 0.65 960,000 United Kingdom Gilt 4.000% 07/09/16 1,170,262 1.23

5,567,129 5.86

Canadian Dollar 660,000 Canada Housing Trust No 1 4.550% 15/12/12 457,304 0.48

Danish Krone 2,220,000 Denmark Government Bond 4.000% 15/11/17 301,838 0.32

Euro 220,000 Austria Government Bond 4.350% 15/03/19 220,103 0.23 120,000 Austria Government Bond 4.150% 15/03/37 107,974 0.11 1,130,000 Belgium Government Bond 3.500% 28/03/15 1,130,565 1.19 450,000 Bundesrepublik Deutschland 4.000% 13/04/12 477,540 0.50 350,000 Bundesrepublik Deutschland 4.750% 04/07/28 364,641 0.38 40,000 Bundesrepublik Deutschland 4.250% 04/07/39 39,033 0.04 655,000 Government of France 4.000% 25/04/18 662,067 0.70 350,000 Government of France 5.500% 25/04/29 392,553 0.41 790,000 Government of France 4.000% 25/10/38 721,902 0.76 250,000 Government of Netherlands 5.500% 15/01/28 280,600 0.30 580,000 Hellenic Republic Government Bond 6.000% 19/07/19 603,113 0.64 160,000 Ireland Government Bond 4.400% 18/06/19 146,758 0.15 920,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/02/18 938,216 0.99 500,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/03/19 501,095 0.53 590,000 Italy Buoni Poliennali Del Tesoro 6.000% 01/05/31 637,454 0.67 90,000 Italy Buoni Poliennali Del Tesoro 4.000% 01/02/37 74,190 0.08 1,230,000 Republic of Finland 3.125% 15/09/14 1,229,323 1.30 140,000 Republic of Finland 4.375% 04/07/19 143,317 0.15 395,000 Sweden Government International Bond 3.125% 07/05/14 394,167 0.42

9,064,611 9.55

Japanese Yen 320,350,000 Government of Japan 1.300% 20/06/11 2,419,423 2.55 90,000,000 Government of Japan 1.500% 20/06/12 686,762 0.72 190,000,000 Government of Japan 1.400% 20/06/12 1,445,917 1.52 126,000,000 Government of Japan 1.000% 20/06/13 945,211 1.00 200,350,000 Government of Japan 1.200% 20/09/13 1,513,724 1.59 7,049,000 Government of Japan 0.800% 10/12/15 44,895 0.05 118,053,000 Government of Japan 1.000% 10/06/16 748,822 0.79 17,000,000 Government of Japan 1.700% 20/09/16 130,163 0.14 116,000,000 Government of Japan 1.700% 20/12/16 888,082 0.94 85,425,000 Government of Japan 1.200% 10/03/17 544,075 0.57 119,900,000 Government of Japan 1.500% 20/09/18 892,032 0.94 52,000,000 Government of Japan 1.300% 20/12/18 379,367 0.40

The accompanying notes are an integral part of these financial statements.

122 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Government Bonds – (continued) Japanese Yen – (continued) 211,200,000 Government of Japan 1.900% 20/06/25 1,549,391 1.63 116,750,000 Government of Japan 2.300% 20/06/35 871,807 0.92

13,059,671 13.76

Mexican Peso 6,780,000 Mexican Bonos 8.000% 19/12/13 382,594 0.40 7,000,000 Mexican Bonos 10.000% 05/12/24 434,933 0.46

817,527 0.86

Polish Zloty 520,000 Government of Poland 5.250% 25/04/13 114,054 0.12

Swedish Krona 2,550,000 Kingdom of Sweden 6.750% 05/05/14 281,361 0.30

United States Dollar 1,400,000 Caisse d’Amortissement de la Dette Sociale 1.750% 14/04/11 995,089 1.05 100,000 Development Bank of Japan 5.125% 01/02/17 73,897 0.08 500,000 Export Development Canada 3.125% 24/04/14 342,537 0.36 100,000 Japan Bank for International Cooperation 4.875% 22/03/12 75,381 0.08 200,000 Kommunalbanken AS 5.125% 30/05/12 150,665 0.16 50,000 Province of Quebec Canada 5.125% 14/11/16 34,797 0.03 200,000 United States Treasury Bond 6.625% 15/02/27 179,231 0.19 40,000 United States Treasury Notes 8.125% 15/08/19 38,320 0.04 1,510,000 United States Treasury Notes 5.250% 15/11/28 1,171,070 1.23

3,060,987 3.22

TOTAL GOVERNMENT BONDS (cost EUR 32,939,587) 32,724,482 34.47

Supranationals – 2.53% Euro 850,000 European Investment Bank 5.375% 15/10/12 927,435 0.98 380,000 European Investment Bank 4.250% 15/10/14 397,617 0.42 1,325,052 1.40

United States Dollar 850,000 European Investment Bank 3.000% 08/04/14 599,635 0.63 700,000 International Finance Corp. 3.000% 22/04/14 478,030 0.50 1,077,665 1.13

TOTAL SUPRANATIONALS (cost EUR 2,467,453) 2,402,717 2.53

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 67,156,271) 65,489,269 68.98

Transferable securities dealt in another regulated market Corporate Bonds – 6.89% United States Dollar 340,000 Altria Group, Inc. 9.700% 10/11/18 265,672 0.28 1,600,000 American Express Bank FSB 3.150% 09/12/11 1,174,614 1.24 450,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/14 332,173 0.35 200,000 Anz Capital Trust I 144A(d) 5.360% 29/12/49 108,787 0.11 300,000 ArcelorMittal 9.850% 01/06/19 214,975 0.23 150,000 Bank of America Corp. 7.375% 15/05/14 110,547 0.12 100,000 Bank of America Corp. 7.625% 01/06/19 70,640 0.07 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 27,839 0.03 200,000 Canadian Natural Resources Ltd. 6.750% 01/02/39 127,272 0.13 100,000 Capital One Financial Corp. 7.375% 23/05/14 71,965 0.08 320,000 Comcast Corp. 5.700% 15/05/18 221,018 0.23

The accompanying notes are an integral part of these financial statements.

123 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) United States Dollar – (continued) 410,000 Comcast Corp. 6.400% 15/05/38 263,372 0.28 250,000 COX Communications, Inc. 4.625% 15/01/10 177,825 0.19 100,000 Deutsche Telekom International Finance BV 6.750% 20/08/18 74,793 0.08 200,000 International Lease Finance Corp. 4.950% 01/02/11 118,031 0.12 350,000 JP Morgan Chase Capital XVII 6.450% 02/02/37 178,680 0.19 580,000 JPMorgan Chase & Co.(c) 7.900% 29/04/49 337,224 0.36 400,000 LeasePlan Corp. NV 144A(d) 3.000% 07/05/12 282,799 0.30 360,000 Morgan Stanley 6.000% 28/04/15 250,088 0.26 80,000 News America, Inc. 6.400% 15/12/35 45,360 0.05 300,000 Pfizer, Inc. 7.200% 15/03/39 231,449 0.24 300,000 Roche Holdings, Inc. 144A(d) 5.000% 01/03/14 222,595 0.23 1,425,000 Royal Bank of Scotland Plc. 144A(d) 2.625% 11/05/12 1,007,874 1.06 210,000 Swiss Re Capital I LP 144A(c)(d) 6.854% 29/05/49 85,790 0.09 255,000 Telefonica Emisiones SAU 7.045% 20/06/36 190,293 0.20 100,000 Unicredit Luxembourg Finance S.A. 144A(c)(d) 5.584% 13/01/17 48,737 0.05 500,000 ZFS Finance USA Trust I 144A(c)(d) 6.450% 15/12/65 223,301 0.24 170,000 ZFS Finance USA Trust I 144A(c)(d) 6.150% 15/12/65 77,730 0.08

6,541,443 6.89

TOTAL CORPORATE BONDS (cost EUR 6,867,773) 6,541,443 6.89

Agencies Asset Backed Obligations – 10.83% United States Dollar 4,231,454 Federal National Mortgage Association (FNMA) 5.000% 01/08/20 3,104,285 3.27 7,404,446 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 5,583,799 5.88 539,245 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 406,633 0.43 1,227,663 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 893,112 0.94 410,000 Federal National Mortgage Association (FNMA) 2.875% 12/10/10 298,584 0.31

10,286,413 10.83

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost EUR 9,293,548) 10,286,413 10.83

Non-Agencies Asset Backed Obligations – 2.68% British Pound Sterling 95,332 European Loan Conduit(c) 1.715% 25/07/14 43,673 0.05

Euro 35,081 JLOC Ltd.(c) 1.471% 16/02/16 28,942 0.03 83,575 Titan Europe Plc.(c) 1.575% 23/04/17 36,348 0.04

65,290 0.07

Japanese Yen 6,331,000 JLOC Ltd.(c) 0.794% 15/01/15 42,128 0.04 7,017,000 JLOC Ltd.(c) 0.796% 16/02/16 43,912 0.05

86,040 0.09

United States Dollar 252,277 Adjustable Rate Mortgage Trust(c) 5.006% 25/04/35 118,264 0.13 827,556 American Home Mortgage Assets “A1”(c) 2.139% 25/02/47 197,087 0.21 100,000 Banc of America Commercial Mortgage, Inc. “A4” 5.451% 15/01/49 51,591 0.05 809,375 Countrywide Alternative Loan Trust 5.750% 25/07/37 315,568 0.33 952,121 Countrywide Alternative Loan Trust(c) 2.819% 25/11/47 224,099 0.24 433,874 Countrywide Alternative Loan Trust 5.500% 25/10/35 249,129 0.26 453,537 Countrywide Alternative Loan Trust(c) 0.579% 25/02/36 140,361 0.15 691,296 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 189,256 0.20 95,155 Countrywide Home Equity Loan Trust(c) 0.494% 15/11/36 24,181 0.03 100,000 LB-UBS Commercial Mortgage Trust “A4” 5.424% 15/02/40 50,678 0.05 906,034 Lehman XS Trust(c) 0.549% 25/06/47 145,255 0.15 599,003 United States Treasury Inflation Indexed Bonds 1.750% 15/01/28 382,498 0.40 561,778 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.429% 25/06/46 138,396 0.15

The accompanying notes are an integral part of these financial statements.

124 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 100,000 Yapi Kredi DPR Finance Co. “A”(c) 1.003% 21/11/14 55,127 0.06 100,000 Yapi Kredi DPR Finance Co. “B”(c) 0.973% 21/11/14 55,072 0.06

2,336,562 2.47

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost EUR 4,928,976) 2,531,565 2.68

Government Bonds – 2.34% Canadian Dollar 410,000 Government of Canada 4.250% 01/06/18 282,725 0.30 760,000 Government of Canada 5.750% 01/06/33 605,674 0.64

888,399 0.94

United States Dollar 1,000,000 United States Treasury Note/Bond 1.750% 31/03/14 686,924 0.72 350,000 United States Treasury Note/Bond 4.500% 15/05/38 246,872 0.26 550,000 United States Treasury Notes 4.000% 15/08/18 400,594 0.42

1,334,390 1.40

TOTAL GOVERNMENT BONDS (cost EUR 2,436,553) 2,222,789 2.34

Preferred Stocks – 0.18% United States Dollar 240,000 Resona Preferred Global Securities Cayman Ltd.(c) 7.191% 29/12/49 121,374 0.13 100,000 Resona Preferred Global Securities Cayman Ltd. 144A(c)(d) 7.191% 29/12/49 48,914 0.05 170,288 0.18

TOTAL PREFERRED STOCKS (cost EUR 200,095) 170,288 0.18

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 23,726,945) 21,752,498 22.92

Other Transferable Securities Corporate Bonds – 1.27% Australian Dollar 800,000 National Australia Bank Ltd. 5.750% 19/12/13 458,795 0.48

Euro 150,000 Inbev NV 8.625% 30/01/17 167,590 0.18 350,000 US Bank NA 4.375% 28/02/17 282,380 0.30

449,970 0.48

United States Dollar 420,000 American Express Centurion Bank 5.200% 26/11/10 297,717 0.31

TOTAL CORPORATE BONDS (cost EUR 1,152,380) 1,206,482 1.27

TOTAL OTHER TRANSFERABLE SECURITIES (cost EUR 1,152,380) 1,206,482 1.27

The accompanying notes are an integral part of these financial statements.

125 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Time Deposits – 3.69% British Pound Sterling 3,503,986 Rabobank EUR Time Deposit 0.250% 01/06/09 3,503,986 3.69

TOTAL TIME DEPOSITS (cost EUR 3,503,986) 3,503,986 3.69

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost EUR 95,539,582) 91,952,235 96.86

Futures Contracts – 0.06% Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

AUD (28) Australia Treasury Bonds 3YR 15/06/09 Short 4,754 0.01

EUR 121 German Federal Republic Bonds 08/06/09 Long 28,045 0.03 (20) German Federal Republic Bonds 08/06/09 Short 22,340 0.02 50,385 0.05

GBP (25) UK Treasury Bonds 28/09/09 Short 14,832 0.02

USD 10 US Treasury Bonds 30YR 21/09/09 Long 986 0.00 (54) US Treasury Notes 5YR 30/09/09 Short 20,585 0.02 21,571 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 91,542 0.10

Unrealised %of Number of Loss Shareholders’ Contracts Security Description EUR Equity

EUR 21 German Federal Republic Bonds 08/06/09 Long (20,680) (0.02)

JPY 1 Government of Japan 10YR 11/06/09 Long (17,266) (0.02)

USD (33) US Treasury Notes 2YR 30/09/09 Short (1,363) (0.00) 1 US Treasury Notes 10YR 21/09/09 Long (886) (0.00)

(2,249) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (40,195) (0.04)

Forward Currency Contracts – 1.24% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 EUR 13,568,711 JPY 1,791,398,969 292,137 0.31 23/06/2009 EUR 873,284 MXN 15,868,000 17,033 0.02 26/06/2009 EUR 36,954,986 USD 50,854,552 898,211 0.94 02/07/2009 EUR 6,432,139 GBP 5,592,745 26,103 0.03 21/07/2009 EUR 112,555 PLN 485,504 4,623 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 1,238,107 1.30

The accompanying notes are an integral part of these financial statements.

126 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold EUR Equity

05/06/2009 EUR 425,057 AUD 784,697 (18,702) (0.02) 08/06/2009 EUR 298,901 SEK 3,205,000 (1,440) (0.00) 11/06/2009 EUR 1,397,692 CAD 2,192,000 (18,468) (0.02) 26/06/2009 USD 1,139,694 EUR 825,022 (16,959) (0.02) 10/07/2009 EUR 299,975 DKK 2,235,231 (74) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (55,643) (0.06)

Swap Contracts – 0.12%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 850,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 23,883 0.03 850,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 22,465 0.02 860,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 23,434 0.02 860,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 25,994 0.03 860,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 20,018 0.02 810,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 19,214 0.02 1,630,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 5,441 0.01 1,810,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 5,859 0.01 2,340,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 21,046 0.02 800,000 Fixed 4.000% Floating (EUR 6 month LIBOR) EUR 17/06/2019 13,725 0.01 470,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 2,956 0.00 480,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 2,230 0.00 610,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 5,367 0.01 1,000,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 95,094 0.10

UNREALISED GAIN ON INTEREST RATE SWAPS 286,726 0.30

Credit Default Swaps 1,550,000 Fixed 1.650% Floating (ITRX Index) EUR 20/06/2013 36,867 0.04 8,850,000 Fixed 1.650% Floating (ITRX Index) EUR 20/06/2013 180,377 0.19 200,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 3,783 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 221,027 0.23

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 507,753 0.53

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 700,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (6,204) (0.01) 700,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (5,551) (0.01) 700,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (5,701) (0.01) 700,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (6,863) (0.01) 700,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (5,351) (0.01) 330,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (12,531) (0.01) 330,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (11,879) (0.01) 320,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (12,424) (0.01) 320,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (13,902) (0.01) 320,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (9,651) (0.01) 800,000 Floating (EUR 6 month EURIBOR) Fixed 4.000% EUR 17/06/2019 (8,290) (0.01) 790,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 16/12/2019 (14,264) (0.02) 60,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 17/06/2014 (145) (0.00) 60,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (381) (0.00) 9,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (1,441) (0.00) 111,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (15,688) (0.02) 291,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (51,755) (0.05) 48,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (1,298) (0.00) 285,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (2,549) (0.00) 318,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (2,865) (0.00) 779,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (1,339) (0.00) 779,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (1,376) (0.00)

The accompanying notes are an integral part of these financial statements.

127 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps – (continued) 420,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (5,465) (0.01) 840,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (17,356) (0.02) 1,660,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (9,912) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (224,181) (0.24)

Credit Default Swaps 200,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (2,872) (0.00) 450,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (7,860) (0.01) 4,500,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (156,032) (0.16)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (166,764) (0.17)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (390,945) (0.41)

MARKET VALUE OF INVESTMENTS (cost EUR 95,539,582) 93,302,854 98.28

OTHER ASSETS AND LIABILITIES 1,633,551 1.72

SHAREHOLDERS’ EQUITY 94,936,405 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding forward currency, futures and swaps contracts (cost EUR 95,539,582) 91,952,235 96.86 Unrealised gain on futures contracts 91,542 0.10 Unrealised loss on futures contracts (40,195) (0.04) Unrealised gain on forward currency contracts 1,238,107 1.30 Unrealised loss on forward currency contracts (55,643) (0.06) Unrealised gain on swaps contracts 507,753 0.53 Unrealised loss on swaps contracts (390,945) (0.41) Other Assets and Liabilities 1,633,551 1.72

Shareholders’ Equity 94,936,405 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Preferred Stocks, Time Deposits, Supranationals, Agencies Asset Backed Obligations and Non- Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Credit Suisse London, Deutsche Bank AG, HSBC Bank Plc., State Street Bank London and UBS AG London. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933.

The accompanying notes are an integral part of these financial statements.

128 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 37.16% British Pound Sterling 750,000 Focus DIY Finance Plc.(c) 9.375% 03/03/15 — — 2,250,000 GE Capital UK Funding(d) 1.552% 30/01/12 3,191,436 0.16 875,000 General Motors Acceptance Corp of Canada Ltd. 6.625% 17/12/10 1,244,012 0.06 1,000,000 HCA, Inc./DE 8.750% 01/11/10 1,591,366 0.08 875,000 Heating Finance Plc. 7.875% 31/03/14 353,413 0.02

6,380,227 0.32

Canadian Dollar 500,000 SLM Corp. 4.300% 15/12/09 424,730 0.02

Euro 2,750,000 Basell AF S.C.A. 8.375% 15/08/15 38,793 0.00 2,250,000 BCM Ireland Finance Ltd.(d) 6.281% 15/08/16 1,396,544 0.07 4,380,000 Belvedere S.A.(d) 7.590% 15/05/13 617,865 0.03 4,000,000 Beverage Packaging Holdings Luxembourg II S.A. 8.000% 15/12/16 5,050,127 0.25 9,250,000 Beverage Packaging Holdings Luxembourg II S.A. 9.500% 15/06/17 10,569,296 0.53 1,750,000 Bombardier, Inc.(d) 4.406% 15/11/13 2,085,999 0.10 1,500,000 Bombardier, Inc. 7.250% 15/11/16 1,819,739 0.09 4,000,000 Cablecom Luxembourg SCA 8.000% 01/11/16 4,909,062 0.25 4,750,000 Calcipar S.A.(d) 2.720% 01/07/14 3,015,265 0.15 5,750,000 Carlson Wagonlit BV(d) 7.115% 01/05/15 3,163,383 0.16 7,750,000 Catalent Pharma Solutions, Inc. 9.750% 15/04/17 3,717,063 0.19 4,250,000 Chesapeake Energy Corp. 6.250% 15/01/17 5,065,997 0.25 875,000 Cirsa Capital Luxembourg S.A. 7.875% 15/07/12 950,426 0.05 2,750,000 Cirsa Finance Luxembourg S.A. 8.750% 15/05/14 2,909,466 0.15 375,000 Clondalkin Acquisition BV(d) 3.650% 15/12/13 349,136 0.02 250,000 Clondalkin Industries BV 8.000% 15/03/14 158,698 0.01 8,500,000 Codere Finance Luxembourg S.A. 8.250% 15/06/15 7,673,937 0.38 8,375,000 Cognis GmbH(d) 3.650% 15/09/13 9,864,853 0.49 7,500,000 Cognis GmbH 9.500% 15/05/14 8,463,901 0.42 3,750,000 Consol Speciality Glass Ltd. 7.625% 15/04/14 4,099,702 0.21 6,500,000 Edcon Proprietary Ltd.(d) 4.900% 15/06/14 5,639,074 0.28 3,725,000 Europcar Groupe S.A.(d) 4.781% 15/05/13 3,047,710 0.15 3,875,000 Europcar Groupe S.A. 8.125% 15/05/14 2,432,490 0.12 3,500,000 FCE Bank Plc.(d) 2.538% 30/09/09 4,764,471 0.24 5,500,000 FCE Bank Plc. 7.125% 16/01/12 6,400,825 0.32 4,500,000 FCE Bank Plc. 7.125% 15/01/13 4,951,382 0.25 6,000,000 Foodcorp Ltd. 8.875% 15/06/12 6,686,482 0.33 2,000,000 Ford Motor Credit Co. LLC 4.875% 15/01/10 2,623,809 0.13 750,000 Fresenius US Finance II, Inc. 8.750% 15/07/15 1,137,337 0.06 3,250,000 General Electric Capital Corp.(d) 4.625% 15/09/66 2,553,308 0.13 4,750,000 General Electric Capital Corp.(d) 5.500% 15/09/67 3,743,619 0.19 2,500,000 General Motors Acceptance Corp of Canada Ltd. 6.000% 23/05/12 3,103,430 0.16 1,500,000 General Motors Corp. 8.375% 05/07/33 31,740 0.00 2,190,000 Gerresheimer Holdings GmbH 7.875% 01/03/15 2,996,644 0.15 2,000,000 GMAC LLC 4.750% 14/09/09 2,697,163 0.14 4,500,000 Grohe Holding GmbH(d) 4.310% 15/01/14 3,935,714 0.20 13,000,000 Grohe Holding GmbH 8.625% 01/10/14 9,721,213 0.49 5,000,000 Hellas Telecommunications Luxembourg II(d) 7.435% 15/01/15 1,410,650 0.07 4,500,000 Hellas Telecommunications Luxembourg III 8.500% 15/10/13 2,690,904 0.13 1,125,000 Hellas Telecommunications Luxembourg V(d) 4.935% 15/10/12 999,798 0.05 1,250,000 Huntsman International LLC 6.875% 15/11/13 1,106,479 0.06 2,250,000 Impress Holdings BV(d) 4.560% 15/09/13 2,840,697 0.14 5,500,000 Impress Holdings BV 9.250% 15/09/14 6,963,322 0.35 6,500,000 Ineos Group Holdings Plc. 7.875% 15/02/16 2,613,229 0.13 2,750,000 ISS Global A/S 4.750% 18/09/10 3,685,323 0.18 4,500,000 ISS Holdings A/S 8.875% 15/05/16 4,732,378 0.24 8,250,000 Johnsondiversey, Inc. 9.625% 15/05/12 10,255,867 0.51 3,500,000 Lighthouse International Co. S.A. 8.000% 30/04/14 2,345,206 0.12 2,500,000 Mechachrome International, Inc. 9.000% 15/05/14 264,497 0.01 4,625,000 Nalco Co. 9.000% 15/11/13 6,165,423 0.31 4,000,000 New World Resources BV 7.375% 15/05/15 3,724,116 0.19 2,250,000 Nexans S.A. 5.750% 02/05/17 2,697,868 0.14

The accompanying notes are an integral part of these financial statements.

129 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) Euro – (continued) 5,750,000 Nielsen Co. BV(e) 0.000%/11.125% 01/08/16 4,704,518 0.24 625,000 Nielsen Finance LLC/Nielsen Finance Co. 9.000% 01/08/14 784,674 0.04 1,000,000 Nordic Telephone Co. Holdings ApS(d) 6.872% 01/05/16 1,340,118 0.07 8,000,000 Nordic Telephone Co. Holdings ApS 8.250% 01/05/16 10,946,645 0.55 3,000,000 NXP BV 8.625% 15/10/15 719,432 0.04 3,625,000 Ono Finance Plc. 10.500% 15/05/14 1,687,490 0.08 6,500,000 Ono Finance Plc. 8.000% 16/05/14 2,750,768 0.14 750,000 Owens Brockway Glass Container, Inc. 6.750% 01/12/14 973,349 0.05 7,500,000 Peermont Global Ltd. 7.750% 30/04/14 8,252,303 0.41 8,950,000 Polypore, Inc. 8.750% 15/05/12 9,721,495 0.49 3,250,000 Rhodia S.A.(d) 4.185% 15/10/13 3,300,921 0.17 2,600,000 Safilo Capital International S.A. 9.625% 15/05/13 1,283,692 0.06 250,000 SLM Corp.(d) 1.850% 15/12/10 275,218 0.01 2,500,000 SPCM S.A. 8.250% 15/06/13 2,574,436 0.13 3,000,000 Stena AB 6.125% 01/02/17 2,793,087 0.14 1,500,000 Tereos Europe 6.375% 15/04/14 1,798,579 0.09 500,000 Travelport LLC(d) 5.895% 01/09/14 289,183 0.01 250,000 Travelport LLC 10.875% 01/09/16 148,118 0.01 3,500,000 TRW Automotive, Inc. 6.375% 15/03/14 2,863,620 0.14 5,000,000 UPC Holding BV 7.750% 15/01/14 6,559,523 0.33 4,000,000 UPC Holding BV 8.625% 15/01/14 5,360,470 0.27 7,000,000 WDAC Subsidiary Corp. 8.500% 01/12/14 2,419,265 0.12 8,000,000 Wind Acquisition Finance S.A. 9.750% 01/12/15 11,073,603 0.55

277,501,927 13.91

United States Dollar 4,125,000 ACCO Brands Corp. 7.625% 15/08/15 1,804,688 0.09 2,000,000 Accuride Corp. 8.500% 01/02/15 580,000 0.03 4,125,000 AES Corp. 9.500% 01/06/09 4,125,000 0.21 2,680,000 AES Corp. 9.375% 15/09/10 2,700,100 0.14 3,875,000 AES Corp 7.750% 15/10/15 3,603,750 0.18 2,875,000 AK Steel Corp. 7.750% 15/06/12 2,680,937 0.13 875,000 Allegheny Energy Supply 7.800% 15/03/11 892,500 0.04 4,000,000 Alliant Techsystems, Inc. 6.750% 01/04/16 3,740,000 0.19 2,250,000 Allied Waste North America, Inc. 7.875% 15/04/13 2,283,750 0.11 5,000,000 Allied Waste North America, Inc. 6.125% 15/02/14 5,000,000 0.25 5,000,000 Allied Waste North America, Inc. 7.250% 15/03/15 4,937,500 0.25 3,000,000 Allied Waste North America, Inc. 7.125% 15/05/16 2,932,500 0.15 1,250,000 Allied Waste North America, Inc. 6.875% 01/06/17 1,209,375 0.06 750,000 American Tower Corp. 7.500% 01/05/12 761,250 0.04 3,025,000 American Tower Corp. 7.125% 15/10/12 3,055,250 0.15 2,500,000 Ashtead Capital, Inc. 144A(f) 9.000% 15/08/16 1,862,500 0.09 500,000 Ashtead Holdings Plc. 144A(f) 8.625% 01/08/15 359,375 0.02 1,125,000 Ball Corp. 6.625% 15/03/18 1,035,000 0.05 2,750,000 Bombardier, Inc. 144A(f) 8.000% 15/11/14 2,481,875 0.12 1,500,000 Boston Scientific Corp. 5.450% 15/06/14 1,350,000 0.07 3,750,000 Boston Scientific Corp. 6.400% 15/06/16 3,412,500 0.17 750,000 Boyd Gaming Corp. 7.125% 01/02/16 528,750 0.03 6,000,000 Cablevision Systems Corp. 8.000% 15/04/12 5,895,000 0.30 2,500,000 Chesapeake Energy Corp. 9.500% 15/02/15 2,468,750 0.12 6,000,000 Chesapeake Energy Corp. 6.375% 15/06/15 5,130,000 0.26 2,000,000 Chesapeake Energy Corp. 6.625% 15/01/16 1,705,000 0.09 2,500,000 Chesapeake Energy Corp. 6.875% 15/01/16 2,156,250 0.11 3,250,000 Chesapeake Energy Corp. 7.250% 15/12/18 2,705,625 0.14 1,000,000 Cincinnati Bell, Inc. 7.250% 15/07/13 942,500 0.05 750,000 Citigroup, Inc. 5.625% 27/08/12 702,492 0.04 4,750,000 Citigroup, Inc. 5.000% 15/09/14 4,066,698 0.20 1,000,000 Citigroup, Inc. 4.875% 07/05/15 841,987 0.04 4,000,000 Citizens Communications Co. 9.250% 15/05/11 4,130,000 0.21 3,250,000 Citizens Communications Co. 6.250% 15/01/13 3,038,750 0.15 2,750,000 Clear Channel Communications, Inc. 6.250% 15/03/11 921,250 0.05 3,375,000 Clear Channel Communications, Inc. 5.750% 15/01/13 607,500 0.03 4,500,000 Clear Channel Communications, Inc. 5.500% 15/09/14 675,000 0.03 3,625,000 Clear Channel Communications, Inc. 5.500% 15/12/16 543,750 0.03 10,750,000 Community Health Systems, Inc. 8.875% 15/07/15 10,561,875 0.53

The accompanying notes are an integral part of these financial statements.

130 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 4,500,000 Constellation Brands, Inc. 8.375% 15/12/14 4,500,000 0.23 3,000,000 Corrections Corp. of America 6.250% 15/03/13 2,857,500 0.14 4,000,000 Crown Castle International Corp. 9.000% 15/01/15 4,020,000 0.20 4,500,000 CSC Holdings, Inc. 7.625% 01/04/11 4,471,875 0.22 4,875,000 CSC Holdings, Inc. 6.750% 15/04/12 4,686,094 0.23 2,500,000 DaVita, Inc. 6.625% 15/03/13 2,356,250 0.12 3,000,000 DaVita, Inc. 7.250% 15/03/15 2,835,000 0.14 5,000,000 Dean Foods Co. 7.000% 01/06/16 4,725,000 0.24 3,500,000 DR Horton, Inc. 5.375% 15/06/12 3,185,000 0.16 4,000,000 DR Horton, Inc. 5.250% 15/02/15 3,320,000 0.17 2,250,000 DR Horton, Inc. 5.625% 15/01/16 1,867,500 0.09 3,250,000 Dynegy Holdings, Inc. 7.500% 01/06/15 2,543,125 0.13 1,625,000 Dynegy Holdings, Inc. 8.375% 01/05/16 1,283,750 0.06 3,750,000 Dynegy Holdings, Inc. 7.750% 01/06/19 2,718,750 0.14 1,750,000 El Paso Corp. 7.000% 15/06/17 1,623,125 0.08 5,500,000 El Paso Corp. 7.250% 01/06/18 5,032,500 0.25 2,000,000 El Paso Natural Gas Co. 7.800% 01/08/31 1,570,000 0.08 1,250,000 Elan Finance Plc. 7.750% 15/11/11 1,131,250 0.06 2,000,000 Encore Acquisition Co. 6.250% 15/04/14 1,700,000 0.09 5,000,000 Encore Acquisition Co. 6.000% 15/07/15 4,100,000 0.21 2,000,000 Encore Acquisition Co. 7.250% 01/12/17 1,650,000 0.08 2,000,000 Esterline Technologies Corp. 6.625% 01/03/17 1,825,000 0.09 875,000 Fisher Scientific International, Inc. 6.750% 15/08/14 893,760 0.04 750,000 Fisher Scientific International, Inc. 6.125% 01/07/15 733,220 0.04 2,500,000 Ford Motor Credit Co. LLC 7.375% 28/10/09 2,418,750 0.12 1,000,000 Ford Motor Credit Co. LLC 5.700% 15/01/10 950,000 0.05 3,000,000 Ford Motor Credit Co. LLC 7.875% 15/06/10 2,865,000 0.14 3,000,000 Ford Motor Credit Co. LLC 8.625% 01/11/10 2,790,000 0.14 6,250,000 Ford Motor Credit Co. LLC 9.875% 10/08/11 5,692,062 0.29 12,375,000 Ford Motor Credit Co. LLC 7.250% 25/10/11 10,704,375 0.54 3,500,000 Ford Motor Credit Co. LLC 7.000% 01/10/13 2,852,500 0.14 5,000,000 Ford Motor Credit Co. LLC 12.000% 15/05/15 4,625,000 0.23 1,750,000 Forest Oil Corp. 7.250% 15/06/19 1,505,000 0.08 250,000 Freeport-McMoRan Copper & Gold, Inc. 8.250% 01/04/15 248,750 0.01 7,000,000 Freeport-McMoRan Copper & Gold, Inc. 8.375% 01/04/17 6,930,000 0.35 2,000,000 General Motors Corp. 7.125% 15/07/13 170,000 0.01 500,000 General Motors Corp. 7.700% 15/04/16 47,500 0.00 1,000,000 General Motors Corp. 8.800% 01/03/21 90,000 0.00 5,500,000 General Motors Corp. 8.375% 15/07/33 453,750 0.02 2,500,000 Goodyear Tire & Rubber Co. 7.857% 15/08/11 2,437,500 0.12 1,475,000 Goodyear Tire & Rubber Co. 9.000% 01/07/15 1,401,250 0.07 3,500,000 Goodyear Tire & Rubber Co. 10.500% 15/05/16 3,473,750 0.17 4,000,000 Hertz Corp. 8.875% 01/01/14 3,640,000 0.18 3,750,000 Hertz Corp. 10.500% 01/01/16 3,243,750 0.16 3,000,000 Idearc, Inc. 8.000% 15/11/16 71,250 0.00 3,750,000 Inverness Medical Innovations, Inc. 9.000% 15/05/16 3,600,000 0.18 2,000,000 Iron Mountain, Inc. 8.000% 15/06/20 1,850,000 0.09 1,500,000 Iron Moutain, Inc. 6.625% 01/01/16 1,381,875 0.07 5,000,000 Jarden Corp. 7.500% 01/05/17 4,375,000 0.22 1,250,000 K Hovnanian Enterprises, Inc. 6.250% 15/01/15 500,000 0.02 1,625,000 K Hovnanian Enterprises, Inc. 7.500% 15/05/16 650,000 0.03 2,250,000 K Hovnanian Enterprises, Inc. 8.625% 15/01/17 922,500 0.05 1,500,000 L-3 Communications Corp. 7.625% 15/06/12 1,494,375 0.07 5,000,000 L-3 Communications Corp. 6.125% 15/07/13 4,693,750 0.24 1,500,000 L-3 Communications Corp. 5.875% 15/01/15 1,338,750 0.07 3,750,000 Las Vegas Sands Corp. 6.375% 15/02/15 2,784,375 0.14 4,000,000 Lear Corp. 8.500% 01/12/13 1,020,000 0.05 4,900,000 Lloyds Banking Group Plc. 144A(d)(f) 6.413% 31/12/49 1,911,000 0.10 6,625,000 Lucent Technologies, Inc. 6.450% 15/03/29 3,511,250 0.18 3,000,000 Macy’s Retail Holdings, Inc. 5.350% 15/03/12 2,752,500 0.14 1,500,000 Macy’s Retail Holdings, Inc. 5.875% 15/01/13 1,342,500 0.07 4,000,000 Macy’s Retail Holdings, Inc. 5.900% 01/12/16 3,320,000 0.17 1,500,000 MarkWest Energy Partners LP 6.875% 01/11/14 1,222,500 0.06 4,000,000 MarkWest Energy Partners LP/MarkWest Energy Finance Corp.—Series B 8.750% 15/04/18 3,300,000 0.17 2,250,000 MarkWest Energy Partners LP 144A(f) 8.500% 15/07/16 1,873,125 0.09

The accompanying notes are an integral part of these financial statements.

131 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 2,125,000 Massey Energy Co. 6.875% 15/12/13 1,864,688 0.09 3,250,000 Meritage Homes Corp. 6.250% 15/03/15 2,437,500 0.12 250,000 MGM Mirage, Inc. 8.500% 15/09/10 233,750 0.01 2,000,000 MGM Mirage, Inc. 8.375% 01/02/11 1,610,000 0.08 2,750,000 MGM Mirage, Inc. 6.750% 01/09/12 1,870,000 0.09 4,250,000 MGM Mirage, Inc. 6.750% 01/04/13 2,805,000 0.14 4,000,000 MGM Mirage, Inc. 5.875% 27/02/14 2,520,000 0.13 6,250,000 MGM Mirage, Inc. 6.625% 15/07/15 3,937,500 0.20 6,000,000 MGM Mirage, Inc. 7.500% 01/06/16 3,780,000 0.19 3,000,000 MGM Mirage, Inc. 7.625% 15/01/17 1,935,000 0.10 2,000,000 Mobile Services Group, Inc./Mobile Storage Group, Inc. 9.750% 01/08/14 1,860,000 0.09 2,000,000 Mylan, Inc. 1.250% 15/03/12 1,741,564 0.09 5,250,000 Newfield Exploration Co. 6.625% 15/04/16 4,711,875 0.24 4,500,000 Newfield Exploration Co. 7.125% 15/05/18 4,027,500 0.20 6,250,000 Nextel Communications, Inc. 7.375% 01/08/15 4,960,937 0.25 2,000,000 Nisource Finance Corp. 6.150% 01/03/13 1,912,202 0.10 1,000,000 Nisource Finance Corp. 5.400% 15/07/14 893,906 0.04 3,500,000 Nisource Finance Corp. 6.400% 15/03/18 3,085,199 0.15 3,500,000 Nortel Networks Ltd. 10.125% 15/07/13 1,102,500 0.06 1,500,000 Nortel Networks Ltd. 10.750% 15/07/16 457,500 0.02 1,250,000 Owens Brockway Glass Container, Inc. 8.250% 15/05/13 1,256,250 0.06 750,000 Owens Brockway Glass Container, Inc. 6.750% 01/12/14 710,625 0.04 3,000,000 Owens Corning, Inc. 6.500% 01/12/16 2,611,347 0.13 1,875,000 Owens Corning, Inc. 7.000% 01/12/36 1,307,203 0.07 3,500,000 Peabody Energy Corp. 7.375% 01/11/16 3,329,375 0.17 1,500,000 Petroplus Finance Ltd. 144A(f) 7.000% 01/05/17 1,185,000 0.06 2,000,000 Pioneer Natural Resources Co. 6.650% 15/03/17 1,717,888 0.09 4,500,000 Plains Exploration & Production Co. 7.750% 15/06/15 4,196,250 0.21 1,000,000 Plains Exploration & Production Co. 10.000% 01/03/16 987,500 0.05 2,500,000 Plains Exploration & Production Co. 7.625% 01/06/18 2,200,000 0.11 1,300,000 Polypore, Inc. 8.750% 15/05/12 1,098,500 0.05 3,000,000 Pulte Homes, Inc. 5.200% 15/02/15 2,475,000 0.12 1,750,000 Quicksilver Resources, Inc. 8.250% 01/08/15 1,474,375 0.07 5,500,000 Quicksilver Resources, Inc. 7.125% 01/04/16 4,028,750 0.20 3,000,000 Qwest Corp. 8.875% 15/03/12 3,018,750 0.15 750,000 Qwest Corp. 7.500% 01/10/14 718,125 0.04 2,125,000 Range Resources Corp. 6.375% 15/03/15 1,960,312 0.10 2,750,000 Range Resources Corp. 7.250% 01/05/18 2,571,250 0.13 2,000,000 RH Donnelley Corp. 8.875% 15/10/17 165,000 0.01 3,500,000 Rite Aid Corp. 9.375% 15/12/15 2,380,000 0.12 2,625,000 Rite Aid Corp. 7.500% 01/03/17 2,060,625 0.10 1,000,000 Rite Aid Corp. 9.500% 15/06/17 670,000 0.03 875,000 Rogers Wireless Communications, Inc. 7.250% 15/12/12 936,250 0.05 1,875,000 Rogers Wireless Communications, Inc. 8.000% 15/12/12 1,926,563 0.10 1,500,000 Rogers Wireless Communications, Inc. 7.500% 15/03/15 1,605,000 0.08 2,000,000 RRI Energy, Inc. 7.625% 15/06/14 1,720,000 0.09 4,375,000 RRI Energy, Inc. 7.875% 15/06/17 3,587,500 0.18 1,000,000 SLM Corp. 4.000% 15/01/10 955,349 0.05 1,000,000 SLM Corp. 5.450% 25/04/11 835,060 0.04 6,500,000 Smithfield Foods, Inc. 7.750% 01/07/17 4,436,250 0.22 3,000,000 Sprint Capital Corp. 7.625% 30/01/11 2,951,250 0.15 8,500,000 Sprint Capital Corp. 8.375% 15/03/12 8,308,750 0.42 19,750,000 Sprint Capital Corp. 6.900% 01/05/19 15,923,437 0.80 7,500,000 Sprint Capital Corp. 8.750% 15/03/32 5,906,250 0.30 5,250,000 Sprint Nextel Corp. 6.000% 01/12/16 4,239,375 0.21 3,500,000 Supervalu, Inc. 7.500% 15/11/14 3,381,875 0.17 1,500,000 Swift Energy Co. 7.125% 01/06/17 930,000 0.05 750,000 Tenet Healthcare Corp. 9.875% 01/07/14 733,125 0.04 500,000 Tenneco, Inc. 8.625% 15/11/14 300,000 0.01 2,750,000 Tenneco, Inc. 8.125% 15/11/15 1,897,500 0.09 3,750,000 Terex Corp. 8.000% 15/11/17 3,084,375 0.15 2,000,000 United Rentals North America, Inc. 6.500% 15/02/12 1,850,000 0.09 5,250,000 United Rentals North America, Inc. 7.750% 15/11/13 4,252,500 0.21 625,000 United Rentals North America, Inc. 7.000% 15/02/14 468,750 0.02 1,500,000 USG Corp. 6.300% 15/11/16 1,087,500 0.05

The accompanying notes are an integral part of these financial statements.

132 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 2,875,000 Valassis Communications, Inc. 8.250% 01/03/15 1,660,313 0.08 1,250,000 Warnaco, Inc. 8.875% 15/06/13 1,262,500 0.06 11,000,000 Wells Fargo Capital XIII(d) 7.700% 29/12/49 8,580,000 0.43 1,000,000 Wells Fargo Capital XV(d) 9.750% 26/09/44 930,000 0.05 1,000,000 Whiting Petroleum Corp. 7.250% 01/05/13 915,000 0.05 1,500,000 Whiting Petroleum Corp. 7.000% 01/02/14 1,342,500 0.07 2,250,000 Williams Cos, Inc. 8.125% 15/03/12 2,272,500 0.11 3,750,000 Williams Cos, Inc. 7.625% 15/07/19 3,693,750 0.19 3,250,000 Williams Cos, Inc. 7.875% 01/09/21 3,152,500 0.16 250,000 Williams Cos, Inc. 7.500% 15/01/31 210,000 0.01 3,000,000 Windstream Corp. 8.125% 01/08/13 2,951,250 0.15 4,250,000 Windstream Corp. 8.625% 01/08/16 4,186,250 0.21

456,853,381 22.91

TOTAL CORPORATE BONDS (cost USD 915,255,907) 741,160,265 37.16

Common Stocks – 0.07% Euro 258,835 Parmalat SpA (Food, Beverages & Tobacco) 637,144 0.03 3,130 Smurfit Kappa Group Plc. (Forest Products & Paper) 17,882 0.00

655,026 0.03

United States Dollar 395,243 Adelphia Recovery Trust(c) (Diversified Financial Services) 9,881 0.00 1,832,556 Adelphia Recovery Trust (Diversified Financial Services) 45,814 0.00 842 ATSI Holdings, Inc.(c) (Forest Products & Paper) 9 0.00 78,280 Huntsman Corp. (Chemicals) 489,250 0.03 4,481 iPCS, Inc. (Telecommunications) 79,941 0.00 4,036 Polymer Group, Inc. “A” (Oil & Gas) 31,279 0.00 11,010 Viasystems Group, Inc.(c) (Electrical Components & Equipment) 110,100 0.01 766,274 0.04

TOTAL COMMON STOCKS (cost USD 3,210,782) 1,421,300 0.07

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 918,466,689) 742,581,565 37.23

Transferable securities dealt in another regulated market Corporate Bonds – 51.29% Canadian Dollar 2,000,000 General Motors Acceptance Corp of Canada Ltd. 6.000% 25/05/10 1,348,278 0.07

United States Dollar 3,250,000 Accellent, Inc. 10.500% 01/12/13 2,567,500 0.13 5,000,000 AES Corp. 144A(f) 9.750% 15/04/16 5,012,500 0.25 1,250,000 Affinion Group, Inc. 10.125% 15/10/13 1,168,750 0.06 2,000,000 Affinion Group, Inc. 11.500% 15/10/15 1,730,000 0.09 2,125,000 Ahern Rentals, Inc. 9.250% 15/08/13 765,000 0.04 1,232,429 Ahold Lease USA, Inc.(d) 7.820% 02/01/20 1,047,565 0.05 1,448,638 Ahold Lease USA, Inc.(d) 8.620% 02/01/25 1,274,801 0.06 7,000,000 Aleris International, Inc. 10.000% 15/12/16 70,000 0.00 5,500,000 Aleris International, Inc. 144A(d) 9.000% 15/12/14 55,000 0.00 3,000,000 Alliance One International, Inc. 11.000% 15/05/12 3,015,000 0.15 2,250,000 Allison Transmission 144A(f) 11.000% 01/11/15 1,732,500 0.09 1,000,000 Allison Transmission 144A(f) 11.250% 01/11/15 655,000 0.03 4,000,000 American Medical Systems Holdings, Inc. 3.250% 01/07/36 3,766,800 0.19 2,000,000 American Tower Corp. 7.000% 15/10/17 1,955,000 0.10 2,250,000 AmeriGas Partners LP 7.125% 20/05/16 2,092,500 0.10 2,750,000 AmeriGas Partners LP 7.250% 20/05/15 2,571,250 0.13 3,500,000 Ameristar Casinos, Inc. 144A(f) 9.250% 01/06/14 3,500,000 0.18 1,000,000 Ames True Temper(d) 5.131% 15/01/12 845,000 0.04

The accompanying notes are an integral part of these financial statements.

133 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 1,000,000 Angiotech Pharmaceuticals, Inc. 7.750% 01/04/14 430,000 0.02 2,750,000 Arch Western Finance LLC 6.750% 01/07/13 2,502,500 0.13 7,000,000 Associated Materials, Inc. 11.250% 01/03/14 2,266,250 0.11 1,875,000 Atlantic Broadband Finance LLC 9.375% 15/01/14 1,582,031 0.08 5,000,000 Avago Technologies Finance 10.125% 01/12/13 4,806,250 0.24 4,625,000 Avago Technologies Finance 11.875% 01/12/15 4,231,875 0.21 6,000,000 Baldor Electric Co. 8.625% 15/02/17 5,490,000 0.28 2,250,000 Bank of America Corp.(d) 8.000% 29/12/49 1,721,835 0.09 2,500,000 Bank of America Corp. 5.420% 15/03/17 2,089,435 0.10 9,250,000 Basell AF S.C.A. 144A(f) 8.375% 15/08/15 161,875 0.01 9,000,000 Bausch & Lomb, Inc. 9.875% 01/11/15 8,212,500 0.41 2,000,000 BE Aerospace, Inc. 8.500% 01/07/18 1,880,000 0.09 2,000,000 Berry Plastics Corp.(d) 5.881% 15/02/15 1,685,000 0.08 3,250,000 Berry Plastics Holding Corp.(d) 5.195% 15/09/14 2,112,500 0.11 5,250,000 Berry Plastics Holding Corp. 8.875% 15/09/14 4,068,750 0.20 2,500,000 Berry Plastics Holding Corp. 10.250% 01/03/16 1,537,500 0.08 2,613,000 Boise Cascade LLC 7.125% 15/10/14 1,267,305 0.06 2,125,000 Bonten Media Acquisition Co. 144A(f) 9.000% 01/06/15 371,875 0.02 750,000 Briggs & Stratton Corp. 8.875% 15/03/11 751,875 0.04 1,500,000 Buffalo Thunder Development Authority 144A(f) 9.375% 15/12/14 210,000 0.01 2,000,000 Caesars Entertainment, Inc. 7.875% 15/03/10 1,825,000 0.09 1,750,000 Calpine Construction Finance Co. LP 144A(f) 8.000% 01/06/16 1,658,125 0.08 8,500,000 CanWest Media, Inc. 8.000% 15/09/12 2,210,000 0.11 2,250,000 Case New Holland, Inc. 144A(f) 7.125% 01/03/14 2,058,750 0.10 12,875,000 Catalent Pharma Solutions, Inc. 9.500% 15/04/15 4,956,875 0.25 2,000,000 Catalyst Paper Corp. 8.625% 15/06/11 1,160,000 0.06 4,000,000 CC Holdings GS V LLC/Crown Castle GS III Corp. 144A(f) 7.750% 01/05/17 3,940,000 0.20 4,000,000 CCH I Holdings LLC 11.000% 01/10/15 490,000 0.02 3,000,000 CCM Merger, Inc. 144A(f) 8.000% 01/08/13 1,800,000 0.09 6,000,000 CCO Holdings LLC/CCO Holdings Capital Corp. 8.750% 15/11/13 5,490,000 0.28 875,000 Centennial Communications Corp. 10.125% 15/06/13 900,156 0.05 1,750,000 Charter Communications Holdings II LLC 10.250% 15/09/10 1,732,500 0.09 5,250,000 Charter Communications Operating LLC/Charter Communications Operating Capital 144A(d)(f) 10.000% 30/04/12 5,079,375 0.25 5,000,000 Charter Communications Operating LLC/Charter Communications Operating Capital 144A(d)(f) 10.875% 15/09/14 5,175,000 0.26 6,250,000 Chesapeake Energy Corp. 6.500% 15/08/17 5,156,250 0.26 2,250,000 Chukchansi Economic Development Authority 144A(f) 8.000% 15/11/13 1,462,500 0.07 500,000 Cie Generale de Geophysique-Veritas 7.750% 15/05/17 432,500 0.02 2,250,000 Cimarex Energy Co. 7.125% 01/05/17 1,935,000 0.10 4,250,000 Citizens Communications Co. 6.625% 15/03/15 3,910,000 0.20 2,500,000 Compagnie Generale de Geophysique-Veritas 7.500% 15/05/15 2,231,250 0.11 421,000 Compass Minerals International, Inc.—Series B(d) 12.000% 01/06/13 437,840 0.02 3,500,000 Conmed Corp. 2.500% 15/11/24 2,980,355 0.15 4,250,000 Constellation Brands, Inc. 7.250% 15/05/17 3,995,000 0.20 3,000,000 Cooper Cos, Inc. 7.125% 15/02/15 2,872,500 0.14 2,260,000 CPG International I, Inc. 10.500% 01/07/13 1,186,500 0.06 2,500,000 CRC Health Corp. 10.750% 01/02/16 1,781,250 0.09 4,000,000 Crown Americas LLC 7.750% 15/11/15 3,920,000 0.20 750,000 Crown Americas LLC 7.625% 15/11/13 735,000 0.04 3,125,000 Crown Americas LLC/Crown Americas Capital Corp. II 144A(f) 7.625% 15/05/17 3,062,500 0.15 4,250,000 CSC Holdings, Inc. 144A(f) 8.500% 15/04/14 4,212,812 0.21 3,000,000 CSC Holdings, Inc. 144A(f) 8.625% 15/02/19 2,958,750 0.15 2,247,000 Dex Media West LLC 9.875% 15/08/13 550,515 0.03 1,250,000 Dex Media, Inc. 8.000% 15/11/13 206,250 0.01 6,500,000 Dex Media, Inc.(d) 9.000% 15/11/13 1,170,000 0.06 2,000,000 Digicel Ltd. 144A(f) 9.250% 01/09/12 1,897,500 0.09 9,750,000 Digicel Ltd. 144A(f) 8.875% 15/01/15 7,897,500 0.40 5,299,000 Digicel Ltd. 144A(d)(f) 9.125% 15/01/15 4,027,240 0.20 2,000,000 Digicel SA/Bermuda 144A(f) 12.000% 01/04/14 1,917,500 0.10 2,581,000 DirecTV Holdings LLC 8.375% 15/03/13 2,600,357 0.13 3,750,000 DirecTV Holdings LLC 6.375% 15/06/15 3,403,125 0.17 12,250,000 DirecTV Holdings LLC/DirecTV Financing Co. 7.625% 15/05/16 11,821,250 0.59 6,250,000 DJO Finance LLC/DJO Finance Corp. 10.875% 15/11/14 5,093,750 0.26 3,500,000 Dole Food Co. 7.250% 15/06/10 3,421,250 0.17 2,000,000 Dole Food Co. 8.875% 15/03/11 1,905,000 0.10 5,750,000 Dole Food Co., Inc. 144A(f) 13.875% 15/03/14 6,123,750 0.31

The accompanying notes are an integral part of these financial statements.

134 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 5,250,000 Dresser-Rand Group, Inc. 7.375% 01/11/14 4,803,750 0.24 375,000 Dynegy Holdings, Inc. 7.125% 15/05/18 240,938 0.01 5,000,000 E*Trade Financial Corp. 7.375% 15/09/13 2,800,000 0.14 4,585,000 Easton-Bell Sports, Inc. 8.375% 01/10/12 4,034,800 0.20 2,000,000 Echostar DBS Corp. 6.375% 01/10/11 1,935,000 0.10 2,000,000 Echostar DBS Corp. 7.125% 01/02/16 1,835,000 0.09 750,000 Echostar DBS Corp. 6.625% 01/10/14 688,125 0.03 4,000,000 Echostar DBS Corp. 7.750% 31/05/15 3,790,000 0.19 3,000,000 Echostar DBS Corp. 7.000% 01/10/13 2,850,000 0.14 2,250,000 Edison Mission Energy 7.500% 15/06/13 1,890,000 0.09 4,500,000 Edison Mission Energy 7.750% 15/06/16 3,442,500 0.17 2,750,000 Edison Mission Energy 7.000% 15/05/17 1,952,500 0.10 4,000,000 Edison Mission Energy 7.200% 15/05/19 2,700,000 0.14 1,500,000 El Paso Corp. 8.250% 15/02/16 1,470,000 0.07 1,250,000 El Paso Natural Gas Co. 8.625% 15/01/22 1,224,963 0.06 750,000 El Paso Natural Gas Co. 7.500% 15/11/26 683,829 0.03 2,000,000 El Paso Natural Gas Co. 8.375% 15/06/32 1,979,439 0.10 1,000,000 Elan Finance Plc./Elan Finance Corp. 8.875% 01/12/13 855,000 0.04 343,400 Elwood Energy LLC 8.159% 05/07/26 278,154 0.01 1,500,000 Enterprise Products Operating LP(d) 8.375% 01/08/66 1,140,000 0.06 1,000,000 Enterprise Products Operating LP(d) 7.034% 15/01/68 700,842 0.04 375,000 Equistar Chemicals LP 7.550% 15/02/26 101,250 0.01 3,250,000 Exco Resources, Inc. 7.250% 15/01/11 2,892,500 0.14 11,500,000 First Data Corp. 9.875% 24/09/15 7,705,000 0.39 2,750,000 Flextronics International Ltd. 6.250% 15/11/14 2,433,750 0.12 3,250,000 Fontainebleau Las Vegas Capital Corp. 144A(f) 11.000% 15/06/15 138,125 0.01 5,500,000 Ford Motor Credit Co. 8.000% 15/12/16 4,409,289 0.22 4,000,000 Ford Motor Credit Co. 9.750% 15/09/10 3,775,372 0.19 750,000 Forest Oil Corp. 144A(f) 8.500% 15/02/14 718,125 0.04 1,500,000 Foundation PA Coal Co. 7.250% 01/08/14 1,470,000 0.07 1,500,000 Freeport-McMoRan Copper & Gold, Inc.(d) 4.995% 01/04/15 1,339,790 0.07 2,000,000 Freescale Semiconductor, Inc. 8.875% 15/12/14 870,000 0.04 3,000,000 Freescale Semiconductor, Inc. 10.125% 15/12/16 795,000 0.04 6,000,000 Freescale Semiconductor, Inc.(d) 9.125% 15/12/14 1,515,000 0.08 5,000,000 Fresenius US Finance II, Inc. 144A(f) 9.000% 15/07/15 5,187,500 0.26 2,500,000 Gaylord Entertainment Co. 8.000% 15/11/13 2,075,000 0.10 1,250,000 General Electric Capital Corp.(d) 1.356% 06/10/15 970,248 0.05 5,000,000 General Nutrition Centers, Inc.(d) 6.404% 15/03/14 4,162,500 0.21 250,000 Georgia-Pacific Corp. 9.500% 01/12/11 254,375 0.01 375,000 Georgia-Pacific Corp. 7.700% 15/06/15 353,438 0.02 750,000 Georgia-Pacific Corp. 7.750% 15/11/29 596,250 0.03 4,000,000 Georgia-Pacific Corp. 8.125% 15/05/11 4,030,000 0.20 875,000 Georgia-Pacific Corp. 8.000% 15/01/24 743,750 0.04 6,250,000 Georgia-Pacific Corp. 144A(f) 7.000% 15/01/15 5,875,000 0.29 5,750,000 Georgia-Pacific Corp. 144A(f) 7.125% 15/01/17 5,405,000 0.27 2,500,000 Georgia-Pacific LLC 144A(f) 8.250% 01/05/16 2,481,250 0.12 4,144,000 GMAC LLC 144A(f) 8.000% 01/11/31 3,128,720 0.16 2,431,000 GMAC LLC 144A(f) 5.750% 21/05/10 2,260,830 0.11 1,500,000 GMAC LLC 144A(f) 6.875% 28/08/12 1,305,000 0.07 4,250,000 GMAC LLC 144A(f) 7.250% 02/03/11 3,867,500 0.19 1,842,000 GMAC LLC 144A(f) 6.750% 01/12/14 1,538,070 0.08 2,750,000 GMAC LLC 144A(f) 6.625% 15/05/12 2,392,500 0.12 1,989,000 GMAC LLC 144A(f) 5.375% 06/06/11 1,710,540 0.09 8,000,000 GMAC LLC 144A(f) 6.875% 15/09/11 7,200,000 0.36 1,768,000 GMAC LLC 144A(f) 5.750% 27/09/10 1,644,240 0.08 1,000,000 Graham Packaging Co., Inc. 8.500% 15/10/12 957,500 0.05 11,750,000 Graham Packaging Co., Inc. 9.875% 15/10/14 10,457,500 0.52 5,250,000 Graham Packaging Co., Inc. 9.500% 15/08/13 4,856,250 0.24 3,500,000 Great Lakes Dredge & Dock Corp. 7.750% 15/12/13 2,975,000 0.15 8,500,000 Harrah’s Operating Co., Inc. 10.000% 15/12/18 5,673,750 0.28 2,750,000 Harrah’s Operating Co., Inc. 10.000% 15/12/18 1,835,625 0.09 1,000,000 Harrah’s Operating Co., Inc. 144A(f) 10.000% 15/12/15 680,000 0.03 2,369,000 Harrah’s Operating Co., Inc. 144A(f) 10.000% 15/12/18 1,581,307 0.08 2,500,000 Harrahs Operating Escrow LLC/Harrahs Escrow Corp. 144A(f) 11.250% 01/06/17 2,428,125 0.12 1,500,000 Harry & David Holdings, Inc. 9.000% 01/03/13 526,875 0.03

The accompanying notes are an integral part of these financial statements.

135 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 7,000,000 HCA, Inc. 6.250% 15/02/13 5,897,500 0.30 5,000,000 HCA, Inc. 6.750% 15/07/13 4,237,500 0.21 8,000,000 HCA, Inc. 6.375% 15/01/15 6,180,000 0.31 7,000,000 HCA, Inc. 9.125% 15/11/14 6,877,500 0.34 5,000,000 HCA, Inc. 9.250% 15/11/16 4,900,000 0.25 1,875,000 HCA, Inc. 6.500% 15/02/16 1,443,750 0.07 8,054,000 HCA, Inc.(d) 9.625% 15/11/16 7,711,705 0.39 3,750,000 HCA, Inc. 144A(f) 8.500% 15/04/19 3,675,000 0.18 1,750,000 HCA, Inc./DE 6.300% 01/10/12 1,557,500 0.08 1,000,000 HCA, Inc.144A(f) 9.875% 15/02/17 997,500 0.05 4,250,000 Hexion US Finance Corp. 9.750% 15/11/14 1,795,625 0.09 12,500,000 Hologic, Inc. 2.000% 15/12/37 8,670,500 0.43 838,556 Homer City Funding LLC 8.734% 01/10/26 708,580 0.04 1,625,000 Host Hotels & Resorts LP 6.875% 01/11/14 1,444,219 0.07 3,250,000 Host Marriott LP 7.125% 01/11/13 3,022,500 0.15 1,500,000 Host Marriott LP 7.000% 15/08/12 1,425,000 0.07 4,000,000 Host Marriott LP 6.375% 15/03/15 3,450,000 0.17 2,500,000 Host Marriott LP 6.750% 01/06/16 2,118,750 0.11 875,000 HRP Myrtle Beach Operations LLC 144A(d)(f) 1.000% 01/04/12 8,750 0.00 3,500,000 HUB International Holdings, Inc. 144A(f) 9.000% 15/12/14 2,555,000 0.13 2,500,000 Huntsman International LLC 7.875% 15/11/14 1,706,250 0.09 4,000,000 Ineos Group Holdings Plc. 144A(f) 8.500% 15/02/16 1,240,000 0.06 625,000 Inergy LP 6.875% 15/12/14 571,875 0.03 1,000,000 Inergy LP 8.250% 01/03/16 980,000 0.05 2,375,000 Ingles Markets, Inc. 144A(f) 8.875% 15/05/17 2,327,500 0.12 973,000 Inmarsat Finance Plc. 7.625% 30/06/12 938,945 0.05 3,125,000 Inmarsat Finance Plc.(d) 10.375% 15/11/12 3,234,375 0.16 6,750,000 Intelsat Bermuda Ltd. 11.250% 15/06/16 6,918,750 0.35 2,250,000 Intelsat Bermuda Ltd. 144A(d)(f) 11.500% 04/02/17 1,710,000 0.09 5,500,000 Intelsat Intermediate Holding Co., Ltd. 144A(f)(e) 1.960%/9.500% 01/02/15 4,963,750 0.25 2,750,000 Intelsat Jackson Holdings Ltd. 144A(f) 9.500% 15/06/16 2,743,125 0.14 5,250,000 Intelsat Ltd. 7.625% 15/04/12 4,646,250 0.23 875,000 Iron Moutain, Inc. 7.750% 15/01/15 844,375 0.04 466,000 Isle of Capri Casinos, Inc. 7.000% 01/03/14 356,490 0.02 2,250,000 Jarden Corp. 8.000% 01/05/16 2,182,500 0.11 4,000,000 JBS USA LLC/JBS USA Finance, Inc. 144A(f) 11.625% 01/05/14 3,900,000 0.20 3,000,000 Jefferson Smurfit Corp. US 8.250% 01/10/12 855,000 0.04 500,000 Jefferson Smurfit Corp. US 7.500% 01/06/13 135,000 0.01 4,425,000 Johnsondiversey Holdings, Inc.(d) 10.670% 15/05/13 3,495,750 0.18 5,000,000 JPMorgan Chase & Co.(d) 7.900% 29/04/49 4,100,900 0.21 1,500,000 K Hovnanian Enterprises, Inc. 11.500% 01/05/13 1,278,750 0.06 1,500,000 Kabel Deutschland GmbH 10.625% 01/07/14 1,552,500 0.08 2,250,000 KCS Energy, Inc. 7.125% 01/04/12 2,089,687 0.10 4,500,000 Key Energy Services, Inc. 8.375% 01/12/14 3,948,750 0.20 5,500,000 KRATON Polymers LLC 8.125% 15/01/14 2,200,000 0.11 2,000,000 L-3 Communications Corp. 6.125% 15/01/14 1,852,500 0.09 4,750,000 L-3 Communications Corp. 6.375% 15/10/15 4,334,375 0.22 3,000,000 Lamar Media Corp. 7.250% 01/01/13 2,745,000 0.14 3,500,000 Lamar Media Corp. 6.625% 15/08/15 2,817,500 0.14 3,000,000 Legrand S.A. 8.500% 15/02/25 2,289,432 0.11 1,500,000 Level 3 Financing, Inc. 8.750% 15/02/17 1,053,750 0.05 4,000,000 Level 3 Financing, Inc. 9.250% 01/11/14 3,130,000 0.16 3,000,000 Liberty Media LLC 5.700% 15/05/13 2,557,500 0.13 1,125,000 Liberty Media LLC 8.250% 01/02/30 742,500 0.04 4,750,000 LifePoint Hospitals, Inc. 3.250% 15/08/25 3,932,017 0.20 9,500,000 LifePoint Hospitals, Inc. 3.500% 15/05/14 7,713,021 0.39 6,250,000 LIN Television Corp. 6.500% 15/05/13 4,093,750 0.21 3,500,000 Local TV Finance LLC 144A(d)(f) 9.250% 15/06/15 630,000 0.03 5,000,000 MacDermid, Inc. 144A(f) 9.500% 15/04/17 3,050,000 0.15 525,000 Mandalay Resort Group 9.375% 15/02/10 500,063 0.03 3,000,000 Mashantucket Western Pequot Tribe 144A(f) 8.500% 15/11/15 1,080,000 0.05 4,000,000 Masonite Corp. 11.000% 06/04/15 10,000 0.00 1,250,000 Massey Energy Co. 3.250% 01/08/15 828,719 0.04 500,000 MGM Mirage 144A(f) 10.375% 15/05/14 517,500 0.03 500,000 MGM Mirage 144A(f) 11.125% 15/11/17 525,000 0.03

The accompanying notes are an integral part of these financial statements.

136 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 5,500,000 Michaels Stores, Inc. 10.000% 01/11/14 3,808,750 0.19 4,500,000 Michaels Stores, Inc. 11.375% 01/11/16 2,340,000 0.12 22,819 Midwest Generation LLC 8.300% 02/07/09 22,590 0.00 1,252,200 Midwest Generation LLC 8.560% 02/01/16 1,214,634 0.06 375,000 Mirage Resorts, Inc. 7.250% 01/08/17 468,750 0.02 2,000,000 Mirant Americas Generation LLC 8.300% 01/05/11 1,990,000 0.10 447,264 Mirant Mid Atlantic LLC 9.125% 30/06/17 432,728 0.02 4,750,000 Mirant North America LLC 7.375% 31/12/13 4,548,125 0.23 1,228,000 Mohegan Tribal Gaming Authority 8.000% 01/04/12 921,000 0.05 1,375,000 Mohegan Tribal Gaming Authority 7.125% 15/08/14 945,313 0.05 500,000 Mohegan Tribal Gaming Authority 6.875% 15/02/15 330,000 0.02 750,000 Mohegan Tribal Gaming Authority 6.125% 15/02/13 620,625 0.03 3,000,000 Momentive Performance Materials, Inc. 9.750% 01/12/14 1,102,500 0.06 3,031,328 Momentive Performance Materials, Inc.(d) 10.125% 01/12/14 909,398 0.05 3,500,000 Momentive Performance Materials, Inc. 11.500% 01/12/16 805,000 0.04 3,250,000 Morris Publishing Group LLC 7.000% 01/08/13 125,938 0.01 1,250,000 Mosaic Co. 144A(f) 7.375% 01/12/14 1,253,125 0.06 1,875,000 Mosaic Co. 144A(f) 7.625% 01/12/16 1,865,625 0.09 4,000,000 Mueller Water Products, Inc. 7.375% 01/06/17 2,360,000 0.12 4,125,000 Nalco Co. 144A(f) 8.250% 15/05/17 4,094,062 0.21 1,500,000 National Beef Packing Co. LLC 10.500% 01/08/11 1,485,000 0.07 4,500,000 NCO Group, Inc. 11.875% 15/11/14 2,385,000 0.12 4,097,500 Neiman-Marcus Group, Inc.(d) 9.000% 15/10/15 2,171,675 0.11 6,000,000 Neiman-Marcus Group, Inc. 10.375% 15/10/15 3,150,000 0.16 3,000,000 NewPage Corp. 10.000% 01/05/12 1,590,000 0.08 1,000,000 Nextel Communications, Inc. 5.250% 15/01/10 990,000 0.05 4,250,000 Nextel Communications, Inc. 6.875% 31/10/13 3,511,562 0.18 1,500,000 Nextel Communications, Inc. 5.950% 15/03/14 1,166,250 0.06 7,250,000 Nielsen Finance LLC 10.000% 01/08/14 6,887,500 0.35 10,500,000 Nielsen Finance LLC(e) 0.000%/12.500% 01/08/16 6,562,500 0.33 2,000,000 Nielsen Finance LLC/Nielsen Finance Co. 144A(f) 11.500% 01/05/16 1,910,000 0.10 1,000,000 Nisource Finance Corp. 6.800% 15/01/19 887,507 0.04 1,250,000 Nisource Finance Corp. 10.750% 15/03/16 1,347,353 0.07 5,468,724 Noranda Aluminium Acquisition Corp. 5.413% 15/05/15 2,871,080 0.14 3,136,425 Noranda Aluminium Holding Corp. 7.163% 15/11/14 1,113,431 0.06 5,250,000 Nordic Telephone Co. Holdings ApS 144A(f) 8.875% 01/05/16 5,236,875 0.26 3,000,000 Nortek, Inc. 10.000% 01/12/13 1,890,000 0.09 11,500,000 Nortek, Inc. 8.500% 01/09/14 2,875,000 0.14 8,250,000 Novelis, Inc. 7.250% 15/02/15 5,424,375 0.27 7,500,000 NRG Energy, Inc. 7.250% 01/02/14 7,200,000 0.36 7,000,000 NRG Energy, Inc. 7.375% 01/02/16 6,615,000 0.33 2,500,000 NRG Energy, Inc. 7.375% 15/01/17 2,337,500 0.12 5,000,000 NTK Holdings, Inc.(e) 0.000%/10.750% 01/03/14 500,000 0.03 1,250,000 Nuveen Investments, Inc. 144A(f) 10.500% 15/11/15 668,750 0.03 2,250,000 NXP BV/NXP Funding LLC 7.875% 15/10/14 781,875 0.04 3,000,000 NXP BV/NXP Funding LLC 9.500% 15/10/15 480,000 0.02 4,000,000 OPTI Canada, Inc. 7.875% 15/12/14 2,660,000 0.13 9,000,000 Orascom Telecom Finance SCA 144A(f) 7.875% 08/02/14 7,380,000 0.37 1,500,000 Orion Power Holdings, Inc. 12.000% 01/05/10 1,545,000 0.08 4,000,000 OSI Restaurant Partners, Inc. 10.000% 15/06/15 2,600,000 0.13 2,500,000 Owens-Brockway Glass Container, Inc. 144A(f) 7.375% 15/05/16 2,400,000 0.12 500,000 Oxford Industries, Inc. 8.875% 01/06/11 442,500 0.02 4,125,000 Panolam Industries International, Inc. 10.750% 01/10/13 206,250 0.01 2,625,000 Park-Ohio Industries, Inc. 8.375% 15/11/14 1,155,000 0.06 2,250,000 Peabody Energy Corp. 6.875% 15/03/13 2,160,000 0.11 1,500,000 Peabody Energy Corp. 5.875% 15/04/16 1,320,000 0.07 3,625,000 Penn National Gaming, Inc. 6.750% 01/03/15 3,316,875 0.17 1,000,000 Petroplus Finance Ltd. 144A(f) 6.750% 01/05/14 810,000 0.04 2,500,000 Pilgrim’s Pride Corp. 7.625% 01/05/15 2,150,000 0.11 1,250,000 Pilgrim’s Pride Corp. 8.375% 01/05/17 925,000 0.05 4,250,000 Pinnacle Entertainment, Inc. 7.500% 15/06/15 3,570,000 0.18 2,000,000 Pinnacle Entertainment, Inc. 8.750% 01/10/13 1,970,000 0.10 1,500,000 Pinnacle Entertainment, Inc. 8.250% 15/03/12 1,443,750 0.07 9,000,000 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 9.250% 01/04/15 8,043,750 0.40 7,250,000 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 10.625% 01/04/17 5,945,000 0.30

The accompanying notes are an integral part of these financial statements.

137 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 7,500,000 Pioneer Natural Resources Co. 2.875% 15/01/38 6,528,277 0.33 2,000,000 Plains Exploration & Production Co. 7.000% 15/03/17 1,717,500 0.09 2,000,000 Plastipak Holdings, Inc. 144A(f) 8.500% 15/12/15 1,560,000 0.08 1,146,395 Pliant Corp.(d) 11.625% 15/06/09 461,424 0.02 2,375,000 Ply Gem Industries, Inc. 11.750% 15/06/13 1,514,062 0.08 2,750,000 Ply Gem Industries, Inc. 9.000% 15/02/12 618,750 0.03 1,023,000 Pokagon Gaming Authority 144A(f) 10.375% 15/06/14 1,002,540 0.05 5,125,000 Pregis Corp. 12.375% 15/10/13 2,882,812 0.14 1,500,000 ProLogis 2.250% 01/04/37 1,171,737 0.06 1,625,000 Propex Fabrics, Inc.(d) 10.000% 01/12/12 163 0.00 1,250,000 Psychiatric Solutions, Inc. 7.750% 15/07/15 1,121,875 0.06 5,625,000 Quebecor Media, Inc. 7.750% 15/03/16 5,006,250 0.25 250,000 Quebecor Media, Inc. 7.750% 15/03/16 222,500 0.01 5,750,000 Quiksilver, Inc. 6.875% 15/04/15 3,795,000 0.19 2,000,000 Qwest Capital Funding, Inc. 7.900% 15/08/10 1,997,500 0.10 2,250,000 Qwest Communications International, Inc. 7.500% 15/02/14 2,070,000 0.10 2,000,000 Qwest Communications International, Inc. 7.500% 15/02/14 1,840,000 0.09 1,000,000 Qwest Corp. 144A(f) 8.375% 01/05/16 982,500 0.05 1,750,000 Radio One, Inc. 6.375% 15/02/13 463,750 0.02 931,000 Rainbow National Services LLC 144A(f) 10.375% 01/09/14 942,638 0.05 2,125,000 Range Resources Corp. 8.000% 15/05/19 2,085,156 0.10 8,750,000 RBS Global, Inc. and Rexnord Corp. 9.500% 01/08/14 7,262,500 0.36 8,250,000 RBS Global, Inc. and Rexnord Corp. 11.750% 01/08/16 5,187,187 0.26 4,375,000 RBS Global, Inc. and Rexnord Corp. 8.875% 01/09/16 3,128,125 0.16 3,000,000 Realogy Corp. 10.500% 15/04/14 1,117,500 0.06 1,821,545 Realogy Corp.(d) 11.000% 15/04/14 437,171 0.02 1,500,000 Reddy Ice Holdings, Inc. 10.500% 01/11/12 900,000 0.05 2,500,000 Regency Energy Partners LP 8.375% 15/12/13 2,362,500 0.12 1,750,000 Regency Energy Partners LP 144A(f) 9.375% 01/06/16 1,671,250 0.08 3,000,000 RH Donnelley Corp. 8.875% 15/01/16 247,500 0.01 2,500,000 RH Donnelley Corp. 6.875% 15/01/13 200,000 0.01 2,250,000 Rouse Co. LP 144A(f) 6.750% 01/05/13 1,361,250 0.07 9,000,000 RSC Equipment Rental, Inc. 9.500% 01/12/14 6,975,000 0.35 4,500,000 Sabre Holdings Corp. 8.350% 15/03/16 2,542,500 0.13 6,750,000 Sally Holdings LLC 9.250% 15/11/14 6,834,375 0.34 7,500,000 Sally Holdings LLC 10.500% 15/11/16 7,537,500 0.38 2,000,000 SandRidge Energy, Inc. 144A(f) 9.875% 15/05/16 1,890,000 0.09 1,750,000 SandRidge Energy, Inc. 144A(f) 8.000% 01/06/18 1,470,000 0.07 1,750,000 Seagate Technology International 144A(f) 10.000% 01/05/14 1,741,250 0.09 5,000,000 Sealy Mattress Co. 8.250% 15/06/14 3,937,500 0.20 2,000,000 Seitel, Inc. 9.750% 15/02/14 960,000 0.05 2,000,000 Select Medical Corp. 7.625% 01/02/15 1,580,000 0.08 3,250,000 Seminole Hard Rock Entertainment, Inc.144A(d)(f) 3.820% 15/03/14 2,218,125 0.11 1,750,000 Seneca Gaming Corp. 7.250% 01/05/12 1,395,625 0.07 1,375,000 Seneca Gaming Corp. 7.250% 01/05/12 1,096,563 0.05 3,810,000 Serena Software, Inc. 10.375% 15/03/16 2,514,600 0.13 3,250,000 Service Corp International 7.625% 01/10/18 2,973,750 0.15 2,875,000 SGS International, Inc. 12.000% 15/12/13 1,825,625 0.09 6,250,000 Shingle Springs Tribal Gaming Authority 144A(f) 9.375% 15/06/15 3,562,500 0.18 1,750,000 Sierra Pacific Resources 6.750% 15/08/17 1,522,500 0.08 2,000,000 Sierra Pacific Resources 8.625% 15/03/14 1,955,000 0.10 2,125,000 Simmons Bedding Co. 7.875% 15/01/14 616,250 0.03 2,875,000 Simmons Co.(d) 10.000% 15/12/14 28,750 0.00 2,500,000 SLM Corp.(d) 1.252% 26/07/10 2,181,221 0.11 2,250,000 Smithfield Foods, Inc. 7.750% 15/05/13 1,755,000 0.09 1,000,000 Smithfield Foods, Inc. 7.000% 01/08/11 860,000 0.04 2,750,000 Smurfit Kappa Funding Plc. 7.750% 01/04/15 1,870,000 0.09 3,000,000 Smurfit-Stone Container Enterprises, Inc. 8.000% 15/03/17 855,000 0.04 3,500,000 Snoqualmie Entertainment Authority 144A(f) 9.125% 01/02/15 1,855,000 0.09 3,000,000 Solo Cup Co. 8.500% 15/02/14 2,385,000 0.12 1,250,000 Southern Natural Gas Co. 7.350% 15/02/31 1,105,440 0.06 1,875,000 Southern Natural Gas Co. 8.000% 01/03/32 1,831,216 0.09 1,500,000 Southern Star Central Corp. 6.750% 01/03/16 1,338,750 0.07 2,000,000 Spansion, Inc. 144A(f) 11.250% 15/01/16 280,000 0.01 4,750,000 Spectrum Brands, Inc. 7.375% 01/02/15 2,422,500 0.12

The accompanying notes are an integral part of these financial statements.

138 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 2,000,000 Spectrum Brands, Inc. 12.500% 02/10/13 970,000 0.05 3,000,000 SPX Corp. 7.625% 15/12/14 2,925,000 0.15 1,750,000 Starwood Hotels & Resorts Worldwide, Inc. 7.875% 15/10/14 1,642,126 0.08 4,250,000 Station Casinos, Inc. 7.750% 15/08/16 1,530,000 0.08 7,000,000 Station Casinos, Inc. 6.500% 01/02/14 280,000 0.01 9,750,000 Station Casinos, Inc. 6.875% 01/03/16 390,000 0.02 4,000,000 Steel Dynamics, Inc. 7.375% 01/11/12 3,680,000 0.18 2,250,000 Steel Dynamics, Inc. 144A(f) 8.250% 15/04/16 1,884,375 0.09 750,000 Stewart Enterprises, Inc. 6.250% 15/02/13 678,750 0.03 2,000,000 Stone Container Finance 7.375% 15/07/14 605,000 0.03 3,500,000 Suburban Propane Partners LP 6.875% 15/12/13 3,290,000 0.16 2,500,000 Sungard Data Systems, Inc. 144A(f) 10.625% 15/05/15 2,387,500 0.12 6,250,000 Sungard Data Systems, Inc. 144A(f) 9.125% 15/08/13 5,953,125 0.30 16,750,000 Sungard Data Systems, Inc. 144A(f) 10.250% 15/08/15 15,284,375 0.77 1,500,000 SUPERVALU, Inc. 8.000% 01/05/16 1,466,250 0.07 2,250,000 Syniverse Technologies, Inc. 7.750% 15/08/13 1,940,625 0.10 6,250,000 Targa Resources, Inc. 8.500% 01/11/13 4,562,500 0.23 1,500,000 Tekni-Plex, Inc. 10.875% 15/08/12 967,500 0.05 5,000,000 Tenet Healthcare Corp. 7.375% 01/02/13 4,775,000 0.24 2,000,000 Tenet Healthcare Corp. 9.250% 01/02/15 1,860,000 0.09 3,375,000 Tenet Healthcare Corp. 144A(f) 9.000% 01/05/15 3,442,500 0.17 3,375,000 Tenet Healthcare Corp. 144A(f) 10.000% 01/05/18 3,526,875 0.18 1,250,000 Tennessee Gas Pipeline Co. 7.500% 01/04/17 1,250,831 0.06 375,000 Tennessee Gas Pipeline Co. 7.625% 01/04/37 337,342 0.02 375,000 Tennessee Gas Pipeline Co. 7.000% 15/10/28 316,466 0.02 1,875,000 Tennessee Gas Pipeline Co. 8.375% 15/06/32 1,792,060 0.09 1,500,000 Texas Industries, Inc. 7.250% 15/07/13 1,275,000 0.06 10,000,000 TL Acquisitions, Inc. 144A(f) 10.500% 15/01/15 7,800,000 0.39 5,000,000 TransDigm, Inc. 7.750% 15/07/14 4,837,500 0.24 1,500,000 Travelport LLC(d) 5.293% 01/09/14 750,000 0.04 7,500,000 Travelport LLC 9.875% 01/09/14 4,762,500 0.24 6,625,000 Travelport LLC 11.875% 01/09/16 3,279,375 0.16 2,250,000 Tropicana Entertainment LLC(d) 9.625% 15/12/14 2,813 0.00 3,000,000 TRW Automotive, Inc. 144A(f) 7.000% 15/03/14 2,205,000 0.11 3,000,000 Tube City IMS Corp. 9.750% 01/02/15 1,710,000 0.09 2,000,000 Tyson Foods, Inc. 144A(f) 10.500% 01/03/14 2,108,560 0.11 220,000 Ucar Finance, Inc. 10.250% 15/02/12 201,850 0.01 2,125,000 United Components, Inc. 9.375% 15/06/13 1,455,625 0.07 1,500,000 United Surgical Partners International, Inc. 8.875% 01/05/17 1,275,000 0.06 2,250,000 Universal City Florida Holding Co. I/II 8.375% 01/05/10 1,586,250 0.08 10,500,000 Univision Communications, Inc. 144A(f) 9.750% 15/03/15 3,360,000 0.17 2,250,000 US Oncology, Inc. 9.000% 15/08/12 2,216,250 0.11 1,500,000 US Oncology, Inc. 10.750% 15/08/14 1,425,000 0.07 2,125,000 Vanguard Health Holding Co. I LLC(e) 0.000%/11.250% 01/10/15 1,965,625 0.10 4,250,000 Vanguard Health Holding Co. II LLC 9.000% 01/10/14 4,122,500 0.21 2,500,000 Ventas, Inc. 144A(f) 3.875% 15/11/11 2,382,500 0.12 750,000 Verso Paper Holdings LLC & Verso Paper, Inc. 144A(f) 11.500% 01/07/14 690,000 0.03 1,500,000 Verso Paper Holdings LLC & Verson Paper, Inc. 11.375% 01/08/16 615,000 0.03 2,000,000 Videotron Ltee 9.125% 15/04/18 2,080,000 0.10 1,500,000 Videotron Ltee 144A(f) 9.125% 15/04/18 1,560,000 0.08 3,750,000 Visant Corp. 7.625% 01/10/12 3,665,625 0.18 5,500,000 Visant Holding Corp. 10.250% 01/12/13 5,376,250 0.27 6,325,000 Visant Holding Corp. 8.750% 01/12/13 6,072,000 0.30 1,582,000 Visteon Corp. 144A(f) 12.250% 31/12/16 71,190 0.00 1,750,000 Vought Aircraft Industries, Inc. 8.000% 15/07/11 835,625 0.04 9,000,000 VWR Funding, Inc.(d) 10.250% 15/07/15 6,660,000 0.33 2,036,000 Warner Chilcott Corp. 8.750% 01/02/15 2,025,820 0.10 4,250,000 Warner Music Group 7.375% 15/04/14 3,580,625 0.18 5,000,000 Waste Services, Inc. 9.500% 15/04/14 4,550,000 0.23 2,000,000 WCA Waste Corp. 9.250% 15/06/14 1,760,000 0.09 1,250,000 WDAC Subsidiary Corp. 144A(f) 8.375% 01/12/14 250,000 0.01 4,500,000 West Corp. 9.500% 15/10/14 4,050,000 0.20 6,000,000 West Corp. 11.000% 15/10/16 5,145,000 0.26 7,500,000 Wind Acquisition Finance S.A. 144A(f) 10.750% 01/12/15 7,790,625 0.39 1,500,000 Windstream Corp. 7.000% 15/03/19 1,335,000 0.07

The accompanying notes are an integral part of these financial statements.

139 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 1,000,000 Witco Corp. 6.875% 01/02/26 345,000 0.02 1,000,000 WMG Acquisition Corp. 144A(f) 9.500% 15/06/16 997,500 0.05 2,019,000 WMG Holdings Corp.(e) 0.000%/9.500% 15/12/14 1,595,010 0.08 3,000,000 Wright Medical Group, Inc. 2.625% 01/12/14 2,234,400 0.11 6,875,000 Wynn Las Vegas LLC 6.625% 01/12/14 5,903,906 0.30 3,000,000 Yankee Acquisition Corp. 8.500% 15/02/15 2,265,000 0.11 250,000 Yankee Acquisition Corp. 9.750% 15/02/17 161,563 0.01

1,021,686,174 51.22

TOTAL CORPORATE BONDS (cost USD 1,333,203,997) 1,023,034,452 51.29

Common Stocks – 0.00% United States Dollar 243 Pliant Corp.(c) (Capital Goods) 2 0.00

TOTAL COMMON STOCKS (cost USD 59,947) 2 0.00

Preferred Stocks – 0.00% United States Dollar 2,071 Pliant Corp. 13.000% 104 0.00 789 Spanish Broadcasting Systems(c)(d) 10.750% 4 0.00

108 0.00

TOTAL PREFERRED STOCKS (cost USD 762,454) 108 0.00

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 1,334,026,398) 1,023,034,562 51.29

Other Transferable Securities Corporate Bonds – 3.82% Canadian Dollar 750,000 Rogers Cable, Inc. 7.250% 15/12/11 737,329 0.04

Euro 1,125,000 Hertz Corp. 7.875% 01/01/14 1,269,585 0.06 3,500,000 JSG Funding Plc. 7.750% 01/04/15 4,048,566 0.20 2,500,000 Momentive Performance Materials, Inc. 9.000% 01/12/14 987,455 0.05 2,000,000 NXP BV/NXP Funding LLC(d) 4.185% 15/10/13 733,538 0.04 8,000,000 Rockwood Specialties Group, Inc. 7.625% 15/11/14 10,608,089 0.53 1,229,559 Stichting Participatie Impress Cooperatieve UA 17.000% 29/09/49 555,033 0.03 2,250,000 VAC Finanzierung GmbH 9.250% 15/04/16 444,355 0.02 18,646,621 0.93

United States Dollar 1,500,000 Adelphia Communications Corp. 10.250% 15/06/49 24,375 0.00 529,000 AES Corp. 144A(f) 8.750% 15/05/13 535,613 0.03 3,750,000 AES Corp. 8.000% 01/06/20 3,290,625 0.16 1,500,000 Allegheny Energy Supply 144A(f) 8.250% 15/04/12 1,541,250 0.08 4,500,567 Atrium Cos, Inc. 144A(f) 15.000% 15/12/12 135,017 0.01 3,125,000 Bombardier, Inc. 144A(f) 6.750% 01/05/12 2,882,812 0.14 300,000 CMP Susquehanna Corp. 144A(c)(f) 1.000% 15/05/14 — — 4,000,000 CSC Holdings, Inc. 144A(f) 8.500% 15/06/15 3,930,000 0.20 2,625,000 Douglas Dynamics LLC 144A(f) 7.750% 15/01/12 1,837,500 0.09 5,000,000 Expedia, Inc. 144A(f) 8.500% 01/07/16 4,700,000 0.24 2,000,000 FMG Finance Pty Ltd. 144A(f) 10.625% 01/09/16 1,775,000 0.09 1,366,000 GMAC LLC 144A(f) 4.750% 14/09/09 1,325,020 0.07 2,000,000 Helix Energy Solutions Group, Inc. 144A(f) 9.500% 15/01/16 1,660,000 0.08 1,000,000 Intelsat Bermuda Ltd. 144A(f) 11.250% 04/02/17 902,500 0.05 5,500,000 Intelsat Subsidiary Holding Co., Ltd. 144A(f) 8.500% 15/01/13 5,390,000 0.27

The accompanying notes are an integral part of these financial statements.

140 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 9,000,000 Intelsat Subsidiary Holding Co., Ltd. 144A(f) 8.875% 15/01/15 8,865,000 0.44 3,050,000 Invista 144A(f) 9.250% 01/05/12 2,821,250 0.14 4,000,000 Lloyds Banking Group Plc. 144A(d)(f) 6.267% 31/12/49 1,580,000 0.08 4,500,000 Lloyds Banking Group Plc. 144A(d)(f) 5.920% 31/12/49 1,777,500 0.09 5,000,000 MGM Mirage 144A(f) 13.000% 15/11/13 5,475,000 0.27 3,150,000 RH Donnelley, Inc. 11.750% 15/05/15 854,437 0.04 4,000,000 Sequa Corp. 144A(f) 11.750% 01/12/15 1,780,000 0.09 3,452,203 Sequa Corp. 144A(f) 13.500% 01/12/15 1,225,532 0.06 3,000,000 Texas Industries, Inc. 144A(f) 7.250% 15/07/13 2,550,000 0.13

56,858,431 2.85

TOTAL CORPORATE BONDS (cost USD 101,604,567) 76,242,381 3.82

Common Stocks – 0.02% Euro 585 Nycomed ASA(c) (Pharmaceuticals) 8 0.00

United States Dollar 812 APP China Group Ltd.(c) (Forest Products & Paper) —— 1,155 Port Townsend Holdings Co., Inc.(c) (Forest Products & Paper) 421,575 0.02 438 Zemex Minerals Group, Inc.(c) (Mining) ——

421,575 0.02

TOTAL COMMON STOCKS (cost USD 1,293,510) 421,583 0.02

Warrants – 0.00% United States Dollar 2,257 Atrium Corp., exp. 31/12/12(c) —— 79,950 CNB Capital Trust 144A(c)(f) —— 8,298 ZSC Speciality Chemicals Plc., exp. 01/07/10 144A(c)(f) 83 0.00 8,298 ZSC Speciality Chemicals Plc., exp. 01/07/10 144A(c)(f) 83 0.00

166 0.00

TOTAL WARRANTS (cost USD nil) 166 0.00

Preferred Stocks – 0.08% United States Dollar 69,963 CMP Susquehanna Radio Holdings Corp.—Series A—Preferred(c)(d) 0.000% — — 3,639 Preferred Blocker, Inc. 144A—Preferred(f) 7.000% 1,529,745 0.08 1,529,745 0.08

TOTAL PREFERRED STOCKS (cost USD nil) 1,529,745 0.08

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 102,898,077) 78,193,875 3.92

Mutual Funds – 4.83% United States Dollar 96,333,625 Goldman Sachs US$ Liquid Reserves Fund(g)(h)(i) 96,333,625 4.83

TOTAL MUTUAL FUNDS (cost USD 96,333,625) 96,333,625 4.83

The accompanying notes are an integral part of these financial statements.

141 Goldman Sachs Funds—Global High Yield Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Time Deposits – 0.44% United States Dollar 7,887,766 Rabobank Nederland USD Time Deposit 0.120% 29/05/09 7,887,766 0.39 926,000 State Street EUR Time Deposit 0.010% 29/05/09 926,000 0.05

8,813,766 0.44

TOTAL TIME DEPOSITS (cost USD 8,813,766) 8,813,766 0.44

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY CONTRACTS (cost USD 2,460,538,555) 1,948,957,393 97.71

Forward Currency Contracts – (0.67%) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

12/08/2009 EUR 8,776,602 USD 11,934,853 438,911 0.02

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 438,911 0.02

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

12/08/2009 USD 301,635,506 EUR 223,455,670 (13,405,284) (0.67) 12/08/2009 USD 6,283,563 GBP 4,175,125 (459,820) (0.02)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (13,865,104) (0.69)

MARKET VALUE OF INVESTMENTS (cost USD 2,460,538,555) 1,935,531,200 97.04

OTHER ASSETS AND LIABILITIES 59,122,445 2.96

SHAREHOLDERS’ EQUITY 1,994,653,645 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency contracts (cost USD 2,460,538,555) 1,948,957,393 97.71 Unrealised gain on forward currency contracts 438,911 0.02 Unrealised loss on forward currency contracts (13,865,104) (0.69) Other Assets and Liabilities 59,122,445 2.96

Shareholders’ Equity 1,994,653,645 100.00

Rates disclosed for Corporate Bonds, Preferred Stocks and Time Deposits are those that were in effect at 31 May 2009. The counterparties for forward currency contracts were Citibank NA, Deutsche Bank AG London, HSBC Bank Plc., JP Morgan Chase Bank and Westpac Banking Corp.. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) These securities are fair valued. See Note 3(e). (d) Variable and floating coupon rates are those quoted as of 31 May 2009. (e) These securities are issued with a zero coupon which increases to the second rate at a set date in the future. (f) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (g) A related party to Goldman Sachs Funds. (h) The yield for this fund as at 31 May 2009 was 0.530%. (i) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

142 Goldman Sachs Funds—Specialised Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Transferable securities dealt in another regulated market Commercial Papers – 35.85% Japanese Yen 450,000,000 Banco Bilbao Vizcaya Argentari 0.000% 17/07/09 3,333,295 3.80 400,000,000 Bank Of Scotland Plc. 0.845% 12/06/09 2,963,540 3.37 400,000,000 Barclays Bank Plc. 0.513% 12/06/09 2,963,558 3.38 450,000,000 Caixa General De Depositos S.A. “A” 0.342% 17/07/09 3,333,082 3.80 300,000,000 Clydesdale Bank Plc. 0.000% 07/07/09 2,221,118 2.53 300,000,000 ING Bank NV 0.000% 11/08/09 2,221,061 2.53 200,000,000 ING Bank NV 0.516% 08/07/09 1,481,226 1.69 500,000,000 Pfizer, Inc. 0.265% 23/07/09 3,703,636 4.22 450,000,000 Royal Bank Scotland Plc. 0.509% 17/07/09 3,332,359 3.79 400,000,000 Santander Commercial Paper 0.391% 16/07/09 2,962,584 3.37 400,000,000 Westpac Securities Nz 0.342% 15/07/09 2,962,797 3.37

31,478,256 35.85

TOTAL COMMERCIAL PAPERS (cost EUR 32,528,926) 31,478,256 35.85

Government Bonds – 32.06% Japanese Yen 1,000,000,000 Japan Treasury Discount Bill 0.267% 22/06/09 7,409,472 8.44 300,000,000 Japan Treasury Discount Bill 0.244% 06/07/09 2,222,600 2.53 1,000,000,000 Japan Treasury Discount Bill 0.229% 13/07/09 7,408,656 8.44 1,000,000,000 Japan Treasury Discount Bill 0.212% 21/07/09 7,408,367 8.43 500,000,000 Japan Treasury Discount Bill 0.205% 10/08/09 3,703,272 4.22

28,152,367 32.06

TOTAL GOVERNMENT BONDS (cost EUR 28,909,918) 28,152,367 32.06

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 61,438,844) 59,630,623 67.91

Mutual Funds – 4.79% Japanese Yen 567,448,829 Goldman Sachs Yen Liquid Reserves Fund(c)(d)(e) 4,204,887 4.79

TOTAL MUTUAL FUNDS (cost EUR 4,135,902) 4,204,887 4.79

Time Deposits – 23.71% Japanese Yen 1,000,000,000 Bank of Ireland JPY Time Deposit 0.070% 01/06/09 7,410,161 8.44 809,000,000 Societe Generale JPY Time Deposit 0.010% 01/06/09 5,994,820 6.83 1,000,000,000 UBS AG JPY Time Deposit 0.061% 01/06/09 7,410,160 8.44

20,815,141 23.71

TOTAL TIME DEPOSITS (cost EUR 20,855,607) 20,815,141 23.71

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES, FORWARD CURRENCY AND SWAPS CONTRACTS (cost EUR 86,430,353) 84,650,651 96.41

Futures Contracts – (1.23%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

AUD (23) Australia Treasury Bonds 3YR 15/06/09 Short 3,898 0.00

EUR 33 EURIBOR Index 14/09/09 Long 60,150 0.07

The accompanying notes are an integral part of these financial statements.

143 Goldman Sachs Funds—Specialised Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

GBP (17) UK Treasury Bonds 28/09/09 Short 10,067 0.01

USD 16 US Treasury Bonds 30YR 21/09/09 Long 3,744 0.00 (34) US Treasury Notes 5YR 30/09/09 Short 12,971 0.02

16,715 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 90,830 0.10

Unrealised %of Number of Loss Shareholders’ Contracts Security Description EUR Equity

EUR 211 German Federal Republic Bonds 08/06/09 Long (378,260) (0.43) 189 German Federal Republic Bonds 08/06/09 Long (784,540) (0.89) 181 German Federal Republic Bonds 08/06/09 Long (20) (0.00) (1,162,820) (1.32)

USD 4 US Treasury Notes 10YR 21/09/09 Long (3,550) (0.01) (20) US Treasury Notes 2YR 30/09/09 Short (831) (0.00) (4,381) (0.01)

UNREALISED LOSS ON FUTURES CONTRACTS (1,167,201) (1.33)

Forward Currency Contracts – 2.73% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

17/06/2009 AUD 891,000 CAD 772,244 4,523 0.01 17/06/2009 AUD 429,000 CHF 346,415 13,324 0.02 17/06/2009 AUD 1,020,000 JPY 71,875,914 43,611 0.05 17/06/2009 AUD 172,000 NZD 213,521 807 0.00 17/06/2009 AUD 2,436,439 USD 1,686,792 180,882 0.21 17/06/2009 CAD 725,147 EUR 455,000 13,528 0.02 17/06/2009 CAD 514,471 USD 446,000 16,206 0.02 17/06/2009 CHF 348,542 EUR 230,000 500 0.00 17/06/2009 CHF 599,000 JPY 51,801,972 12,164 0.01 17/06/2009 CHF 119,497 USD 102,000 6,711 0.01 17/06/2009 EUR 231,000 CHF 343,889 3,577 0.00 17/06/2009 EUR 245,000 JPY 32,634,573 3,104 0.00 17/06/2009 EUR 244,000 NOK 2,124,762 4,962 0.01 17/06/2009 EUR 2,463,034 USD 3,285,799 133,498 0.15 17/06/2009 GBP 75,000 CHF 125,753 2,738 0.00 17/06/2009 GBP 123,311 EUR 138,000 3,235 0.00 17/06/2009 GBP 373,000 JPY 54,356,544 24,311 0.03 17/06/2009 GBP 2,099,954 USD 3,157,105 166,893 0.19 17/06/2009 JPY 116,591,600 USD 1,210,570 5,950 0.01 17/06/2009 NOK 1,566,000 JPY 23,055,041 5,286 0.01 17/06/2009 NOK 2,333,608 SEK 2,788,213 1,240 0.00 17/06/2009 NOK 2,641,998 USD 404,343 10,561 0.01 17/06/2009 NZD 163,667 AUD 130,000 422 0.00 17/06/2009 NZD 840,346 EUR 374,000 5,341 0.01 17/06/2009 NZD 1,255,817 JPY 71,438,337 37,369 0.04 17/06/2009 NZD 2,606,654 USD 1,464,029 138,718 0.16 17/06/2009 SEK 3,824,136 EUR 354,792 3,581 0.00 17/06/2009 SEK 10,096,743 USD 1,280,500 38,364 0.04 26/06/2009 EUR 87,950,422 JPY 11,550,277,506 2,321,904 2.64

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 3,203,310 3.65

The accompanying notes are an integral part of these financial statements.

144 Goldman Sachs Funds—Specialised Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 USD 425,319 JPY 40,830,576 (1,084) (0.00) 17/06/2009 CAD 610,606 AUD 699,000 (466) (0.00) 17/06/2009 CHF 291,821 GBP 171,000 (2,867) (0.00) 17/06/2009 EUR 888,000 GBP 793,907 (21,304) (0.02) 17/06/2009 EUR 842,211 SEK 8,991,795 (442) (0.00) 17/06/2009 JPY 117,807,065 AUD 1,734,000 (106,620) (0.12) 17/06/2009 JPY 22,725,560 CHF 274,000 (12,755) (0.01) 17/06/2009 JPY 42,636,744 GBP 294,000 (20,699) (0.02) 17/06/2009 NOK 3,457,627 EUR 394,000 (5,013) (0.01) 17/06/2009 USD 349,559 AUD 495,000 (31,884) (0.04) 17/06/2009 USD 1,150,388 CAD 1,397,896 (87,608) (0.10) 17/06/2009 USD 649,272 CHF 742,708 (30,857) (0.04) 17/06/2009 USD 2,982,698 EUR 2,220,108 (105,461) (0.12) 17/06/2009 USD 1,026,932 GBP 679,323 (50,000) (0.06) 17/06/2009 USD 1,863,739 JPY 181,352,182 (22,896) (0.03) 17/06/2009 USD 206,313 NOK 1,462,756 (18,292) (0.02) 17/06/2009 USD 2,171,497 NZD 3,857,997 (202,014) (0.23) 17/06/2009 USD 757,076 SEK 6,299,712 (53,623) (0.06) 26/06/2009 JPY 185,536,668 EUR 1,407,877 (32,393) (0.04)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (806,278) (0.92)

Swap Contracts – 1.85%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 740,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 20,792 0.02 740,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 19,558 0.02 740,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 20,164 0.02 740,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 22,366 0.03 740,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 17,224 0.02 320,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2010 19,523 0.02 3,190,000 Floating (EUR 6 month LIBOR) Fixed 3.000% EUR 17/06/2011 85,044 0.10 12,750,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2011 1,080,621 1.23 30,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 2,291 0.00 380,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 30,687 0.04 480,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 36,591 0.04 920,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 69,593 0.08 590,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 13,156 0.02 1,320,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 4,406 0.01 1,470,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 4,758 0.01 5,210,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2015 362,864 0.41 110,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/12/2013 2,359 0.00 1,780,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 30,461 0.04 340,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 1,580 0.00 340,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 2,139 0.00 440,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 3,872 0.00

UNREALISED GAIN ON INTEREST RATE SWAPS 1,850,049 2.11

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 1,850,049 2.11

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 600,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (5,318) (0.01) 600,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (4,758) (0.01) 600,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (4,886) (0.01) 600,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (5,882) (0.01) 600,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (4,586) (0.01) 280,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (10,632) (0.01) 280,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (10,079) (0.01) 270,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (10,483) (0.01)

The accompanying notes are an integral part of these financial statements.

145 Goldman Sachs Funds—Specialised Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps – (continued) 270,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (11,730) (0.01) 270,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (8,143) (0.01) 3,190,000 Fixed 3.000% Floating (EUR 6 month LIBOR) EUR 17/06/2011 (6,189) (0.01) 2,620,000 Floating (EUR 6 month LIBOR) Fixed 2.000% EUR 16/12/2011 (3,405) (0.00) 1,500,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 (4,406) (0.01) 30,000 Fixed 4.750% Floating (EUR 6 month LIBOR) EUR 17/12/2018 (496) (0.00) 19,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (3,042) (0.00) 459,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (81,634) (0.09) 178,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (4,815) (0.01) 230,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (2,057) (0.00) 258,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (2,325) (0.00) 1,170,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (24,174) (0.02) 1,810,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (10,807) (0.01) 190,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (11,179) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (231,026) (0.26)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (231,026) (0.26)

MARKET VALUE OF INVESTMENTS (cost EUR 86,430,353) 87,590,335 99.76

OTHER ASSETS AND LIABILITIES 214,679 0.24

SHAREHOLDERS’ EQUITY 87,805,014 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding futures, forward currency and swaps contracts (cost EUR 86,430,353) 84,650,651 96.41 Net unrealised gain on futures contracts 90,830 0.10 Net unrealised loss on futures contracts (1,167,201) (1.33) Net unrealised gain on forward currency contracts 3,203,310 3.65 Net unrealised loss on forward currency contracts (806,278) (0.92) Net unrealised gain on swaps contracts 1,850,049 2.11 Net unrealised loss on swaps contracts (231,026) (0.26) Other Assets and Liabilities 214,679 0.24

Shareholders’ Equity 87,805,014 100.00

Rates disclosed for Commercial Papers, Government Bonds and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc.,Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank NA, Royal Bank of Canada, State Street Bank London, UBS AG London and Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG London, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) A related party to Goldman Sachs Funds. (d) The yield for this fund as at 31 May 2009 was 0.076%. (e) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

146 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 42.80% British Pound Sterling 981,000 Alliance & Leicester Plc.(c) 9.625% 30/10/23 960,271 0.31 650,000 Allied Irish Banks Plc. 7.875% 05/07/23 418,444 0.14 75,000 Allstate Life Funding LLC 6.375% 17/01/11 75,571 0.02 1,648,000 American General Finance Corp. 5.625% 29/03/10 1,013,520 0.33 150,000 American International Group, Inc. 5.000% 26/04/23 41,250 0.01 1,071,000 Anglian Water Services Financing Plc. 5.250% 30/10/15 1,086,221 0.35 1,188,000 Anglian Water Services Financing Plc.—Series B1(c) 7.882% 30/07/37 1,263,426 0.41 752,000 Anheuser-Busch InBev NV 9.750% 30/07/24 883,116 0.29 41,922 Annington Finance No 4(c) 2.514% 10/01/23 25,572 0.01 2,750,000 Argon Capital Plc. for Royal Bank of Scotland(c) 8.162% 29/10/49 797,500 0.26 400,000 Assicurazioni Generali S.p.A(c) 6.416% 08/02/49 246,532 0.08 90,000 Australia & New Zealand Banking Group Ltd.(c) 4.750% 07/12/18 77,386 0.02 650,000 Australia & New Zealand Banking Group Ltd.(c) 6.540% 29/06/49 455,000 0.15 90,000 Aviva Plc.(c) 6.125% 16/11/26 55,780 0.02 98,000 Aviva Plc.(c) 5.902% 29/11/49 48,020 0.02 1,355,000 Aviva Plc. 6.875% 20/05/58 840,100 0.27 1,190,000 AXA S.A.(c) 6.667% 29/07/49 612,850 0.20 650,000 AXA S.A.(c) 6.772% 31/12/49 331,500 0.11 1,550,000 Bank of America Corp. 5.250% 09/11/16 1,137,281 0.37 450,000 Bank of Scotland Plc. 9.375% 15/05/21 403,664 0.13 282,000 Barclays Bank Plc. 10.000% 21/05/21 315,248 0.10 363,000 BAT International Finance Plc. 6.375% 12/12/19 368,832 0.12 986,000 BAT International Finance Plc. 7.250% 12/03/24 1,040,220 0.34 600,000 Britannia Building Society(c) 5.750% 02/12/24 363,990 0.12 300,000 British Telecommunications Plc. 6.375% 23/06/37 205,605 0.07 834,000 Cadbury Schweppes Finance Plc. 5.375% 11/12/14 862,514 0.28 650,000 Cadbury Schweppes Finance Plc. 7.250% 18/07/18 719,479 0.23 810,000 CE Electric UK Funding Co. 7.250% 15/12/22 878,649 0.28 1,001,000 Centrica Plc. 7.000% 19/09/18 1,080,499 0.35 400,000 Centrica Plc. 6.375% 10/03/22 396,400 0.13 4,330,000 Chester Asset Receivables Dealings 2003-B Plc.—Series A 4.650% 15/07/13 3,707,779 1.20 1,050,000 Citigroup, Inc. 6.800% 25/06/38 812,511 0.26 112,000 Collins Stewart Tullett Plc.(c) 8.250% 12/08/14 89,600 0.03 2,500,000 Commerzbank Capital Funding Trust I(c) 5.905% 29/03/49 575,000 0.19 150,000 Credit Suisse London 6.750% 16/01/23 128,799 0.04 900,000 Crédit Agricole S.A.(c) 7.589% 29/01/49 648,000 0.21 307,333 Cumbernauld Fund No 3 Plc. 4.550% 15/02/13 285,943 0.09 350,000 Deutsche Telekom International Finance BV 6.500% 08/04/22 345,023 0.11 350,000 Deutsche Telekom International Finance BV 8.875% 27/11/28 429,790 0.14 800,000 DnB NOR Bank ASA(c) 6.012% 29/03/49 482,664 0.16 1,750,000 E.ON International Finance BV 5.875% 30/10/37 1,621,760 0.52 550,000 EDF S.A. 6.875% 12/12/22 609,274 0.20 2,720,000 Eksportfinans A/S 6.000% 06/09/10 2,831,574 0.92 726,000 F&C Commercial Property Finance Ltd.(c) 5.230% 30/06/17 691,989 0.22 691,000 Firstgroup Plc. 8.125% 19/09/18 713,319 0.23 800,000 Firstgroup Plc. 8.750% 08/04/21 844,872 0.27 533,000 France Telecom S.A. 8.125% 20/11/28 650,890 0.21 600,000 GDF Suez 6.125% 11/02/21 628,440 0.20 2,000,000 GE Capital UK Funding 6.000% 11/04/13 2,015,540 0.65 788,000 GE Capital UK Funding 6.250% 05/05/38 583,242 0.19 150,000 GE Capital UK Funding 8.000% 14/01/39 139,028 0.04 68,000 General Electric Capital Corp. 5.250% 10/12/13 66,001 0.02 450,000 Generali Finance BV(c) 6.214% 29/06/49 279,281 0.09 750,000 Glencore Finance Europe S.A. 6.500% 27/02/19 487,500 0.16 222,000 Hammerson Plc. 5.250% 15/12/16 160,129 0.05 1,050,000 HBOS Capital Funding LP(c) 9.540% 29/03/49 468,754 0.15 92,000 HBOS Capital Funding LP(c) 6.461% 29/11/49 29,594 0.01 600,000 Holcim GB Finance Ltd. 8.750% 24/04/17 621,514 0.20 1,993,000 HSBC Bank Plc.(c) 4.750% 29/09/20 1,766,763 0.57 1,600,000 HSBC Holdings Plc.(c) 6.375% 18/10/22 1,550,624 0.50 180,000 HSBC Holdings Plc. 5.750% 20/12/27 151,249 0.05 250,000 HSBC Holdings Plc. 7.000% 07/04/38 239,950 0.08 1,100,000 Imperial Tobacco Finance Plc. 9.000% 17/02/22 1,169,509 0.38

The accompanying notes are an integral part of these financial statements.

147 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) British Pound Sterling – (continued) 1,072,000 Imperial Tobacco Finance Plc. 8.125% 15/03/24 1,048,630 0.34 896,000 ING Bank NV 6.875% 29/05/23 728,116 0.24 1,269,000 Instituto de Credito Oficial 4.500% 07/12/11 1,339,455 0.43 75,000 International Lease Finance Corp. 6.625% 07/12/09 70,500 0.02 1,526,000 Intesa Sanpaolo SpA(c) 5.500% 19/12/16 1,417,045 0.46 800,000 Intesa Sanpaolo SpA(c) 6.375% 12/11/17 734,152 0.24 200,000 Irish Nationwide Building Society 2.012% 17/06/10 192,014 0.06 500,000 Irish Nationwide Building Society(c) 5.500% 10/01/18 100,000 0.03 950,000 Johnson & Johnson 5.500% 06/11/24 990,726 0.32 1,900,000 JPMorgan Chase Bank NA 5.375% 28/09/16 1,663,002 0.54 4,217,000 Kreditanstalt fuer Wiederaufbau 4.375% 07/03/11 4,410,080 1.43 3,916,000 Kreditanstalt fuer Wiederaufbau 5.625% 25/08/17 4,370,332 1.41 400,000 Kreditanstalt fuer Wiederaufbau 5.550% 07/06/21 433,441 0.14 950,000 Lafarge S.A. 8.750% 30/05/17 942,865 0.30 1,650,000 Land Securities Capital Markets Plc. 5.125% 07/02/36 1,175,938 0.38 550,000 Lloyds TSB Bank Plc.(c) 1.685% 29/04/16 391,820 0.13 1,452,000 Lloyds TSB Bank Plc. 6.750% 24/10/18 1,419,562 0.46 1,581,000 Lloyds TSB Bank Plc. 6.963% 29/05/20 1,426,489 0.46 1,310,000 London Stock Exchange Group Plc. 6.375% 07/07/16 1,132,495 0.37 900,000 Merrill Lynch & Co., Inc. 7.750% 30/04/18 862,587 0.28 83,000 Metronet Rail BCV Finance Plc. 5.305% 15/03/32 76,396 0.02 1,360,000 Metropolitan Life Global Funding I 4.625% 27/01/11 1,308,419 0.42 1,780,000 Mitchells & Butlers Finance Plc.(c) 2.018% 15/12/30 881,952 0.29 50,562 Mitchells & Butlers Finance Plc.—Series A2 5.574% 15/12/28 45,773 0.01 1,059,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 645,990 0.21 922,000 National Australia Bank Ltd. 7.125% 12/06/23 817,805 0.26 2,450,000 National Grid Gas Plc. 6.375% 03/03/20 2,533,300 0.82 110,000 National Grid Gas Plc. 6.000% 13/05/38 102,534 0.03 90,000 National Grid Plc. 5.250% 02/06/11 92,188 0.03 600,000 Nationwide Building Society(c) 6.024% 29/01/49 262,080 0.08 493,000 Network Rail Infrastructure Finance Plc. 4.375% 18/01/11 513,676 0.17 180,000 Network Rail Infrastructure Finance Plc. 4.750% 22/01/24 178,448 0.06 54,000 Network Rail Infrastructure Finance Plc. 1.962% 01/12/25 63,605 0.02 1,050,000 Norinchukin Finance Ltd.(c) 5.625% 28/09/16 945,000 0.31 324,000 Northern Gas Networks Ltd. 4.875% 30/06/27 255,704 0.08 140,000 Old Mutual Plc.(c) 5.000% 21/01/16 60,200 0.02 209,000 Pacific Life Funding LLC 5.125% 20/01/15 181,738 0.06 300,000 Pearson Funding One Plc. 6.000% 15/12/15 306,648 0.10 1,200,000 Punch Taverns Finance Plc.(c) 1.734% 15/10/29 355,579 0.11 1,000,000 Reed Elsevier Investments Plc. 7.000% 11/12/17 1,015,290 0.33 1,150,000 Resolution Plc.(c) 6.586% 29/11/49 172,500 0.06 2,600,000 Resona Bank Ltd.(c) 5.986% 29/08/49 1,690,000 0.55 53,000 RMPA Services Plc. 5.337% 30/09/38 40,317 0.01 825,000 Roche Holdings, Inc. 5.500% 04/03/15 872,743 0.28 135,000 Romulus Finance S.R.L. 5.441% 20/02/23 87,133 0.03 550,000 Royal & Sun Alliance Insurance Group Plc.(c) 6.701% 29/05/49 401,500 0.13 710,000 Royal & Sun Alliance Insurance Group Plc.(c) 8.500% 29/07/49 600,092 0.19 840,000 Royal Bank of Scotland Plc. 6.625% 17/09/18 822,856 0.27 95,000 Royal Bank of Scotland Plc.(c) 5.625% 29/06/49 43,351 0.01 150,000 Royal Bank of Scotland Plc.(c) 6.250% 29/11/49 76,407 0.02 1,278,000 Royal KPN NV 5.750% 18/03/16 1,301,196 0.42 750,000 RSA Insurance Group Plc. 9.375% 20/05/39 760,538 0.25 1,160,000 RWE Finance BV 5.625% 06/12/23 1,105,123 0.36 1,350,000 Santander Issuances S.A. Unipersonal(c) 6.533% 24/10/17 1,233,900 0.40 3,086,000 Scotland Gas Networks Plc. 4.750% 21/02/17 2,938,181 0.95 682,000 Scottish & Southern Energy Plc. 6.250% 27/08/38 659,017 0.21 1,300,000 SL Finance Plc.(c) 6.546% 29/01/49 611,000 0.20 3,095,000 SLM Student Loan Trust 2003-12 5.450% 18/09/13 2,997,087 0.97 1,469,000 SMFG Preferred Capital GBP 1 Ltd.(c) 6.164% 29/01/49 929,142 0.30 1,212,000 Societe Generale(c) 8.875% 29/06/49 896,880 0.29 650,000 Standard Life Funding BV 6.140% 29/06/49 357,500 0.12 1,299,000 StatoilHydro ASA 6.875% 11/03/31 1,436,746 0.46 1,100,000 STB Finance Cayman Ltd.(c) 5.834% 29/09/49 825,000 0.27 2,541,000 Svenska Handelsbanken(c) 5.375% 29/09/49 1,787,417 0.58 1,650,000 Telecom Italia SpA 6.375% 24/06/19 1,470,747 0.48

The accompanying notes are an integral part of these financial statements.

148 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) British Pound Sterling – (continued) 1,000,000 Telefonica Emision SAU 5.888% 31/01/14 1,043,490 0.34 1,889,000 Telefonica Emision SAU 5.375% 02/02/18 1,834,335 0.59 30,000 Telereal Securitisation Plc. 5.425% 10/12/31 19,578 0.01 1,150,000 Telereal Securitisation Plc.(c) 2.130% 10/12/31 301,990 0.10 300,000 Tesco Plc. 6.125% 24/02/22 306,393 0.10 1,376,000 UBS AG/London 6.625% 11/04/18 1,409,795 0.46 600,000 UniCredit International Bank Luxembourg S.A. 8.593% 31/12/49 306,000 0.10 400,000 United Utilities Water Plc. 5.750% 25/03/22 395,240 0.13 850,000 Vattenfall AB 6.875% 15/04/39 877,294 0.28 1,184,000 Verizon Wireless Capital LLC 8.875% 18/12/18 1,378,969 0.45 150,000 Vodafone Group Plc. 4.625% 08/09/14 149,827 0.05 1,073,000 Vodafone Group Plc. 8.125% 26/11/18 1,259,485 0.41 600,000 Xstrata Canada Financial Corp. 7.375% 27/05/20 482,586 0.16 90,000 Yorkshire Power Finance 7.250% 04/08/28 90,783 0.03 112,294,057 36.35

Euro 600,000 Alliance & Leicester Plc. 5.000% 04/10/10 526,673 0.17 300,000 ArcelorMittal 8.250% 03/06/13 267,944 0.09 350,000 AXA S.A.(c) 6.211% 29/10/49 174,192 0.06 200,000 BAA Funding Ltd. 4.600% 30/09/16 122,743 0.04 230,000 BAA Funding Ltd. 4.600% 15/02/20 126,518 0.04 1,199,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 837,519 0.27 300,000 Banco Popolare Scarl(c) 6.156% 29/06/49 117,874 0.04 300,000 Bank of Tokyo Mitsubishi UFJ Ltd.(c) 3.500% 16/12/15 249,747 0.08 1,151,000 Barclays Bank Plc. 4.500% 04/03/19 818,834 0.26 2,100,000 BBVA Bancomer S.A.(c) 4.799% 17/05/17 1,246,848 0.40 600,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 209,397 0.07 1,250,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 1,139,583 0.37 2,196,000 Clerical Medical Finance Plc.(c) 4.250% 24/06/49 584,814 0.19 150,000 Deutsche Postbank Funding Trust IV(c) 5.983% 29/06/49 59,265 0.02 235,000 Diageo Capital BV 5.500% 01/07/13 217,024 0.07 400,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 190,981 0.06 850,000 Glencore Finance Europe S.A. 7.125% 23/04/15 597,455 0.19 700,000 Intesa Sanpaolo SpA 8.047% 29/06/49 430,896 0.14 200,000 JPMorgan Chase & Co.(c) 4.375% 12/11/19 140,447 0.05 2,031,000 Morgan Stanley 5.500% 02/10/17 1,571,173 0.51 307,000 Resona Bank Ltd.(c) 3.750% 15/04/15 246,616 0.08 135,000 Resona Bank Ltd.(c) 4.125% 31/12/49 82,512 0.03 1,738,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 1,238,617 0.40 1,704,000 UniCredit SpA 4.875% 12/02/13 1,527,070 0.49 650,000 UniCredito Italiano SpA 5.750% 26/09/17 544,075 0.18 1,130,000 UT2 Funding Plc. 5.321% 30/06/16 226,930 0.07

13,495,747 4.37

United States Dollar 1,950,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 193,117 0.06 1,600,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 1,009,564 0.33 456,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 316,338 0.10 103,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 53,776 0.02 120,000 Endurance Specialty Holdings Ltd. 7.000% 15/07/34 47,726 0.01 428,000 Energy Transfer Partners LP 5.650% 01/08/12 262,262 0.08 100,000 Energy Transfer Partners LP 8.500% 15/04/14 66,276 0.02 500,000 Energy Transfer Partners LP 9.000% 15/04/19 337,548 0.11 200,000 HSBC Finance Corp. 5.500% 19/01/16 111,945 0.04 1,723,000 HSBC Holdings Plc. 6.800% 01/06/38 982,224 0.32 320,000 MUFG Capital Finance 1 Ltd.(c) 6.346% 29/07/49 168,699 0.05 1,100,000 Petroleos Mexicanos 8.000% 03/05/19 740,437 0.24 1,350,000 Simon Property Group, Inc. 6.125% 30/05/18 747,756 0.24

The accompanying notes are an integral part of these financial statements.

149 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) United States Dollar – (continued) 324,000 Telecom Italia Capital S.A. 4.875% 01/10/10 202,963 0.07 1,800,000 Time Warner Cable, Inc. 7.500% 01/04/14 1,194,843 0.39

6,435,474 2.08

TOTAL CORPORATE BONDS (cost GBP 151,938,640) 132,225,278 42.80

Government Bonds – 36.88% British Pound Sterling 1,000,000 UK Treasury 4.250% 07/03/11 1,055,342 0.34 6,790,000 UK Treasury 5.250% 07/06/12 7,402,817 2.40 9,629,995 UK Treasury 4.750% 07/09/15 10,738,407 3.48 2,278,479 UK Treasury 5.000% 07/03/25 2,459,443 0.80 2,374,980 UK Treasury 4.250% 07/12/27 2,337,858 0.76 3,624,156 UK Treasury 6.000% 07/12/28 4,405,742 1.43 14,204,658 UK Treasury 4.750% 07/12/30 14,812,792 4.79 6,430,000 UK Treasury 4.250% 07/06/32 6,276,987 2.03 17,620,000 UK Treasury 4.250% 07/03/36 16,681,765 5.40 2,233,651 UK Treasury 4.750% 07/12/38 2,302,045 0.74 9,000,000 UK Treasury 4.500% 07/12/42 8,870,875 2.87 2,889,185 UK Treasury 4.250% 07/12/46 2,714,322 0.88 6,064,150 UK Treasury 4.250% 07/12/55 5,700,097 1.84 150,000 UK War Loan 3.500% 29/12/49 110,010 0.04 6,826 United Kingdom Gilt 5.000% 07/03/12 7,386 0.00 17,500,000 United Kingdom Gilt 4.500% 07/03/13 18,755,158 6.07 920,000 United Kingdom Gilt 2.250% 07/03/14 896,248 0.29 3,600,000 United Kingdom Gilt 4.000% 07/09/16 3,831,773 1.24 1,625,650 United Kingdom Gilt 4.250% 07/12/49 1,520,771 0.49

110,879,838 35.89

Mexican Peso 29,214,900 Mexican Bonos 8.000% 19/12/13 1,439,456 0.47 29,890,800 Mexican Bonos 10.000% 05/12/24 1,621,611 0.52

3,061,067 0.99

TOTAL GOVERNMENT BONDS (cost GBP 115,786,417) 113,940,905 36.88

Non-Agencies Asset Backed Obligations – 0.28% British Pound Sterling 790,000 Dwr Cymru Financing Ltd.—Series B1 6.907% 31/03/21 832,754 0.27 18,473 Octagon Healthcare Funding Plc. 5.333% 31/12/35 14,929 0.01 847,683 0.28

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 905,425) 847,683 0.28

Supranationals – 7.32% British Pound Sterling 6,770,000 European Investment Bank 4.250% 07/12/10 7,052,514 2.28 2,200,000 European Investment Bank 3.375% 08/09/14 2,200,327 0.71 3,022,000 European Investment Bank 4.875% 07/09/16 3,223,609 1.05 9,488,000 European Investment Bank 5.375% 07/06/21 10,128,090 3.28 22,604,540 7.32

TOTAL SUPRANATIONALS (cost GBP 21,497,389) 22,604,540 7.32

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost GBP 290,127,871) 269,618,406 87.28

The accompanying notes are an integral part of these financial statements.

150 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Transferable securities dealt in another regulated market Corporate Bonds – 1.20% United States Dollar 1,381,000 Altria Group, Inc. 9.700% 10/11/18 942,208 0.31 1,150,000 ArcelorMittal 9.850% 01/06/19 719,531 0.23 120,000 Arch Capital Group Ltd. 7.350% 01/05/34 44,416 0.01 750,000 Bank of America Corp. 7.625% 01/06/19 462,594 0.15 350,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 170,152 0.06 350,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 142,173 0.05 270,000 UniCredito Italiano Capital Trust II 144A(c) (d) 9.200% 29/10/49 98,847 0.03 1,165,000 ZFS Finance USA Trust I 144A(c) (d) 6.150% 15/12/65 465,106 0.15 1,660,000 ZFS Finance USA Trust I 144A(d) 6.450% 15/12/65 647,313 0.21

3,692,340 1.20

TOTAL CORPORATE BONDS (cost GBP 4,012,619) 3,692,340 1.20

Agencies Asset Backed Obligations – 0.77% United States Dollar 2,321,000 Federal Home Loan Mortgage Corp. (FHLMC) 5.375% 07/12/28 2,367,550 0.77

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 2,379,038) 2,367,550 0.77

Non-Agencies Asset Backed Obligations – 5.42% British Pound Sterling 1,500,000 Aire Valley Mortages Plc.(c) 1.901% 20/09/66 712,170 0.23 944,818 Business Mortgage Finance Plc. “A1”(c) 1.547% 15/02/39 484,972 0.16 90,000 Chester Asset Receivables Dealing Plc.(c) 1.547% 15/04/16 66,075 0.02 2,153,895 Eclipse Plc.(c) 1.715% 25/10/18 1,166,735 0.38 4,025,054 Epic Plc.(c) 1.945% 30/09/31 2,426,791 0.79 50,426 European Loan Conduit(c) 1.685% 01/11/29 36,803 0.01 521,051 Mall Funding Plc.(c) 1.679% 22/04/14 341,502 0.11 816,868 Paragon Mortgages Plc.(c) 1.477% 15/11/38 375,400 0.12 716,398 Paragon Mortgages Plc.(c) 1.654% 15/01/39 340,289 0.11 1,789,293 Titan Europe Plc.(c) 1.758% 20/01/17 1,028,844 0.33

6,979,581 2.26

United States Dollar 6,620,445 American Home Mortgage Assets “A1”(c) 2.139% 25/02/47 1,376,678 0.45 1,479,936 CIT Mortgage Loan Trust 144A(d) 1.309% 25/10/37 723,662 0.23 600,000 CIT Mortgage Loan Trust 144A(c) (d) 1.559% 25/10/37 101,201 0.03 1,200,000 CIT Mortgage Loan Trust 144A(d) 1.759% 25/10/37 193,117 0.06 1,277,830 Countrywide Alternative Loan Trust(c) 5.250% 25/09/35 433,156 0.14 2,169,369 Countrywide Alternative Loan Trust 5.500% 25/10/35 1,087,627 0.35 3,237,498 Countrywide Alternative Loan Trust 5.750% 25/07/37 1,102,144 0.36 4,760,604 Countrywide Alternative Loan Trust(c) 2.819% 25/11/47 978,350 0.32 3,624,136 Lehman XS Trust(c) 0.549% 25/06/47 507,314 0.16 3,517,260 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 1,102,124 0.36 1,868,609 Residential Accredit Loans, Inc.(c) 5.334% 25/08/35 563,401 0.18 1,188,390 Residential Accredit Loans, Inc. 5.750% 25/09/35 541,894 0.17 3,620,842 Structured Adjustable Rate Mortgage Loan Trust(c) 6.000% 25/11/37 1,075,032 0.35 9,785,700 3.16

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 28,968,991) 16,765,281 5.42

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost GBP 35,360,648) 22,825,171 7.39

The accompanying notes are an integral part of these financial statements.

151 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Other Transferable Securities Corporate Bonds – 0.27% British Pound Sterling 650,000 American International Group, Inc. 8.625% 22/05/38 117,000 0.04 700,000 AT&T, Inc. 7.000% 30/04/40 725,454 0.23

842,454 0.27

TOTAL CORPORATE BONDS (cost GBP 1,348,699) 842,454 0.27

TOTAL OTHER TRANSFERABLE SECURITIES (cost GBP 1,348,699) 842,454 0.27

Mutual Funds – 1.91% British Pound Sterling 5,902,213 Goldman Sachs Sterling Liquid Reserves Fund(e)(f)(g) 5,902,213 1.91

TOTAL MUTUAL FUNDS (cost GBP 5,902,213) 5,902,213 1.91

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost GBP 332,739,431) 299,188,244 96.85

Futures Contracts – (0.03%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description GBP Equity

AUD (58) Australia Treasury Bonds 3YR 15/06/09 Short 8,589 0.00

EUR 144 German Federal Republic Bonds 08/06/09 Long 21,431 0.01 (137) German Federal Republic Bonds 08/06/09 Short 120,725 0.04

142,156 0.05

USD 11 US Treasury Bonds 30YR 21/09/09 Long 184 0.00 (19) US Treasury Notes 10YR 21/09/09 Short 14,700 0.00 (53) US Treasury Notes 5YR 30/09/09 Short 17,645 0.01

32,529 0.01

UNREALISED GAIN ON FUTURES CONTRACTS 183,274 0.06

Unrealised %of Number of Loss Shareholders’ Contracts Security Description GBP Equity

EUR 9 German Federal Republic Bonds 08/06/09 Long (50,764) (0.01) 59 German Federal Republic Bonds 08/06/09 Long (83,167) (0.03)

(133,931) (0.04)

GBP 257 UK Treasury Bonds 28/09/09 Long (127,700) (0.04)

JPY 2 Government of Japan 10YR 11/06/09 Long (30,410) (0.01)

USD (69) US Treasury Notes 2YR 30/09/09 Short (2,495) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (294,536) (0.09)

The accompanying notes are an integral part of these financial statements.

152 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – 0.16% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold GBP Equity

23/06/2009 GBP 3,383,812 MXN 68,621,000 150,957 0.05 26/06/2009 GBP 13,580,957 EUR 15,397,727 137,770 0.04 02/07/2009 GBP 19,115,040 USD 30,526,719 218,081 0.07

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 506,808 0.16

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold GBP Equity

26/06/2009 EUR 143,046 GBP 126,003 (1,115) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (1,115) (0.00)

Swap Contracts – 0.68%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 1,580,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 38,763 0.01 1,580,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 36,461 0.01 1,590,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 37,829 0.01 1,590,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 41,961 0.01 1,600,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 32,518 0.01 1,260,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2010 47,085 0.02 2,130,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 140,521 0.05 940,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 62,482 0.02 3,460,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 10,529 0.00 3,860,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 11,402 0.00 1,320,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 25,436 0.01 2,210,000 Fixed 4.000% Floating (EUR 6 month EURIBOR) EUR 17/06/2019 24,237 0.01 2,170,000 Fixed 3.750% Floating (EUR 6 month EURIBOR) EUR 16/12/2019 34,210 0.01 4,030,000 Floating (GBP 6 month LIBOR) Fixed 3.500% GBP 17/06/2011 74,971 0.03 7,000,000 Floating (GBP 6 month LIBOR) Fixed 3.500% GBP 17/06/2011 76,230 0.03 4,000,000 Floating (GBP 6 month LIBOR) Fixed 3.500% GBP 17/06/2011 25,489 0.01 6,240,000 Floating (GBP 6 month LIBOR) Fixed 6.017% GBP 07/03/2012 602,575 0.20 5,000,000 Floating (GBP 6 month LIBOR) Fixed 3.750% GBP 18/06/2012 24,865 0.01 6,700,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 17/06/2019 93,427 0.03 5,000,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 17/06/2019 184,871 0.06 5,380,000 Floating (GBP 6 month LIBOR) Fixed 4.674% GBP 07/06/2032 380,955 0.12 350,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/12/2013 5,132 0.00 329,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 1,955 0.00 8,470,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 136,219 0.04 3,500,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 167,391 0.06 1,240,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 6,872 0.00 1,580,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 12,209 0.00 1,240,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 5,096 0.00

UNREALISED GAIN ON INTEREST RATE SWAPS 2,341,691 0.76

Credit Default Swaps 15,100,000 Fixed 1.650% Floating (ITRX Index) EUR 20/06/2013 268,708 0.09 33,850,000 Fixed 1.650% Floating (ITRX Index) EUR 20/06/2013 523,407 0.17 650,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 10,733 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 802,848 0.26

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 3,144,539 1.02

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 1,290,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (9,983) (0.00) 1,290,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (8,932) (0.00) 1,290,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (9,173) (0.00)

The accompanying notes are an integral part of these financial statements.

153 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps – (continued) 1,290,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (11,043) (0.00) 1,300,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (8,676) (0.00) 600,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (19,893) (0.01) 600,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (18,859) (0.01) 580,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (19,662) (0.01) 580,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (22,001) (0.01) 590,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (15,537) (0.01) 2,210,000 Floating (EUR 6 month EURIBOR) Fixed 4.000% EUR 17/06/2019 (33,767) (0.01) 2,500,000 Floating (GBP 6 month LIBOR) Fixed 3.750% GBP 18/06/2012 (15,192) (0.00) 420,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (7,147) (0.00) 3,890,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (24,784) (0.01) 1,120,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 17/06/2019 (31,786) (0.01) 394,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (50,584) (0.02) 1,095,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (172,537) (0.06) 24,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (3,452) (0.00) 675,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (5,661) (0.00) 607,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (5,056) (0.00) 2,460,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (3,793) (0.00) 2,460,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (3,693) (0.00) 1,540,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (75,054) (0.02) 3,270,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (22,228) (0.01) 590,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (30,655) (0.01) 640,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (33,171) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (662,319) (0.21)

Credit Default Swaps 650,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (8,149) (0.00) 2,700,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (11,716) (0.01) 4,800,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (21,843) (0.01) 11,600,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (347,930) (0.11)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (389,638) (0.13)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (1,051,957) (0.34)

MARKET VALUE OF INVESTMENTS (cost GBP 332,739,431) 301,675,257 97.66

OTHER ASSETS AND LIABILITIES 7,256,637 2.34

SHAREHOLDERS’ EQUITY 308,931,894 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS GBP Equity

Total Investments excluding forward currency, futures and swaps contracts (cost GBP 332,739,431) 299,188,244 96.85 Unrealised gain on futures contracts 183,274 0.06 Unrealised loss on futures contracts (294,536) (0.09) Unrealised gain on forward currency contracts 506,808 0.16 Unrealised loss on forward currency contracts (1,115) (0.00) Unrealised gain on swaps contracts 3,144,539 1.02 Unrealised loss on swaps contracts (1,051,957) (0.34) Other Assets and Liabilities 7,256,637 2.34

Shareholders’ Equity 308,931,894 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranational, Agencies Asset Backed obligations and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Citibank NA, HSBC Bank Plc., JP Morgan Chase Bank NA, Royal Bank of Canada and State Street Bank London. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada and UBS AG London.

The accompanying notes are an integral part of these financial statements.

154 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio Schedule of Investments As at 31 May 2009

(a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) This security is admitted to an official exchange listing. (f) The yield for this fund as at 31 May 2009 was 0.816%. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

155 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 82.17% British Pound Sterling 450,000 Alliance & Leicester Plc. 9.625% 30/10/23 440,492 0.57 200,000 Allied Irish Banks Plc. 7.875% 05/07/23 128,752 0.17 70,000 Allstate Life Funding LLC 6.375% 17/01/11 70,533 0.09 580,000 American General Finance Corp. 5.625% 29/03/10 356,700 0.46 180,000 Anglian Water Services Financing Plc. 5.250% 30/10/15 182,558 0.24 499,000 Anheuser-Busch InBev NV 9.750% 30/07/24 586,004 0.76 111,792 Annington Finance No 4(c) 2.514% 10/01/23 68,193 0.09 100,000 Assicurazioni Generali S.p.A(c) 6.416% 08/02/49 61,633 0.08 270,000 Australia & New Zealand Banking Group Ltd.(c) 4.750% 07/12/18 232,159 0.30 100,000 Australia & New Zealand Banking Group Ltd.(c) 6.540% 29/06/49 70,000 0.09 210,000 Aviva Plc.(c) 5.902% 29/11/49 102,900 0.13 250,000 Aviva Plc.(c) 6.875% 20/05/58 155,000 0.20 850,000 AXA S.A.(c) 6.686% 29/07/49 454,750 0.59 500,000 Bank of America Corp. 5.250% 09/11/16 366,865 0.47 100,000 Bank of Scotland Plc. 9.375% 15/05/21 89,703 0.12 176,000 Barclays Bank Plc. 10.000% 21/05/21 196,750 0.25 60,000 BAT International Finance Plc. 6.375% 12/12/19 60,964 0.08 525,000 BAT International Finance Plc. 7.250% 12/03/24 553,870 0.71 650,000 BNP Paribas 5.750% 24/01/22 588,625 0.76 1,150,000 BNP Paribas(c) 5.945% 29/04/49 684,250 0.88 100,000 Britannia Building Society(c) 5.750% 02/12/24 60,665 0.08 150,000 British Telecommunications Plc. 6.375% 23/06/37 102,803 0.13 450,000 Cadbury Schweppes Finance Plc. 5.375% 11/12/14 465,385 0.60 225,000 Cadbury Schweppes Finance Plc. 7.250% 18/07/18 249,050 0.32 300,000 Carlsberg Breweries A/S 7.250% 28/11/16 304,185 0.39 180,000 CE Electric UK Funding Co. 7.250% 15/12/22 195,255 0.25 575,000 Centrica Plc. 7.000% 19/09/18 620,666 0.80 350,000 Centrica Plc. 6.375% 10/03/22 346,850 0.45 550,000 Citigroup, Inc. 6.800% 25/06/38 425,601 0.55 290,000 Collins Stewart Tullett Plc.(c) 8.250% 12/08/14 232,000 0.30 700,000 Countrywide Financial 5.125% 17/02/11 674,254 0.87 100,000 Credit Suisse London(c) 6.750% 16/01/23 85,866 0.11 250,000 Crédit Agricole S.A.(c) 7.589% 29/01/49 180,000 0.23 346,667 Cumbernauld Fund No 3 Plc. 4.550% 15/02/13 322,538 0.42 250,000 Deutsche Telekom International Finance BV 6.500% 08/04/22 246,445 0.32 100,000 Deutsche Telekom International Finance BV 8.875% 27/11/28 122,797 0.16 150,000 DnB NOR Bank ASA(c) 6.012% 29/03/49 90,500 0.12 400,000 E.ON International Finance BV 5.875% 30/10/37 370,688 0.48 300,000 EDF S.A. 6.875% 12/12/22 332,331 0.43 600,000 EDF S.A. 6.125% 02/06/34 577,500 0.74 625,000 Firstgroup Plc. 8.125% 19/09/18 645,187 0.83 550,000 Firstgroup Plc. 8.750% 08/04/21 580,849 0.75 300,000 France Telecom S.A. 8.125% 20/11/28 366,355 0.47 500,000 GDF Suez 6.125% 11/02/21 523,700 0.67 100,000 GE Capital UK Funding 6.250% 05/05/38 74,015 0.10 450,000 GE Capital UK Funding 8.000% 14/01/39 417,083 0.54 650,000 General Electric Capital Corp. 5.250% 10/12/13 630,895 0.81 550,000 General Electric Capital Corp. 6.250% 15/12/17 523,740 0.68 50,000 Generali Finance BV(c) 6.214% 29/06/49 31,031 0.04 150,000 GlaxoSmithKline Capital Plc. 5.250% 10/04/42 133,475 0.17 400,000 Glencore Finance Europe S.A. 6.500% 27/02/19 260,000 0.33 110,000 Hammerson Plc. 5.250% 15/12/16 79,343 0.10 200,000 HBOS Capital Funding LP(c) 9.540% 29/03/49 89,287 0.11 550,000 HBOS Plc.(c) 6.305% 18/10/17 488,026 0.63 500,000 Heineken NV 7.250% 10/03/15 526,290 0.68 650,000 Holcim GB Finance Ltd. 8.750% 24/04/17 673,306 0.87 690,000 HSBC Bank Plc.(c) 4.750% 29/09/20 611,674 0.79 100,000 HSBC Holdings Plc.(c) 6.375% 18/10/22 96,914 0.12 200,000 HSBC Holdings Plc. 5.750% 20/12/27 168,054 0.22 500,000 HSBC Holdings Plc. 7.000% 07/04/38 479,900 0.62 650,000 Imperial Tobacco Finance Plc. 9.000% 17/02/22 691,073 0.89 250,000 Imperial Tobacco Finance Plc. 8.125% 15/03/24 244,550 0.32 200,000 ING Bank NV(c) 6.875% 29/05/23 162,526 0.21 490,000 Intesa Sanpaolo SpA(c) 5.500% 19/12/16 455,015 0.59

The accompanying notes are an integral part of these financial statements.

156 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) British Pound Sterling – (continued) 850,000 Intesa Sanpaolo SpA(c) 6.375% 12/11/17 780,036 1.01 200,000 Irish Nationwide Building Society(c) 2.012% 17/06/10 192,014 0.25 100,000 Irish Nationwide Building Society(c) 5.500% 10/01/18 20,000 0.03 150,000 Johnson & Johnson 5.500% 06/11/24 156,431 0.20 1,350,000 JPMorgan Chase Bank NA 5.375% 28/09/16 1,181,607 1.52 1,500,000 Kreditanstalt fuer Wiederaufbau 5.250% 12/01/12 1,608,819 2.07 2,200,000 Kreditanstalt fuer Wiederaufbau 5.550% 07/06/21 2,383,925 3.07 1,000,000 Kreditanstalt fuer Wiederaufbau 5.500% 07/12/15 1,110,610 1.43 450,000 Lafarge S.A. 8.750% 30/05/17 446,621 0.58 100,000 Lloyds TSB Bank Plc.(c) 1.685% 29/04/16 71,240 0.09 1,000,000 Lloyds TSB Bank Plc. 6.750% 24/10/18 977,660 1.26 350,000 Lloyds TSB Bank Plc.(c) 6.963% 29/05/20 315,795 0.41 140,000 London Stock Exchange Group Plc. 6.375% 07/07/16 121,030 0.16 750,000 Merrill Lynch & Co., Inc. 7.750% 30/04/18 718,822 0.93 380,000 Metronet Rail BCV Finance Plc. 5.305% 15/03/32 349,767 0.45 420,000 Metropolitan Life Global Funding I 4.625% 27/01/11 404,070 0.52 128,291 Mitchells & Butlers Finance Plc.—Series A2 5.574% 15/12/28 116,141 0.15 350,000 Morgan Stanley Group, Inc. 5.750% 14/02/17 326,095 0.42 500,000 Motability Operations Group Plc. 6.625% 10/12/19 486,500 0.63 100,000 National Australia Bank Ltd.(c) 7.125% 12/06/23 88,699 0.11 650,000 National Grid Electricity Transmission Plc. 5.875% 02/02/24 627,523 0.81 270,000 National Grid Gas Plc. 6.000% 07/06/17 284,955 0.37 137,000 National Grid Gas Plc. 6.000% 13/05/38 127,702 0.16 110,000 National Grid Plc. 5.250% 02/06/11 112,674 0.14 100,000 Nationwide Building Society(c) 6.024% 29/01/49 43,680 0.06 780,000 Network Rail Infrastructure Finance Plc. 4.375% 18/01/11 812,713 1.05 1,000,000 Network Rail Infrastructure Finance Plc. 4.875% 27/11/15 1,067,910 1.38 80,000 Network Rail Infrastructure Finance Plc. 1.962% 01/12/25 94,230 0.12 500,000 Norinchukin Finance Ltd.(c) 5.625% 28/09/16 450,000 0.58 270,000 Northern Gas Networks Ltd. 4.875% 30/06/27 213,087 0.27 160,000 Old Mutual Plc.(c) 5.000% 21/01/16 68,800 0.09 300,000 Pearson Funding One Plc. 6.000% 15/12/15 306,648 0.40 350,000 Pfizer, Inc. 6.500% 03/06/38 356,650 0.46 550,000 Reed Elsevier Investments Plc. 7.000% 11/12/17 558,409 0.72 250,000 Resona Bank Ltd.(c) 5.986% 29/08/49 162,500 0.21 340,000 RMPA Services Plc. 5.337% 30/09/38 258,638 0.33 500,000 Roche Holdings, Inc. 5.500% 04/03/15 528,935 0.68 560,000 Romulus Finance S.R.L. 5.441% 20/02/23 361,439 0.47 175,000 Royal & Sun Alliance Insurance Group Plc.(c) 6.701% 29/05/49 127,750 0.16 275,000 Royal & Sun Alliance Insurance Group Plc.(c) 8.500% 29/07/49 232,430 0.30 824,000 Royal Bank of Scotland Plc. 6.375% 29/04/14 826,208 1.07 200,000 Royal Bank of Scotland Plc. 6.625% 17/09/18 195,918 0.25 480,000 Royal KPN NV 5.750% 18/03/16 488,712 0.63 900,000 RSA Insurance Group Plc.(c) 9.375% 20/05/39 912,645 1.18 250,000 RWE Finance BV 5.625% 06/12/23 238,173 0.31 650,000 Santander Issuances S.A. Unipersonal(c) 6.533% 24/10/17 594,100 0.77 550,000 Scottish & Southern Energy Plc. 6.250% 27/08/38 531,465 0.69 400,000 SL Finance Plc.(c) 6.546% 29/01/49 188,000 0.24 600,000 SL Finance Plc.(c) 6.750% 12/07/49 357,448 0.46 170,000 SLM Student Loan Trust 2003-12 5.450% 18/09/13 164,622 0.21 400,000 SMFG Preferred Capital GBP 1 Ltd.(c) 6.164% 29/01/49 253,000 0.33 350,000 Societe Generale(c) 8.875% 29/06/49 259,000 0.33 150,000 Southern Water Services Financial 6.125% 31/03/19 149,801 0.19 200,000 Standard Life Funding BV(c) 6.140% 29/06/49 110,000 0.14 500,000 StatoilHydro ASA 6.875% 11/03/31 553,020 0.71 200,000 STB Finance Cayman Ltd.(c) 5.834% 29/09/49 150,000 0.19 230,000 Svenska Handelsbanken(c) 5.375% 29/09/49 161,789 0.21 800,000 Telecom Italia SpA 7.375% 15/12/17 785,232 1.01 250,000 Telecom Italia SpA 6.375% 24/06/19 222,840 0.29 400,000 Telefonica Emision SAU 5.888% 31/01/14 417,396 0.54 404,000 Telefonica Emision SAU 5.375% 02/02/18 392,309 0.51 120,000 Telereal Securitisation Plc. 5.425% 10/12/31 78,312 0.10 250,000 Telereal Securitisation Plc.(c) 2.130% 10/12/31 65,650 0.08 150,000 Tesco Plc. 6.125% 24/02/22 153,197 0.20 600,000 UBS AG/London 6.625% 11/04/18 614,736 0.79

The accompanying notes are an integral part of these financial statements.

157 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) British Pound Sterling – (continued) 100,000 UniCredit International Bank Luxembourg S.A. 8.593% 31/12/49 51,000 0.07 250,000 United Utilities Water Plc. 5.750% 25/03/22 247,025 0.32 550,000 Vattenfall AB 6.875% 15/04/39 567,660 0.73 800,000 Verizon Wireless Capital LLC 8.875% 18/12/18 931,736 1.20 250,000 Vodafone Group Plc. 4.625% 08/09/14 249,712 0.32 150,000 Vodafone Group Plc. 8.125% 26/11/18 176,070 0.23 1,000,000 Wachovia Bank NA 5.250% 01/08/23 726,010 0.94 300,000 Wachovia Corp. 4.875% 29/11/35 183,150 0.24 500,000 Wal-Mart Stores, Inc. 5.625% 27/03/34 492,765 0.64 800,000 WPP Finance SAS 6.375% 06/11/20 625,280 0.81 100,000 Xstrata Canada Financial Corp. 7.375% 27/05/20 80,431 0.10 250,000 Yorkshire Power Finance 7.250% 04/08/28 252,175 0.32

52,507,510 67.73

Euro 250,000 Alliance & Leicester Plc. 5.000% 04/10/10 219,447 0.28 150,000 ArcelorMittal 8.250% 03/06/13 133,972 0.17 580,000 AXA S.A.(c) 5.777% 29/07/49 284,777 0.37 50,000 BAA Funding Ltd.(c) 4.600% 30/09/16 30,686 0.04 240,000 BAA Funding Ltd.(c) 4.600% 15/02/20 132,019 0.17 510,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 356,242 0.46 250,000 Bank of Tokyo Mitsubishi UFJ Ltd.(c) 3.500% 16/12/15 208,122 0.27 350,000 Barclays Bank Plc.(c) 4.500% 04/03/19 248,994 0.32 400,000 BBVA Bancomer S.A.(c) 4.799% 17/05/17 237,495 0.31 100,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 34,900 0.04 300,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 273,500 0.35 250,000 Centrica Plc. 7.125% 09/12/13 241,662 0.31 220,000 Clerical Medical Finance Plc.(c) 4.250% 24/06/49 58,588 0.08 500,000 Credit Suisse Group Finance Guernsey Ltd.(c) 3.625% 23/01/18 360,674 0.47 300,000 Diageo Finance Plc. 6.625% 05/12/14 287,459 0.37 154,000 Dresdner Funding Trust II 5.790% 30/06/11 94,125 0.12 400,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 190,981 0.25 200,000 Glencore Finance Europe S.A. 7.125% 23/04/15 140,578 0.18 500,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 161,531 0.21 300,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 274,398 0.35 50,000 Intesa Sanpaolo SpA 6.625% 08/05/18 41,893 0.05 150,000 Intesa Sanpaolo SpA(c) 8.047% 29/06/49 92,335 0.12 50,000 Koninklijke KPN NV 6.500% 15/01/16 47,095 0.06 800,000 Morgan Stanley 5.500% 02/10/17 618,877 0.80 100,000 Pernod-Ricard S.A. 7.000% 15/01/15 87,504 0.11 350,000 PPR 8.625% 03/04/14 325,152 0.42 300,000 Rentokil Initial Plc. 4.625% 27/03/14 230,072 0.30 660,000 Resona Bank Ltd.(c) 3.750% 15/04/15 530,184 0.68 550,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 391,967 0.51 250,000 SL Finance Plc.(c) 6.375% 12/07/22 160,693 0.21 250,000 UniCredit SpA 4.875% 12/02/13 224,042 0.29 325,000 UniCredito Italiano SpA 5.750% 26/09/17 272,038 0.35 430,000 UT2 Funding Plc. 5.321% 30/06/16 86,354 0.11 850,000 Vattenfall Treasury AB 4.250% 19/05/14 745,281 0.96 300,000 Zurich Finance USA, Inc. 4.500% 17/09/14 261,094 0.34

8,084,731 10.43

United States Dollar 400,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 39,614 0.05 250,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 157,745 0.20 60,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 41,623 0.05 550,000 Dow Chemical Co. 7.600% 15/05/14 342,350 0.44 300,000 Energy Transfer Partners LP 8.500% 15/04/14 198,828 0.26 600,000 Energy Transfer Partners LP 9.000% 15/04/19 405,058 0.52 600,000 Enterprise Products Operating LP 5.600% 15/10/14 355,436 0.46 500,000 HSBC Holdings Plc. 6.800% 01/06/38 285,033 0.37 270,000 MUFG Capital Finance 1 Ltd.(c) 6.346% 29/07/49 142,340 0.18 250,000 Simon Property Group, Inc. 6.125% 30/05/18 138,473 0.18 800,000 SLM Corp. 8.450% 15/06/18 332,581 0.43

The accompanying notes are an integral part of these financial statements.

158 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) United States Dollar – (continued) 800,000 Time Warner Cable, Inc. 7.500% 01/04/14 531,041 0.69 200,000 Time Warner Cable, Inc. 8.750% 14/02/19 139,083 0.18

3,109,205 4.01

TOTAL CORPORATE BONDS (cost GBP 64,619,339) 63,701,446 82.17

Government Bonds – 5.36% British Pound Sterling 1,320,000 UK Treasury 4.750% 07/12/30 1,376,512 1.77 1,550,000 UK Treasury 4.250% 07/03/36 1,467,465 1.89 900,000 UK Treasury 4.750% 07/12/38 927,558 1.20 390,000 UK Treasury 4.500% 07/12/42 384,405 0.50

4,155,940 5.36

TOTAL GOVERNMENT BONDS (cost GBP 4,448,240) 4,155,940 5.36

Asset Backed Obligations – 0.16% British Pound Sterling 155,562 Octagon Healthcare Funding Plc.(c) 5.333% 31/12/35 125,720 0.16

TOTAL ASSET BACKED OBLIGATIONS (cost GBP 132,381) 125,720 0.16

Supranationals – 1.10% British Pound Sterling 400,000 European Investment Bank 4.875% 07/09/16 426,686 0.55 400,000 European Investment Bank 5.375% 07/06/21 426,985 0.55

853,671 1.10

TOTAL SUPRANATIONALS (cost GBP 867,472) 853,671 1.10

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost GBP 70,067,432) 68,836,777 88.79

Transferable securities dealt in another regulated market Corporate Bonds – 4.03% United States Dollar 350,000 Altria Group, Inc. 9.700% 10/11/18 238,793 0.31 1,050,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/19 670,436 0.86 300,000 Anheuser-Busch InBev Worldwide, Inc. 144A(d) 5.375% 15/11/14 184,181 0.24 850,000 ArcelorMittal 9.850% 01/06/19 531,827 0.69 150,000 Arch Capital Group Ltd. 7.350% 01/05/34 55,520 0.07 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 24,307 0.03 75,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 30,466 0.04 500,000 Comcast Corp. 5.700% 15/05/18 301,532 0.39 200,000 JPMorgan Chase & Co.(c) 7.900% 29/04/49 101,533 0.13 150,000 Morgan Stanley 6.000% 28/04/15 90,984 0.12 600,000 Simon Property Group LP 6.750% 15/05/14 363,747 0.47 550,000 State of California 7.500% 01/04/34 328,880 0.42 516,000 ZFS Finance USA Trust I 144A(d) 6.450% 15/12/65 201,213 0.26 3,123,419 4.03

TOTAL CORPORATE BONDS (cost GBP 3,316,198) 3,123,419 4.03

The accompanying notes are an integral part of these financial statements.

159 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Asset Backed Obligations – 2.27% British Pound Sterling 350,000 Chester Asset Receivables Dealing Plc.(c) 1.547% 15/04/16 256,959 0.33 834,462 Epic Plc.(c) 1.945% 30/09/31 503,115 0.65 126,486 European Loan Conduit(c) 1.685% 01/11/29 92,316 0.12 168,984 Paragon Mortgages Plc.(c) 1.477% 15/11/38 77,658 0.10 930,048 1.20

United States Dollar 1,547,466 Citigroup Mortgage Loan Trust, Inc.(c) 5.853% 25/03/37 417,859 0.54 780,168 Citigroup Mortgage Loan Trust, Inc.(c) 5.789% 25/10/46 212,681 0.27 570,685 Harborview Mortgage Loan Trust(c) 6.420% 19/06/36 159,231 0.21 32,412 Structured Asset Securities Corp.(c) 5.688% 25/07/32 12,694 0.02 61,909 Thornburg Mortgage Securities Trust(c) 3.436% 25/04/45 25,271 0.03 827,736 1.07

TOTAL ASSET BACKED OBLIGATIONS (cost GBP 1,779,888) 1,757,784 2.27

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost GBP 5,096,086) 4,881,203 6.30

Other Transferable Securities Corporate Bonds – 1.60% British Pound Sterling 150,000 American International Group, Inc.(c) 8.625% 22/05/38 27,000 0.04 350,000 AT&T, Inc. 7.000% 30/04/40 362,727 0.47

389,727 0.51

Euro 1,200,000 US Bank NA(c) 4.375% 28/02/17 845,343 1.09

TOTAL CORPORATE BONDS (cost GBP 1,187,104) 1,235,070 1.60

TOTAL OTHER TRANSFERABLE SECURITIES (cost GBP 1,187,104) 1,235,070 1.60

Mutual Funds – 0.99% British Pound Sterling 767,150 Goldman Sachs Sterling Liquid Reserves Fund(e)(f)(g) 767,150 0.99

TOTAL MUTUAL FUNDS (cost GBP 767,150) 767,150 0.99

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost GBP 77,117,772) 75,720,200 97.68

Futures Contracts – 0.06% Unrealised %of Number of Gain Shareholders’ Contracts Security Description GBP Equity

AUD (18) Australia Treasury Bonds 3YR 15/06/09 Short 2,671 0.00

EUR (36) German Federal Republic Bonds 08/06/09 Short 18,541 0.03 51 German Federal Republic Bonds 08/06/09 Long 9,753 0.01 28,294 0.04

The accompanying notes are an integral part of these financial statements.

160 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Gain Shareholders’ Contracts Security Description GBP Equity

GBP 29 UK Treasury Bonds 17/06/09 Long 20,513 0.03 (1) UK Treasury Bonds 28/09/09 Short 470 0.00

20,983 0.03

USD (5) US Treasury Bonds 30YR 21/09/09 Short 4,787 0.00 (21) US Treasury Notes 5YR 30/09/09 Short 6,993 0.01

11,780 0.01

UNREALISED GAIN ON FUTURES CONTRACTS 63,728 0.08

Unrealised %of Number of Loss Shareholders’ Contracts Security Description GBP Equity

EUR 12 German Federal Republic Bonds 08/06/09 Long (10,547) (0.01)

USD (17) US Treasury Notes 2YR 30/09/09 Short (629) (0.00) 5 US Treasury Notes 10YR 21/09/09 Long (3,879) (0.01)

(4,508) (0.01)

UNREALISED LOSS ON FUTURES CONTRACTS (15,055) (0.02)

Forward Currency Contracts – 0.19% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold GBP Equity

26/06/2009 GBP 8,852,082 EUR 10,032,904 92,723 0.12 02/07/2009 GBP 7,344,561 USD 11,777,003 54,242 0.07

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 146,965 0.19

Swap Contracts – 0.10%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 4,500,000 Floating (GBP 6 month LIBOR) Fixed 5.250% GBP 17/12/2010 31,405 0.04 1,000,000 Floating (GBP 6 month LIBOR) Fixed 3.750% GBP 18/06/2012 10,952 0.01 2,500,000 Floating (GBP 6 month LIBOR) Fixed 3.750% GBP 18/06/2012 4,308 0.01 3,000,000 Floating (GBP 6 month LIBOR) Fixed 3.750% GBP 18/06/2012 5,753 0.01 1,000,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 17/06/2019 14,974 0.02 1,900,000 Fixed 4.500% Floating (GBP 6 month LIBOR) GBP 18/06/2029 15,491 0.02 1,000,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 15,387 0.02 700,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 9,814 0.01 300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 21,792 0.03 400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 31,385 0.04 300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 22,198 0.03 400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 22,810 0.03 170,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2039 15,885 0.02

UNREALISED GAIN ON INTEREST RATE SWAPS 222,154 0.29

Credit Default Swaps 150,000 Fixed 3.430% Floating (Renault) EUR 20/06/2014 2,477 0.00 600,000 Fixed 1.000% Floating (Target Corp.) USD 20/09/2014 657 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 3,134 0.00

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 225,288 0.29

The accompanying notes are an integral part of these financial statements.

161 Goldman Sachs Funds—Sterling Credit Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 2,100,000 Floating (GBP 6 month LIBOR) Fixed 5.250% GBP 17/12/2013 (5,064) (0.01) 600,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (16,180) (0.02) 800,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (56,906) (0.07) 500,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 18/06/2029 (24,566) (0.03) 1,920,000 Floating (GBP 6 month LIBOR) Fixed 4.250% GBP 17/12/2029 (15,067) (0.02)

UNREALISED LOSS ON INTEREST RATE SWAPS (117,783) (0.15)

Credit Default Swaps 100,000 Fixed 4.850% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (9,717) (0.01) 200,000 Fixed 4.800% Floating (Rentokil Initial Plc.) EUR 27/03/2014 (19,062) (0.03) 150,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (1,881) (0.00) 100,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (1,239) (0.00)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (31,899) (0.04)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (149,682) (0.19)

MARKET VALUE OF INVESTMENTS (cost GBP 77,117,772) 75,991,444 98.03

OTHER ASSETS AND LIABILITIES 1,530,708 1.97

SHAREHOLDERS’ EQUITY 77,522,152 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS GBP Equity

Total Investments excluding forward currency, futures and swaps contracts (cost GBP 77,117,772) 75,720,200 97.68 Unrealised gain on futures contracts 63,728 0.08 Unrealised loss on futures contracts (15,055) (0.02) Unrealised gain on forward currency contracts 146,965 0.19 Unrealised gain on swaps contracts 225,288 0.29 Unrealised loss on swaps contracts (149,682) (0.19) Other Assets and Liabilities 1,530,708 1.97

Shareholders’ Equity 77,522,152 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranational and Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were JP Morgan Chase Bank NA and Westpac Banking Corp.. The counterparties for swaps contracts were Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) This security is admitted to an official exchange listing. (f) The yield for this fund as at 31 May 2009 was 0.816%. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

162 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 13.14% Euro 575,000 Resona Bank Ltd. 144A(c)(d) 4.125% 27/09/49 563,731 0.24

United States Dollar 650,000 Astoria Financial Corp. 5.750% 15/10/12 538,194 0.23 1,650,000 AT&T, Inc. 6.400% 15/05/38 1,504,465 0.64 1,000,000 Bear Stearns Cos, Inc. 6.400% 02/10/17 967,362 0.41 1,525,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 1,554,597 0.66 150,000 Canadian Natural Resources Ltd. 5.700% 15/05/17 143,295 0.06 425,000 Canadian Natural Resources Ltd. 6.500% 15/02/37 385,995 0.16 2,000,000 Citigroup, Inc. 2.125% 30/04/12 2,010,810 0.86 625,000 Citigroup, Inc. 6.125% 21/11/17 551,181 0.24 475,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 532,370 0.23 475,000 Commonwealth Edison Co. 5.875% 01/02/33 399,520 0.17 550,000 Commonwealth Edison Co. 5.900% 15/03/36 469,924 0.20 575,000 CVS Caremark Corp. 5.750% 01/06/17 567,047 0.24 650,000 Dow Chemical Co. 7.600% 15/05/14 653,664 0.28 700,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 590,445 0.25 1,225,000 Energy Transfer Partners LP 5.950% 01/02/15 1,142,400 0.49 25,000 Energy Transfer Partners LP 6.700% 01/07/18 23,588 0.01 725,000 Enterprise Products Operating LP 5.600% 15/10/14 693,877 0.30 525,000 Enterprise Products Operating LP 5.000% 01/03/15 472,312 0.20 650,000 FirstEnergy Corp.—Series C 7.375% 15/11/31 553,054 0.24 350,000 General Mills, Inc. 5.650% 15/02/19 348,926 0.15 325,000 Marsh & McLennan Cos, Inc. 5.150% 15/09/10 315,432 0.13 750,000 Merrill Lynch & Co., Inc. 5.450% 05/02/13 702,195 0.30 625,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 563,323 0.24 775,000 MUFG Capital Finance 1 Ltd.(c) 6.346% 29/07/49 660,083 0.28 480,000 Nelnet, Inc. 5.125% 01/06/10 386,768 0.17 475,000 Nevada Power Co. 7.125% 15/03/19 468,650 0.20 375,000 Pacific Gas & Electric Co. 6.250% 01/03/39 371,295 0.16 550,000 Philip Morris International, Inc. 5.650% 16/05/18 553,052 0.24 500,000 Progress Energy, Inc. 7.050% 15/03/19 527,990 0.23 325,000 Resona Bank Ltd. 144A(c)(d) 5.850% 29/09/49 236,844 0.10 325,000 Rogers Communications, Inc. 6.800% 15/08/18 340,010 0.15 875,000 Royal Bank of Scotland Group Plc.—ADR(e) 9.118% 31/03/49 660,625 0.28 300,000 Santander Issuances S.A Unipersonal 144A(c)(d) 5.805% 20/06/16 227,312 0.10 700,000 Simon Property Group, Inc. 6.125% 30/05/18 626,409 0.27 575,000 SLM Corp. 5.400% 25/10/11 457,859 0.20 1,800,000 Societe Financement de l’Economie Francaise 144A(d) 3.375% 05/05/14 1,780,921 0.76 175,000 Telecom Italia Capital S.A. 4.950% 30/09/14 163,229 0.07 625,000 Telecom Italia Capital S.A. 7.721% 04/06/38 577,600 0.25 500,000 Telefonica Europe BV 7.750% 15/09/10 528,692 0.23 875,000 TEPPCO Partners LP 6.650% 15/04/18 794,678 0.34 750,000 Thomson Reuters Corp. 6.500% 15/07/18 736,015 0.31 200,000 Time Warner Cable, Inc. 6.550% 01/05/37 179,530 0.08 650,000 Transocean, Inc. 6.800% 15/03/38 628,188 0.27 700,000 Valero Energy Corp. 6.625% 15/06/37 564,040 0.24 1,075,000 Verizon Communications, Inc. 6.400% 15/02/38 998,750 0.43 525,000 Waste Management, Inc. 7.375% 11/03/19 532,156 0.23 700,000 Wells Fargo Capital XIII(c) 7.700% 29/12/49 546,000 0.23 900,000 XTO Energy, Inc. 6.500% 15/12/18 914,660 0.39 30,145,332 12.90

TOTAL CORPORATE BONDS (cost USD 32,856,820) 30,709,063 13.14

The accompanying notes are an integral part of these financial statements.

163 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – 1.59% United States Dollar 2,700,000 Tennessee Valley Authority 5.375% 01/04/56 2,569,303 1.10 986,273 United States Treasury Inflation Indexed Bonds 3.625% 15/04/28 1,152,706 0.49

3,722,009 1.59

TOTAL GOVERNMENT BONDS (cost USD 3,914,232) 3,722,009 1.59

Supranationals – 3.92% United States Dollar 2,400,000 European Investment Bank 3.000% 08/04/14 2,388,355 1.02 2,300,000 European Investment Bank 3.125% 04/06/14 2,282,520 0.98 2,300,000 Inter-American Development Bank 3.000% 22/04/14 2,263,775 0.97 2,300,000 International Finance Corp. 3.000% 22/04/14 2,215,664 0.95

9,150,314 3.92

TOTAL SUPRANATIONALS (cost USD 9,269,252) 9,150,314 3.92

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 46,040,304) 43,581,386 18.65

Transferable securities dealt in another regulated market Corporate Bonds – 9.93% United States Dollar 475,000 Altria Group, Inc. 9.700% 10/11/18 523,577 0.22 950,000 Anheuser-Busch InBev Worldwide, Inc. 144A(d) 7.750% 15/01/19 1,001,193 0.43 900,000 Anz Capital Trust I 144A(d) 5.360% 29/12/49 690,572 0.30 1,000,000 ArcelorMittal 6.125% 01/06/18 834,228 0.36 500,000 Arch Capital Group Ltd. 7.350% 01/05/34 298,995 0.13 425,000 Aspen Insurance Holdings Ltd. 6.000% 15/08/14 331,133 0.14 700,000 Bank of America Corp. 5.750% 01/12/17 616,926 0.27 1,100,000 Boardwalk Pipelines LP 5.875% 15/11/16 945,215 0.41 650,000 Catlin Insurance Co., Ltd. 144A(c)(d) 7.249% 31/12/49 308,950 0.13 825,000 CenterPoint Energy Resources Corp. 5.950% 15/01/14 803,616 0.34 625,000 Chubb Corp.(c) 6.375% 29/03/67 475,965 0.20 600,000 Comcast Cable Communications LLC 6.750% 30/01/11 637,006 0.27 1,200,000 COX Communications, Inc. 144A(d) 5.875% 01/12/16 1,124,579 0.48 100,000 EQT Corp. 8.125% 01/06/19 100,685 0.04 600,000 Florida Gas Transmission Co. LLC 144A(d) 7.900% 15/05/19 603,239 0.26 750,000 JPMorgan Chase & Co.(c) 7.900% 29/04/49 615,135 0.26 106,275 Kern River Funding Corp. 144A(d) 4.893% 30/04/18 101,489 0.04 1,400,000 LeasePlan Corp. NV 144A(d) 3.000% 07/05/12 1,396,254 0.60 725,000 Marks & Spencer Plc. 144A(d) 7.125% 01/12/37 489,400 0.21 700,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 616,809 0.26 575,000 Morgan Stanley 5.750% 31/08/12 581,120 0.25 700,000 Morgan Stanley 5.950% 28/12/17 656,342 0.28 600,000 Morgan Stanley 6.625% 01/04/18 585,386 0.25 1,125,000 Pfizer, Inc. 6.200% 15/03/19 1,183,897 0.51 725,000 Phoenix Life Insurance Co. 144A(d) 7.150% 15/12/34 203,000 0.09 650,000 QBE Insurance Group Ltd. 144A(c)(d) 5.647% 01/07/23 367,455 0.16 525,000 Reinsurance Group of America, Inc.(c) 6.750% 15/12/65 265,345 0.11 1,050,000 Roche Holdings, Inc. 144A(d) 6.000% 01/03/19 1,083,009 0.46 400,000 Rogers Cable, Inc. 7.875% 01/05/12 428,657 0.18 375,000 Southern Natural Gas Co. 144A(d) 5.900% 01/04/17 331,249 0.14 425,000 StatoilHydro ASA 5.250% 15/04/19 419,335 0.18 575,000 Swiss Re Capital I LP 144A(c)(d) 6.854% 29/05/49 331,364 0.14 625,000 Symetra Financial Corp. 144A(d) 8.300% 15/10/37 210,584 0.09 150,000 Talisman Energy, Inc. 7.750% 01/06/19 152,142 0.07 500,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 521,212 0.22 400,000 TransCanada Pipelines Ltd. 6.350% 15/05/67 264,000 0.11 450,000 Travelers, Inc. 5.900% 02/06/19 454,261 0.20 400,000 Verizon Wireless 144A(d) 8.500% 15/11/18 475,346 0.20 400,000 Westfield Capital Corp. Ltd./WT Finance Aust Pty Ltd./WEA Finance LLC 144A(d) 4.375% 15/11/10 385,057 0.17

The accompanying notes are an integral part of these financial statements.

164 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 225,000 Westfield Group 144A(d) 5.400% 01/10/12 213,750 0.09 150,000 Whirlpool Corp. 8.000% 01/05/12 152,450 0.07 200,000 Whirlpool Corp. 8.600% 01/05/14 201,098 0.09 1,100,000 White Mountains Re Group Ltd. 144A(d) 6.375% 20/03/17 679,634 0.29 300,000 ZFS Finance USA Trust I 144A(c)(d) 6.450% 15/12/65 189,000 0.08 525,000 ZFS Finance USA Trust I 144A(c)(d) 6.150% 15/12/65 338,625 0.15 23,188,284 9.93

TOTAL CORPORATE BONDS (cost USD 27,342,742) 23,188,284 9.93

Government Bonds – 3.19% United States Dollar 1,225,279 United States Treasury Inflation Indexed Bonds 1.625% 15/01/15 1,222,020 0.52 1,500,268 United States Treasury Inflation Indexed Bonds 2.000% 15/01/26 1,410,957 0.61 6,800,000 United States Treasury Principal-Only Stripped 4.337% 15/08/20 4,097,476 1.75 100,000 United States Treasury Principal-Only Stripped 4.525% 15/08/25 47,369 0.02 1,100,000 United States Treasury Strip Principal 4.281% 15/05/20 674,641 0.29

7,452,463 3.19

TOTAL GOVERNMENT BONDS (cost USD 7,854,544) 7,452,463 3.19

Agencies Asset Backed Obligations – 38.43% United States Dollar 2,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/13 2,535 0.00 5,057 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/11/13 5,288 0.00 11,315 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/13 11,831 0.01 2,497 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/13 2,610 0.00 7,816 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/14 8,173 0.00 73,024 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/02/14 73,334 0.03 20,089 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/14 21,014 0.01 124,011 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 124,538 0.05 417,088 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 418,859 0.18 90,873 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 91,259 0.04 80,768 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 81,111 0.03 109,051 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 109,514 0.05 101,225 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 101,655 0.04 127,213 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 127,753 0.05 128,004 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 128,547 0.06 3,913 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/14 4,094 0.00 5,639 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/14 5,899 0.00 22,537 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/14 23,576 0.01 102,030 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 102,463 0.04 74,831 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 75,149 0.03 55,927 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 56,165 0.02 20,689 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/14 21,643 0.01 34,380 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/14 35,964 0.02 3,493 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/14 3,654 0.00 17,718 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/07/14 18,382 0.01 14,945 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/07/14 15,634 0.01 73,353 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/14 76,654 0.03 12,531 Federal Home Loan Mortgage Corp. (FHLMC) 7.500% 01/04/15 13,335 0.01 3,044 Federal Home Loan Mortgage Corp. (FHLMC) 7.500% 01/09/15 3,244 0.00 14,882 Federal Home Loan Mortgage Corp. (FHLMC) 7.500% 01/10/15 15,860 0.01 1,500,000 Federal Home Loan Mortgage Corp. (FHLMC) 5.300% 01/12/15 1,653,942 0.71 204,776 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 15/07/16 6,127 0.00 216,306 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 15/12/16 8,346 0.00 283,206 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/05/18 290,538 0.12 87,495 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/05/18 89,760 0.04 80,723 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/05/18 82,813 0.04 100,778 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/06/18 103,387 0.04 165,753 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 170,044 0.07 25,876 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 26,546 0.01

The accompanying notes are an integral part of these financial statements.

165 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 36,646 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 37,595 0.02 38,378 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 39,371 0.02 54,320 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 55,726 0.02 76,354 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/18 78,330 0.03 112,716 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/10/18 115,634 0.05 94,028 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/10/18 96,463 0.04 107,212 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/10/18 109,987 0.05 109,141 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/11/18 111,966 0.05 212,602 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/11/18 218,106 0.09 119,779 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/01/19 122,880 0.05 114,441 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/03/19 117,160 0.05 117,703 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/03/19 120,750 0.05 32,546 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/20 34,954 0.02 25,739 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/21 27,436 0.01 663,473 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/10/23 663,435 0.28 167,356 Federal Home Loan Mortgage Corp. (FHLMC)(c) 2.270% 15/05/24 165,735 0.07 55,038 Federal Home Loan Mortgage Corp. (FHLMC) 7.500% 01/03/27 60,967 0.03 1,568,377 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/12/28 1,650,607 0.71 250,531 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 15/08/30 5,038 0.00 1,014,838 Federal Home Loan Mortgage Corp. (FHLMC)(c) 2.972% 01/04/33 1,033,041 0.44 145,935 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/12/33 156,166 0.07 1,480,395 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.287% 01/08/35 1,516,462 0.65 91,609 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/08/35 86,756 0.04 59,773 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/09/35 55,378 0.02 321,427 Federal Home Loan Mortgage Corp. (FHLMC)(c) 0.000% 15/10/35 1,095 0.00 98,064 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/35 99,433 0.04 279,299 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/35 283,198 0.12 123,292 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/35 125,300 0.05 63,447 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/36 65,353 0.03 307,498 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/36 316,735 0.14 1,102,031 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/36 1,132,750 0.49 103,570 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/36 105,016 0.05 46,411 Federal Home Loan Mortgage Corp. (FHLMC)(c) 0.156% 15/04/36 44,461 0.02 428,338 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/36 434,585 0.19 205,650 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/06/36 193,399 0.08 56,964 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/07/36 55,591 0.02 46,168 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/36 48,133 0.02 78,176 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/36 81,503 0.04 62,405 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/02/37 59,579 0.03 55,658 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/03/37 52,017 0.02 29,311 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/37 30,822 0.01 39,159 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/37 40,795 0.02 43,275 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/37 45,083 0.02 2,930 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 3,081 0.00 5,389 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 5,666 0.00 42,823 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 45,031 0.02 57,917 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 60,904 0.03 65,879 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 69,275 0.03 41,543 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 43,685 0.02 79,986 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 84,110 0.04 60,291 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 63,400 0.03 43,018 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 45,236 0.02 26,644 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 28,018 0.01 33,994 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 35,747 0.02 48,001 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 50,476 0.02 514,759 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/37 536,267 0.23 288,525 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 300,580 0.13 80,479 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 83,842 0.04 136,248 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 139,697 0.06 34,609 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 36,410 0.02 47,145 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 49,598 0.02 42,811 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 45,038 0.02 82,451 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/38 85,896 0.04 908,171 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 946,064 0.41 122,019 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/07/38 125,608 0.05

The accompanying notes are an integral part of these financial statements.

166 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 37,627 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 39,602 0.02 244,879 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 257,046 0.11 380,699 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 400,686 0.17 27,987 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 29,457 0.01 1,732,717 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 1,805,112 0.77 71,261 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/38 74,234 0.03 838,759 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/09/38 891,825 0.38 37,320 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 39,279 0.02 50,594 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 53,250 0.02 21,592 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 22,726 0.01 39,364 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 41,320 0.02 2,819,965 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 2,966,691 1.27 1,106,176 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 1,152,393 0.49 959,062 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/38 990,419 0.42 394,340 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/38 415,043 0.18 13,236 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 13,931 0.01 52,562 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 55,322 0.02 50,535 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 53,188 0.02 15,349 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 16,155 0.01 20,210 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 21,272 0.01 34,535 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 36,348 0.02 96,446 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/39 99,283 0.04 208,195 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/39 214,319 0.09 84,106 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/39 87,615 0.04 7,802 Federal National Mortgage Association (FNMA) 7.500% 01/12/12 8,170 0.00 15,317 Federal National Mortgage Association (FNMA) 7.000% 01/03/16 16,159 0.01 1,212,340 Federal National Mortgage Association (FNMA) 4.500% 01/06/18 1,243,755 0.53 5,063,270 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 5,108,115 2.19 58,560 Federal National Mortgage Association (FNMA) 6.000% 01/08/18 61,670 0.03 102,165 Federal National Mortgage Association (FNMA) 4.500% 01/09/18 104,813 0.05 1,135,554 Federal National Mortgage Association (FNMA) 4.500% 01/09/18 1,164,980 0.50 51,400 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 52,651 0.02 108,784 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 111,432 0.05 50,135 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 51,355 0.02 47,610 Federal National Mortgage Association (FNMA) 4.500% 01/11/18 48,769 0.02 78,788 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 80,706 0.03 111,884 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 114,783 0.05 154,434 Federal National Mortgage Association (FNMA) 4.500% 01/03/19 158,436 0.07 55,282 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 56,615 0.02 100,277 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 102,592 0.04 17,955 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 18,370 0.01 131,015 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 134,041 0.06 152,866 Federal National Mortgage Association (FNMA) 4.500% 01/06/19 156,396 0.07 48,646 Federal National Mortgage Association (FNMA) 4.500% 01/07/19 49,769 0.02 149,965 Federal National Mortgage Association (FNMA) 4.500% 01/08/19 153,428 0.07 1,399,942 Federal National Mortgage Association (FNMA) 6.000% 01/09/19 1,485,273 0.64 500,000 Federal National Mortgage Association (FNMA) 10.211% 09/10/19 243,551 0.10 958,791 Federal National Mortgage Association (FNMA) 4.500% 01/04/20 983,636 0.42 1,753,405 Federal National Mortgage Association (FNMA) 6.000% 01/12/20 1,860,281 0.80 865,976 Federal National Mortgage Association (FNMA) 4.500% 01/07/23 879,565 0.38 92,652 Federal National Mortgage Association (FNMA) 5.500% 01/09/23 96,604 0.04 179,501 Federal National Mortgage Association (FNMA) 5.500% 01/09/23 186,877 0.08 94,784 Federal National Mortgage Association (FNMA) 5.500% 01/10/23 98,916 0.04 281,035 Federal National Mortgage Association (FNMA) 5.000% 01/01/24 289,194 0.12 549 Federal National Mortgage Association (FNMA) 5.500% 01/04/29 566 0.00 8,583 Federal National Mortgage Association (FNMA) 7.000% 01/10/29 9,385 0.00 139,729 Federal National Mortgage Association (FNMA) 7.000% 01/03/31 151,475 0.06 159 Federal National Mortgage Association (FNMA) 6.000% 01/03/32 167 0.00 319,365 Federal National Mortgage Association (FNMA) 5.500% 01/12/32 329,266 0.14 20,078 Federal National Mortgage Association (FNMA) 6.000% 01/05/33 21,080 0.01 38,473 Federal National Mortgage Association (FNMA)(c) 3.542% 01/06/33 39,133 0.02 17,486 Federal National Mortgage Association (FNMA) 5.500% 01/09/33 18,035 0.01 7,111 Federal National Mortgage Association (FNMA) 6.000% 01/12/33 7,461 0.00 646,025 Federal National Mortgage Association (FNMA)(c) 5.335% 01/12/33 664,128 0.28 22,616 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 23,323 0.01

The accompanying notes are an integral part of these financial statements.

167 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 3,527 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 3,647 0.00 530,414 Federal National Mortgage Association (FNMA)(c) 0.000% 25/04/34 15,016 0.01 18,325 Federal National Mortgage Association (FNMA) 5.500% 01/08/34 18,949 0.01 1,228 Federal National Mortgage Association (FNMA) 5.500% 01/10/34 1,271 0.00 661,351 Federal National Mortgage Association (FNMA)(c) 4.862% 01/10/34 679,403 0.29 248,797 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 256,571 0.11 849,540 Federal National Mortgage Association (FNMA)(c) 4.576% 01/02/35 871,218 0.37 11,767 Federal National Mortgage Association (FNMA) 6.000% 01/04/35 12,318 0.01 1,423,726 Federal National Mortgage Association (FNMA)(c) 4.586% 01/04/35 1,484,496 0.64 959,164 Federal National Mortgage Association (FNMA) 5.000% 01/06/35 973,911 0.42 777 Federal National Mortgage Association (FNMA) 5.500% 01/07/35 803 0.00 64,033 Federal National Mortgage Association (FNMA) 6.000% 01/07/35 67,027 0.03 833 Federal National Mortgage Association (FNMA) 6.000% 01/08/35 872 0.00 1,971 Federal National Mortgage Association (FNMA) 5.500% 01/08/35 2,037 0.00 29,833 Federal National Mortgage Association (FNMA) 5.500% 01/09/35 30,775 0.01 102,736 Federal National Mortgage Association (FNMA) 6.000% 01/11/35 107,347 0.05 44,151 Federal National Mortgage Association (FNMA) 6.000% 01/11/35 46,216 0.02 8,965 Federal National Mortgage Association (FNMA) 5.500% 01/12/35 9,273 0.00 23,382 Federal National Mortgage Association (FNMA) 6.000% 01/12/35 24,542 0.01 190,491 Federal National Mortgage Association (FNMA) 6.000% 01/01/36 199,398 0.09 782 Federal National Mortgage Association (FNMA) 5.500% 01/02/36 806 0.00 17,292 Federal National Mortgage Association (FNMA) 6.000% 01/02/36 18,068 0.01 30,757 Federal National Mortgage Association (FNMA) 6.000% 01/04/36 32,094 0.01 42,555 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 44,406 0.02 39,683 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 41,409 0.02 45,729 Federal National Mortgage Association (FNMA) 6.000% 01/07/36 47,718 0.02 19,016 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 19,843 0.01 25,490 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 26,599 0.01 36,361 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 38,033 0.02 19,035 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 19,863 0.01 51,640 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 53,887 0.02 29,652 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 30,942 0.01 30,390 Federal National Mortgage Association (FNMA) 6.500% 01/10/36 32,327 0.01 49,071 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 51,206 0.02 17,523 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 18,278 0.01 510,158 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 532,157 0.23 11,741 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 12,095 0.01 53,581 Federal National Mortgage Association (FNMA) 6.000% 01/01/37 56,019 0.02 3,990 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 4,110 0.00 20,890 Federal National Mortgage Association (FNMA) 6.000% 01/02/37 21,782 0.01 2,502 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 2,577 0.00 22,536 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 23,212 0.01 18,665 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 19,225 0.01 25,129 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 25,883 0.01 1,082 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 1,115 0.00 26,888 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 28,037 0.01 6,817 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 7,021 0.00 8,727 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 8,989 0.00 8,497 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 8,752 0.00 46,145 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 48,153 0.02 18,107 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 18,650 0.01 32,109 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 33,481 0.01 7,371 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 7,593 0.00 366,633 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 382,581 0.16 67,634 Federal National Mortgage Association (FNMA)(c) 1.000% 25/05/37 67,256 0.03 98,276 Federal National Mortgage Association (FNMA) 6.000% 01/06/37 103,209 0.04 2,749 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 2,840 0.00 2,662 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 2,742 0.00 42,110 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 43,237 0.02 70,162 Federal National Mortgage Association (FNMA)(c) 1.000% 25/06/37 71,649 0.03 45,002 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 46,925 0.02 16,937 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 17,445 0.01 30,585 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 32,120 0.01 11,746 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 12,099 0.01 660,171 Federal National Mortgage Association (FNMA) 6.500% 01/08/37 702,284 0.30

The accompanying notes are an integral part of these financial statements.

168 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 2,200 Federal National Mortgage Association (FNMA) 5.500% 01/08/37 2,273 0.00 85,413 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 89,054 0.04 52,774 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 55,028 0.02 61,057 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 63,660 0.03 41,978 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 43,771 0.02 210,976 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 220,511 0.09 24,148 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 25,177 0.01 237,019 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 247,122 0.11 144,149 Federal National Mortgage Association (FNMA) 5.500% 01/10/37 148,473 0.06 42,371 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 44,498 0.02 53,470 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 55,755 0.02 24,068 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 25,094 0.01 101,239 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 105,564 0.05 98,599 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 103,056 0.04 45,171 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 47,438 0.02 29,827 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 31,102 0.01 44,473 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 46,373 0.02 153,329 Federal National Mortgage Association (FNMA) 6.000% 01/12/37 161,409 0.07 1,394 Federal National Mortgage Association (FNMA) 5.500% 01/12/37 1,436 0.00 88,197 Federal National Mortgage Association (FNMA) 6.000% 01/12/37 92,183 0.04 53,902 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 56,205 0.02 220,090 Federal National Mortgage Association (FNMA) 5.500% 01/01/38 226,727 0.10 72,657 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 75,761 0.03 218,841 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 225,440 0.10 327,986 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 344,449 0.15 2,620 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 2,699 0.00 2,127,983 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 2,218,690 0.95 199,261 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 209,325 0.09 16,762 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 17,323 0.01 7,758 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 7,992 0.00 159,320 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 164,125 0.07 36,715 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 37,822 0.02 743,880 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 766,313 0.33 61,925 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 63,793 0.03 94,767 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 97,625 0.04 92,372 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 95,157 0.04 81,523 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 83,981 0.04 65,231 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 67,198 0.03 48,025 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 49,308 0.02 1,317,490 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 1,357,221 0.58 29,581 Federal National Mortgage Association (FNMA) 6.500% 01/05/38 31,484 0.01 130,833 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 134,799 0.06 15,492 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 15,925 0.01 51,940 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 54,156 0.02 72,829 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 76,735 0.03 15,692 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 16,168 0.01 1,466 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 1,511 0.00 2,705 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 2,787 0.00 188,477 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 194,191 0.08 27,183 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 28,343 0.01 50,289 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 52,845 0.02 100,556 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 103,604 0.04 62,337 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 65,680 0.03 2,958 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 3,047 0.00 30,864 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 31,800 0.01 18,513 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 19,075 0.01 5,366 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 5,528 0.00 265,408 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 273,453 0.12 42,901 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 44,202 0.02 8,267 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 8,518 0.00 146,211 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 154,053 0.07 8,934 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 9,204 0.00 1,227 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 1,264 0.00 66,012 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 68,013 0.03 8,468 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 8,725 0.00

The accompanying notes are an integral part of these financial statements.

169 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 50,101 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 52,647 0.02 91,351 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 94,120 0.04 29,548 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 30,444 0.01 342,205 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 351,350 0.15 1,923 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 1,987 0.00 7,513 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 7,740 0.00 34,709 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 35,762 0.02 60,743 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 64,001 0.03 28,815 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 30,044 0.01 4,791 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 4,936 0.00 39,221 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 40,410 0.02 7,661 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 7,919 0.00 445,222 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 460,109 0.20 164,102 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 171,103 0.07 312,085 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 326,483 0.14 551,492 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 576,934 0.25 36,266 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 37,939 0.02 6,956 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 7,167 0.00 20,188 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 20,800 0.01 3,358 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 3,460 0.00 17,420 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 17,948 0.01 8,078 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 8,323 0.00 81,730 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 84,463 0.04 32,432 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 33,792 0.01 35,765 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 37,683 0.02 35,144 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 36,765 0.02 190,402 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 196,173 0.08 55,298 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 58,264 0.03 92,559 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 98,449 0.04 35,059 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 36,121 0.02 4,507 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 4,627 0.00 279,255 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 287,720 0.12 120,709 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 124,368 0.05 154,808 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 159,500 0.07 32,768 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 34,166 0.01 60,475 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 62,308 0.03 65,687 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 67,894 0.03 103,168 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 106,634 0.05 202,459 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 208,596 0.09 159,924 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 165,296 0.07 36,539 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 38,498 0.02 97,507 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 100,463 0.04 50,712 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 53,432 0.02 41,868 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 43,137 0.02 47,431 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 48,868 0.02 52,462 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 54,052 0.02 523,238 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 537,222 0.23 4,042 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 4,165 0.00 169,520 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 174,658 0.07 184,987 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 190,595 0.08 527,564 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 537,126 0.23 25,471 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 25,992 0.01 86,346 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 87,925 0.04 402,459 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 410,697 0.18 837,345 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 852,652 0.37 66,138 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 68,964 0.03 28,615 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 29,835 0.01 38,070 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 39,694 0.02 30,520 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 31,819 0.01 14,751 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 15,247 0.01 108,619 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 111,912 0.05 66,304 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 68,314 0.03 107,364 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 110,619 0.05 203,334 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 208,768 0.09 12,537 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 12,958 0.01

The accompanying notes are an integral part of these financial statements.

170 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 18,031 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 18,637 0.01 47,769 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 49,217 0.02 174,211 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 179,492 0.08 16,455 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 16,953 0.01 37,036 Federal National Mortgage Association (FNMA) 5.500% 01/03/39 38,159 0.02 700,000 Federal National Mortgage Association (FNMA) TBA(f) 5.500% 01/12/99 719,837 0.31 4,000,000 Federal National Mortgage Association (FNMA) TBA(f) 5.000% 01/12/99 4,048,752 1.73 1,000,000 Federal National Mortgage Association (FNMA) TBA(f) 5.500% 01/12/99 1,025,312 0.44 68,801 Federal National Mortgage Association Guaranteed(c) 1.000% 25/05/35 68,375 0.03 56,340 Federal National Mortgage Association Guaranteed(c) 1.000% 25/09/36 55,743 0.02 1,595,781 Federal National Mortgage Association Remic(c) 6.500% 25/10/31 1,662,257 0.71 2,281,202 Federal National Mortgage Association Remic(c) 0.669% 25/03/37 2,238,687 0.96 2,200,343 Federal National Mortgage Association Remic(c) 1.149% 25/04/48 2,177,424 0.93 16,976 Government National Mortgage Association (GNMA) 7.500% 15/12/28 18,476 0.01 6,955 Government National Mortgage Association (GNMA) 7.500% 15/09/29 7,633 0.00 52,217 Government National Mortgage Association (GNMA) 7.500% 15/12/29 57,309 0.02 73,812 Government National Mortgage Association (GNMA)(c) 36.003% 16/02/32 113,088 0.05 378,813 Government National Mortgage Association (GNMA) 5.500% 15/05/38 390,193 0.17 1,099,482 Government National Mortgage Association (GNMA) 6.000% 15/08/38 1,143,457 0.49 1,058,932 Government National Mortgage Association (GNMA) 6.000% 15/08/38 1,101,284 0.47 1,264,316 Government National Mortgage Association (GNMA) 6.000% 15/09/38 1,314,884 0.56 93,863 Government National Mortgage Association (GNMA) 6.000% 15/12/38 97,636 0.04 97,959 Government National Mortgage Association (GNMA) 6.000% 15/12/38 101,896 0.04 197,824 Government National Mortgage Association (GNMA) 5.500% 15/01/39 203,767 0.09 945,239 Government National Mortgage Association (GNMA) 6.000% 15/01/39 983,044 0.42 777,457 Government National Mortgage Association (GNMA) 5.500% 15/01/39 801,627 0.34 39,300 Government National Mortgage Association (GNMA) 5.500% 15/02/39 40,522 0.02 127,096 Government National Mortgage Association (GNMA) 5.500% 15/02/39 131,047 0.06 226,356 Government National Mortgage Association (GNMA) 5.500% 15/03/39 233,394 0.10 919,473 Government National Mortgage Association (GNMA) 5.500% 15/03/39 948,058 0.41 331,364 Government National Mortgage Association (GNMA) 5.500% 15/03/39 341,666 0.15 108,181 Government National Mortgage Association (GNMA) 5.500% 15/03/39 111,545 0.05 101,031 Government National Mortgage Association (GNMA) 5.500% 15/03/39 104,172 0.04 73,394 Government National Mortgage Association (GNMA) 5.500% 15/03/39 75,676 0.03 36,143 Government National Mortgage Association (GNMA) 5.500% 15/03/39 37,267 0.02 26,371 Government National Mortgage Association (GNMA) 5.500% 15/03/39 27,191 0.01 997,269 Government National Mortgage Association (GNMA) 5.000% 15/04/39 1,016,497 0.44 13,325 Government National Mortgage Association Guaranteed(c) 18.503% 16/11/24 18,632 0.01 41,458 Government National Mortgage Association Guaranteed(c) 25.399% 16/10/31 57,849 0.02 33,036 Government National Mortgage Association Guaranteed(c) 31.048% 16/10/31 47,881 0.02

89,792,738 38.43

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost USD 88,363,504) 89,792,738 38.43

Non-Agencies Asset Backed Obligations – 21.78% United States Dollar 758,487 ABN Amro Mortgage Corp. 5.500% 25/06/33 91,836 0.04 659,992 American Home Mortgage Investment Trust(c) 0.599% 25/11/45 285,205 0.12 4,125,853 Bank of America Funding Corp. “1A1”(c) 4.454% 20/12/36 3,232,868 1.38 33,941 Bear Stearns Adjustable Rate Mortgage Trust(c) 5.100% 25/08/33 21,170 0.01 69,524 Bear Stearns Adjustable Rate Mortgage Trust(c) 4.384% 25/04/34 49,977 0.02 264,784 Bear Stearns Adjustable Rate Mortgage Trust(c) 5.084% 25/06/35 168,676 0.07 7,918,605 Bear Stearns Commercial Mortgage Securities 144A(c)(d) 1.148% 13/03/40 161,030 0.07 2,700,428 Bear Stearns Mortgage Funding Trust “2A1”(c) 0.529% 25/08/36 1,151,683 0.49 1,335,005 Chase Mortgage Finance Corp.(c) 4.605% 25/02/37 1,129,363 0.48 1,979,537 Chase Mortgage Finance Corp.(c) 4.827% 25/02/37 1,592,485 0.68 3,233,463 Chase Mortgage Finance Corp. “2A1”(c) 4.077% 25/02/37 2,752,096 1.18 682,584 Chase Mortgage Finance Corp. “5A1”(c) 4.063% 25/02/37 574,489 0.25 1,280,000 CIT Mortgage Loan Trust 144A(c)(d) 1.759% 25/10/37 332,800 0.14 700,000 CIT Mortgage Loan Trust 144A(c)(d) 1.559% 25/10/37 190,750 0.08 1,541,599 CIT Mortgage Loan Trust 144A(c)(d) 1.309% 25/10/37 1,217,864 0.52 328,066 Countrywide Alternative Loan Trust(c) 2.939% 25/09/35 145,942 0.06 984,199 Countrywide Alternative Loan Trust(c) 0.659% 25/09/35 457,729 0.20

The accompanying notes are an integral part of these financial statements.

171 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 597,911 Countrywide Alternative Loan Trust 6.000% 25/10/35 344,850 0.15 1,046,021 Countrywide Alternative Loan Trust(c) 0.639% 20/11/35 478,533 0.21 1,895,048 Countrywide Alternative Loan Trust(c) 0.609% 25/12/35 861,821 0.37 641,145 Countrywide Alternative Loan Trust 6.000% 25/04/36 402,954 0.17 3,333,694 Countrywide Alternative Loan Trust “A1”(c) 0.499% 25/08/46 1,337,054 0.57 403,966 Countrywide Home Equity Loan Trust—Series D(c) 0.604% 15/06/29 150,318 0.07 279,701 Countrywide Home Equity Loan Trust—Series E(c) 0.604% 15/10/28 134,353 0.06 470,926 Countrywide Home Equity Loan Trust—Series R(c) 0.594% 15/03/30 141,357 0.06 83,675 Countrywide Home Loan Mortgage Pass Through Trust(c) 4.530% 20/11/34 46,737 0.02 353,598 Countrywide Home Loan Mortgage Pass Through Trust(c) 4.894% 20/08/35 216,000 0.09 2,500,000 Credit Suisse Mortgage Capital Certificates “A3” 5.467% 15/09/39 1,914,229 0.82 73,040 CS First Boston Mortgage Securities Corp.(c) 4.756% 25/03/33 46,199 0.02 8,720 CS First Boston Mortgage Securities Corp. 5.500% 25/06/33 1,058 0.00 1,171,468 CS First Boston Mortgage Securities Corp. 5.250% 25/07/33 134,073 0.06 380,560 CS First Boston Mortgage Securities Corp. 0.000% 25/07/33 — — 535,453 CS First Boston Mortgage Securities Corp. 0.000% 25/08/33 1 0.00 5,679,152 CS First Boston Mortgage Securities Corp. 144A(c)(d) 1.553% 15/11/36 31,594 0.01 5,217,988 CS First Boston Mortgage Securities Corp. 144A(c)(d) 1.699% 15/05/38 88,461 0.04 33,614 First Horizon Asset Securities, Inc.(c) 4.750% 25/12/34 28,102 0.01 905,247 First Union National Bank Commercial Mortgage Trust 7.202% 15/10/32 920,861 0.40 3,000,000 GMAC Commercial Mortgage Security, Inc.(c) 6.278% 15/11/39 3,017,141 1.29 404,188 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 140,608 0.06 440,197 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 146,168 0.06 146,156 Greenpoint Home Equity Loan Trust(c) 0.769% 25/07/29 63,122 0.03 413,657 Harborview Mortgage Loan Trust(c) 0.638% 19/11/35 192,424 0.08 1,356,144 Harborview Mortgage Loan Trust(c) 5.725% 19/12/35 737,078 0.32 366,996 Harborview Mortgage Loan Trust(c) 0.568% 19/01/36 172,913 0.07 1,947,935 HSBC Home Equity Loan Asset Backed Certificates(c) 1.516% 20/11/36 1,303,595 0.56 186,560 Impac CMB Trust(c) 1.029% 25/10/34 73,250 0.03 193,030 Impac CMB Trust(c) 0.949% 25/03/35 76,035 0.03 1,223,692 Indymac Index Mortgage Loan Trust(c) 5.336% 25/09/35 685,094 0.29 1,490,472 JP Morgan Mortgage Trust “1A1”(c) 4.198% 25/07/35 1,230,129 0.53 661,768 JP Morgan Mortgage Trust “4A2”(c) 4.071% 25/07/35 543,838 0.23 1,328,547 JP Morgan Mortgage Trust “5A2”(c) 4.773% 25/07/35 1,063,108 0.46 2,000,000 LB-UBS Commercial Mortgage Trust(c) 4.954% 15/09/30 1,717,127 0.74 1,269,574 Lehman XS Trust(c) 0.579% 25/12/35 590,826 0.25 1,862,042 Lehman XS Trust(c) 1.159% 25/09/47 719,451 0.31 1,234,069 Luminent Mortgage Trust(c) 0.499% 25/07/36 525,711 0.23 63,814 Mastr Adjustable Rate Mortgages Trust(c) 0.320% 25/07/33 236 0.00 150,142 Mastr Adjustable Rate Mortgages Trust(c) 0.120% 25/08/33 216 0.00 14,206 Mastr Adjustable Rate Mortgages Trust(c) 0.689% 25/11/34 10,238 0.01 673,320 Merrill Lynch Mortgage Investors, Inc.(c) 2.116% 25/11/29 487,544 0.21 4,747,391 Residential Accredit Loans, Inc.(c) 6.542% 25/11/37 1,430,544 0.61 1,558,987 Residential Accredit Loans, Inc.(c) 2.439% 25/01/46 723,767 0.31 1,353,138 Residential Funding Mortgage Securities(c) 5.185% 25/09/35 938,772 0.40 598,066 Residential Funding Mortgage Securities(c) 5.205% 25/09/35 409,643 0.18 41,901 Structured Adjustable Rate Mortgage Loan Trust(c) 5.126% 25/02/34 20,632 0.01 122,307 Structured Adjustable Rate Mortgage Loan Trust(c) 3.780% 25/05/34 76,598 0.03 1,658,929 Structured Adjustable Rate Mortgage Loan Trust(c) 4.293% 25/06/34 1,263,378 0.54 57,544 Structured Adjustable Rate Mortgage Loan Trust(c) 5.250% 25/09/34 32,342 0.01 216,349 Structured Adjustable Rate Mortgage Loan Trust(c) 5.450% 25/11/34 152,348 0.07 3,352,531 Structured Asset Mortgage Investments, Inc.(c) 2.939% 25/08/47 1,315,420 0.56 212,431 Structured Asset Securities Corp.(c) 5.215% 25/07/33 169,105 0.07 445,831 Structured Asset Securities Corp.(c) 4.043% 25/11/33 328,145 0.14 892,232 Structured Asset Securities Corp.(c) 4.302% 25/12/33 705,877 0.30 2,000,000 Wachovia Bank Commercial Mortgage Trust(c) 5.209% 15/10/44 1,744,660 0.75 127,697 WaMu Mortgage Pass Through Certificates(c) 3.151% 25/06/34 109,063 0.05 1,521,775 WaMu Mortgage Pass Through Certificates “1A”(c) 2.139% 25/03/47 531,529 0.23 1,223,793 Washington Mutual(c) 0.599% 25/07/45 683,885 0.29 848,466 Washington Mutual(c) 0.629% 25/08/45 474,773 0.20 2,000,000 Washington Mutual, Inc.(c) 4.829% 25/09/35 1,122,375 0.48 957,294 Washington Mutual, Inc.(c) 0.579% 25/12/45 528,219 0.23 704,867 Washington Mutual, Inc. “3A1A”(c) 2.359% 25/09/46 260,539 0.11 3,984,694 Wells Fargo Alternative Loan Trust(c) 6.592% 28/12/37 2,010,971 0.86 1,108,075 Wells Fargo Mortgage Backed Securities Trust(c) 0.755% 25/06/33 7,256 0.00

The accompanying notes are an integral part of these financial statements.

172 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 778,813 Wells Fargo Mortgage Backed Securities Trust(c) 4.193% 25/10/35 640,511 0.27 1,206,475 Wells Fargo Mortgage Backed Securities Trust(c) 5.594% 25/07/36 859,736 0.37

50,870,458 21.78

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost USD 85,016,589) 50,870,458 21.78

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 208,577,379) 171,303,943 73.33

Other Transferable Securities Corporate Bonds – 0.92% United States Dollar 550,000 BAT International Finance Plc. 144A(d) 9.500% 15/11/18 621,784 0.27 575,000 HSBC Bank USA NA 6.000% 09/08/17 545,165 0.23 1,175,000 Wachovia Bank NA 6.600% 15/01/38 974,834 0.42

2,141,783 0.92

TOTAL CORPORATE BONDS (cost USD 2,024,218) 2,141,783 0.92

Non-Agencies Asset Backed Obligations – 0.26% United States Dollar 608,055 CS First Boston Mortgage Securities Corp. 7.545% 15/04/62 616,411 0.26

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost USD 612,007) 616,411 0.26

Government Bonds – 3.56% United States Dollar 2,200,000 Federal Farm Credit Bank 4.650% 12/12/16 2,267,659 0.97 2,200,000 Federal Home Loan Banks 3.625% 18/10/13 2,270,292 0.97 3,600,000 Federal Home Loan Banks 5.000% 17/11/17 3,777,961 1.62 8,315,912 3.56

TOTAL GOVERNMENT BONDS (cost USD 8,439,777) 8,315,912 3.56

Supranationals – 1.00% United States Dollar 2,400,000 Asian Development Bank 2.750% 21/05/14 2,339,786 1.00

TOTAL SUPRANATIONALS (cost USD 2,391,937) 2,339,786 1.00

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 13,467,939) 13,413,892 5.74

Mutual Funds – 4.84% United States Dollar 11,313,458 Goldman Sachs US$ Liquid Reserves Fund(g)(h)(i) 11,313,458 4.84

TOTAL MUTUAL FUNDS (cost USD 11,313,458) 11,313,458 4.84

The accompanying notes are an integral part of these financial statements.

173 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Time Deposits – 2.54% United States Dollar 5,282,430 Rabobank Nederland USD Time Deposit 0.120% 01/06/09 5,282,430 2.26 644,000 State Street EUR Time Deposit 0.010% 01/06/09 644,000 0.28

5,926,430 2.54

TOTAL TIME DEPOSITS (cost USD 5,926,430) 5,926,430 2.54

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost USD 285,325,510) 245,539,109 105.10

Futures Contracts – (0.09%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

EUR 97 German Federal Republic Bonds 08/06/09 Long 2,532 0.00

USD 37 EURODOLLAR 15/06/09 Long 23,588 0.01 24 EURODOLLAR 14/12/09 Long 13,800 0.01 (220) US Treasury Notes 5YR 30/09/09 Short 107,828 0.04 145,216 0.06

UNREALISED GAIN ON FUTURES CONTRACTS 147,748 0.06

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

USD 138 US Treasury Bonds 30YR 21/09/09 Long (250,469) (0.11) 67 US Treasury Note 2YR 30/09/09 Long (17,984) (0.01) 66 US Treasury Notes 10YR 21/09/09 Long (73,500) (0.03)

(341,953) (0.15)

UNREALISED LOSS ON FUTURES CONTRACTS (341,953) (0.15)

Forward Currency Contracts – 0.05% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 AUD 730,000 CAD 632,728 5,203 0.00 17/06/2009 AUD 344,000 CHF 277,777 16,068 0.01 17/06/2009 AUD 839,000 JPY 59,196,103 49,817 0.02 17/06/2009 AUD 138,000 NZD 171,313 913 0.00 17/06/2009 AUD 2,035,187 USD 1,404,834 217,279 0.09 17/06/2009 CAD 610,236 EUR 383,000 15,915 0.01 17/06/2009 CAD 443,681 USD 385,000 19,346 0.01 17/06/2009 CHF 298,455 EUR 197,000 532 0.00 17/06/2009 CHF 503,000 JPY 43,532,448 14,070 0.01 17/06/2009 CHF 99,581 USD 85,000 7,889 0.01 17/06/2009 EUR 198,000 CHF 294,784 4,302 0.00 17/06/2009 EUR 192,000 JPY 25,574,739 3,432 0.00 17/06/2009 EUR 213,000 NOK 1,854,813 6,107 0.00 17/06/2009 EUR 742,243 SEK 7,917,551 368 0.00 17/06/2009 EUR 2,034,158 USD 2,717,027 152,142 0.07 17/06/2009 GBP 60,000 CHF 100,602 3,089 0.00 17/06/2009 GBP 101,866 EUR 114,000 3,769 0.00 17/06/2009 GBP 301,000 JPY 43,864,128 27,672 0.01 17/06/2009 GBP 1,755,107 USD 2,642,615 192,787 0.08 17/06/2009 JPY 99,623,446 USD 1,035,057 6,504 0.00 17/06/2009 NOK 1,261,000 JPY 18,559,496 6,061 0.00

The accompanying notes are an integral part of these financial statements.

174 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 NOK 2,005,878 SEK 2,396,640 1,506 0.00 17/06/2009 NOK 2,309,506 USD 353,178 13,303 0.01 17/06/2009 NZD 137,229 AUD 109,000 499 0.00 17/06/2009 NZD 723,412 EUR 322,000 6,430 0.00 17/06/2009 NZD 1,092,856 JPY 62,171,797 45,835 0.02 17/06/2009 NZD 2,187,200 USD 1,230,671 161,958 0.07 17/06/2009 SEK 3,254,921 EUR 302,178 4,022 0.00 17/06/2009 SEK 8,716,378 USD 1,106,000 46,152 0.02

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 1,031,970 0.44

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 CAD 498,795 AUD 571,000 (533) (0.00) 17/06/2009 CHF 244,037 GBP 143,000 (3,380) (0.00) 17/06/2009 EUR 764,000 GBP 683,031 (25,829) (0.01) 17/06/2009 JPY 96,294,937 AUD 1,417,000 (122,635) (0.05) 17/06/2009 JPY 18,744,440 CHF 226,000 (14,841) (0.01) 17/06/2009 JPY 35,091,784 GBP 242,000 (24,071) (0.01) 17/06/2009 NOK 2,877,706 EUR 328,000 (5,998) (0.00) 17/06/2009 USD 291,652 AUD 413,000 (37,523) (0.02) 17/06/2009 USD 975,120 CAD 1,185,664 (105,426) (0.04) 17/06/2009 USD 537,795 CHF 615,281 (36,142) (0.02) 17/06/2009 USD 2,468,186 EUR 1,838,121 (124,474) (0.05) 17/06/2009 USD 842,854 GBP 555,953 (55,297) (0.02) 17/06/2009 USD 1,561,924 JPY 151,717,509 (24,279) (0.01) 17/06/2009 USD 178,097 NOK 1,262,705 (22,274) (0.01) 17/06/2009 USD 1,837,239 NZD 3,263,613 (240,760) (0.10) 17/06/2009 USD 629,418 SEK 5,239,156 (63,106) (0.03) 26/06/2009 USD 497,396 EUR 363,275 (14,968) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (921,536) (0.39)

Swap Contracts – 1.06%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 17,000,000 Floating (USD 3 month LIBOR) Fixed 4.547% USD 19/04/2012 1,238,724 0.53 15,000,000 Floating (USD 3 month LIBOR) Fixed 4.965% USD 19/10/2015 1,380,672 0.59 200,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 32,408 0.01 6,200,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 888,252 0.38 900,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 10,308 0.01 1,200,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 10,969 0.01 2,100,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 28,637 0.01 2,300,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 29,988 0.01 100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 20,634 0.01 100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 20,099 0.01 100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 20,299 0.01 300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 54,607 0.02 300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 2,299 0.00 600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 130,790 0.06 200,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 7,291 0.00 300,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 23,199 0.01 300,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 5,925 0.00 300,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 6,398 0.00 400,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 12,557 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 3,924,056 1.68

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 3,924,056 1.68

The accompanying notes are an integral part of these financial statements.

175 Goldman Sachs Funds—US Fixed Income Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 10,000,000 Fixed 5.108% Floating (USD 3 month LIBOR) USD 23/03/2020 (952,310) (0.41) 800,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (8,996) (0.00) 1,200,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (11,095) (0.01) 2,100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (28,590) (0.01) 2,300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (29,926) (0.01) 200,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (6,887) (0.00) 300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (22,045) (0.01) 400,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (11,795) (0.01) 300,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 (2,347) (0.00)

UNREALISED LOSS ON INTEREST RATE SWAPS (1,073,991) (0.46)

Credit Default Swaps 21,000,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (379,484) (0.16)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (379,484) (0.16)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (1,453,475) (0.62)

MARKET VALUE OF INVESTMENTS (cost USD 285,325,510) 247,925,919 106.12

OTHER ASSETS AND LIABILITIES (14,287,098) (6.12)

SHAREHOLDERS’ EQUITY 233,638,821 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency, futures and swaps contracts (cost USD 285,325,510) 245,539,109 105.10 Unrealised gain on futures contracts 147,748 0.06 Unrealised loss on futures contracts (341,953) (0.15) Unrealised gain on forward currency contracts 1,031,970 0.44 Unrealised loss on forward currency contracts (921,536) (0.39) Unrealised gain on swaps contracts 3,924,056 1.68 Unrealised loss on swaps contracts (1,453,475) (0.62) Other Assets and Liabilities (14,287,098) (6.12)

Shareholders’ Equity 233,638,821 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Agencies Asset Backed Obligations, Non-Agencies Asset Backed Obligations, Supranationals and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, HSBC Bank Plc., JP Morgan Chase Bank NA, Royal Bank of Canada, State Street Bank London, UBS Bank AG and Westpac Banking Corp. The counterparties for swaps contracts were Bank of America NA, Credit Suisse International, Deutsche Bank AG, and JP Morgan Chase Bank NA. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). (f) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (g) A related party to Goldman Sachs Funds. (h) This security is admitted to an official exchange listing. (i) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

176 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Government Bonds – 0.39% United States Dollar 2,700,000 Tennessee Valley Authority 5.375% 01/04/56 2,569,303 0.39

TOTAL GOVERNMENT BONDS (cost USD 2,692,688) 2,569,303 0.39

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 2,692,688) 2,569,303 0.39

Transferable securities dealt in another regulated market Agencies MBS and ABS – 87.33% United States Dollar 4,400,000 Federal Home Loan Mortgage Corp. 4.750% 19/01/16 4,685,285 0.71 122,360 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/12 126,766 0.02 3,561 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/13 3,723 0.00 24,341 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/02/14 24,445 0.00 26,923 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 27,037 0.00 30,291 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 30,420 0.00 33,742 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 33,885 0.01 36,350 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 36,505 0.01 41,337 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 41,512 0.01 42,404 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 42,584 0.01 42,668 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 42,849 0.01 139,029 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/03/14 139,620 0.02 18,642 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 18,721 0.00 24,944 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 25,049 0.00 34,010 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/14 34,154 0.01 73,353 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/14 76,654 0.01 79,134 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/16 82,742 0.01 189,162 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/17 197,829 0.03 446,589 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/05/17 472,102 0.07 109,710 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/17 114,822 0.02 97,457 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/17 100,966 0.02 50,562 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/17 52,383 0.01 155,280 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/17 160,871 0.02 182,426 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/17 188,994 0.03 317,348 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/11/17 332,134 0.05 68,435 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/18 70,889 0.01 212,545 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/18 222,448 0.03 114,850 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/18 118,969 0.02 1,000,000 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 15/03/18 1,022,123 0.15 130,768 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/18 135,458 0.02 373,128 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/18 386,509 0.06 1,432,111 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/18 1,483,469 0.22 283,692 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/18 293,866 0.04 290,176 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/18 300,582 0.05 77,700 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/18 80,487 0.01 78,956 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/18 84,610 0.01 111,302 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/18 115,293 0.02 99,174 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/18 102,731 0.02 181,393 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/09/18 194,887 0.03 1,122,968 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/18 1,163,240 0.18 1,133,699 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/18 1,174,356 0.18 135,938 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/18 140,813 0.02 769,096 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/18 796,677 0.12 84,724 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/18 87,763 0.01 146,892 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/18 152,159 0.02 385,655 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/18 399,486 0.06 641,734 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/18 664,748 0.10 82,573 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/18 85,534 0.01 99,077 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/18 102,631 0.02 2,427,898 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/18 2,514,968 0.38 2,595,377 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/18 2,688,453 0.41 57,688 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/01/19 61,819 0.01

The accompanying notes are an integral part of these financial statements.

177 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 131,684 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/19 136,407 0.02 195,985 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/19 203,014 0.03 198,715 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/19 205,841 0.03 1,620,026 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/19 1,678,123 0.25 74,950 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/19 77,414 0.01 96,851 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/19 100,035 0.02 167,887 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/19 175,579 0.03 205,873 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/19 212,640 0.03 228,788 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/19 236,308 0.04 47,158 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/19 48,708 0.01 55,710 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/19 57,541 0.01 67,324 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/19 69,537 0.01 70,104 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/19 72,408 0.01 536,602 Federal Home Loan Mortgage Corp. (FHLMC) 4.000% 01/04/19 538,880 0.08 56,824 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/19 58,692 0.01 68,655 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/19 70,912 0.01 55,139 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/19 56,952 0.01 266,410 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/19 275,167 0.04 49,791 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/19 51,427 0.01 70,463 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/19 72,779 0.01 90,834 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/19 93,820 0.01 174,950 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/19 180,701 0.03 259,280 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/19 267,803 0.04 445,149 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/19 466,041 0.07 27,896 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/20 29,961 0.00 67,233 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/20 69,529 0.01 2,743,283 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/20 2,863,372 0.43 69,688 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/20 71,864 0.01 888,392 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/20 928,404 0.14 76,730 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/20 79,125 0.01 381,361 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/20 393,898 0.06 2,078,239 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/20 2,143,130 0.32 1,066,164 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/20 1,112,836 0.17 569,015 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/20 586,782 0.09 93,408 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/20 96,325 0.01 2,913,497 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/20 3,009,270 0.46 73,192 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/21 75,817 0.01 22,062 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/21 23,517 0.00 3,816,983 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/21 3,986,510 0.60 621,181 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/21 640,577 0.10 334,169 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/03/22 353,527 0.05 342,251 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/22 362,077 0.06 2,001,893 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/08/23 2,001,780 0.30 354,198 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/07/27 382,748 0.06 717,900 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/12/29 773,176 0.12 1,507,651 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/09/30 1,621,516 0.25 108,815 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 01/04/31 118,324 0.02 1,531,946 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/07/31 1,628,565 0.25 2,508,337 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/08/31 2,679,161 0.41 776,877 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.874% 01/08/33 798,810 0.12 2,482,637 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.186% 01/10/33 2,530,882 0.38 1,076,221 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.292% 01/07/34 1,095,409 0.17 540,618 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/35 548,455 0.08 79,660 Federal Home Loan Mortgage Corp. (FHLMC) 1.000% 15/08/35 75,440 0.01 239,091 Federal Home Loan Mortgage Corp. (FHLMC) 1.000% 15/09/35 221,511 0.03 158,100 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/35 160,392 0.02 1,289,371 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/35 1,307,368 0.20 1,294,568 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/35 1,315,655 0.20 5,611 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/36 5,754 0.00 1,087,486 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/36 1,102,665 0.17 46,411 Federal Home Loan Mortgage Corp. (FHLMC) 0.156% 15/04/36 44,461 0.01 82,260 Federal Home Loan Mortgage Corp. (FHLMC) 1.000% 15/06/36 77,359 0.01 131,551 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/36 137,150 0.02 222,753 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/36 232,234 0.04 39,291 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/36 40,898 0.01

The accompanying notes are an integral part of these financial statements.

178 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 1,225 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/37 1,257 0.00 20,655 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/37 21,504 0.00 27,654 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/37 28,358 0.00 176,867 Federal Home Loan Mortgage Corp. (FHLMC)(d) 0.000%/0.014% 15/02/37 177,420 0.03 133,344 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/37 136,719 0.02 39,081 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/37 41,096 0.01 45,862 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 47,023 0.01 71,431 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 73,240 0.01 99,212 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 101,723 0.02 329,591 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 337,933 0.05 52,203 Federal Home Loan Mortgage Corp. (FHLMC) 1.000% 15/04/37 49,964 0.01 111,577 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/37 116,239 0.02 60,430 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/37 61,960 0.01 123,307 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/37 128,459 0.02 1,195,819 Federal Home Loan Mortgage Corp. (FHLMC) 1.000% 15/06/37 1,150,278 0.17 3,907 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 4,109 0.00 5,727 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/07/37 5,872 0.00 7,185 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 7,556 0.00 881,627 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/07/37 903,943 0.14 69,762 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/37 71,587 0.01 3,845,944 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/37 4,099,687 0.62 45,325 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 47,662 0.01 55,391 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 58,247 0.01 57,098 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 60,042 0.01 77,223 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 81,205 0.01 80,387 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 84,532 0.01 87,838 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 92,367 0.01 106,647 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 112,146 0.02 165,839 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 174,390 0.03 267,752 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 281,558 0.04 298,775 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 314,181 0.05 118,291 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/37 124,390 0.02 1,466,752 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/37 1,528,035 0.23 8,625,780 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/10/37 9,217,791 1.39 229,316 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 238,898 0.04 822,123 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 856,472 0.13 106,072 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 108,757 0.02 197,774 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 202,780 0.03 519,363 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 532,509 0.08 215,414 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 226,623 0.03 266,466 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 280,330 0.04 293,441 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/38 308,709 0.05 507,295 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/38 520,564 0.08 1,099,680 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/38 1,127,515 0.17 119,544 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/03/38 125,764 0.02 234,935 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/38 244,751 0.04 397,879 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/38 407,907 0.06 888,906 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/38 911,310 0.14 98,389 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 100,869 0.02 296,530 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 304,003 0.05 381,855 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 391,479 0.06 1,816,342 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 1,892,129 0.29 35,623 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 36,521 0.01 49,119 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 50,357 0.01 115,137 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 118,039 0.02 180,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 184,971 0.03 315,487 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 323,438 0.05 390,910 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 400,762 0.06 670,426 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 687,323 0.10 738,478 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 757,090 0.11 893,743 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 916,268 0.14 924,479 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 947,778 0.14 1,061,661 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 1,088,418 0.16 1,068,985 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/38 1,095,926 0.17 234,200 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 246,496 0.04

The accompanying notes are an integral part of these financial statements.

179 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 1,512,502 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 1,587,655 0.24 1,717,790 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 1,807,974 0.27 165,601 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/38 169,923 0.03 174,197 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 183,343 0.03 4,937,188 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 5,143,470 0.78 203,050 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/38 211,522 0.03 81,208 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/38 83,255 0.01 134,399 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 141,455 0.02 232,288 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 244,483 0.04 314,909 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/38 331,442 0.05 326,734 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/38 334,969 0.05 964,027 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/10/38 1,025,018 0.16 43,865 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 46,045 0.01 243,135 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 255,215 0.04 3,151,931 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 3,283,622 0.50 6,579,917 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 6,922,278 1.05 50,739 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/38 52,017 0.01 72,904 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/38 74,742 0.01 525,786 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/38 553,390 0.08 5,212,950 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/38 5,344,332 0.81 17,648 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 18,575 0.00 20,466 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 21,541 0.00 26,947 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 28,362 0.00 46,048 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 48,465 0.01 67,379 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 70,917 0.01 70,083 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 73,762 0.01 180,999 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/39 185,561 0.03 231,586 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/39 237,422 0.04 337,906 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/39 346,422 0.05 239,651 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/39 249,651 0.04 284,302 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/39 291,666 0.04 40,461 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/39 41,509 0.01 56,294 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/39 57,752 0.01 5,990,576 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/39 6,066,706 0.92 6,000,000 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/05/39 5,955,250 0.90 51,776 Federal National Mortgage Association (FNMA) 4.000% 01/06/13 52,781 0.01 69,910 Federal National Mortgage Association (FNMA) 4.000% 01/07/13 71,536 0.01 99,174 Federal National Mortgage Association (FNMA) 4.000% 01/08/13 101,128 0.02 191,425 Federal National Mortgage Association (FNMA) 4.000% 01/09/13 195,221 0.03 21,690 Federal National Mortgage Association (FNMA) 5.500% 01/09/13 22,745 0.00 400,234 Federal National Mortgage Association (FNMA) 4.000% 01/10/13 408,221 0.06 27,803 Federal National Mortgage Association (FNMA) 5.500% 01/12/13 29,155 0.00 52,589 Federal National Mortgage Association (FNMA) 5.500% 01/02/14 55,210 0.01 311,267 Federal National Mortgage Association (FNMA) 4.000% 01/04/14 317,648 0.05 10,716 Federal National Mortgage Association (FNMA) 5.500% 01/04/14 11,250 0.00 11,519 Federal National Mortgage Association (FNMA) 6.000% 01/05/14 12,195 0.00 4,700,000 Federal National Mortgage Association (FNMA) 2.500% 15/05/14 4,610,331 0.70 7,093 Federal National Mortgage Association (FNMA) 5.500% 01/09/14 7,381 0.00 10,148 Federal National Mortgage Association (FNMA) 7.000% 01/04/16 10,708 0.00 1,104,488 Federal National Mortgage Association (FNMA) 5.000% 01/12/16 1,144,533 0.17 726,584 Federal National Mortgage Association (FNMA) 5.000% 01/12/16 752,928 0.11 516,626 Federal National Mortgage Association (FNMA) 5.000% 01/12/16 534,887 0.08 315,452 Federal National Mortgage Association (FNMA) 5.000% 01/12/16 326,634 0.05 45,284 Federal National Mortgage Association (FNMA) 5.500% 01/12/16 47,396 0.01 1,677,753 Federal National Mortgage Association (FNMA) 5.000% 01/01/17 1,737,773 0.26 1,215,304 Federal National Mortgage Association (FNMA) 5.000% 01/01/17 1,258,781 0.19 532,786 Federal National Mortgage Association (FNMA) 5.500% 01/01/17 555,179 0.08 155,052 Federal National Mortgage Association (FNMA) 5.000% 01/02/17 160,563 0.02 13,244 Federal National Mortgage Association (FNMA) 5.500% 01/03/17 13,861 0.00 1,186,944 Federal National Mortgage Association (FNMA) 5.000% 01/04/17 1,229,373 0.19 339,894 Federal National Mortgage Association (FNMA) 5.000% 01/05/17 352,108 0.05 29,637 Federal National Mortgage Association (FNMA) 5.500% 01/05/17 31,021 0.00 1,678,886 Federal National Mortgage Association (FNMA) 5.000% 01/06/17 1,739,375 0.26 139,720 Federal National Mortgage Association (FNMA) 5.500% 01/07/17 146,248 0.02 9,737,450 Federal National Mortgage Association (FNMA) 5.500% 01/09/17 10,192,404 1.54

The accompanying notes are an integral part of these financial statements.

180 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 18,803 Federal National Mortgage Association (FNMA) 5.500% 01/09/17 19,682 0.00 17,258 Federal National Mortgage Association (FNMA) 5.500% 01/09/17 18,064 0.00 27,439 Federal National Mortgage Association (FNMA) 5.500% 01/10/17 28,721 0.00 13,640 Federal National Mortgage Association (FNMA) 5.500% 01/10/17 14,277 0.00 167,128 Federal National Mortgage Association (FNMA) 5.000% 01/11/17 173,107 0.03 40,086 Federal National Mortgage Association (FNMA) 5.000% 01/11/17 41,520 0.01 35,382 Federal National Mortgage Association (FNMA) 5.000% 01/11/17 36,648 0.01 1,951,835 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 2,021,661 0.31 1,629,617 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 1,687,915 0.26 610,413 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 632,250 0.10 328,908 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 340,674 0.05 190,037 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 196,835 0.03 180,715 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 187,180 0.03 151,927 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 157,362 0.02 127,966 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 132,544 0.02 127,334 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 131,889 0.02 124,392 Federal National Mortgage Association (FNMA) 5.000% 01/12/17 128,842 0.02 2,311,072 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 2,393,749 0.36 1,384,811 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 1,434,540 0.22 1,350,031 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 1,398,327 0.21 1,249,951 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 1,294,667 0.20 1,239,844 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 1,284,199 0.19 207,613 Federal National Mortgage Association (FNMA) 5.500% 01/01/18 217,313 0.03 194,550 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 201,510 0.03 170,777 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 176,887 0.03 141,852 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 146,927 0.02 134,721 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 139,541 0.02 119,768 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 124,052 0.02 102,548 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 106,216 0.02 54,399 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 56,345 0.01 33,767 Federal National Mortgage Association (FNMA) 5.500% 01/01/18 35,345 0.01 320,487 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 331,952 0.05 1,960,152 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 2,030,542 0.31 247,439 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 256,324 0.04 199,428 Federal National Mortgage Association (FNMA) 5.500% 01/02/18 208,745 0.03 188,859 Federal National Mortgage Association (FNMA) 5.500% 01/02/18 197,529 0.03 176,413 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 182,749 0.03 79,022 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 81,860 0.01 4,599 Federal National Mortgage Association (FNMA) 6.000% 01/02/18 4,843 0.00 1,079,185 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 1,117,939 0.17 758,772 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 786,020 0.12 630,110 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 652,737 0.10 90,807 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 94,068 0.01 79,956 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 82,828 0.01 76,471 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 79,217 0.01 36,182 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 37,482 0.01 31,549 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 32,682 0.01 27,628 Federal National Mortgage Association (FNMA) 5.000% 01/03/18 28,620 0.00 23,099 Federal National Mortgage Association (FNMA) 5.500% 01/03/18 24,171 0.00 15,587 Federal National Mortgage Association (FNMA) 5.500% 01/03/18 16,316 0.00 1,636,191 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 1,694,947 0.26 527,249 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 546,294 0.08 337,594 Federal National Mortgage Association (FNMA) 5.500% 01/04/18 353,091 0.05 241,182 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 249,894 0.04 135,691 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 140,564 0.02 72,588 Federal National Mortgage Association (FNMA) 4.000% 01/04/18 73,231 0.01 52,068 Federal National Mortgage Association (FNMA) 5.500% 01/04/18 54,458 0.01 51,516 Federal National Mortgage Association (FNMA) 5.500% 01/04/18 53,880 0.01 47,967 Federal National Mortgage Association (FNMA) 5.500% 01/04/18 50,169 0.01 30,728 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 31,831 0.01 783,277 Federal National Mortgage Association (FNMA) 5.000% 01/04/18 811,405 0.12 97,233 Federal National Mortgage Association (FNMA) 5.000% 01/05/18 100,725 0.02 64,713 Federal National Mortgage Association (FNMA) 5.500% 01/05/18 67,684 0.01 42,727 Federal National Mortgage Association (FNMA) 6.000% 01/05/18 44,996 0.01 650,629 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 673,993 0.10

The accompanying notes are an integral part of these financial statements.

181 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 340,569 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 353,300 0.05 170,152 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 176,262 0.03 1,338,079 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 1,349,931 0.20 824,007 Federal National Mortgage Association (FNMA) 5.500% 01/07/18 861,988 0.13 69,519 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 72,016 0.01 68,709 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 69,317 0.01 61,703 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 63,919 0.01 57,571 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 58,081 0.01 43,624 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 44,010 0.01 42,331 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 42,706 0.01 14,338 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 14,465 0.00 1,590,398 Federal National Mortgage Association (FNMA) 4.000% 01/07/18 1,604,484 0.24 3,917,175 Federal National Mortgage Association (FNMA) 4.500% 01/08/18 4,018,680 0.61 441,726 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 445,638 0.07 39,404 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 39,753 0.01 21,860 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 22,054 0.00 21,205 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 21,392 0.00 4,868 Federal National Mortgage Association (FNMA) 6.000% 01/08/18 5,127 0.00 3,675,349 Federal National Mortgage Association (FNMA) 4.000% 01/08/18 3,707,901 0.56 635,135 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 640,761 0.10 57,141 Federal National Mortgage Association (FNMA) 5.000% 01/09/18 59,193 0.01 44,672 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 45,068 0.01 4,364 Federal National Mortgage Association (FNMA) 6.000% 01/09/18 4,596 0.00 350,711 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 353,817 0.05 526,678 Federal National Mortgage Association (FNMA) 4.000% 01/09/18 531,343 0.08 3,974,440 Federal National Mortgage Association (FNMA) 4.500% 01/09/18 4,077,428 0.62 151,574 Federal National Mortgage Association (FNMA) 4.000% 01/10/18 152,917 0.02 50,801 Federal National Mortgage Association (FNMA) 5.000% 01/10/18 52,625 0.01 25,018 Federal National Mortgage Association (FNMA) 4.000% 01/10/18 25,181 0.00 15,001 Federal National Mortgage Association (FNMA) 4.000% 01/10/18 15,134 0.00 100,270 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 102,711 0.02 102,800 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 105,302 0.02 217,569 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 222,865 0.03 777,710 Federal National Mortgage Association (FNMA) 7.000% 01/11/18 817,736 0.12 100,719 Federal National Mortgage Association (FNMA) 6.000% 01/11/18 106,068 0.02 88,036 Federal National Mortgage Association (FNMA) 6.000% 01/11/18 92,712 0.01 74,259 Federal National Mortgage Association (FNMA) 4.000% 01/11/18 74,917 0.01 60,322 Federal National Mortgage Association (FNMA) 5.500% 01/11/18 63,027 0.01 52,993 Federal National Mortgage Association (FNMA) 6.000% 01/11/18 55,808 0.01 16,151 Federal National Mortgage Association (FNMA) 4.000% 01/11/18 16,294 0.00 8,822 Federal National Mortgage Association (FNMA) 6.000% 01/11/18 9,290 0.00 95,220 Federal National Mortgage Association (FNMA) 4.500% 01/11/18 97,538 0.02 476,768 Federal National Mortgage Association (FNMA) 4.000% 01/12/18 480,991 0.07 261,381 Federal National Mortgage Association (FNMA) 6.000% 01/12/18 275,263 0.04 117,312 Federal National Mortgage Association (FNMA) 5.500% 01/12/18 122,761 0.02 79,545 Federal National Mortgage Association (FNMA) 6.000% 01/12/18 83,769 0.01 69,497 Federal National Mortgage Association (FNMA) 6.000% 01/12/18 73,188 0.01 34,452 Federal National Mortgage Association (FNMA) 6.000% 01/12/18 36,282 0.01 157,577 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 161,413 0.02 3,315,513 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 3,401,426 0.51 366,637 Federal National Mortgage Association (FNMA) 6.000% 01/01/19 386,109 0.06 340,498 Federal National Mortgage Association (FNMA) 4.000% 01/01/19 343,514 0.05 30,633 Federal National Mortgage Association (FNMA) 4.000% 01/01/19 30,904 0.00 223,768 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 229,566 0.04 9,625,084 Federal National Mortgage Association (FNMA) 4.500% 01/01/19 9,874,496 1.49 53,216 Federal National Mortgage Association (FNMA) 5.500% 01/02/19 55,555 0.01 8,630 Federal National Mortgage Association (FNMA) 6.000% 01/02/19 9,088 0.00 308,868 Federal National Mortgage Association (FNMA) 4.500% 01/03/19 316,871 0.05 249,284 Federal National Mortgage Association (FNMA) 5.500% 01/04/19 260,239 0.04 123,820 Federal National Mortgage Association (FNMA) 6.000% 01/04/19 129,235 0.02 1,716 Federal National Mortgage Association (FNMA) 6.000% 01/04/19 1,805 0.00 262,686 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 263,078 0.04 255,463 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 255,845 0.04 212,412 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 212,729 0.03 206,204 Federal National Mortgage Association (FNMA) 5.000% 01/05/19 213,609 0.03

The accompanying notes are an integral part of these financial statements.

182 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 61,842 Federal National Mortgage Association (FNMA) 5.500% 01/05/19 64,681 0.01 58,157 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 58,243 0.01 45,623 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 45,691 0.01 37,468 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 37,524 0.01 34,904 Federal National Mortgage Association (FNMA) 4.000% 01/05/19 34,956 0.01 32,148 Federal National Mortgage Association (FNMA) 6.000% 01/05/19 33,824 0.01 110,565 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 113,231 0.02 1,721,249 Federal National Mortgage Association (FNMA) 4.000% 01/06/19 1,723,819 0.26 1,356,523 Federal National Mortgage Association (FNMA) 4.000% 01/06/19 1,358,548 0.21 205,410 Federal National Mortgage Association (FNMA) 4.500% 01/06/19 210,363 0.03 31,599 Federal National Mortgage Association (FNMA) 4.000% 01/06/19 31,646 0.01 2,055,191 Federal National Mortgage Association (FNMA) 4.000% 01/06/19 2,073,394 0.31 70,019 Federal National Mortgage Association (FNMA) 5.500% 01/07/19 73,097 0.01 66,004 Federal National Mortgage Association (FNMA) 5.500% 01/08/19 68,905 0.01 62,251 Federal National Mortgage Association (FNMA) 5.500% 01/08/19 65,023 0.01 60,729 Federal National Mortgage Association (FNMA) 5.500% 01/08/19 63,398 0.01 38,106 Federal National Mortgage Association (FNMA) 5.500% 01/08/19 39,780 0.01 36,684 Federal National Mortgage Association (FNMA) 5.500% 01/08/19 38,318 0.01 146,925 Federal National Mortgage Association (FNMA) 5.500% 01/09/19 153,670 0.02 92,387 Federal National Mortgage Association (FNMA) 6.000% 01/09/19 97,543 0.02 46,925 Federal National Mortgage Association (FNMA) 5.500% 01/09/19 48,987 0.01 22,679 Federal National Mortgage Association (FNMA) 5.500% 01/09/19 23,675 0.00 12,053 Federal National Mortgage Association (FNMA) 5.500% 01/09/19 12,583 0.00 2,099,913 Federal National Mortgage Association (FNMA) 6.000% 01/09/19 2,227,909 0.34 1,137,855 Federal National Mortgage Association (FNMA) 4.000% 01/10/19 1,139,553 0.17 53,792 Federal National Mortgage Association (FNMA) 5.500% 01/10/19 56,156 0.01 51,239 Federal National Mortgage Association (FNMA) 5.500% 01/10/19 53,490 0.01 50,307 Federal National Mortgage Association (FNMA) 5.500% 01/10/19 52,517 0.01 23,443 Federal National Mortgage Association (FNMA) 5.500% 01/10/19 24,473 0.00 55,788 Federal National Mortgage Association (FNMA) 5.500% 01/11/19 58,240 0.01 599,138 Federal National Mortgage Association (FNMA) 5.500% 01/12/19 625,818 0.09 23,086 Federal National Mortgage Association (FNMA) 5.500% 01/12/19 24,101 0.00 18,412 Federal National Mortgage Association (FNMA) 5.500% 01/12/19 19,222 0.00 410,510 Federal National Mortgage Association (FNMA) 5.000% 01/01/20 425,251 0.06 60,013 Federal National Mortgage Association (FNMA) 4.000% 01/01/20 60,102 0.01 1,529,700 Federal National Mortgage Association (FNMA) 5.500% 01/02/20 1,599,924 0.24 184,458 Federal National Mortgage Association (FNMA) 5.500% 01/03/20 193,018 0.03 78,352 Federal National Mortgage Association (FNMA) 4.000% 01/04/20 78,469 0.01 1,917,582 Federal National Mortgage Association (FNMA) 4.500% 01/04/20 1,967,272 0.30 10,415 Federal National Mortgage Association (FNMA) 6.000% 01/06/20 10,993 0.00 69,139 Federal National Mortgage Association (FNMA) 5.500% 01/07/20 72,240 0.01 254,675 Federal National Mortgage Association (FNMA) 6.000% 01/09/20 268,809 0.04 2,630,108 Federal National Mortgage Association (FNMA) 6.000% 01/12/20 2,790,421 0.42 359,086 Federal National Mortgage Association (FNMA) 5.500% 01/01/21 374,867 0.06 92,167 Federal National Mortgage Association (FNMA) 6.000% 01/02/21 97,282 0.02 852,607 Federal National Mortgage Association (FNMA) 6.000% 01/06/21 899,524 0.14 718,810 Federal National Mortgage Association (FNMA) 6.000% 01/06/21 758,364 0.11 41,628 Federal National Mortgage Association (FNMA) 6.000% 01/06/21 43,919 0.01 229,750 Federal National Mortgage Association (FNMA) 6.000% 01/07/21 242,393 0.04 167,677 Federal National Mortgage Association (FNMA) 6.000% 01/07/21 176,904 0.03 659,253 Federal National Mortgage Association (FNMA) 6.000% 01/08/21 695,530 0.11 372,358 Federal National Mortgage Association (FNMA) 6.000% 01/09/21 392,848 0.06 104,313 Federal National Mortgage Association (FNMA) 6.000% 01/10/22 110,047 0.02 15,926 Federal National Mortgage Association (FNMA) 6.000% 01/10/22 16,802 0.00 336,921 Federal National Mortgage Association (FNMA) 6.000% 01/05/23 355,442 0.05 390,136 Federal National Mortgage Association (FNMA) 6.000% 01/07/23 411,582 0.06 27,591 Federal National Mortgage Association (FNMA) 6.000% 01/07/23 29,107 0.00 77,076 Federal National Mortgage Association (FNMA) 6.000% 01/10/23 80,593 0.01 28,969 Federal National Mortgage Association (FNMA) 6.000% 01/10/23 30,388 0.00 12,327 Federal National Mortgage Association (FNMA) 6.000% 01/11/23 12,931 0.00 9,556 Federal National Mortgage Association (FNMA) 6.000% 01/02/24 10,025 0.00 30,396 Federal National Mortgage Association (FNMA) 6.000% 01/12/28 31,753 0.01 3,837 Federal National Mortgage Association (FNMA) 5.500% 01/04/29 3,956 0.00 2,517,947 Federal National Mortgage Association (FNMA) 6.000% 01/06/29 2,654,701 0.40 1,457 Federal National Mortgage Association (FNMA) 7.000% 01/12/29 1,593 0.00

The accompanying notes are an integral part of these financial statements.

183 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 852,237 Federal National Mortgage Association (FNMA) 8.500% 25/06/30 959,169 0.15 2,802 Federal National Mortgage Association (FNMA) 7.000% 01/11/31 3,057 0.00 294,691 Federal National Mortgage Association (FNMA) 7.000% 01/02/32 321,409 0.05 1,764 Federal National Mortgage Association (FNMA) 7.000% 01/05/32 1,922 0.00 3,947 Federal National Mortgage Association (FNMA) 7.000% 01/10/32 4,302 0.00 5,304 Federal National Mortgage Association (FNMA) 6.000% 01/01/33 5,576 0.00 18,773 Federal National Mortgage Association (FNMA) 6.000% 01/02/33 19,698 0.00 1,038,875 Federal National Mortgage Association (FNMA) 5.500% 01/03/33 1,069,711 0.16 722,657 Federal National Mortgage Association (FNMA) 5.500% 01/03/33 744,107 0.11 4,490 Federal National Mortgage Association (FNMA) 7.000% 01/03/33 4,893 0.00 44,796 Federal National Mortgage Association (FNMA) 6.000% 01/04/33 47,038 0.01 1,402,671 Federal National Mortgage Association (FNMA) 5.500% 01/05/33 1,444,304 0.22 740,572 Federal National Mortgage Association (FNMA)(c) 3.837% 01/06/33 755,759 0.11 229,938 Federal National Mortgage Association (FNMA) 5.500% 01/06/33 236,763 0.04 2,817,850 Federal National Mortgage Association (FNMA) 5.500% 01/07/33 2,901,488 0.44 23,208 Federal National Mortgage Association (FNMA) 6.000% 01/07/33 24,370 0.00 21,784 Federal National Mortgage Association (FNMA) 6.000% 01/08/33 22,874 0.00 65,525 Federal National Mortgage Association (FNMA) 5.500% 01/09/33 67,582 0.01 3,806 Federal National Mortgage Association (FNMA) 7.000% 01/11/33 4,133 0.00 553,871 Federal National Mortgage Association (FNMA)(c) 5.335% 01/12/33 569,392 0.09 85,276 Federal National Mortgage Association (FNMA) 6.000% 01/01/34 89,546 0.01 84,748 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 87,397 0.01 2,089,074 Federal National Mortgage Association (FNMA)(c) 3.962% 01/04/34 2,138,466 0.32 13,218 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 13,668 0.00 45,611 Federal National Mortgage Association (FNMA) 6.000% 01/05/34 47,809 0.01 1,321,742 Federal National Mortgage Association (FNMA) 5.500% 01/06/34 1,360,973 0.21 1,898,309 Federal National Mortgage Association (FNMA) 5.000% 01/08/34 1,929,275 0.29 59,690 Federal National Mortgage Association (FNMA) 6.000% 01/08/34 62,549 0.01 128,129 Federal National Mortgage Association (FNMA) 5.500% 01/08/34 132,494 0.02 85,271 Federal National Mortgage Association (FNMA) 6.000% 01/10/34 89,380 0.01 8,590 Federal National Mortgage Association (FNMA) 5.500% 01/10/34 8,885 0.00 932,305 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 961,440 0.15 192,420 Federal National Mortgage Association (FNMA) 6.000% 01/02/35 201,989 0.03 147,482 Federal National Mortgage Association (FNMA) 6.500% 01/03/35 158,524 0.02 51,507 Federal National Mortgage Association (FNMA) 5.000% 01/04/35 52,267 0.01 337,803 Federal National Mortgage Association (FNMA) 5.000% 01/05/35 342,786 0.05 5,430 Federal National Mortgage Association (FNMA) 5.500% 01/07/35 5,614 0.00 17,315 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 17,570 0.00 18,280 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 18,549 0.00 18,566 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 18,839 0.00 38,332 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 38,897 0.01 44,324 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 44,977 0.01 68,751 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 69,765 0.01 20,289 Federal National Mortgage Association (FNMA) 5.000% 01/08/35 20,596 0.00 13,779 Federal National Mortgage Association (FNMA) 5.500% 01/08/35 14,245 0.00 47,160 Federal National Mortgage Association (FNMA) 5.000% 01/08/35 47,874 0.01 17,452 Federal National Mortgage Association (FNMA) 5.000% 01/09/35 17,716 0.00 31,228 Federal National Mortgage Association (FNMA) 5.000% 01/09/35 31,689 0.01 111,792 Federal National Mortgage Association (FNMA) 5.500% 01/09/35 115,320 0.02 25,207 Federal National Mortgage Association (FNMA) 5.000% 01/10/35 25,579 0.00 72,292 Federal National Mortgage Association (FNMA) 5.000% 01/10/35 73,359 0.01 60,177 Federal National Mortgage Association (FNMA) 6.000% 01/12/35 63,165 0.01 62,688 Federal National Mortgage Association (FNMA) 5.500% 01/12/35 64,843 0.01 158,033 Federal National Mortgage Association (FNMA) 5.000% 01/12/35 160,364 0.02 2,929 Federal National Mortgage Association (FNMA) 5.500% 01/02/36 3,019 0.00 79,157 Federal National Mortgage Association (FNMA) 6.000% 01/04/36 82,600 0.01 56,934 Federal National Mortgage Association (FNMA) 6.500% 01/05/36 60,601 0.01 102,132 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 106,575 0.02 109,524 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 114,288 0.02 100,027 Federal National Mortgage Association (FNMA) 6.500% 01/07/36 106,469 0.02 117,692 Federal National Mortgage Association (FNMA) 6.000% 01/07/36 122,811 0.02 1,253,336 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 1,302,043 0.20 215,137 Federal National Mortgage Association (FNMA) 6.500% 01/08/36 228,850 0.03 44,654 Federal National Mortgage Association (FNMA) 6.500% 01/08/36 47,530 0.01 23,585 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 24,602 0.00

The accompanying notes are an integral part of these financial statements.

184 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 22,828 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 24,020 0.00 48,941 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 51,070 0.01 65,604 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 68,458 0.01 76,400 Federal National Mortgage Association (FNMA) 6.500% 01/08/36 81,320 0.01 159,957 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 170,259 0.03 133,378 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 141,968 0.02 688 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 732 0.00 48,990 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 51,122 0.01 76,315 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 79,634 0.01 132,906 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 138,688 0.02 190,676 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 202,830 0.03 2,142,556 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 2,240,059 0.34 24,829 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 25,900 0.00 126,294 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 131,788 0.02 1,476,128 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 1,543,304 0.23 123,408 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 131,274 0.02 76,789 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 81,684 0.01 51,555 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 54,875 0.01 48,668 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 50,767 0.01 46,927 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 49,919 0.01 39,730 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 42,289 0.01 21,587 Federal National Mortgage Association (FNMA) 6.500% 01/11/36 22,977 0.00 45,492 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 47,454 0.01 1,312,986 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 1,369,604 0.21 50,426 Federal National Mortgage Association (FNMA) 6.500% 01/12/36 53,674 0.01 48,932 Federal National Mortgage Association (FNMA) 6.500% 01/12/36 52,084 0.01 31,122 Federal National Mortgage Association (FNMA) 6.000% 01/12/36 32,464 0.01 22,034 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 22,840 0.00 43,856 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 45,178 0.01 61,866 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 63,916 0.01 821,279 Federal National Mortgage Association (FNMA) 6.000% 01/01/37 858,654 0.13 133,216 Federal National Mortgage Association (FNMA) 6.500% 01/01/37 141,796 0.02 67,538 Federal National Mortgage Association (FNMA) 6.500% 01/01/37 71,888 0.01 50,435 Federal National Mortgage Association (FNMA) 6.500% 01/01/37 53,683 0.01 46,408 Federal National Mortgage Association (FNMA) 6.000% 01/01/37 48,409 0.01 20,263 Federal National Mortgage Association (FNMA) 6.000% 01/01/37 21,137 0.00 4,284 Federal National Mortgage Association (FNMA) 5.500% 01/01/37 4,441 0.00 12,152 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 12,596 0.00 12,257 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 12,703 0.00 14,902 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 15,352 0.00 17,575 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 18,157 0.00 42,701 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 44,116 0.01 53,764 Federal National Mortgage Association (FNMA) 6.000% 01/02/37 56,060 0.01 57,279 Federal National Mortgage Association (FNMA) 6.500% 01/03/37 60,965 0.01 44,427 Federal National Mortgage Association (FNMA) 6.500% 01/03/37 47,286 0.01 4,776 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 4,950 0.00 5,607 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 5,811 0.00 9,344 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 9,624 0.00 9,511 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 9,858 0.00 16,470 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 17,070 0.00 28,344 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 29,283 0.00 84,450 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 86,984 0.01 1,874,598 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 1,930,836 0.29 491,260 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 510,351 0.08 66,647 Federal National Mortgage Association (FNMA) 6.500% 01/04/37 70,936 0.01 62,015 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 65,283 0.01 4,056 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 4,178 0.00 10,592 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 10,978 0.00 12,241 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 12,686 0.00 12,306 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 12,713 0.00 13,640 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 14,091 0.00 17,849 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 18,441 0.00 25,460 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 26,224 0.00 46,268 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 47,800 0.01 54,213 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 56,009 0.01

The accompanying notes are an integral part of these financial statements.

185 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 69,200 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 72,156 0.01 69,716 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 71,808 0.01 93,860 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 96,675 0.01 1,923,240 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 1,980,937 0.30 1,649,962 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 1,699,461 0.26 1,139,840 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 1,191,534 0.18 61,698 Federal National Mortgage Association (FNMA) 6.500% 01/05/37 65,671 0.01 27,622 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 28,451 0.00 31,738 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 32,691 0.01 48,689 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 50,807 0.01 67,632 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 69,661 0.01 82,640 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 86,171 0.01 118,764 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 123,930 0.02 1,421,151 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 1,463,786 0.22 73,325 Federal National Mortgage Association (FNMA) 6.500% 01/06/37 78,003 0.01 1,493 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 1,538 0.00 9,943 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 10,241 0.00 19,222 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 19,858 0.00 157,287 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 161,499 0.02 599,360 Federal National Mortgage Association (FNMA) 6.000% 01/06/37 629,445 0.10 71,604 Federal National Mortgage Association (FNMA) 1.000% 25/06/37 75,464 0.01 5,968,975 Federal National Mortgage Association (FNMA) 6.500% 01/07/37 6,352,544 0.96 1,195,574 Federal National Mortgage Association (FNMA) 6.500% 01/07/37 1,272,402 0.19 55,919 Federal National Mortgage Association (FNMA) 6.500% 01/07/37 59,517 0.01 50,708 Federal National Mortgage Association (FNMA) 6.500% 01/07/37 53,943 0.01 21,677 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 22,466 0.00 43,916 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 45,233 0.01 63,263 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 65,161 0.01 115,822 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 120,770 0.02 186,528 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 195,890 0.03 1,640,120 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 1,703,859 0.26 92,495 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 96,089 0.01 48,370 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 50,431 0.01 37,156 Federal National Mortgage Association (FNMA) 6.500% 01/08/37 39,526 0.01 1,971 Federal National Mortgage Association (FNMA) 5.500% 01/08/37 2,030 0.00 15,382 Federal National Mortgage Association (FNMA) 5.500% 01/08/37 15,892 0.00 108,039 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 112,654 0.02 135,822 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 141,625 0.02 157,143 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 163,841 0.03 219,827 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 229,198 0.03 1,089,144 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 1,131,471 0.17 86,842 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 92,431 0.01 81,518 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 86,764 0.01 75,673 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 80,542 0.01 55,467 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 59,036 0.01 47,405 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 49,426 0.01 44,763 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 47,644 0.01 1,287 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 1,369 0.00 62 Federal National Mortgage Association (FNMA) 7.500% 01/09/37 67 0.00 62,150 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 64,799 0.01 610,014 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 636,017 0.10 1,440,186 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 1,505,275 0.23 517,633 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 541,028 0.08 159,048 Federal National Mortgage Association (FNMA) 6.500% 01/10/37 169,186 0.03 89,758 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 94,488 0.01 71,384 Federal National Mortgage Association (FNMA) 6.500% 01/10/37 75,978 0.01 65,548 Federal National Mortgage Association (FNMA) 6.500% 01/10/37 69,766 0.01 54,254 Federal National Mortgage Association (FNMA) 6.500% 01/10/37 57,746 0.01 61,944 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 64,584 0.01 137,616 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 143,495 0.02 258,411 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 271,382 0.04 538,418 Federal National Mortgage Association (FNMA) 5.500% 01/10/37 554,571 0.08 2,789,044 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 2,915,096 0.44 737,618 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 769,128 0.12 74,376 Federal National Mortgage Association (FNMA) 6.500% 01/11/37 79,162 0.01

The accompanying notes are an integral part of these financial statements.

186 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 63,325 Federal National Mortgage Association (FNMA) 6.500% 01/11/37 67,400 0.01 51,381 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 53,572 0.01 40,562 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 42,291 0.01 24,284 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 25,319 0.00 76,766 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 80,045 0.01 114,460 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 119,349 0.02 260,558 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 271,688 0.04 275,484 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 289,312 0.04 419,527 Federal National Mortgage Association (FNMA) 6.000% 01/12/37 438,487 0.07 78,159 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 83,188 0.01 75,750 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 80,625 0.01 70,022 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 74,532 0.01 52,017 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 55,365 0.01 28,408 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 30,236 0.00 5,208 Federal National Mortgage Association (FNMA) 5.500% 01/12/37 5,365 0.00 433,180 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 460,813 0.07 799,070 Federal National Mortgage Association (FNMA) 6.000% 01/12/37 841,177 0.13 411,414 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 430,201 0.07 78,635 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 83,695 0.01 71,758 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 76,376 0.01 69,805 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 74,297 0.01 66,327 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 70,595 0.01 65,044 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 69,229 0.01 50,583 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 53,838 0.01 27,892 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 29,687 0.00 27,271 Federal National Mortgage Association (FNMA) 6.500% 01/01/38 29,026 0.00 138,728 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 144,655 0.02 822,070 Federal National Mortgage Association (FNMA) 5.500% 01/01/38 846,860 0.13 1,107,209 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 1,157,768 0.18 992,868 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 1,038,206 0.16 123,858 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 130,113 0.02 9,787 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 10,082 0.00 186,996 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 194,984 0.03 817,401 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 842,051 0.13 2,000,284 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 2,100,689 0.32 68,372 Federal National Mortgage Association (FNMA) 6.500% 01/03/38 72,723 0.01 11,947 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 12,386 0.00 28,978 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 29,852 0.00 117,204 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 121,123 0.02 137,581 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 141,730 0.02 595,085 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 613,030 0.09 1,215,237 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 1,276,615 0.19 2,783,506 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 2,867,446 0.43 8,511,931 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 8,874,761 1.34 6,351,552 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 6,563,932 0.99 24,998 Federal National Mortgage Association (FNMA) 6.500% 01/04/38 26,606 0.00 3,312 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 3,423 0.00 179,788 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 184,593 0.03 231,302 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 238,277 0.04 244,411 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 251,781 0.04 304,923 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 314,118 0.05 346,140 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 356,578 0.05 355,116 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 365,825 0.06 4,936,972 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 5,085,853 0.77 608,559 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 636,633 0.10 27,099 Federal National Mortgage Association (FNMA) 6.500% 01/05/38 28,828 0.00 5,477 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 5,643 0.00 10,104 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 10,410 0.00 10,603 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 10,996 0.00 57,865 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 59,484 0.01 58,610 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 60,387 0.01 133,676 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 139,379 0.02 379,544 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 399,900 0.06 488,680 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 503,493 0.08 6,744,304 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 6,970,871 1.05

The accompanying notes are an integral part of these financial statements.

187 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 5,971,430 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 6,172,033 0.93 988,251 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 1,026,657 0.16 513,582 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 533,541 0.08 108,743 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 114,575 0.02 82,018 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 86,186 0.01 57,098 Federal National Mortgage Association (FNMA) 6.500% 01/06/38 60,772 0.01 41,301 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 43,497 0.01 18,524 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 19,314 0.00 3,239 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 3,348 0.00 1,662 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,713 0.00 1,018 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,053 0.00 1,051 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,090 0.00 1,707 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,770 0.00 11,084 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 11,420 0.00 20,104 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 20,713 0.00 24,324 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 25,141 0.00 30,980 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 31,919 0.01 69,150 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 71,246 0.01 69,961 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 72,945 0.01 115,282 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 118,776 0.02 160,762 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 165,635 0.03 306,700 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 322,287 0.05 324,866 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 342,290 0.05 377,675 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 389,123 0.06 703,991 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 725,330 0.11 994,552 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,024,699 0.16 1,457,233 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 1,513,865 0.23 1,251,836 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 1,300,485 0.20 53,283 Federal National Mortgage Association (FNMA) 6.500% 01/07/38 56,712 0.01 53,144 Federal National Mortgage Association (FNMA) 6.500% 01/07/38 56,526 0.01 30,090 Federal National Mortgage Association (FNMA) 6.500% 01/07/38 32,026 0.01 2,415 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 2,488 0.00 1,277 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 1,324 0.00 1,835 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 1,903 0.00 2,430 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 2,520 0.00 3,715 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 3,851 0.00 4,607 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 4,746 0.00 31,807 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 32,772 0.01 36,777 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 37,892 0.01 110,724 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 114,080 0.02 247,933 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 255,449 0.04 305,555 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 321,083 0.05 343,101 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 353,502 0.05 761,971 Federal National Mortgage Association (FNMA) 6.000% 01/07/38 802,838 0.12 8,421,755 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 8,646,827 1.31 8,545,276 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 8,832,344 1.34 2,487,110 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 2,601,847 0.39 538,169 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 562,996 0.09 417,962 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 437,244 0.07 138,726 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 147,653 0.02 126,891 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 133,696 0.02 68,954 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 73,391 0.01 68,909 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 73,343 0.01 61,209 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 65,104 0.01 44,601 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 47,439 0.01 28,640 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 30,483 0.00 17,995 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 18,540 0.00 28,216 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 29,071 0.00 53,214 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 55,151 0.01 74,159 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 77,323 0.01 90,164 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 95,966 0.01 130,363 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 134,314 0.02 147,166 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 151,627 0.02 316,562 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 333,541 0.05 470,357 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 486,011 0.07

The accompanying notes are an integral part of these financial statements.

188 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 4,006,055 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 4,190,865 0.63 3,242,376 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 3,368,383 0.51 107,894 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 114,837 0.02 82,217 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 86,626 0.01 71,171 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 75,751 0.01 58,111 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 61,850 0.01 48,500 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 51,621 0.01 29,654 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 31,562 0.01 27,199 Federal National Mortgage Association (FNMA) 6.500% 01/09/38 28,949 0.00 2,767 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 2,851 0.00 2,640 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 2,720 0.00 1,953 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 2,012 0.00 12,612 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 12,994 0.00 26,126 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 26,918 0.00 30,287 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 31,205 0.01 53,566 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 55,366 0.01 65,427 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 67,411 0.01 75,823 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 78,121 0.01 3,113,022 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 3,217,114 0.49 2,853,699 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 2,964,601 0.45 1,111,036 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 1,154,214 0.17 437,766 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 454,778 0.07 109,561 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 115,437 0.02 85,544 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 90,132 0.01 78,387 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 82,591 0.01 74,476 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 79,269 0.01 72,628 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 77,302 0.01 60,001 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 63,862 0.01 58,339 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 62,093 0.01 49,106 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 51,739 0.01 34,744 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 36,980 0.01 16,928 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 17,380 0.00 83,468 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 86,968 0.01 110,615 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 117,733 0.02 131,373 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 135,355 0.02 186,390 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 196,386 0.03 288,181 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 303,637 0.05 454,394 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 468,167 0.07 571,466 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 590,575 0.09 715,122 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 736,799 0.11 1,047,506 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 1,079,259 0.16 4,071,946 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 4,259,796 0.64 2,459,051 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 2,554,616 0.39 97,147 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 102,357 0.02 95,573 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 100,699 0.02 69,489 Federal National Mortgage Association (FNMA) 6.500% 01/11/38 73,911 0.01 42,220 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 44,484 0.01 49,208 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 51,307 0.01 84,334 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 87,932 0.01 156,889 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 161,645 0.02 177,736 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 183,123 0.03 190,419 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 200,631 0.03 196,642 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 202,603 0.03 227,136 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 234,021 0.04 264,282 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 278,456 0.04 366,224 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 377,325 0.06 459,293 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 474,723 0.07 581,437 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 599,062 0.09 721,361 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 745,594 0.11 760,406 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 783,456 0.12 1,118,201 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 1,155,765 0.18 223,935 Federal National Mortgage Association (FNMA) 6.000% 01/12/38 232,866 0.04 164,618 Federal National Mortgage Association (FNMA) 6.000% 01/12/38 170,396 0.03 1,002 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 1,039 0.00 12,466 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 12,927 0.00

The accompanying notes are an integral part of these financial statements.

189 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 15,182 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 15,642 0.00 16,243 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 16,845 0.00 21,584 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 22,383 0.00 40,027 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 41,510 0.01 47,695 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 49,461 0.01 49,502 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 51,165 0.01 636,694 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 655,994 0.10 2,756,905 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 2,849,520 0.43 1,389,521 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 1,414,055 0.21 972,532 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 1,005,203 0.15 961,582 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 997,191 0.15 839,914 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 868,130 0.13 25,532 Federal National Mortgage Association (FNMA) 6.500% 01/01/39 27,172 0.00 11,349 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 11,770 0.00 17,499 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 18,147 0.00 19,917 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 20,654 0.00 29,767 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 30,869 0.00 34,056 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 35,317 0.01 56,047 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 57,930 0.01 56,841 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 58,946 0.01 56,974 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 58,888 0.01 71,261 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 73,900 0.01 73,646 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 76,788 0.01 78,550 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 81,893 0.01 86,992 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 89,914 0.01 97,980 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 102,160 0.02 103,145 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 106,610 0.02 170,219 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 177,490 0.03 178,296 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 181,946 0.03 191,541 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 197,975 0.03 248,460 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 255,992 0.04 291,809 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 302,615 0.05 362,155 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 375,566 0.06 402,320 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 414,516 0.06 407,957 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 420,324 0.06 518,077 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 527,548 0.08 694,788 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 715,848 0.11 2,817,214 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 2,874,879 0.43 3,692,949 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 3,759,884 0.57 5,024,069 Federal National Mortgage Association (FNMA) 5.000% 01/01/39 5,115,915 0.77 61,659 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 63,528 0.01 87,658 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 90,603 0.01 126,074 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 130,309 0.02 179,002 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 184,428 0.03 652,812 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 672,601 0.10 138,786 Federal National Mortgage Association (FNMA) 5.500% 01/03/39 142,993 0.02 17,000,000 Federal National Mortgage Association (FNMA) TBA(e) 5.500% 01/12/99 17,430,304 2.64 38,000,000 Federal National Mortgage Association (FNMA) TBA(e) 5.000% 01/12/99 38,463,144 5.82 137,602 Federal National Mortgage Association Guaranteed 1.000% 25/05/35 136,750 0.02 112,679 Federal National Mortgage Association Guaranteed 1.000% 25/09/36 111,486 0.02 1,238,751 Federal National Mortgage Association Remic 6.500% 25/10/31 1,290,355 0.20 519,122 Federal National Mortgage Association Remic 0.000% 25/07/33 5,708 0.00 1,119,366 Federal National Mortgage Association Remic 0.000% 25/06/34 11,612 0.00 13,361,980 Federal National Mortgage Association Remic(c) 1.059% 25/03/47 12,752,497 1.93 8,625,346 Federal National Mortgage Association Remic(c) 1.149% 25/04/48 8,535,502 1.29 71,734 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/23 74,482 0.01 33,680 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/23 34,852 0.01 34,843 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/23 36,056 0.01 92,777 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/23 95,949 0.01 25,295 Government National Mortgage Association (GNMA)(c) 4.375% 20/03/24 26,275 0.00 71,665 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/24 74,434 0.01 156,517 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/24 162,563 0.02 27,599 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/24 28,666 0.00 46,459 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 48,288 0.01 61,152 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 63,559 0.01

The accompanying notes are an integral part of these financial statements.

190 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 124,288 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/24 129,181 0.02 64,354 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/24 66,579 0.01 64,902 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/24 67,146 0.01 62,647 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/24 64,861 0.01 120,606 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/24 124,866 0.02 22,860 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/24 23,651 0.00 35,926 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/24 37,196 0.01 67,100 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/24 69,327 0.01 24,736 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/24 25,558 0.00 32,189 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/24 33,437 0.01 47,392 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/25 49,228 0.01 23,222 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/25 24,122 0.00 81,028 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/25 84,218 0.01 363,204 Government National Mortgage Association (GNMA) 7.000% 15/07/25 395,049 0.06 59,702 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/25 61,797 0.01 29,976 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/26 31,137 0.00 7,842 Government National Mortgage Association (GNMA) 7.000% 15/04/26 8,510 0.00 3,577 Government National Mortgage Association (GNMA) 7.000% 15/04/26 3,881 0.00 1,623 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/26 1,682 0.00 23,140 Government National Mortgage Association (GNMA) 7.000% 15/10/26 25,104 0.00 40,603 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/27 42,176 0.01 47,277 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/27 49,109 0.01 29,119 Government National Mortgage Association (GNMA)(c) 4.375% 20/02/27 30,247 0.00 107,948 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/27 112,198 0.02 127,043 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/27 132,046 0.02 28,913 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/27 30,051 0.00 27,487 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/27 28,569 0.00 8,828 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/27 9,128 0.00 35,142 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/27 36,334 0.01 73,869 Government National Mortgage Association (GNMA)(c) 4.375% 20/01/28 76,732 0.01 38,379 Government National Mortgage Association (GNMA) 7.000% 15/02/28 41,630 0.01 25,880 Government National Mortgage Association (GNMA)(c) 4.250% 20/02/28 26,883 0.00 28,199 Government National Mortgage Association (GNMA)(c) 4.375% 20/03/28 29,292 0.00 1,355 Government National Mortgage Association (GNMA) 7.000% 15/06/28 1,470 0.00 150,083 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/29 155,421 0.02 61,679 Government National Mortgage Association (GNMA)(c) 4.625% 20/08/29 63,925 0.01 19,999 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/29 20,704 0.00 22,508 Government National Mortgage Association (GNMA)(c) 4.125% 20/10/29 23,276 0.00 50,857 Government National Mortgage Association (GNMA)(c) 4.125% 20/10/29 52,593 0.01 34,402 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/29 35,575 0.01 60,083 Government National Mortgage Association (GNMA)(c) 4.125% 20/11/29 62,134 0.01 6,689 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/29 6,924 0.00 16,048 Government National Mortgage Association (GNMA)(c) 4.125% 20/12/29 16,596 0.00 32,127 Government National Mortgage Association (GNMA)(c) 4.250% 20/01/30 33,372 0.01 15,903 Government National Mortgage Association (GNMA)(c) 4.250% 20/02/30 16,519 0.00 63,591 Government National Mortgage Association (GNMA)(c) 4.250% 20/03/30 66,055 0.01 23,925 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/30 24,867 0.00 71,424 Government National Mortgage Association (GNMA)(c) 5.375% 20/04/30 74,236 0.01 8,223 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/30 8,547 0.00 99,821 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/30 103,752 0.02 133,398 Government National Mortgage Association (GNMA)(c) 5.375% 20/05/30 138,650 0.02 23,635 Government National Mortgage Association (GNMA)(c) 5.375% 20/06/30 24,565 0.00 210,923 Government National Mortgage Association (GNMA)(c) 4.625% 20/07/30 218,488 0.03 31,088 Government National Mortgage Association (GNMA)(c) 4.625% 20/09/30 32,204 0.01 59,145 Government National Mortgage Association (GNMA)(c) 3.875% 20/10/30 60,803 0.01 930 Government National Mortgage Association (GNMA) 7.000% 15/04/31 1,012 0.00 8,913 Government National Mortgage Association (GNMA) 7.000% 15/06/31 9,668 0.00 25,897 Government National Mortgage Association (GNMA) 7.000% 15/07/31 28,090 0.00 38,111 Government National Mortgage Association (GNMA) 7.000% 15/11/31 41,339 0.01 73,812 Government National Mortgage Association (GNMA)(c) 36.003% 16/02/32 113,089 0.02 665,075 Government National Mortgage Association (GNMA)(c) 3.750% 20/12/34 683,887 0.10 397,851 Government National Mortgage Association (GNMA) 5.500% 15/12/37 409,799 0.06 2,107,341 Government National Mortgage Association (GNMA) 6.000% 15/08/38 2,191,625 0.33 2,823,817 Government National Mortgage Association (GNMA) 6.000% 15/08/38 2,936,758 0.44 3,522,024 Government National Mortgage Association (GNMA) 6.000% 15/09/38 3,662,890 0.55

The accompanying notes are an integral part of these financial statements.

191 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies MBS and ABS – (continued) United States Dollar – (continued) 1,487,711 Government National Mortgage Association (GNMA) 5.500% 15/01/39 1,540,653 0.23 696,805 Government National Mortgage Association (GNMA) 5.500% 15/01/39 721,602 0.11 396,113 Government National Mortgage Association (GNMA) 5.500% 15/01/39 411,571 0.06 1,890,477 Government National Mortgage Association (GNMA) 6.000% 15/01/39 1,966,088 0.30 5,200,000 Government National Mortgage Association (GNMA) 4.500% 15/05/39 5,178,387 0.78 3,300,000 Government National Mortgage Association (GNMA) 4.500% 15/05/39 3,286,284 0.50 1,300,000 Government National Mortgage Association (GNMA) 4.500% 15/05/39 1,294,597 0.20 1,000,000 Government National Mortgage Association (GNMA) TBA(e) 4.500% 01/12/99 993,438 0.15 9,400,000 Government National Mortgage Association (GNMA) TBA(e) 4.500% 15/12/99 9,338,312 1.41

577,658,918 87.33

TOTAL AGENCIES MBS AND ABS (cost USD 567,377,254) 577,658,918 87.33

Non-Agencies MBS and ABS – 14.60% United States Dollar 303,396 ABN Amro Mortgage Corp. 5.500% 25/06/33 36,734 0.01 20,428 American Home Mortgage Investment Trust(c) 0.679% 25/10/34 15,197 0.00 5,000,000 Banc of America Commercial Mortgage, Inc.(c) 5.179% 10/09/47 4,188,971 0.63 4,125,853 Bank of America Funding Corp. “1A1”(c) 4.454% 20/12/36 3,232,868 0.49 46,350 Bear Stearns Adjustable Rate Mortgage Trust(c) 4.384% 25/04/34 33,318 0.01 3,000,000 Bear Stearns Adjustable Rate Mortgage Trust(c) 4.650% 25/10/35 1,807,987 0.27 8,500,000 Bear Stearns Commercial Mortgage Securities 5.540% 11/09/41 6,923,060 1.05 5,299,854 Bear Stearns Commercial Mortgage Securities 144A(f) 1.148% 13/03/40 107,776 0.02 3,713,089 Bear Stearns Mortgage Funding Trust “2A1”(c) 0.529% 25/08/36 1,583,565 0.24 2,002,507 Chase Mortgage Finance Corp.(c) 4.605% 25/02/37 1,694,044 0.26 2,639,382 Chase Mortgage Finance Corp.(c) 4.827% 25/02/37 2,123,313 0.32 1,400,000 CIT Mortgage Loan Trust 144A(c)(f) 1.559% 25/10/37 381,500 0.06 2,600,000 CIT Mortgage Loan Trust 144A(c)(f) 1.759% 25/10/37 676,000 0.10 3,083,199 CIT Mortgage Loan Trust 144A(c)(f) 1.309% 25/10/37 2,435,727 0.37 3,000,000 Citigroup Commercial Mortgage Trust “A3”(c) 5.726% 15/03/49 2,403,916 0.36 11,940,000 Citigroup/Deutsche Bank Commercial Mortgage Trust(c) 5.225% 15/07/44 10,093,471 1.53 1,896,680 Countrywide Alternative Loan Trust(c) 5.307% 25/12/35 1,047,486 0.16 1,479,961 Countrywide Alternative Loan Trust(c) 0.579% 25/02/36 646,107 0.10 1,347,253 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 520,301 0.08 159,829 Countrywide Home Equity Loan Trust—Series E(c) 0.604% 15/10/28 76,773 0.01 156,434 Countrywide Home Loan Mortgage Pass Through Trust(c) 5.270% 19/02/34 89,198 0.01 55,784 Countrywide Home Loan Mortgage Pass Through Trust(c) 4.530% 20/11/34 31,158 0.00 9,000,000 Credit Suisse Mortgage Capital Certificates “A3” 5.467% 15/09/39 6,891,226 1.04 6,540 CS First Boston Mortgage Securities Corp. 5.500% 25/06/33 794 0.00 374,504 CS First Boston Mortgage Securities Corp. 0.000% 25/07/33 — — 468,587 CS First Boston Mortgage Securities Corp. 5.250% 25/07/33 53,629 0.01 479,677 CS First Boston Mortgage Securities Corp. 0.000% 25/08/33 — — 8,000,000 CS First Boston Mortgage Securities Corp. 6.530% 15/06/34 8,098,295 1.22 3,457,703 CS First Boston Mortgage Securities Corp. 144A(f) 1.699% 15/05/38 58,618 0.01 33,614 First Horizon Asset Securities, Inc.(c) 4.750% 25/12/34 28,102 0.00 7,978 First Nationwide Trust 6.750% 21/09/31 7,372 0.00 5,000,000 Ge Capital Commercial Mortgage Corp.(c) 5.334% 10/11/45 4,185,571 0.63 842,056 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 292,932 0.04 917,078 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 304,517 0.05 3,970,791 HSBC Home Equity Loan Asset Backed Certificates(c) 1.516% 20/11/36 2,657,329 0.40 139,920 Impac CMB Trust(c) 1.029% 25/10/34 54,937 0.01 7,225,967 Indymac Index Mortgage Loan Trust(c) 0.609% 25/07/36 2,968,762 0.45 6,065,414 JP Morgan Chase Commercial Mortgage Securities Corp. 0.969% 15/01/38 83,044 0.01 5,021,080 JP Morgan Mortgage Trust(c) 5.122% 25/11/33 4,104,492 0.62 677,550 JP Morgan Mortgage Trust(c) 4.741% 25/07/35 533,929 0.08 1,490,472 JP Morgan Mortgage Trust “1A1”(c) 4.198% 25/07/35 1,230,129 0.19 1,328,547 JP Morgan Mortgage Trust “5A2”(c) 4.773% 25/07/35 1,063,108 0.16 2,000,000 LB-UBS Commercial Mortgage Trust 4.954% 15/09/30 1,717,127 0.26 2,000,000 LB-UBS Commercial Mortgage Trust(c) 5.197% 15/11/30 1,691,739 0.26 7,404,412 Luminent Mortgage Trust(c) 0.499% 25/07/36 3,154,263 0.48 74,450 Mastr Adjustable Rate Mortgages Trust 0.320% 25/07/33 276 0.00 150,142 Mastr Adjustable Rate Mortgages Trust 0.120% 25/08/33 216 0.00 4,500,000 Morgan Stanley Capital I(c) 5.162% 12/10/52 3,799,909 0.57

The accompanying notes are an integral part of these financial statements.

192 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Non-Agencies MBS and ABS – (continued) United States Dollar – (continued) 10,455 PG&E Energy Recovery Funding LLC(c) 4.850% 25/06/11 10,485 0.00 2,029,708 Residential Funding Mortgage Securities(c) 5.185% 25/09/35 1,408,158 0.21 7,108 Securitized Asset Backed Receivables LLC Trust(c) 0.659% 25/08/34 4,959 0.00 259,053 Sequoia Mortgage Trust(c) 1.919% 20/07/33 202,973 0.03 61,153 Structured Adjustable Rate Mortgage Loan Trust(c) 3.780% 25/05/34 38,299 0.01 28,772 Structured Adjustable Rate Mortgage Loan Trust 5.250% 25/09/34 16,171 0.00 3,142,410 Structured Asset Mortgage Investments, Inc.(c) 2.919% 25/02/36 1,441,194 0.22 191,188 Structured Asset Securities Corp.(c) 5.215% 25/07/33 152,194 0.02 445,831 Structured Asset Securities Corp.(c) 4.043% 25/11/33 328,145 0.05 4,160,000 Wachovia Bank Commercial Mortgage Trust(c) 5.209% 15/10/44 3,628,893 0.55 85,132 WaMu Mortgage Pass Through Certificates(c) 3.151% 25/06/34 72,709 0.01 5,565,574 WaMu Mortgage Pass Through Certificates(c) 5.271% 25/03/37 3,559,095 0.54 1,521,775 WaMu Mortgage Pass Through Certificates “1A”(c) 2.139% 25/03/47 531,529 0.08 800,137 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.139% 25/01/47 271,238 0.04 855,587 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.189% 25/02/47 287,676 0.04 749,580 Wells Fargo Mortgage Backed Securities Trust 0.755% 25/06/33 4,909 0.00 1,331,006 Wells Fargo Mortgage Backed Securities Trust(c) 3.912% 25/06/35 1,113,705 0.17 603,238 Wells Fargo Mortgage Backed Securities Trust(c) 5.594% 25/07/36 429,868 0.06

96,630,986 14.60

TOTAL NON-AGENCIES MBS AND ABS (cost USD 135,372,773) 96,630,986 14.60

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 702,750,027) 674,289,904 101.93

Other Transferable Securities – 2.08% Government Bonds United States Dollar 8,000,000 Federal Farm Credit Bank 2.625% 17/04/14 7,872,376 1.19 5,600,000 Federal Home Loan Banks 5.000% 17/11/17 5,876,827 0.89 13,749,203 2.08

TOTAL GOVERNMENT BONDS (cost USD 14,036,426) 13,749,203 2.08

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 14,036,426) 13,749,203 2.08

Mutual Funds – 2.44% United States Dollar 16,132,914 Goldman Sachs US$ Liquid Reserves Fund(g)(h)(i) 16,132,914 2.44

TOTAL MUTUAL FUNDS (cost USD 16,132,915) 16,132,914 2.44

Time Deposits – 0.83% United States Dollar 5,474,000 State Street EUR Time Deposit 0.010% 29/05/09 5,474,000 0.83

TOTAL TIME DEPOSITS (cost USD 5,474,001) 5,474,000 0.83

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES AND SWAPS CONTRACTS (cost USD 741,086,057) 712,215,324 107.67

The accompanying notes are an integral part of these financial statements.

193 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) USD Equity

Covered Forward Mortgage Backed Securities – (2.94%) (10,000,000) Federal Home Loan Mortgage Corp. (FHLMC) TBA(j) 4.500% (10,137,500) (1.53) (3,000,000) Federal Home Loan Mortgage Corp. (FHLMC) TBA(j) 5.000% (3,033,750) (0.46) (6,000,000) Federal National Mortgage Association (FNMA) TBA(j) 6.000% (6,247,500) (0.95) (19,418,750) (2.94)

TOTAL COVERED FORWARD MORTGAGE BACKED SECURITIES (cost USD (19,688,008)) (19,418,750) (2.94)

Futures Contracts – (0.11%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

USD 99 EURODOLLAR 14/09/09 Long 85,388 0.01 (487) US Treasury Notes 10YR 21/09/09 Short 169,422 0.03 (397) US Treasury Notes 5YR 30/09/09 Short 197,210 0.03 452,020 0.07

UNREALISED GAIN ON FUTURES CONTRACTS 452,020 0.07

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

USD (94) EURODOLLAR 15/06/09 Short (82,250) (0.01) (101) EURODOLLAR 14/12/09 Short (75,413) (0.01) (67) EURODOLLAR 15/03/10 Short (51,925) (0.01) 470 US Treasury Bonds 30YR 21/09/09 Long (939,455) (0.14) 140 US Treasury Note 2YR 30/09/09 Long (30,406) (0.01)

(1,179,449) (0.18)

UNREALISED LOSS ON FUTURES CONTRACTS (1,179,449) (0.18)

Swap Contracts – 0.78%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 5,100,000 Fixed 3.250% Floating (USD 3 month LIBOR) USD 17/06/2014 65,842 0.01 5,200,000 Fixed 3.000% Floating (USD 3 month LIBOR) USD 16/12/2014 94,324 0.01 73,100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2016 1,509,715 0.23 26,500,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2019 1,333,934 0.20 27,100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 16/12/2019 1,132,463 0.17 400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 80,518 0.01 600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 118,947 0.02 1,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 202,994 0.03 1,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 200,987 0.03 1,100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 226,972 0.03 5,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 910,112 0.14 7,600,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 58,245 0.01 8,700,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 1,896,449 0.29 17,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 2,254,876 0.34 900,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 29,733 0.01 1,000,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 21,326 0.00 1,100,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 21,727 0.00 4,600,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 167,695 0.03

The accompanying notes are an integral part of these financial statements.

194 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps – (continued) 7,800,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 603,183 0.09 13,600,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 426,924 0.07

UNREALISED GAIN ON INTEREST RATE SWAPS 11,356,966 1.72

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 11,356,966 1.72

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 5,100,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (81,319) (0.01) 34,600,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2016 (795,392) (0.12) 38,500,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2016 (1,337,251) (0.20) 75,700,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 16/12/2016 (1,697,223) (0.26) 26,500,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (1,072,486) (0.16) 900,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (28,068) (0.00) 4,700,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (161,851) (0.03) 8,000,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (587,869) (0.09) 13,900,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (409,862) (0.06) 7,400,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 (57,887) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (6,229,208) (0.94)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (6,229,208) (0.94)

MARKET VALUE OF INVESTMENTS (cost USD 741,086,057) 697,196,903 105.40

OTHER ASSETS AND LIABILITIES (35,719,330) (5.40)

SHAREHOLDERS’ EQUITY 661,477,573 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures and swaps contracts (cost USD 741,086,057) 712,215,324 107.67 Covered forward mortgage backed securities (19,418,750) (2.94) Unrealised gain on futures contracts 452,020 0.07 Unrealised loss on futures contracts (1,179,449) (0.18) Unrealised gain on swaps contracts 11,356,966 1.72 Unrealised loss on swaps contracts (6,229,208) (0.94) Other Assets and Liabilities (35,719,330) (5.40)

Shareholders’ Equity 661,477,573 100.00

Rates disclosed for Government Bonds, Agencies MBS and ABS, Non-Agencies MBS and ABS and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for swap contracts were Bank of America NA, Citibank NA, Credit Suisse International, Deutsche Bank AG and JP Morgan Chase Bank NA. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) These securities are issued with a zero coupon which increases to the second rate at a set date in the future. (e) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (f) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (g) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

195 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio Schedule of Investments As at 31 May 2009

(h) The yield for this fund as at 31 May 2009 was 0.530%. (i) A related party to Goldman Sachs Funds. (j) These represent TBA sales covered by long positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of Assets and Liabilities.

The accompanying notes are an integral part of these financial statements.

196 Goldman Sachs Funds—Commodities Enhanced Index Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities dealt in another regulated market Government Bonds – 18.93% United States Dollar 4,000,000 United States Treasury Bill 0.010% 01/10/09 3,997,430 18.36 300,000 United States Treasury Strip Principal 0.010% 15/11/27 124,795 0.57

4,122,225 18.93

TOTAL GOVERNMENT BONDS (cost USD 8,954,681) 4,122,225 18.93

Agencies Asset Backed Obligations – 41.26% United States Dollar 5,000,000 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 25/09/13 5,078,215 23.32 441,984 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 453,124 2.08 453,044 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 464,868 2.13 871,856 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/38 883,023 4.06 1,813,041 Federal National Mortgage Association (FNMA)(c) 6.797% 01/09/37 1,893,033 8.69 199,756 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 212,499 0.98

8,984,762 41.26

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost USD 4,118,725) 8,984,762 41.26

Non-Agencies Asset Backed Obligations – 0.00% United States Dollar 310 LB-UBS Commercial Mortgage Trust “A4”(c) 5.424% 15/02/40 222 0.00

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost USD 308) 222 0.00

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 13,073,714) 13,107,209 60.19

Mutual Funds – 4.30% United States Dollar 935,686 Goldman Sachs US$ Liquid Reserves Fund(d)(e)(f) 935,686 4.30

TOTAL MUTUAL FUNDS (cost USD 935,686) 935,686 4.30

Time Deposits – 23.62% United States Dollar 2,350,199 Rabobank USD Time Deposit 0.120% 01/06/09 2,350,199 10.79 952,967 BNP Paribas USD Time Deposit 0.170% 01/06/09 952,967 4.38 1,841,404 BNP Paribas USD Time Deposit 0.240% 01/06/09 1,841,404 8.45

5,144,570 23.62

TOTAL TIME DEPOSITS (cost USD 5,144,570) 5,144,570 23.62

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES AND SWAPS CONTRACTS (cost USD 19,154,002) 19,187,465 88.11

The accompanying notes are an integral part of these financial statements.

197 Goldman Sachs Funds—Commodities Enhanced Index Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (0.32%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

USD (4) US Treasury Bonds 30YR 21/09/09 Short 10,578 0.05 (13) US Treasury Notes 5YR 30/09/09 Short 7,141 0.03

17,719 0.08

UNREALISED GAIN ON FUTURES CONTRACTS 17,719 0.08

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

USD (14) EURODOLLAR 15/06/09 Short (47,063) (0.22) (3) EURODOLLAR 14/09/09 Short (16,538) (0.07) (1) EURODOLLAR 14/12/09 Short (4,600) (0.02) (1) EURODOLLAR 15/03/10 Short (4,762) (0.02) (2) EURODOLLAR 14/06/10 Short (9,450) (0.04) 4 US Treasury Notes 10YR 21/09/09 Long (6,453) (0.03)

(88,866) (0.40)

UNREALISED LOSS ON FUTURES CONTRACTS (88,866) (0.40)

Swap Contracts – 10.89%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Total Return Swaps 4,476,270 Fixed 0.150% CSMLDJ A 05 Excess Return Index USD 29/05/2009 579,396 2.66 525,013 Fixed 0.400% MLCX-Enhanced Benchmark A 01 Excess Return Index USD 29/05/2009 66,771 0.31 608,816 Fixed 0.400% MLCX-Enhanced Benchmark A 01 Excess Return Index USD 29/05/2009 77,430 0.35 2,409,102 Fixed 0.400% MLCX-Enhanced Benchmark A 01 Excess Return Index USD 29/05/2009 306,391 1.41 3,034,566 Fixed 0.400% MLCX-Enhanced Benchmark A 01 Excess Return Index USD 29/05/2009 385,937 1.77 7,517,015 Fixed 0.400% MLCX-Enhanced Benchmark A 01 Excess Return Index USD 29/05/2009 956,017 4.39

UNREALISED GAIN ON TOTAL RETURN SWAPS 2,371,942 10.89

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 2,371,942 10.89

MARKET VALUE OF INVESTMENTS (cost USD 19,154,002) 21,488,260 98.68

OTHER ASSETS AND LIABILITIES 289,143 1.32

SHAREHOLDERS’ EQUITY 21,777,403 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures contracts (cost USD 19,154,002) 19,187,465 88.11 Unrealised gain on futures contracts 17,719 0.08 Unrealised loss on futures contracts (88,866) (0.40) Unrealised gain on swaps contracts 2,371,942 10.89 Other Assets and Liabilities 289,143 1.32

Shareholders’ Equity 21,777,403 100.00

Rates disclosed for Government Bonds, Agencies Asset Backed Obligations, Non-Agencies Asset Backed Obligations and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co.

The accompanying notes are an integral part of these financial statements.

198 Goldman Sachs Funds—Commodities Enhanced Index Portfolio Schedule of Investments As at 31 May 2009

The counterparty for swaps contracts was Merrill Lynch. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) This security is admitted to an official exchange listing. (e) The yield for this fund as at 31 May 2009 was 0.530%. (f) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

199 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 42.26% British Pound Sterling 50,000 Resolution Plc.(c) 6.586% 29/11/49 8,590 0.06

Euro 50,000 Alliance & Leicester Plc. 5.000% 04/10/10 50,266 0.33 10,000 Allied Irish Banks Plc.(c) 7.500% 29/12/49 4,000 0.03 50,000 Atlantia SpA 5.625% 06/05/16 50,985 0.34 50,000 Aviva Plc. 6.875% 22/05/38 31,551 0.21 50,000 AXA S.A.(c) 5.777% 29/07/49 28,117 0.19 100,000 BA Covered Bond Issuer 4.125% 05/04/12 96,660 0.64 50,000 BA Covered Bond Issuer 4.250% 05/04/17 41,260 0.27 31,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 24,800 0.16 100,000 Banco Santander S.A. 3.875% 27/05/14 99,630 0.66 230,000 Bank Nederlandse Gemeenten 4.000% 15/02/12 238,901 1.58 100,000 Bank of Tokyo Mitsubishi UFJ Ltd.(c) 3.500% 16/12/15 95,344 0.63 100,000 BAT International Finance Plc. 5.875% 12/03/15 104,266 0.69 50,000 BBVA Bancomer S.A.(c) 4.799% 17/05/17 34,000 0.22 50,000 BNP Paribas 5.000% 16/12/13 52,529 0.35 200,000 BNP Paribas Home Loan Covered Bonds S.A. 4.125% 15/01/14 202,864 1.34 100,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 39,970 0.26 100,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 104,412 0.69 50,000 Centrica Plc. 7.125% 09/12/13 55,354 0.37 100,000 Chester Asset Receivables Dealings No 11—Series A 6.125% 15/10/10 93,161 0.62 300,000 Commerzbank AG 2.750% 13/01/12 304,593 2.01 50,000 Commerzbank AG 5.000% 06/02/14 51,371 0.34 100,000 Commerzbank AG(c) 4.125% 13/09/16 70,000 0.46 150,000 Credit Agricole Covered Bonds 4.500% 29/01/16 150,451 0.99 50,000 Credit Suisse/London 6.125% 16/05/14 52,758 0.35 100,000 DaimlerChrysler NA Holding Corp. 4.375% 16/03/10 101,021 0.67 200,000 Deutsche Postbank AG 3.750% 12/02/14 204,140 1.35 50,000 Diageo Finance Plc. 6.625% 05/12/14 54,870 0.36 100,000 E.ON International Finance BV 5.750% 07/05/20 103,776 0.69 100,000 Erste Group Bank AG 2.250% 13/05/11 100,149 0.66 50,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 27,341 0.18 50,000 Glencore Finance Europe S.A. 7.125% 23/04/15 40,251 0.27 50,000 HSBC Holdings Plc. 6.250% 19/03/18 51,020 0.34 80,000 HSH Nordbank AG 2.000% 11/05/11 80,230 0.53 50,000 Imperial Tobacco Finance Plc. 4.375% 22/11/13 47,840 0.32 50,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 51,774 0.34 50,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 52,377 0.35 200,000 ING Bank NV 3.375% 03/03/14 200,922 1.33 100,000 ING Bank NV 4.750% 27/05/19 98,541 0.65 200,000 Instituto de Credito Oficial 4.375% 23/05/12 208,764 1.38 150,000 Intesa Sanpaolo SpA 6.625% 08/05/18 143,940 0.95 50,000 Intesa Sanpaolo SpA 8.047% 29/06/49 35,250 0.23 100,000 JPMorgan Chase Bank NA(c) 4.375% 30/11/21 79,082 0.52 60,000 Kommunalkredit Austria AG 2.375% 12/05/11 60,208 0.40 50,000 Kommunekredit 4.375% 02/10/12 51,928 0.34 50,000 Koninklijke KPN NV 6.500% 15/01/16 53,937 0.36 168,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 170,799 1.13 200,000 Landesbank Baden-Wuerttemberg 3.750% 12/02/14 204,348 1.35 50,000 Merrill Lynch & Co., Inc. 6.750% 21/05/13 49,385 0.33 50,000 Morgan Stanley 5.500% 02/10/17 44,300 0.29 50,000 Morgan Stanley 6.500% 28/12/18 46,958 0.31 300,000 Nederlandse Waterschapsbank NV 4.250% 21/11/13 307,362 2.03 150,000 Nordea Bank AB 4.500% 12/05/14 151,287 1.00 50,000 Philip Morris International, Inc. 5.750% 24/03/16 52,295 0.34 100,000 Principal Financial Global Funding II LLC 4.500% 26/01/17 64,162 0.42 150,000 Raiffeisen Zentralbank Oesterreich AG 2.500% 04/05/11 151,144 1.00 50,000 Resona Bank Ltd.(c) 4.125% 31/12/49 35,000 0.23 50,000 Rexam Plc. 4.375% 15/03/13 45,640 0.30 50,000 Roche Holdings, Inc. 4.625% 04/03/13 52,283 0.34 50,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 40,811 0.27 50,000 Royal KPN NV 4.750% 29/05/14 50,780 0.34 50,000 SL Finance Plc.(c) 5.314% 29/01/49 24,500 0.16

The accompanying notes are an integral part of these financial statements.

200 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) Euro – (continued) 100,000 Societe Generale(c) 7.756% 22/05/49 61,875 0.41 50,000 StatoilHydro ASA 4.375% 11/03/15 50,757 0.33 50,000 Sumitomo Mitsui Banking Corp. 4.375% 31/12/49 37,500 0.25 75,000 Swedbank AB 3.375% 27/05/14 74,577 0.49 100,000 Telefonica Emisiones SAU 5.580% 12/06/13 105,635 0.70 50,000 Tesco Plc. 5.875% 12/09/16 53,159 0.35 50,000 UniCredit SpA 4.875% 12/02/13 51,318 0.34 50,000 UniCredit SpA 6.700% 05/06/18 39,566 0.26 40,000 UT2 Funding Plc. 5.321% 30/06/16 9,200 0.06 50,000 Vattenfall Treasury AB 6.750% 31/01/19 55,108 0.36 50,000 Verizon Wireless Capital 8.750% 18/12/15 57,770 0.38 50,000 Wachovia Bank NA 6.000% 23/05/13 50,864 0.34 50,000 WM Covered Bond Program 4.000% 27/09/16 41,407 0.27 6,104,394 40.33

United States Dollar 75,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 8,507 0.06 20,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 14,626 0.10 50,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 36,133 0.24 80,000 Capital One Financial Corp. 5.700% 15/09/11 55,372 0.36 10,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 7,945 0.05 50,000 Energy Transfer Partners LP 8.500% 15/04/14 37,953 0.25 50,000 Merrill Lynch & Co., Inc. 6.875% 25/04/18 32,565 0.21 70,000 Petroleos Mexicanos 8.000% 03/05/19 53,964 0.36 75,000 SLM Corp. 8.450% 15/06/18 35,709 0.24

282,774 1.87

TOTAL CORPORATE BONDS (cost EUR 6,787,731) 6,395,758 42.26

Government Bonds – 47.16% Euro 250,000 Austria Government Bond 4.350% 15/03/19 250,117 1.65 130,000 Belgium Government Bond 3.500% 28/03/15 130,065 0.86 50,000 Bundesrepublik Deutschland 4.000% 13/04/12 53,060 0.35 1,015,000 Bundesrepublik Deutschland 6.250% 04/01/24 1,237,194 8.17 280,000 Bundesrepublik Deutschland 4.000% 04/01/37 260,977 1.72 100,000 Bundesrepublik Deutschland 4.250% 04/07/39 97,583 0.65 50,000 French Treasury Note BTAN 3.000% 12/01/11 51,308 0.34 350,000 French Treasury Note BTAN 3.750% 12/01/12 366,789 2.42 250,000 Government of France 5.000% 25/10/11 268,872 1.78 100,000 Government of France 4.000% 25/04/18 101,079 0.67 260,000 Government of France 4.250% 25/10/18 266,375 1.76 50,000 Government of France 3.750% 25/04/21 47,842 0.32 270,000 Government of France 5.500% 25/04/29 302,827 2.00 370,000 Government of Netherlands 4.500% 15/07/17 387,675 2.56 200,000 Hellenic Republic Government Bond 6.000% 19/07/19 207,970 1.37 60,000 Hellenic Republic Government Bond 4.700% 20/03/24 53,861 0.36 90,000 Ireland Government Bond 4.400% 18/06/19 82,552 0.55 100,000 Italy Buoni Poliennali Del Tesoro 3.750% 01/02/11 103,440 0.68 500,000 Italy Buoni Poliennali Del Tesoro 3.750% 01/08/15 501,310 3.31 580,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/02/18 591,484 3.91 140,000 Italy Buoni Poliennali Del Tesoro 6.000% 01/05/31 151,260 1.00 240,000 Italy Buoni Poliennali Del Tesoro 4.000% 01/02/37 197,839 1.31 300,000 Kingdom of Belgium 4.000% 28/03/17 301,212 1.99 100,000 Kingdom of Spain 5.000% 30/07/12 107,963 0.71 290,000 Kingdom of Spain 4.400% 31/01/15 303,784 2.01 210,000 Republic of Finland 3.125% 15/09/14 209,884 1.39 110,000 Republic of Finland 3.875% 15/09/17 110,194 0.73 110,000 Republic of Finland 4.375% 04/07/19 112,606 0.74 135,000 Sweden Government International Bond 3.125% 07/05/14 134,715 0.89

6,991,837 46.20

The accompanying notes are an integral part of these financial statements.

201 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Government Bonds – (continued) Mexican Peso 1,210,000 Mexican Bonos 8.000% 19/12/13 68,280 0.45 1,240,000 Mexican Bonos 10.000% 05/12/24 77,045 0.51

145,325 0.96

TOTAL GOVERNMENT BONDS (cost EUR 7,118,758) 7,137,162 47.16

Supranationals – 1.66% Euro 100,000 European Investment Bank 4.250% 15/10/14 104,636 0.69 150,000 European Investment Bank 3.500% 15/04/16 147,571 0.97

252,207 1.66

TOTAL SUPRANATIONALS (cost EUR 248,315) 252,207 1.66

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 14,154,804) 13,785,127 91.08

Transferable securities dealt in another regulated market Asset Backed Obligations – 6.35% Euro 300,000 Citibank Credit Card Issuance Trust(c) 1.347% 24/05/13 263,287 1.74 96,726 Eclipse Plc.(c) 1.424% 20/11/22 53,615 0.35 92,435 Epic Drummond Ltd.(c) 1.596% 25/01/22 60,471 0.40 109,480 Granite Master Issuer Plc.(c) 0.906% 20/12/54 69,431 0.46 500,000 MBNA Credit Card Master Note Trust(c) 0.943% 20/02/14 426,961 2.82 64,402 Paragon Mortgages Plc.(c) 1.615% 16/04/35 43,289 0.29 48,036 Talisman Finance Plc.(c) 1.635% 22/04/17 26,420 0.17 41,788 Titan Europe Plc.(c) 1.575% 23/04/17 18,174 0.12

961,648 6.35

TOTAL ASSET BACKED OBLIGATIONS (cost EUR 1,201,085) 961,648 6.35

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 1,201,085) 961,648 6.35

Other Transferable Securities Asset Backed Obligations – 0.78% Euro 150,000 Korea First Mortgage Ltd.(c) 1.524% 05/08/38 117,629 0.78

TOTAL ASSET BACKED OBLIGATIONS (cost EUR 150,000) 117,629 0.78

TOTAL OTHER TRANSFERABLE SECURITIES (cost EUR 150,000) 117,629 0.78

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost EUR 15,505,889) 14,864,404 98.21

Futures Contracts – 0.24% Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

AUD (10) Australia Treasury Bonds 3YR 15/06/09 Short 1,694 0.01

The accompanying notes are an integral part of these financial statements.

202 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

EUR (8) German Federal Republic Bonds 08/06/09 Short 17,940 0.12 48 German Federal Republic Bonds 08/06/09 Long 10,405 0.07

28,345 0.19

GBP (7) UK Treasury Bonds 28/09/09 Short 4,112 0.03

USD (1) US Treasury Bonds 30YR 21/09/09 Short 1,097 0.01 (11) US Treasury Notes 5YR 30/09/09 Short 4,192 0.02

5,289 0.03

UNREALISED GAIN ON FUTURES CONTRACTS 39,440 0.26

Unrealised %of Number of Loss Shareholders’ Contracts Security Description EUR Equity

EUR 4 German Federal Republic Bonds 08/06/09 Long (3,240) (0.02)

USD (10) US Treasury Notes 2YR 30/09/09 Short (410) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (3,650) (0.02)

Forward Currency Contracts – 0.30% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 EUR 26,206 JPY 3,470,359 486 0.00 17/06/2009 AUD 320,000 CAD 277,379 1,605 0.01 17/06/2009 AUD 155,000 CHF 125,161 4,814 0.03 17/06/2009 AUD 367,000 JPY 25,867,588 15,644 0.10 17/06/2009 AUD 62,000 NZD 76,967 291 0.00 17/06/2009 AUD 877,608 USD 606,901 65,638 0.43 17/06/2009 CAD 259,772 EUR 163,000 4,842 0.03 17/06/2009 CAD 186,855 USD 162,000 5,876 0.04 17/06/2009 CHF 125,778 EUR 83,000 180 0.00 17/06/2009 CHF 217,000 JPY 18,767,596 4,397 0.03 17/06/2009 CHF 43,347 USD 37,000 2,435 0.02 17/06/2009 EUR 83,000 CHF 123,577 1,276 0.01 17/06/2009 EUR 88,000 JPY 11,721,750 1,115 0.01 17/06/2009 EUR 88,000 NOK 766,308 1,790 0.01 17/06/2009 EUR 883,991 USD 1,179,304 47,899 0.32 17/06/2009 GBP 27,000 CHF 45,271 986 0.01 17/06/2009 GBP 43,784 EUR 49,000 1,149 0.01 17/06/2009 GBP 135,000 JPY 19,673,280 8,799 0.06 17/06/2009 GBP 753,483 USD 1,133,109 59,663 0.40 17/06/2009 JPY 44,916,044 USD 466,260 2,366 0.02 17/06/2009 NOK 563,000 JPY 8,289,457 1,894 0.01 17/06/2009 NOK 848,200 SEK 1,013,436 451 0.00 17/06/2009 NOK 899,718 USD 137,752 3,557 0.02 17/06/2009 NZD 59,172 AUD 47,000 152 0.00 17/06/2009 NZD 303,330 EUR 135,000 1,926 0.01 17/06/2009 NZD 454,793 JPY 25,872,523 13,524 0.09 17/06/2009 NZD 954,711 USD 535,840 51,072 0.34 17/06/2009 SEK 1,377,885 EUR 127,842 1,285 0.01 17/06/2009 SEK 3,646,270 USD 462,500 13,806 0.09 23/06/2009 EUR 154,811 MXN 2,813,000 3,020 0.02

The accompanying notes are an integral part of these financial statements.

203 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

26/06/2009 EUR 257,514 USD 354,328 6,289 0.04 02/07/2009 EUR 78,213 GBP 68,006 317 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 328,544 2.17

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 JPY 10,512,065 EUR 79,624 (1,716) (0.01) 17/06/2009 CAD 220,132 AUD 252,000 (168) (0.00) 17/06/2009 CHF 105,806 GBP 62,000 (1,039) (0.01) 17/06/2009 EUR 321,000 GBP 286,982 (7,696) (0.05) 17/06/2009 EUR 306,204 SEK 3,268,994 (145) (0.00) 17/06/2009 JPY 42,464,872 AUD 625,000 (38,410) (0.25) 17/06/2009 JPY 8,045,180 CHF 97,000 (4,515) (0.03) 17/06/2009 JPY 15,372,840 GBP 106,000 (7,460) (0.05) 17/06/2009 NOK 1,246,063 EUR 142,000 (1,816) (0.01) 17/06/2009 USD 162,529 AUD 226,963 (13,023) (0.09) 17/06/2009 USD 413,181 CAD 502,161 (31,520) (0.21) 17/06/2009 USD 229,839 CHF 263,023 (10,995) (0.07) 17/06/2009 USD 1,073,344 EUR 798,864 (37,894) (0.25) 17/06/2009 USD 370,771 GBP 245,121 (17,884) (0.12) 17/06/2009 USD 696,096 JPY 67,778,731 (8,883) (0.06) 17/06/2009 USD 70,882 NOK 502,553 (6,285) (0.04) 17/06/2009 USD 784,636 NZD 1,394,151 (73,050) (0.48) 17/06/2009 USD 271,048 SEK 2,255,254 (19,183) (0.13) 26/06/2009 USD 49,909 EUR 36,033 (646) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (282,328) (1.87)

Swap Contracts – 0.52%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 320,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 8,991 0.06 320,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 8,457 0.06 320,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 8,720 0.06 320,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 9,672 0.06 320,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 7,448 0.05 200,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 5,944 0.04 390,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 29,501 0.20 530,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 4,767 0.03 570,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 1,903 0.01 630,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 2,039 0.01 1,230,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2015 85,666 0.57 1,230,000 Fixed 4.500% Floating (EUR 6 month LIBOR) EUR 17/12/2015 2,691 0.02 1,100,000 Fixed 3.750% Floating (EUR 6 month EURIBOR) EUR 17/06/2016 15,082 0.10 350,000 Floating (EUR 6 month EURIBOR) Fixed 4.750% EUR 17/12/2018 26,119 0.17 150,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 944 0.01 160,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 743 0.00 200,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 1,955 0.01 200,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 1,760 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 222,402 1.47

Credit Default Swaps 50,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 946 0.01

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 946 0.01

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 223,348 1.48

The accompanying notes are an integral part of these financial statements.

204 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 260,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (2,304) (0.02) 260,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (2,062) (0.01) 260,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (2,117) (0.01) 260,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (2,549) (0.02) 260,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (1,987) (0.01) 120,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (4,557) (0.03) 120,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (4,320) (0.03) 120,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (4,659) (0.03) 120,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (5,213) (0.03) 120,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (3,619) (0.02) 500,000 Floating (EUR 6 month LIBOR) Fixed 3.750% EUR 17/06/2016 (2,510) (0.02) 600,000 Floating (EUR 6 month EURIBOR) Fixed 3.750% EUR 17/06/2016 (8,712) (0.06) 1,070,000 Floating (EUR 6 month EURIBOR) Fixed 3.250% EUR 16/12/2016 (16,343) (0.11) 350,000 Fixed 4.750% Floating (EUR 6 month LIBOR) EUR 17/12/2018 (26,878) (0.18) 10,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (78) (0.00) 23,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (3,251) (0.02) 133,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (23,655) (0.16) 78,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (2,110) (0.01) 99,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (886) (0.01) 110,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (991) (0.01) 141,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (242) (0.00) 141,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (249) (0.00) 750,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (4,478) (0.03)

UNREALISED LOSS ON INTEREST RATE SWAPS (123,770) (0.82)

Credit Default Swaps 700,000 Fixed 1.200% Floating (ITRX Index) EUR 20/12/2013 (16,922) (0.11) 50,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (718) (0.01) 100,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (547) (0.00) 200,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (1,574) (0.01) 300,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (1,670) (0.01)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (21,431) (0.14)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (145,201) (0.96)

MARKET VALUE OF INVESTMENTS (cost EUR 15,505,889) 15,024,557 99.27

OTHER ASSETS AND LIABILITIES 109,820 0.73

SHAREHOLDERS’ EQUITY 15,134,377 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding forward currency, futures and swaps contracts (cost EUR 15,505,889) 14,864,404 98.21 Unrealised gain on futures contracts 39,440 0.26 Unrealised loss on futures contracts (3,650) (0.02) Unrealised gain on forward currency contracts 328,544 2.17 Unrealised loss on forward currency contracts (282,328) (1.87) Unrealised gain on swaps contracts 223,348 1.48 Unrealised loss on swaps contracts (145,201) (0.96) Other Assets and Liabilities 109,820 0.73

Shareholders’ Equity 15,134,377 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranationals and Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were, Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank, Royal Bank of Canada, State Street Bank London, UBS AG London and Westpac Banking Corp.

The accompanying notes are an integral part of these financial statements.

205 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

The counterparties for swaps contracts were Bank of America NA, Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009.

The accompanying notes are an integral part of these financial statements.

206 Goldman Sachs Funds—Europe CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 93.22% Euro – (continued) 1,056 Carbone Lorraine (Electrical British Pound Sterling Components & Equipment) 21,706 0.02 163,927 HSBC Holdings Plc. (Banks) 1,044,793 1.06 + 15,580 Casino Guichard Perrachon S.A. (Food, 4,510 Royal Dutch Shell Plc. “B” (Oil & Gas) 86,518 0.09 Beverages & Tobacco) 799,020 0.81 1,131,311 1.15 12,318 Christian Dior S.A. (Cosmetics/Personal Care) 663,940 0.68 Danish Krone 4,445 CNP Assurances (Insurance) 297,504 0.30 13 A P Moller—Maersk A/S (Transportation) 56,223 0.06 19,929 Coca Cola Hellenic Bottling Co. S.A. 78 A P Moller—Maersk A/S (Transportation) 339,431 0.34 (Food, Beverages & Tobacco) 290,166 0.29 4,595 Auriga Industries (Chemicals) 61,099 0.06 4,755 Compagnie d’Entreprises CFE 341 Coloplast A/S “B” (Healthcare Products) 16,625 0.02 (Construction & Engineering) 152,588 0.16 11,793 Danisco A/S (Food, Beverages & 14,445 Compagnie Générale de Géophysique Tobacco) 316,786 0.32 S.A. (Oil & Gas Services) 180,851 0.18 7,098 FLSmidth & Co. A/S (Machinery— 3,916 Danieli & Co SpA (Machinery— Diversified) 184,948 0.19 Construction & Mining) 52,553 0.05 5,117 H Lundbeck (Pharmaceuticals) 80,754 0.08 11,697 Demag Cranes AG (Machinery— 7,184 Novo Nordisk A/S “B” (Pharmaceuticals) 264,862 0.27 Diversified) 202,007 0.21 452 PER Aarsleff A/S “B” (Construction & + 6,544 Deutsche Bank AG (Banks) 309,531 0.31 Engineering) 35,818 0.04 + 2,637 Deutsche Boerse AG (Diversified 2,350 Schouw & Co. (Holding Companies— Financial Services) 162,281 0.16 Diversified) 31,405 0.03 119,045 Deutsche Lufthansa AG (Airlines) 1,162,474 1.18 786 SimCorp. A/S (Software) 92,372 0.09 22,467 Deutsche Telekom AG 577 Solar A/S Series B (Electrical (Telecommunications) 182,207 0.19 Components & Equipment) 17,979 0.02 + 8,209 Draegerwerk AG (Healthcare Products) 165,493 0.17 4,391 William Demant Holding (Healthcare + 36,699 E.ON AG (Electric) 914,906 0.93 Products) 174,864 0.18 47,002 Elisa Oyj (Telecommunications) 493,521 0.50 426,542 Enel SpA (Utilities—Electric) 1,782,946 1.81 1,673,166 1.70 71,783 Energias de Portugal S.A. (Electric) 203,577 0.21 6,375 ENI SpA (Oil & Gas) 108,758 0.11 Euro 4,103 Eurobank Properties Real Estate 29,999 Adidas AG (Apparel) 774,274 0.79 Investment Co. (Real Estate Investment 49,897 Aegon NV (Insurance) 219,098 0.22 Trust) 28,721 0.03 99,304 AEM SpA (Electric) 131,379 0.13 80,034 European Aeronautic Defence & Space 503 Agrana Beteiligungs AG (Food, Co. NV (Aerospace & Defence) 916,789 0.93 Beverages & Tobacco) 28,249 0.03 41,969 Exor SpA (Holding Companies— + 5,189 ArcelorMittal (Iron/Steel) 120,878 0.12 Diversified) 493,975 0.50 26,329 Astaldi SpA (Construction & Engineering) 131,184 0.13 39,873 Fortis (Banks) 107,657 0.11 2,072 Atlantia SpA (Commercial Services) 30,852 0.03 3,060 Fortum Oyj (Electric) 52,785 0.05 57,973 AXA S.A. (Insurance) 760,026 0.77 57,259 France Telecom S.A. 179,044 Banca Intesa SpA (Banks) 448,953 0.46 (Telecommunications) 987,718 1.00 293,816 Banco Bilbao Vizcaya Argentaria S.A. 6,358 Fresenius SE (Healthcare Products) 216,490 0.22 (Banks) 2,520,941 2.56 1,343 Fresenius SE—Preferred (Healthcare 19,393 Banco Popular Espanol S.A. (Banks) 121,594 0.12 Products) 54,338 0.06 272,085 Banco Santander Central Hispano S.A. 3,691 Gaz de France S.A. (Gas) 102,444 0.10 (Banks) 2,037,917 2.07 13,421 GEA Group AG (Holding Companies— 114,634 BASF AG (Chemicals) 3,410,362 3.47 Diversified) 147,631 0.15 8,878 Bauer AG (Building Materials) 271,489 0.28 25,607 GEK Terna Holding Real Estate 14,466 Bechtle AG (Retail) 187,913 0.19 Construction S.A. (Real Estate) 133,156 0.14 1,253 Bekaert S.A. (Electrical Components & 5,930 Grafton Group Plc. (Retail) 16,568 0.02 Equipment) 89,590 0.09 11,074 Groupe Steria SCA (Commercial 2,924 Bilfinger Berger AG (Construction & Services) 156,033 0.16 Engineering) 102,252 0.10 2,844 HeidelbergCement AG (Building 10,084 BinckBank NV (Diversified Financial Materials) 72,522 0.07 Services) 91,563 0.09 12,881 Hellenic Petroleum S.A. (Oil & Gas) 91,455 0.09 + 18,179 BNP Paribas (Banks) 886,226 0.90 17,649 Hellenic Telecommunications 13,139 Boiron S.A. (Pharmaceuticals) 277,233 0.28 Organization S.A. (Telecommunications) 202,434 0.21 1,463 Bongrain S.A. (Food, Beverages & 3,604 Hochtief AG (Construction & Tobacco) 56,326 0.06 Engineering) 123,293 0.13 3,785 Boskalis Westminster “A” (Construction & 121,663 Iberdrola S.A. (Electric) 733,628 0.75 Engineering) 66,521 0.07 8,247 IDS Scheer AG (Commercial Services) 85,356 0.09 30,930 C&C Group Plc. (Food, Beverages & 8,585 Imtech NV (Construction & Engineering) 120,871 0.12 Tobacco) 69,716 0.07 7,286 InBev NV (Food, Beverages & Tobacco) 180,329 0.18 9,556 Cap Gemini S.A. (Computers) 260,162 0.26 11,478 Indesit Co SpA (Home Furnishings) 54,205 0.06 72,927 ING Groep NV (Insurance) 541,264 0.55 15,220 Italcementi SpA (Building Materials) 123,358 0.13

The accompanying notes are an integral part of these financial statements.

207 Goldman Sachs Funds—Europe CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Common Stocks – (continued) Common Stocks – (continued) Euro – (continued) Euro – (continued) 2,449 KBC Groep NV (Banks) 35,511 0.04 14,128 Suedzucker AG (Food, Beverages & + 23,171 Kemira Oyj (Chemicals) 177,026 0.18 Tobacco) 206,693 0.21 18,513 Koninklijke BAM Groep NV 2,468 Technip S.A. (Oil & Gas Services) 85,936 0.09 (Construction & Engineering) 121,760 0.12 108,740 Telefonica S.A. (Telecommunications) 1,655,023 1.68 50,227 Koninklijke DSM NV (Chemicals) 1,235,835 1.26 + 36,133 Telekom Austria AG 54,178 Koninklijke Philips Electronics NV (Telecommunications) 393,850 0.40 (Electronics) 718,129 0.73 82,618 Terna Rete Elettrica Nazionale SpA 505 KWS Saat AG (Agriculture) 59,009 0.06 (Electric) 214,600 0.22 18,711 Lagardere SCA (Media) 441,018 0.45 2,566 Tessenderlo Chemie NV (Chemicals) 61,353 0.06 439 Lemminkainen Oyj (Construction & 48,057 ThyssenKrupp AG (Iron/Steel) 864,545 0.88 Engineering) 8,591 0.01 15,111 Tietoenator Oyj (Computers) 152,621 0.16 106,212 Maire Tecnimont SpA (Oil & Gas 97,982 Total S.A. (Oil & Gas) 3,992,767 4.06 Services) 221,718 0.23 11,026 Trevi Finanziaria SpA (Construction & 85,132 Marfin Investment Group S.A. Engineering) 91,516 0.09 (Investment Companies) 318,394 0.32 + 4,374 Umicore (Mining) 73,833 0.08 4,099 Medion AG (Distribution/Wholesale) 31,111 0.03 281 Unibail (Real Estate Investment Trust) 31,860 0.03 1,948 Mercialys S.A. (Real Estate Investment 170,134 UniCredito Italiano SpA (Banks) 314,578 0.32 Trust) 41,618 0.04 16,161 Unilever NV (Food, Beverages & 8,776 Metso Oyj (Machinery—Diversified) 117,862 0.12 Tobacco) 273,202 0.28 24,617 Mobistar S.A. (Telecommunications) 1,074,286 1.09 38,658 USG People NV (Commercial Services) 349,430 0.36 + 22,396 MTU Aero Engines Holding AG 64,142 Valeo S.A. (Auto Parts & Equipment) 896,705 0.91 (Aerospace & Defence) 513,316 0.52 1,430 Verbund—Oesterreichische 7,226 Mu¨nchener Ru¨ckversicherungs AG Elektrizitaetswirtschafts AG (Electric) 54,326 0.06 (Insurance) 715,374 0.73 3,632 Vienna Insurance Group (Insurance) 108,960 0.11 5,459 National Bank of Greece S.A. (Banks) 105,031 0.11 137,942 Vivendi S.A. (Media) 2,561,583 2.61 25,986 Nexity (Real Estate) 631,460 0.64 903 Wartsila Oyj (Miscellaneous 61,182 Nokia Oyj (Telecommunications) 664,437 0.68 Manufacturing) 22,801 0.02 773 Oesterreichische Post AG 6,565 Zumtobel AG (Electrical Components & (Transportation) 15,893 0.02 Equipment) 57,050 0.06 + 13,056 Omega Pharma S.A. (Pharmaceuticals) 291,149 0.30 63,630,409 64.72 + 21,808 OMV AG (Oil & Gas) 624,799 0.64 31,455 Outotec Oyj (Machinery—Construction & Norwegian Kroner Mining) 557,068 0.57 38,600 Aker Kvaerner ASA (Construction & 1,351,603 Parmalat SpA (Food, Beverages & Engineering) 238,929 0.24 Tobacco) 2,358,547 2.40 7,216 Peugeot S.A. (Automobile Manufacturers) 153,881 0.16 54,000 Atea ASA (Internet) 134,309 0.14 5,893 Porsche Automobil Holding SE— 16,800 DnB NOR ASA (Banks) 98,318 0.10 13,000 EDB Business Partner ASA (Computers) 21,361 0.02 Preferred (Automobile Manufacturers) 252,515 0.26 48,800 SeaDrill Ltd. (Oil & Gas) 505,274 0.51 123,965 Portugal Telecom SGPS S.A. 153,000 Telenor ASA (Telecommunications) 912,613 0.93 (Telecommunications) 786,558 0.80 29,500 Tomra Systems ASA (Environmental 10,205 Public Power Corp., S.A. (Electric) 163,484 0.17 Control) 82,337 0.08 3,875 Publicis Groupe (Advertising) 88,738 0.09 + 46,500 Veidekke ASA (Construction & 37,233 Rallye S.A. (Retail) 708,544 0.72 Engineering) 172,697 0.18 88,212 Redes Energeticas Nacionais S.A. (Electric) 258,461 0.26 3,700 Yara International ASA (Chemicals) 85,989 0.09 4,482 Remy Cointreau S.A. (Food, Beverages & 2,251,827 2.29 Tobacco) 111,871 0.11 38,462 Repsol YPF S.A. (Oil & Gas) 608,853 0.62 Swedish Krona 18,904 Roth & Rau AG (Electronics) 368,817 0.37 9,896 AF AB “B” (Construction & Engineering) 131,218 0.13 62,183 Royal Dutch Shell Plc. “A” (Oil & Gas) 1,181,477 1.20 8,899 Axis Communications AB (Electronics) 60,458 0.06 21,730 RWE AG (Electric) 1,273,595 1.30 4,431 B&B Tools AB “B” (Hand/Machine Tools) 36,124 0.04 + 4,911 Salzgitter AG (Iron/Steel) 323,782 0.33 77,713 Betsson AB (Entertainment) 615,358 0.63 95,247 Sanofi-Aventis (Pharmaceuticals) 4,281,353 4.35 77,713 Betsson AB (Entertainment) 37,140 0.04 18,805 Sarantis S.A. (Cosmetics/Personal Care) 71,459 0.07 9,812 Industrial & Financial Systems “B” 22,232 Schneider Electric S.A. (Electrical (Software) 58,386 0.06 Components & Equipment) 1,165,290 1.19 9,597 KappAhl Holding AB (Retail) 33,545 0.03 39,814 SCOR SE (Insurance) 592,034 0.60 6,135 Mekonomen AB (Auto Parts & 7,271 Semperit AG Holding (Miscellaneous Equipment) 66,113 0.07 Manufacturing) 148,765 0.15 15,635 Modern Times Group AB (Media) 325,258 0.33 14,567 SES S.A. (Telecommunications) 204,958 0.21 204,853 Nordea Bank AB (Banks) 1,159,463 1.18 76,713 SNS Reaal (Banks) 291,356 0.30 16,390 ORC Software AB (Internet) 204,272 0.21 1,349 Société BIC S.A. (Household + 1,360 Ratos AB (Investment Companies) 19,371 0.02 Products/Wares) 52,233 0.05 6,943 Svenska Cellulosa AB “B” (Forest 1,042 Strabag SE (Construction & Engineering) 16,464 0.02 Products & Paper) 56,766 0.06

The accompanying notes are an integral part of these financial statements.

208 Goldman Sachs Funds—Europe CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description EUR Equity Holdings Security Description EUR Equity

Common Stocks – (continued) Mutual Funds – 4.69% Swedish Krona – (continued) Euro 6,022 Svenska Handelsbanken AB “A” (Banks) 82,813 0.08 4,604,024 Goldman Sachs Euro Liquid Reserves 27,181 Swedish Match AB (Agriculture) 308,197 0.31 Fund(b)(c)(d) 4,604,024 4.69 132,941 Telefonaktiebolaget LM Ericsson (Telecommunications) 879,511 0.89 TOTAL MUTUAL FUNDS 52,725 TeliaSonera AB (Telecommunications) 192,196 0.20 ( c o s t E U R 4 , 6 0 4 , 0 2 4 ) 4,604,024 4.69 11,103 TradeDoubler AB (Internet) 66,588 0.07 Market %of 4,332,777 4.41 Coupon Maturity Value Shareholders’ Holdings Security Description Rate(e) Date(f) EUR Equity Swiss Franc 64,227 ABB Ltd. (Construction & Engineering) 742,274 0.76 Time Deposits – 1.02% 23,842 Actelion Ltd. (Pharmaceuticals) 868,559 0.88 United Kingdom 11,680 Baloise Holding AG (Insurance) 652,536 0.66 1,004,517 Rabobank EUR Time 75,341 Compagnie Financiere Richemont S.A. Deposit 0.250% 01/06/09 1,004,517 1.02 (Retail) 1,154,648 1.18 25,691 Crédit Suisse Group (Banks) 808,184 0.82 TOTAL TIME DEPOSITS 11,678 EFG International (Banks) 108,866 0.11 ( c o s t E U R 1 , 0 0 4 , 5 1 7 ) 1,004,517 1.02 148 Elektrizitaets-Gesellschaft Laufenburg AG (Electric) 102,352 0.10 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES AND 641 Financiere Tradition (Diversified Financial SWAPS CONTRACTS Services) 43,143 0.04 ( c o s t E U R 1 0 6 , 4 7 5 , 5 0 3 ) 97,255,017 98.93 11,571 Julius Baer Holding AG (Banks) 343,037 0.35 9,297 Lonza Group AG (Chemicals) 677,375 0.69 Futures Contracts – 0.01% 106,397 Nestlé S.A. (Food, Beverages & Tobacco) 2,722,358 2.77 Unrealised %of 40,193 Novartis AG (Pharmaceuticals) 1,129,391 1.15 Number of Gain Shareholders’ 2,073 Partners Group Holding AG (Diversified Contracts Security Description EUR Equity Financial Services) 145,281 0.15 479 Rieter Holding AG (Machinery— EUR Diversified) 57,638 0.06 82 DJ EURO STOXX 50 Index 19/06/09 Long 13,820 0.01 5,870 Sulzer AG (Miscellaneous Manufacturing) 276,521 0.28 3,599 Syngenta AG (Chemicals) 616,292 0.63 GBP 5,839 Synthes, Inc. (Healthcare Products) 422,725 0.43 18 FTSE 100 Index 19/06/09 Long 2,447 0.00 43,023 UBS AG (Banks) 453,129 0.46

11,324,309 11.52 UNREALISED GAIN ON FUTURES CONTRACTS 16,267 0.01 United States Dollar 114,691 BP Plc.—ADR(a) (Oil & Gas) 4,044,043 4.11 Swap Contracts – 0.26% 28,019 GlaxoSmithKline Plc.—ADR(a) (Pharmaceuticals) 668,571 0.68 Net Local Unrealised %of 195,358 Vodafone Group Plc.—ADR(a) Notional Gain Shareholders’ (Telecommunications) 2,589,724 2.64 Amount Security Description Currency EUR Equity

7,302,338 7.43 Total Equity Return Swaps 4,979,325 Total Equity Basket Swap EUR 252,448 0.26 TOTAL COMMON STOCKS ( c o s t E U R 1 0 0 , 8 6 6 , 9 6 2 ) 91,646,137 93.22 UNREALISED GAIN ON TOTAL EQUITY R E T U R N S W A P S C O N T R A C T S 252,448 0.26 Rights – 0.00% TOTAL UNREALISED GAIN ON SWAPS Swiss Franc CONTRACTS 252,448 0.26 641 Financiere Tradition exp. 06/09—Rights (Diversified Financial Services) 339 0.00 MARKET VALUE OF INVESTMENTS ( c o s t E U R 1 0 6 , 4 7 5 , 5 0 3 ) 97,523,732 99.20 TOTAL RIGHTS ( c o s t E U R n i l ) 339 0.00 O T H E R A S S E T S A N D L I A B I L I T I E S 788,362 0.80

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN SHAREHOLDERS’ EQUITY 98,312,094 100.00 OFFICIAL EXCHANGE LISTING ( c o s t E U R 1 0 0 , 8 6 6 , 9 6 2 ) 91,646,476 93.22

The accompanying notes are an integral part of these financial statements.

209 Goldman Sachs Funds—Europe CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Allocation of Portfolio as at 31 May 2009 Net Assets TOTAL INVESTMENTS EUR Equity Common Stocks Total Investments excluding futures and swaps contracts Banks 11.46 (cost EUR 106,475,503) 97,255,017 98.93 Oil & Gas 11.43 Unrealised gain on futures contracts 16,267 0.01 Telecommunications 11.42 Unrealised gain on swaps contracts 252,448 0.26 Pharmaceuticals 7.99 Other Assets and Liabilities 788,362 0.80 Food, Beverages & Tobacco 7.53 Shareholders’ Equity 98,312,094 100.00 Chemicals 6.44 Electric 4.18 Rates disclosed for Time Deposits are those that were in effect at 31 May Insurance 3.94 2009. Media 3.39 Construction & Engineering 2.30 The Futures Clearing Merchant was Goldman, Sachs & Co. Other 23.14 + A portion of these securities were on loan at 31 May 2009. See Note 5. T O T A L C O M M O N S T O C K S 93.22 (a) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). Other Net Assets 6.78 (b) This security is admitted to an official exchange listing. T O T A L 100.00 (c) The yield for this fund as at 31 May 2009 was 0.895%. (d) A related party to Goldman Sachs Funds. (e) Interest rates represent either the stated coupon rate, annualised dis- counted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (f) Maturity dates represent either the stated date on the security, or the next interest reset date for floating rate securities or the prerefunded date for those type of securities.

The accompanying notes are an integral part of these financial statements.

210 Goldman Sachs Funds—Global Currency Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities dealt in another regulated market Commercial Papers – 22.06% United States Dollar 1,400,000 Bank of Scotland Plc. (Sydney) 1.050% 09/06/09 1,399,733 4.01 1,700,000 Banque Federative Credit Mutuel 0.000% 01/06/09 1,700,000 4.87 1,700,000 Clydesdale Bank Plc. 0.000% 01/06/09 1,700,000 4.87 1,400,000 SG Australia Ltd. 0.000% 09/06/09 1,399,784 4.01 1,500,000 UBS AG (London) 1.192% 08/06/09 1,499,722 4.30

7,699,239 22.06

TOTAL COMMERCIAL PAPERS (cost USD 7,699,239) 7,699,239 22.06

Government Bonds – 13.17% United States Dollar 2,400,000 United States Treasury Bill 0.010% 27/08/09 2,399,148 6.87 2,200,000 United States Treasury Bill 0.227% 22/10/09 2,197,842 6.30

4,596,990 13.17

TOTAL GOVERNMENT BONDS (cost USD 4,596,773) 4,596,990 13.17

Asset Backed Obligations – 12.66% United States Dollar 1,749,029 Brunel Residential Mortgage Securitisation Plc. “A2”(c) 1.199% 13/01/39 1,642,032 4.70 2,744,023 Granite Master Issuer Plc. “2A1”(c) 0.386% 20/12/54 1,867,391 5.35 1,024,667 Newgate Funding Plc. “A1C”(c) 0.716% 01/12/50 910,483 2.61

4,419,906 12.66

TOTAL ASSET BACKED OBLIGATIONS (cost USD 5,517,718) 4,419,906 12.66

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 17,813,730) 16,716,135 47.89

Mutual Funds – 4.82% United States Dollar 1,681,168 Goldman Sachs US$ Liquid Reserves Fund(d)(e)(f) 1,681,168 4.82

TOTAL MUTUAL FUNDS (cost USD 1,681,168) 1,681,168 4.82

Time Deposits – 61.36% United States Dollar 9,057,897 ING Bank USD Time Deposit 0.200% 01/06/09 9,057,897 25.95 6,070,454 Rabobank USD Time Deposit 0.120% 01/06/09 6,070,454 17.40 6,284,981 BNP Paribas USD Time Deposit 0.170% 01/06/09 6,284,981 18.01 21,413,332 61.36

TOTAL TIME DEPOSITS (cost USD 21,413,332) 21,413,332 61.36

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY AND OPTIONS CONTRACTS (cost USD 40,908,230) 39,810,635 114.07

Forward Currency Contracts – (0.47%) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

03/06/2009 BRL 499,510 USD 224,701 27,198 0.08 04/06/2009 BRL 589,898 USD 269,670 27,740 0.08 05/06/2009 INR 5,241,197 USD 105,840 5,370 0.02 08/06/2009 BRL 945,868 USD 440,000 36,424 0.10

The accompanying notes are an integral part of these financial statements.

211 Goldman Sachs Funds—Global Currency Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

08/06/2009 KRW 720,314,750 USD 557,000 17,061 0.05 08/06/2009 PHP 8,597,000 USD 177,697 3,806 0.01 08/06/2009 USD 385,955 KRW 483,061,150 975 0.00 09/06/2009 BRL 370,738 USD 175,000 11,692 0.03 10/06/2009 KRW 68,448,597 USD 53,226 1,330 0.00 11/06/2009 INR 17,332,438 USD 350,000 17,547 0.05 12/06/2009 BRL 764,286 USD 352,963 31,632 0.09 12/06/2009 INR 5,206,391 USD 105,735 4,660 0.01 15/06/2009 BRL 896,793 USD 429,000 21,950 0.06 15/06/2009 INR 14,018,814 USD 282,101 15,061 0.04 15/06/2009 RUB 11,202,964 USD 347,000 14,947 0.04 15/06/2009 TWD 5,557,000 USD 169,809 1,396 0.00 15/06/2009 USD 369,264 KRW 462,541,193 524 0.00 17/06/2009 AUD 598,000 CAD 518,635 3,971 0.01 17/06/2009 AUD 198,584 EUR 109,000 4,535 0.01 17/06/2009 AUD 1,172,910 JPY 83,400,487 62,899 0.18 17/06/2009 AUD 125,000 NZD 155,238 787 0.00 17/06/2009 AUD 23,879,207 USD 16,762,249 2,270,290 6.50 17/06/2009 CAD 705,608 EUR 436,000 28,076 0.08 17/06/2009 CAD 15,014,989 USD 12,403,177 1,280,633 3.67 17/06/2009 CHF 1,089,835 EUR 720,500 340 0.00 17/06/2009 CHF 476,190 JPY 41,890,236 6,230 0.02 17/06/2009 CHF 10,961,119 USD 9,683,190 541,384 1.55 17/06/2009 CZK 14,599,487 EUR 539,090 6,364 0.02 17/06/2009 CZK 2,687,319 USD 132,394 8,740 0.03 17/06/2009 DKK 2,100,308 EUR 282,000 56 0.00 17/06/2009 DKK 486,321 USD 86,412 5,701 0.02 17/06/2009 EUR 1,990,252 CHF 2,991,481 16,775 0.05 17/06/2009 EUR 1,721,728 JPY 224,252,988 83,928 0.24 17/06/2009 EUR 13,062,857 USD 17,385,893 1,039,203 2.98 17/06/2009 GBP 143,000 CHF 239,021 8,059 0.02 17/06/2009 GBP 1,304,035 EUR 1,458,300 49,764 0.14 17/06/2009 GBP 707,075 JPY 99,454,466 102,496 0.29 17/06/2009 GBP 6,578,175 USD 9,803,059 824,083 2.36 17/06/2009 HUF 404,682,746 EUR 1,384,752 57,880 0.17 17/06/2009 ILS 3,058,462 USD 751,485 32,384 0.09 17/06/2009 JPY 1,383,653,840 USD 14,169,212 296,861 0.85 17/06/2009 MXN 38,204,432 USD 2,740,994 169,487 0.49 17/06/2009 NOK 1,085,000 SEK 1,288,438 1,863 0.01 17/06/2009 NOK 39,346,936 USD 5,940,311 303,401 0.87 17/06/2009 NZD 470,095 AUD 371,936 2,872 0.01 17/06/2009 NZD 543,564 EUR 233,000 17,451 0.05 17/06/2009 NZD 1,502,000 JPY 82,427,329 94,573 0.27 17/06/2009 NZD 14,878,295 USD 8,193,121 1,280,149 3.67 17/06/2009 PLN 784,699 USD 216,683 29,914 0.09 17/06/2009 SEK 6,037,284 EUR 558,392 10,415 0.03 17/06/2009 SEK 1,325,219 NOK 1,101,000 460 0.00 17/06/2009 SEK 92,444,181 USD 11,424,242 795,258 2.28 17/06/2009 SGD 4,792,859 USD 3,240,783 78,682 0.23 17/06/2009 TRY 6,549,694 USD 3,987,154 247,406 0.71 17/06/2009 ZAR 19,975,619 USD 2,251,595 251,333 0.72 19/06/2009 BRL 675,868 USD 330,125 9,409 0.03 22/06/2009 BRL 913,533 USD 439,269 19,331 0.06 22/06/2009 TWD 11,028,999 USD 337,000 3,256 0.01 30/06/2009 USD 45,106 CNY 307,172 74 0.00 01/07/2009 BRL 350,933 USD 172,026 3,768 0.01 06/07/2009 KRW 308,538,937 USD 237,099 9,081 0.03 13/07/2009 KRW 220,517,500 USD 175,000 984 0.00 22/07/2009 TWD 10,994,625 USD 337,000 3,550 0.01 31/07/2009 USD 711,000 HKD 5,507,328 128 0.00 03/08/2009 BRL 352,665 USD 172,368 2,948 0.01

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 10,306,545 29.53

The accompanying notes are an integral part of these financial statements.

212 Goldman Sachs Funds—Global Currency Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

03/06/2009 USD 246,977 BRL 499,510 (4,923) (0.01) 04/06/2009 USD 85,000 BRL 174,208 (2,831) (0.01) 08/06/2009 USD 342,000 BRL 698,398 (9,776) (0.03) 09/06/2009 USD 171,000 BRL 349,695 (5,096) (0.01) 10/06/2009 USD 72,944 KRW 112,815,000 (16,973) (0.05) 11/06/2009 USD 171,000 INR 8,172,090 (2,295) (0.01) 12/06/2009 USD 430,273 BRL 900,245 (22,738) (0.07) 12/06/2009 USD 349,000 CLP 196,346,350 (2,246) (0.01) 15/06/2009 KRW 128,648,000 USD 104,000 (1,441) (0.00) 15/06/2009 USD 92,000 BRL 195,086 (6,098) (0.02) 15/06/2009 USD 173,000 CLP 98,324,550 (2,917) (0.01) 15/06/2009 USD 356,588 EUR 255,308 (3,527) (0.01) 15/06/2009 USD 537,469 GBP 342,345 (15,598) (0.04) 15/06/2009 USD 164,994 TWD 5,557,000 (6,211) (0.02) 17/06/2009 CAD 556,745 AUD 638,636 (1,628) (0.00) 17/06/2009 CHF 437,085 AUD 540,000 (22,684) (0.06) 17/06/2009 CHF 536,301 GBP 315,000 (8,624) (0.02) 17/06/2009 CHF 94,912 NZD 144,540 (3,497) (0.01) 17/06/2009 EUR 203,736 CAD 326,470 (10,157) (0.03) 17/06/2009 EUR 1,135,348 CZK 31,064,898 (30,089) (0.09) 17/06/2009 EUR 346,232 DKK 2,586,629 (1,570) (0.00) 17/06/2009 EUR 1,773,446 GBP 1,592,501 (71,272) (0.20) 17/06/2009 EUR 1,011,158 HUF 304,896,569 (88,946) (0.25) 17/06/2009 EUR 370,926 NOK 3,318,427 (3,390) (0.01) 17/06/2009 EUR 302,000 NZD 706,423 (23,822) (0.07) 17/06/2009 EUR 1,321,921 PLN 5,973,854 (12,767) (0.04) 17/06/2009 EUR 1,191,339 SEK 12,889,790 (23,426) (0.07) 17/06/2009 GBP 182,112 NZD 475,996 (8,870) (0.03) 17/06/2009 JPY 58,204,769 AUD 810,000 (37,068) (0.11) 17/06/2009 JPY 67,002,495 CHF 781,682 (28,646) (0.08) 17/06/2009 JPY 196,509,043 EUR 1,503,838 (66,658) (0.19) 17/06/2009 JPY 85,103,144 GBP 604,450 (86,747) (0.25) 17/06/2009 JPY 23,958,288 NZD 434,000 (25,852) (0.07) 17/06/2009 NOK 6,410,533 EUR 724,550 (4,728) (0.01) 17/06/2009 NOK 250,000 JPY 3,809,250 (155) (0.00) 17/06/2009 PLN 5,373,027 EUR 1,200,755 (5,143) (0.01) 17/06/2009 USD 11,148,848 AUD 15,702,917 (1,366,911) (3.92) 17/06/2009 USD 11,472,293 CAD 13,960,517 (1,250,532) (3.58) 17/06/2009 USD 7,144,143 CHF 8,231,690 (534,410) (1.53) 17/06/2009 USD 24,090 CZK 496,687 (1,995) (0.01) 17/06/2009 USD 22,021,681 EUR 16,658,769 (1,475,432) (4.23) 17/06/2009 USD 12,812,520 GBP 8,662,435 (1,181,775) (3.39) 17/06/2009 USD 46,022 ILS 195,417 (4,063) (0.01) 17/06/2009 USD 13,108,092 JPY 1,279,326,803 (267,245) (0.77) 17/06/2009 USD 2,706,788 MXN 37,176,283 (125,367) (0.36) 17/06/2009 USD 8,741,848 NOK 58,208,776 (494,927) (1.42) 17/06/2009 USD 10,854,217 NZD 19,139,317 (1,332,120) (3.82) 17/06/2009 USD 173,580 PLN 593,396 (12,899) (0.04) 17/06/2009 USD 6,414,529 SEK 54,655,051 (809,911) (2.32) 17/06/2009 USD 1,822,998 SGD 2,789,760 (109,149) (0.31) 17/06/2009 USD 3,093,496 TRY 5,226,936 (285,865) (0.82) 17/06/2009 USD 3,458,210 ZAR 31,878,663 (536,160) (1.54) 18/06/2009 USD 68,000 IDR 717,400,000 (1,473) (0.00) 18/06/2009 USD 105,360 KRW 132,462,000 (254) (0.00) 22/06/2009 USD 178,000 INR 8,584,050 (3,833) (0.01) 26/06/2009 TWD 5,201,892 USD 160,651 (42) (0.00) 29/06/2009 USD 85,850 KRW 109,329,975 (1,362) (0.00) 30/06/2009 CNY 2,510,730 USD 368,355 (277) (0.00) 02/07/2009 TWD 5,508,968 USD 170,715 (425) (0.00) 06/07/2009 USD 205,200 KRW 260,809,200 (2,897) (0.01) 13/07/2009 HKD 5,961,090 USD 769,839 (506) (0.00) 13/07/2009 USD 769,000 HKD 5,961,090 (334) (0.00) 13/07/2009 USD 135,432 KRW 172,878,948 (2,534) (0.01) 31/07/2009 CNY 2,508,643 USD 368,355 (140) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (10,471,247) (30.00)

The accompanying notes are an integral part of these financial statements.

213 Goldman Sachs Funds—Global Currency Portfolio Schedule of Investments As at 31 May 2009

Options – 0.15% %of Number of Market Value Shareholders’ Contracts Security Description USD Equity

Purchased Options EUR 766,000 CALL EUR/USD Expires 11/06/2009 Strike 1.40 15,565 0.04

GBP 689,000 CALL GBP/USD Expires 11/06/2009 Strike 1.56 37,348 0.11 478,028 CALL GBP/PUT USD Expires 03/06/2009 Strike 1.62 879 0.00

38,227 0.11

TOTAL PURCHASED OPTIONS (cost USD 13,756) 53,792 0.15

MARKET VALUE OF INVESTMENTS (cost USD 40,921,986) 39,699,725 113.75

OTHER ASSETS AND LIABILITIES (4,798,494) (13.75)

SHAREHOLDERS’ EQUITY 34,901,231 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency and options contracts (cost USD 40,908,230) 39,810,635 114.07 Unrealised gain on forward currency contracts 10,306,545 29.53 Unrealised loss on forward currency contracts (10,471,247) (30.00) Total Purchased Options (cost USD 13,756) 53,792 0.15 Other Assets and Liabilities (4,798,494) (13.75)

Shareholders’ Equity 34,901,231 100.00

Rates disclosed for Commercial Papers, Government Bonds, Asset Backed Obligations and Time Deposits are those that were in effect at 31 May 2009. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, HSBC Bank Plc., JP Morgan Chase Bank, Merrill Lynch, Morgan Stanley London, Newedge Group, Peregrine Brockerage Inc., Royal Bank of Canada, Royal Bank of Scotland, Societe Generale, State Street Bank and Trust, State Street Bank London, UBS AG, UBS AG London and Westpac Banking Corp. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) This security is admitted to an official exchange listing. (e) The yield for this fund as at 31 May 2009 was 0.530%. (f) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

214 Goldman Sachs Funds—Global Currency Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 10.35% United States Dollar 3,500,000 Danske Bank A/S(c) 1.511% 23/08/10 3,514,315 4.32 3,700,000 Kreditanstalt fuer Wiederaufbau(c) 1.339% 30/07/12 3,700,000 4.55 1,200,000 Lloyds TSB Bank Plc.(c) 1.384% 17/02/11 1,208,664 1.48 8,422,979 10.35

TOTAL CORPORATE BONDS (cost USD 8,400,361) 8,422,979 10.35

Government Bonds – 3.43% United States Dollar 2,800,000 Province of Ontario Canada(c) 1.166% 22/05/12 2,789,828 3.43

TOTAL GOVERNMENT BONDS (cost USD 2,800,000) 2,789,828 3.43

Supranationals – 7.61% United States Dollar 3,200,000 European Investment Bank(c) 0.946% 05/03/12 3,195,814 3.93 3,000,000 International Bank for Reconstruction & Development(c) 0.821% 04/03/11 2,997,237 3.68

6,193,051 7.61

TOTAL SUPRANATIONALS (cost USD 6,200,000) 6,193,051 7.61

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 17,400,361) 17,405,858 21.39

Transferable securities dealt in another regulated market Commercial Papers – 11.68% United States Dollar 3,000,000 Bank of Scotland Plc. (Sydney) 1.050% 09/06/09 2,999,428 3.69 3,000,000 SG Australia Ltd. 0.000% 09/06/09 2,999,537 3.69 3,500,000 UBS AG (London) 1.192% 08/06/09 3,499,351 4.30 9,498,316 11.68

TOTAL COMMERCIAL PAPERS (cost USD 9,498,316) 9,498,316 11.68

Corporate Bonds – 6.56% United States Dollar 1,800,000 Bank of America Corp.(c) 1.339% 30/04/12 1,820,225 2.24 3,500,000 Morgan Stanley(c) 1.236% 10/02/12 3,517,104 4.32 5,337,329 6.56

TOTAL CORPORATE BONDS (cost USD 5,300,000) 5,337,329 6.56

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 14,798,316) 14,835,645 18.24

Other Transferable Securities Corporate Bonds – 2.21% United States Dollar 1,800,000 Suncorp-Metway Ltd.(c) 2.381% 15/04/11 1,795,988 2.21

TOTAL CORPORATE BONDS (cost USD 1,800,000) 1,795,988 2.21

The accompanying notes are an integral part of these financial statements.

215 Goldman Sachs Funds—Global Currency Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – 4.31% United States Dollar 3,500,000 Kommuninvest I Sverige(c) 1.354% 17/02/11 3,504,900 4.31

TOTAL GOVERNMENT BONDS (cost USD 3,500,000) 3,504,900 4.31

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 5,300,000) 5,300,888 6.52

Mutual Funds – 4.78% United States Dollar 3,887,144 Goldman Sachs US$ Liquid Reserves Fund(d)(e)(f) 3,887,144 4.78

TOTAL MUTUAL FUNDS (cost USD 3,887,143) 3,887,144 4.78

Time Deposits – 15.42% United States Dollar 12,545,554 Rabobank USD Time Deposit 0.120% 01/06/09 12,545,554 15.42

TOTAL TIME DEPOSITS (cost USD 12,545,554) 12,545,554 15.42

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY AND OPTIONS CONTRACTS (cost USD 53,931,374) 53,975,089 66.35

Forward Currency Contracts – 0.70% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

03/06/2009 BRL 3,294,000 USD 1,481,781 179,359 0.22 04/06/2009 BRL 3,850,906 USD 1,760,430 181,089 0.22 05/06/2009 INR 34,541,983 USD 697,536 35,388 0.04 08/06/2009 BRL 6,201,885 USD 2,885,000 238,824 0.29 08/06/2009 KRW 4,716,020,750 USD 3,647,000 111,474 0.14 08/06/2009 PHP 55,149,143 USD 1,139,916 24,413 0.03 08/06/2009 USD 2,514,105 KRW 3,146,653,575 6,352 0.01 09/06/2009 BRL 2,448,986 USD 1,156,000 77,234 0.10 10/06/2009 KRW 455,422,111 USD 354,139 8,846 0.01 11/06/2009 INR 114,196,003 USD 2,306,000 115,613 0.14 12/06/2009 BRL 5,122,905 USD 2,364,596 213,290 0.26 12/06/2009 INR 34,312,599 USD 696,844 30,709 0.04 15/06/2009 BRL 6,063,030 USD 2,900,000 148,779 0.18 15/06/2009 INR 85,381,656 USD 1,718,287 91,579 0.11 15/06/2009 RUB 74,901,664 USD 2,320,000 99,932 0.12 15/06/2009 TWD 39,727,000 USD 1,213,175 10,770 0.01 15/06/2009 USD 2,471,090 KRW 3,095,301,950 3,505 0.01 17/06/2009 AUD 3,971,000 CAD 3,443,613 26,708 0.03 17/06/2009 AUD 1,297,175 EUR 712,000 29,620 0.04 17/06/2009 AUD 7,860,470 JPY 559,376,853 416,788 0.51 17/06/2009 AUD 852,000 NZD 1,058,099 5,363 0.01 17/06/2009 AUD 20,309,060 USD 14,430,300 1,756,711 2.16 17/06/2009 CAD 4,692,544 EUR 2,899,000 187,494 0.23 17/06/2009 CAD 12,914,643 USD 10,848,107 921,566 1.13 17/06/2009 CHF 7,296,253 EUR 4,823,220 2,845 0.00 17/06/2009 CHF 3,192,821 JPY 280,876,813 41,714 0.05 17/06/2009 CHF 2,828,197 USD 2,504,503 133,651 0.17 17/06/2009 CZK 96,907,967 EUR 3,579,007 41,320 0.05 17/06/2009 CZK 9,314,878 USD 457,775 31,432 0.04 17/06/2009 DKK 14,523,405 EUR 1,950,000 385 0.00 17/06/2009 DKK 675,813 USD 125,890 2,115 0.00 17/06/2009 EUR 13,114,467 CHF 19,720,368 102,655 0.13 17/06/2009 EUR 11,445,598 JPY 1,490,827,478 557,389 0.69 17/06/2009 EUR 57,345,294 USD 76,332,715 4,552,541 5.60 17/06/2009 GBP 958,000 CHF 1,601,302 53,963 0.07

The accompanying notes are an integral part of these financial statements.

216 Goldman Sachs Funds—Global Currency Plus Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 GBP 8,667,738 EUR 9,694,588 328,694 0.40 17/06/2009 GBP 4,781,597 JPY 672,739,856 691,261 0.85 17/06/2009 GBP 17,625,866 USD 26,874,067 1,600,788 1.97 17/06/2009 HUF 2,672,523,558 EUR 9,146,354 380,179 0.47 17/06/2009 HUF 44,965,609 USD 217,540 5,915 0.01 17/06/2009 ILS 21,058,427 USD 5,174,565 222,609 0.27 17/06/2009 JPY 3,201,645,303 USD 33,105,554 367,583 0.45 17/06/2009 MXN 255,031,137 USD 18,305,852 1,122,871 1.38 17/06/2009 NOK 7,490,000 SEK 8,946,056 6,028 0.01 17/06/2009 NOK 7,107,380 USD 1,070,762 57,062 0.07 17/06/2009 NZD 3,068,160 AUD 2,427,504 18,748 0.02 17/06/2009 NZD 3,598,819 EUR 1,542,000 116,447 0.14 17/06/2009 NZD 10,059,000 JPY 551,986,977 633,728 0.78 17/06/2009 NZD 26,006,698 USD 14,794,658 1,764,260 2.17 17/06/2009 PLN 4,525,358 USD 1,234,896 187,234 0.23 17/06/2009 SEK 41,070,892 EUR 3,798,623 70,912 0.09 17/06/2009 SEK 8,861,271 NOK 7,362,000 3,076 0.00 17/06/2009 SEK 42,717,066 USD 5,296,689 349,758 0.43 17/06/2009 SGD 571,147 USD 384,417 11,151 0.01 17/06/2009 TRY 43,711,784 USD 26,640,526 1,620,368 1.99 17/06/2009 ZAR 126,812,991 USD 14,324,630 1,564,930 1.92 19/06/2009 BRL 4,509,611 USD 2,202,060 63,421 0.08 22/06/2009 BRL 6,154,256 USD 2,960,075 129,411 0.16 22/06/2009 TWD 76,008,458 USD 2,322,500 22,439 0.03 30/06/2009 USD 195,786 CNY 1,333,305 321 0.00 01/07/2009 BRL 2,425,748 USD 1,189,092 26,045 0.03 06/07/2009 KRW 2,014,387,685 USD 1,547,974 59,285 0.07 13/07/2009 KRW 1,452,895,300 USD 1,153,000 6,483 0.01 22/07/2009 TWD 75,771,563 USD 2,322,500 24,468 0.03 31/07/2009 USD 4,649,000 HKD 36,010,643 836 0.00 03/08/2009 BRL 2,437,719 USD 1,191,456 20,375 0.03

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 21,918,102 26.94

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

03/06/2009 USD 1,628,677 BRL 3,294,000 (32,463) (0.04) 04/06/2009 USD 591,000 BRL 1,211,255 (19,681) (0.03) 08/06/2009 USD 2,365,000 BRL 4,829,567 (67,602) (0.08) 09/06/2009 USD 1,182,500 BRL 2,418,213 (35,237) (0.04) 10/06/2009 USD 277,275 KRW 428,833,140 (64,518) (0.08) 11/06/2009 USD 1,177,000 INR 56,248,830 (15,799) (0.02) 12/06/2009 USD 2,726,075 BRL 5,703,866 (144,155) (0.18) 12/06/2009 USD 2,299,000 CLP 1,293,410,050 (14,793) (0.02) 15/06/2009 KRW 860,952,000 USD 696,000 (9,646) (0.01) 15/06/2009 USD 614,000 BRL 1,301,987 (40,701) (0.05) 15/06/2009 USD 1,160,000 CLP 659,286,000 (19,561) (0.02) 15/06/2009 USD 2,385,325 EUR 1,707,829 (23,595) (0.03) 15/06/2009 USD 3,596,126 GBP 2,290,580 (104,366) (0.13) 15/06/2009 USD 1,179,543 TWD 39,727,000 (44,402) (0.06) 17/06/2009 CAD 3,682,557 AUD 4,224,112 (10,687) (0.01) 17/06/2009 CHF 2,886,405 AUD 3,568,000 (151,367) (0.19) 17/06/2009 CHF 3,490,209 GBP 2,050,000 (56,125) (0.07) 17/06/2009 CHF 633,181 NZD 964,260 (23,327) (0.03) 17/06/2009 EUR 1,346,252 CAD 2,157,802 (67,617) (0.08) 17/06/2009 EUR 7,457,248 CZK 204,003,896 (195,631) (0.24) 17/06/2009 EUR 2,034,483 DKK 15,199,218 (9,226) (0.01) 17/06/2009 EUR 11,752,287 GBP 10,552,377 (470,982) (0.58) 17/06/2009 EUR 6,760,477 HUF 2,038,436,348 (594,360) (0.73) 17/06/2009 EUR 2,301,148 NOK 20,585,053 (20,751) (0.03) 17/06/2009 EUR 2,029,000 NZD 4,747,061 (160,642) (0.20) 17/06/2009 EUR 8,689,491 PLN 39,249,221 (77,893) (0.10) 17/06/2009 EUR 8,104,503 SEK 87,653,779 (154,931) (0.19) 17/06/2009 GBP 1,194,307 NZD 3,121,478 (58,079) (0.07) 17/06/2009 JPY 386,407,350 AUD 5,376,000 (244,974) (0.30)

The accompanying notes are an integral part of these financial statements.

217 Goldman Sachs Funds—Global Currency Plus Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 JPY 439,823,258 CHF 5,130,458 (187,368) (0.23) 17/06/2009 JPY 1,305,837,500 EUR 9,994,406 (444,556) (0.55) 17/06/2009 JPY 573,990,003 GBP 4,077,600 (586,371) (0.72) 17/06/2009 JPY 163,406,600 NZD 2,962,000 (177,544) (0.22) 17/06/2009 NOK 43,116,684 EUR 4,872,830 (31,195) (0.04) 17/06/2009 NOK 1,646,000 JPY 25,080,102 (1,019) (0.00) 17/06/2009 PLN 35,951,127 EUR 8,034,333 (34,463) (0.04) 17/06/2009 USD 10,526,039 AUD 14,619,838 (1,126,469) (1.39) 17/06/2009 USD 10,849,613 CAD 13,190,869 (1,171,798) (1.44) 17/06/2009 USD 538,714 CHF 628,163 (47,239) (0.06) 17/06/2009 USD 132,005 CZK 2,721,684 (10,934) (0.01) 17/06/2009 USD 74,744,883 EUR 55,774,202 (3,924,356) (4.82) 17/06/2009 USD 16,392,830 GBP 10,707,722 (905,658) (1.11) 17/06/2009 USD 305,468 ILS 1,297,079 (26,967) (0.03) 17/06/2009 USD 34,321,998 JPY 3,342,263,146 (621,295) (0.76) 17/06/2009 USD 18,077,303 MXN 248,242,604 (834,258) (1.03) 17/06/2009 USD 210,000 NOK 1,414,287 (14,424) (0.02) 17/06/2009 USD 15,967,551 NZD 28,280,635 (2,039,223) (2.51) 17/06/2009 USD 1,175,370 PLN 4,017,617 (87,198) (0.11) 17/06/2009 USD 2,070,000 SEK 17,337,521 (221,716) (0.27) 17/06/2009 USD 7,548,925 SGD 11,590,988 (478,825) (0.59) 17/06/2009 USD 20,743,183 TRY 34,984,984 (1,875,590) (2.31) 17/06/2009 USD 22,709,189 ZAR 208,919,535 (3,468,252) (4.26) 18/06/2009 USD 464,000 IDR 4,895,200,000 (10,053) (0.01) 18/06/2009 USD 852,134 KRW 1,069,365,000 (480) (0.00) 22/06/2009 USD 1,232,000 INR 59,413,200 (26,532) (0.03) 26/06/2009 TWD 39,071,722 USD 1,206,440 (94) (0.00) 29/06/2009 USD 596,910 KRW 760,164,885 (9,468) (0.01) 30/06/2009 CNY 16,447,411 USD 2,413,035 (1,814) (0.00) 02/07/2009 TWD 38,142,367 USD 1,181,976 (2,941) (0.00) 06/07/2009 USD 1,419,000 KRW 1,803,549,000 (20,033) (0.03) 13/07/2009 HKD 35,733,954 USD 4,614,823 (3,026) (0.00) 13/07/2009 USD 4,610,000 HKD 35,733,954 (1,797) (0.00) 13/07/2009 USD 936,540 KRW 1,195,493,310 (17,523) (0.02) 31/07/2009 CNY 16,433,737 USD 2,413,035 (919) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (21,344,509) (26.24)

Options – 0.44% %of Number of Market Value Shareholders’ Contracts Security Description USD Equity

Purchased Options EUR 5,124,000 CALL EUR/USD Expires 11/06/2009 Strike 1.40 104,115 0.13

GBP 4,610,000 CALL GBP/USD Expires 11/06/2009 Strike 1.56 249,892 0.31

TOTAL PURCHASED OPTIONS (cost USD 84,187) 354,007 0.44

MARKET VALUE OF INVESTMENTS (cost USD 54,015,561) 54,902,689 67.49

OTHER ASSETS AND LIABILITIES 26,446,645 32.51

SHAREHOLDERS’ EQUITY 81,349,334 100.00

The accompanying notes are an integral part of these financial statements.

218 Goldman Sachs Funds—Global Currency Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency and options contracts. (cost USD 53,931,374) 53,975,089 66.35 Unrealised gain on forward currency contracts 21,918,102 26.94 Unrealised loss on forward currency contracts (21,344,509) (26.24) Market Value of purchased options (cost USD 84,187) 354,007 0.44 Other Assets and Liabilities 26,446,645 32.51

Shareholders’ Equity 81,349,334 100.00

Rates disclosed for Commercial Papers, Corporate Bonds, Government Bonds, Supranationals and Time Deposits are those that were in effect at 31 May 2009. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, JP Morgan Chase Bank NA, Merrill Lynch International, Royal Bank of Canada, Royal Bank of Scotland, State Street Bank and Trust, UBS AG London and Westpac Banking Corp. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) This security is admitted to an official exchange listing. (e) The yield for this fund as at 31 May 2009 was 0.530%. (f) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

219 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 25.91% British Pound Sterling 125,000 Kreditanstalt fuer Wiederaufbau 5.250% 12/01/12 153,547 0.11 100,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 69,862 0.05 150,000 Resolution Plc.(c) 6.586% 29/11/49 25,769 0.02 500,000 SL Finance Plc.(c) 6.546% 29/01/49 269,142 0.20 800,000 UBS AG/London 6.625% 11/04/18 938,733 0.70

1,457,053 1.08

Euro 400,000 Alliance & Leicester Plc. 5.000% 04/10/10 402,128 0.30 200,000 Allianz Finance II BV 5.000% 06/03/13 209,236 0.15 60,000 Allied Irish Banks Plc.(c) 7.500% 29/12/49 24,000 0.02 200,000 American International Group, Inc.(c) 4.875% 15/03/67 30,000 0.02 200,000 ArcelorMittal 8.250% 03/06/13 204,582 0.15 50,000 Atlantia SpA 5.625% 06/05/16 50,985 0.04 50,000 Australia & New Zealand Banking Group Ltd. 5.250% 20/05/13 52,012 0.04 150,000 Autoroutes du Sud de la France 7.375% 20/03/19 157,595 0.12 550,000 Aviva Plc. 6.875% 22/05/38 347,055 0.26 200,000 AXA S.A.(c) 5.777% 29/07/49 112,466 0.08 400,000 AXA S.A.(c) 6.211% 29/10/49 228,000 0.17 450,000 BA Covered Bond Issuer 4.125% 05/04/12 434,970 0.32 250,000 BA Covered Bond Issuer 4.250% 05/04/17 206,298 0.15 23,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 18,400 0.01 150,000 Banco Bilbao Vizcaya Argentaria S.A. 4.500% 30/05/14 153,989 0.11 500,000 Banco Popolare Scarl(c) 6.156% 29/06/49 225,000 0.17 400,000 Banco Santander S.A. 3.875% 27/05/14 398,520 0.29 600,000 BAT International Finance Plc. 5.875% 12/03/15 625,596 0.46 400,000 BNP Paribas 5.000% 16/12/13 420,232 0.31 800,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 319,760 0.24 750,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 783,090 0.58 150,000 Casino Guichard Perrachon S.A. 4.875% 10/04/14 146,979 0.11 650,000 Centrica Plc. 7.125% 09/12/13 719,608 0.53 1,000,000 Chester Asset Receivables Dealings No 11—Series A 6.125% 15/10/10 931,610 0.69 450,000 Commerzbank AG 5.000% 06/02/14 462,339 0.34 250,000 Commerzbank AG(c) 4.125% 13/09/16 175,000 0.13 400,000 Credit Suisse/London 6.125% 16/05/14 422,068 0.31 50,000 Deutsche Postbank Funding Trust IV(c) 5.983% 29/06/49 22,625 0.02 500,000 Diageo Finance Plc. 6.625% 05/12/14 548,705 0.41 200,000 France Telecom S.A. 5.625% 22/05/18 207,100 0.15 50,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 27,341 0.02 250,000 GE Capital European Funding 5.250% 18/05/15 247,963 0.18 600,000 Glencore Finance Europe S.A. 7.125% 23/04/15 483,006 0.36 50,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 18,500 0.01 400,000 Imperial Tobacco Finance Plc. 7.250% 15/09/14 414,196 0.31 650,000 Imperial Tobacco Finance Plc. 8.375% 17/02/16 680,907 0.50 400,000 ING Bank NV 4.750% 27/05/19 394,164 0.29 450,000 Intesa Sanpaolo SpA 5.000% 28/04/11 469,651 0.35 550,000 Intesa Sanpaolo SpA 6.625% 08/05/18 527,780 0.39 50,000 Intesa Sanpaolo SpA 8.047% 29/06/49 35,250 0.03 450,000 Kommunekredit 4.375% 02/10/12 467,356 0.34 250,000 Kreditanstalt fuer Wiederaufbau 2.250% 21/05/12 249,632 0.18 1,245,000 Kreditanstalt fuer Wiederaufbau 4.375% 04/07/18 1,265,742 0.94 50,000 Merrill Lynch & Co., Inc. 6.750% 21/05/13 49,385 0.04 1,200,000 Morgan Stanley 5.500% 02/10/17 1,063,188 0.79 400,000 MUFG Capital Finance 4 Ltd.(c) 5.271% 29/01/49 276,000 0.20 100,000 Old Mutual Plc.(c) 4.500% 18/01/17 44,000 0.03 828,000 Resona Bank Ltd.(c) 4.125% 31/12/49 579,600 0.43 275,000 Royal Bank of Scotland Group Plc. 5.250% 15/05/13 272,665 0.20 150,000 Royal Bank of Scotland Group Plc.(c) 7.092% 29/10/49 48,000 0.04 500,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 408,105 0.30 550,000 Royal KPN NV 4.750% 29/05/14 558,580 0.41 200,000 SL Finance Plc. 6.375% 12/07/22 147,232 0.11 100,000 SL Finance Plc.(c) 5.314% 29/01/49 49,000 0.04 600,000 Societe Financement de l’Economie Francaise 2.125% 20/05/12 598,764 0.44

The accompanying notes are an integral part of these financial statements.

220 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Corporate Bonds – (continued) Euro – (continued) 500,000 Societe Generale(c) 7.756% 22/05/49 309,375 0.23 200,000 St George Bank Ltd. 6.500% 24/06/13 211,796 0.16 320,000 Sumitomo Mitsui Banking Corp.(c) 4.375% 31/12/49 240,000 0.18 550,000 Telefonica Emisiones SAU 5.580% 12/06/13 580,992 0.43 650,000 Tesco Plc. 5.875% 12/09/16 691,067 0.51 300,000 UniCredit SpA 6.700% 05/06/18 237,393 0.18 50,000 UniCredito Italiano SpA(c) 4.125% 20/09/16 44,867 0.03 700,000 UniCredito Italiano SpA 5.750% 26/09/17 671,055 0.50 1,130,000 UT2 Funding Plc. 5.321% 30/06/16 259,900 0.19 500,000 Verizon Wireless Capital 8.750% 18/12/15 577,700 0.43 400,000 Wachovia Bank NA 6.000% 23/05/13 406,912 0.30 300,000 WM Covered Bond Program 4.000% 27/09/16 248,439 0.18 350,000 WPP Plc. 4.375% 05/12/13 315,455 0.23 23,210,906 17.16

United States Dollar 800,000 AT&T, Inc. 5.600% 15/05/18 550,955 0.41 100,000 AT&T, Inc. 6.300% 15/01/38 63,789 0.05 2,000 Bank Nederlandse Gemeenten 5.125% 20/10/11 1,514 0.00 950,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 107,752 0.08 200,000 Bear Stearns Cos, Inc. 5.850% 19/07/10 146,265 0.11 250,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 180,663 0.13 400,000 Capital One Financial Corp. 5.700% 15/09/11 276,860 0.21 65,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 51,643 0.04 600,000 Countrywide Financial Corp. 6.250% 15/05/16 353,067 0.26 50,000 DR Horton, Inc. 7.875% 15/08/11 35,445 0.03 160,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 95,671 0.07 40,000 Endurance Specialty Holdings Ltd. 7.000% 15/07/34 18,220 0.01 25,000 Energy Transfer Partners LP 5.650% 01/08/12 17,545 0.01 200,000 Energy Transfer Partners LP 8.500% 15/04/14 151,810 0.11 150,000 Energy Transfer Partners LP 9.000% 15/04/19 115,977 0.09 450,000 Enterprise Products Operating LLC 6.500% 31/01/19 296,974 0.22 1,200,000 Europaische Hypothekenbank S.A. Luxembourg 4.625% 30/09/10 840,013 0.62 100,000 HSBC Finance Corp. 5.500% 19/01/16 64,104 0.05 900,000 HSBC Holdings Plc. 6.800% 01/06/38 587,601 0.43 75,000 ING Bank NV(c) 0.836% 23/05/16 40,170 0.03 820,000 Kreditanstalt fuer Wiederaufbau 5.125% 14/03/16 610,049 0.45 350,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 223,628 0.17 400,000 Nord/LB Covered Finance Banks S.A. 5.375% 05/06/17 233,067 0.17 560,000 Petroleos Mexicanos 8.000% 03/05/19 431,716 0.32 500,000 Philip Morris International, Inc. 6.875% 17/03/14 391,622 0.29 400,000 Reed Elsevier Capital, Inc. 7.750% 15/01/14 296,252 0.22 600,000 Simon Property Group LP 5.600% 01/09/11 420,877 0.31 400,000 Simon Property Group, Inc. 5.300% 30/05/13 269,368 0.20 200,000 Simon Property Group, Inc. 6.125% 30/05/18 126,873 0.09 800,000 SLM Corp. 8.450% 15/06/18 380,901 0.28 100,000 Telecom Italia Capital S.A. 4.875% 01/10/10 71,744 0.05 650,000 Telecom Italia Capital S.A. 6.999% 04/06/18 436,467 0.32 100,000 Telecom Italia Capital S.A. 6.000% 30/09/34 54,198 0.04 200,000 Telecom Italia Capital S.A. 7.200% 18/07/36 119,440 0.09 180,000 Telefonica Europe BV 7.750% 15/09/10 134,923 0.10 500,000 Time Warner Cable, Inc. 8.750% 14/02/19 398,224 0.29 326,000 Transocean, Inc. 6.800% 15/03/38 223,344 0.17 400,000 Wells Fargo Capital XIII(c) 7.700% 29/12/49 221,175 0.16 1,475,000 Westpac Securities NZ Ltd. 144A(d) 2.500% 25/05/12 1,038,472 0.77 450,000 XTO Energy, Inc. 5.500% 15/06/18 301,272 0.22

10,379,650 7.67

TOTAL CORPORATE BONDS (cost EUR 38,988,398) 35,047,609 25.91

The accompanying notes are an integral part of these financial statements.

221 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Government Bonds – 37.78% British Pound Sterling 240,000 UK Treasury 8.000% 27/09/13 335,291 0.25 350,000 UK Treasury 4.750% 07/03/20 432,419 0.32 400,000 UK Treasury 4.750% 07/12/30 477,728 0.35 200,000 UK Treasury 4.750% 07/12/38 236,071 0.17 420,000 UK Treasury 4.500% 07/12/42 474,119 0.35 400,000 United Kingdom Gilt 4.000% 07/03/22 453,028 0.34 300,000 United Kingdom Gilt 4.250% 07/09/39 323,519 0.24

2,732,175 2.02

Danish Krone 2,200,000 Denmark Government Bond 4.000% 15/11/19 296,341 0.22

Euro 500,000 Austria Government Bond 4.350% 15/03/19 500,235 0.37 780,000 Belgium Government Bond 3.500% 28/03/15 780,390 0.58 300,000 Belgium Government Bond 5.500% 28/03/28 330,576 0.24 2,500,000 Bundesrepublik Deutschland 2.500% 08/10/10 2,544,500 1.88 4,000,000 Bundesrepublik Deutschland 3.500% 14/10/11 4,178,640 3.09 1,000,000 Bundesrepublik Deutschland 4.250% 12/10/12 1,068,820 0.79 1,200,000 Bundesrepublik Deutschland 4.250% 04/07/14 1,285,644 0.95 1,800,000 Bundesrepublik Deutschland 3.500% 04/01/16 1,840,122 1.36 1,260,000 Bundesrepublik Deutschland 4.000% 04/01/37 1,174,396 0.87 1,850,000 French Treasury Note BTAN 2.500% 12/01/14 1,823,045 1.35 600,000 Government of France 4.250% 25/04/19 612,540 0.45 950,000 Government of France 5.750% 25/10/32 1,106,741 0.82 510,000 Government of Netherlands 4.500% 15/07/17 534,363 0.39 580,000 Hellenic Republic Government Bond 6.000% 19/07/19 603,113 0.45 420,000 Hellenic Republic Government Bond 4.700% 20/03/24 377,026 0.28 180,000 Ireland Government Bond 4.400% 18/06/19 165,103 0.12 1,500,000 Italy Buoni Poliennali Del Tesoro 3.750% 15/12/13 1,524,015 1.13 1,400,000 Italy Buoni Poliennali Del Tesoro 4.500% 01/08/18 1,413,874 1.04 1,180,000 Italy Buoni Poliennali Del Tesoro 6.000% 01/05/31 1,274,907 0.94 1,210,000 Republic of Finland 3.125% 15/09/14 1,209,334 0.89 100,000 Republic of Finland 4.375% 04/07/19 102,369 0.08

24,449,753 18.07

Japanese Yen 450,000,000 Government of Japan 0.400% 15/05/11 3,338,107 2.47 300,000,000 Government of Japan 1.400% 20/12/11 2,278,180 1.68 220,000,000 Government of Japan 1.300% 20/09/12 1,670,078 1.23 450,000,000 Government of Japan 0.800% 20/03/13 3,353,079 2.48 245,187,000 Government of Japan 1.000% 10/06/16 1,555,245 1.15 15,000,000 Government of Japan 1.700% 20/09/16 114,849 0.09 50,000,000 Government of Japan 1.700% 20/12/16 382,794 0.28 71,355,000 Government of Japan 1.200% 10/03/17 454,462 0.34 200,000,000 Government of Japan 1.300% 20/03/18 1,468,131 1.09 17,000,000 Government of Japan 1.500% 20/09/18 126,477 0.09 72,000,000 Government of Japan 1.300% 20/12/18 525,278 0.39 80,000,000 Government of Japan 2.600% 20/03/19 651,543 0.48 60,000,000 Government of Japan 1.300% 20/03/19 436,829 0.32 94,000,000 Government of Japan 1.900% 20/06/25 689,596 0.51 150,000,000 Government of Japan 2.100% 20/06/27 1,111,813 0.82 115,000,000 Government of Japan 2.100% 20/03/29 846,246 0.63 107,000,000 Government of Japan 2.500% 20/09/37 831,612 0.61

19,834,319 14.66

Mexican Peso 11,360,000 Mexican Bonos 8.000% 19/12/13 641,043 0.48 11,800,000 Mexican Bonos 10.000% 05/12/24 733,172 0.54

1,374,215 1.02

The accompanying notes are an integral part of these financial statements.

222 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Government Bonds – (continued) Polish Zloty 1,300,000 Poland Government Bond 4.750% 25/04/12 283,745 0.21

United States Dollar 300,000 Development Bank of Japan 5.125% 01/02/17 221,692 0.16 500,000 Japan Bank for International Cooperation 4.875% 22/03/12 376,904 0.28 400,000 Province of Quebec Canada 5.125% 14/11/16 278,379 0.21 450,000 United States Treasury Bond 6.625% 15/02/27 403,269 0.30 1,000,000 United States Treasury Note/Bond 6.125% 15/11/27 851,225 0.63 2,131,469 1.58

TOTAL GOVERNMENT BONDS (cost EUR 51,620,634) 51,102,017 37.78

Supranationals – 0.42% British Pound Sterling 125,000 European Investment Bank 5.500% 07/12/11 155,222 0.11

United States Dollar 300,000 Inter-American Development Bank 3.000% 22/04/14 209,318 0.16 300,000 International Finance Corp. 3.000% 22/04/14 204,870 0.15

414,188 0.31

TOTAL SUPRANATIONALS (cost EUR 599,535) 569,410 0.42

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 91,208,567) 86,719,036 64.11

Transferable securities dealt in another regulated market Corporate Bonds – 4.24% United States Dollar 550,000 Altria Group, Inc. 9.700% 10/11/18 429,764 0.32 550,000 Anglo American Capital Plc. 144A(d) 9.375% 08/04/14 405,989 0.30 350,000 ArcelorMittal 9.850% 01/06/19 250,804 0.19 150,000 Bank of America Corp. 7.375% 15/05/14 110,547 0.08 450,000 Bank of America Corp. 7.625% 01/06/19 317,882 0.24 50,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 27,839 0.02 150,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 69,784 0.05 200,000 Canadian Natural Resources Ltd. 6.750% 01/02/39 127,272 0.09 750,000 Comcast Corp. 5.700% 15/05/18 518,012 0.38 700,000 Comcast Corp. 6.400% 15/05/38 449,660 0.33 290,000 COX Communications, Inc. 4.625% 15/01/10 206,277 0.15 250,000 Deutsche Telekom International Finance BV 6.750% 20/08/18 186,981 0.14 750,000 International Lease Finance Corp. 4.950% 01/02/11 442,615 0.33 900,000 JPMorgan Chase & Co.(c) 7.900% 29/04/49 523,278 0.39 10,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 6,247 0.00 400,000 Pfizer, Inc. 7.200% 15/03/39 308,598 0.23 250,000 Ras Laffan Liquefied Natural Gas Co., Ltd. III 5.832% 30/09/16 173,874 0.13 400,000 Roche Holdings, Inc. 144A(d) 5.000% 01/03/14 296,794 0.22 300,000 Swiss Re Capital I LP 144A(c)(d) 6.854% 29/05/49 122,558 0.09 600,000 Telefonica Emisiones SAU 7.045% 20/06/36 447,748 0.33 25,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 18,474 0.01 650,000 ZFS Finance USA Trust I 144A(d) 6.150% 15/12/65 297,203 0.22

5,738,200 4.24

TOTAL CORPORATE BONDS (cost EUR 5,950,560) 5,738,200 4.24

The accompanying notes are an integral part of these financial statements.

223 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Government Bonds – 2.61% Canadian Dollar 1,850,000 Government of Canada 3.750% 01/06/12 1,260,853 0.93 730,000 Government of Canada 3.500% 01/06/13 493,110 0.37 650,000 Government of Canada 3.750% 01/06/19 428,071 0.32 750,000 Government of Canada 5.750% 01/06/33 597,705 0.44 2,779,739 2.06

United States Dollar 465,000 Federal Farm Credit Bank 4.700% 10/08/15 345,864 0.25 500,000 United States Treasury Bonds 4.500% 15/02/36 352,015 0.26 120,000 United States Treasury Strip Principal 4.281% 15/05/20 52,173 0.04 750,052 0.55

TOTAL GOVERNMENT BONDS (cost EUR 3,540,469) 3,529,791 2.61

Preferred Stocks – 0.09% United States Dollar 250,000 Resona Preferred Global Securities Cayman Ltd. 144A(c)(d) 7.191% 122,284 0.09

TOTAL PREFERRED STOCKS (cost EUR 180,501) 122,284 0.09

Agencies Asset Backed Obligations – 10.80% United States Dollar 600,000 Federal Home Loan Mortgage Corp. (FHLMC) 1.750% 15/06/12 423,654 0.31 65,376 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/35 46,992 0.03 139,649 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/35 100,378 0.07 61,646 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/35 44,412 0.03 51,785 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/36 37,222 0.03 536,099 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/36 385,342 0.28 98,514 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/36 70,811 0.05 463,928 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/37 337,478 0.25 313,283 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/06/37 227,893 0.17 87,685 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/37 63,785 0.05 35,437 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/37 25,778 0.02 908,171 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 670,658 0.50 368,073 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/08/38 267,734 0.20 199,686 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/39 143,355 0.11 338,779 Federal Home Loan Mortgage Corp. Remic(c) 0.694% 15/11/36 235,525 0.17 306,415 Federal Home Loan Mortgage Corp. Remic(c) 0.684% 15/05/37 213,148 0.16 253,495 Federal Home Loan Mortgage Corp. Remic(c) 0.794% 15/07/37 176,635 0.13 500,000 Federal National Mortgage Association (FNMA) 2.500% 15/05/14 347,684 0.26 47,376 Federal National Mortgage Association (FNMA) 4.500% 01/07/22 34,123 0.02 459,504 Federal National Mortgage Association (FNMA) 5.000% 01/02/23 334,970 0.25 884,648 Federal National Mortgage Association (FNMA) 4.500% 01/04/23 637,229 0.47 22,429 Federal National Mortgage Association (FNMA) 4.500% 01/06/23 16,156 0.01 395,525 Federal National Mortgage Association (FNMA) 5.500% 01/04/33 288,814 0.21 41,156 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 30,052 0.02 11,204 Federal National Mortgage Association (FNMA) 5.500% 01/03/34 8,176 0.01 11,341 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 8,276 0.01 31,242 Federal National Mortgage Association (FNMA) 5.500% 01/10/34 22,799 0.02 245,646 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 179,263 0.13 15,679 Federal National Mortgage Association (FNMA) 6.000% 01/02/35 11,645 0.01 20,267 Federal National Mortgage Association (FNMA) 5.500% 01/07/35 14,777 0.01 13,730 Federal National Mortgage Association (FNMA) 5.500% 01/08/35 10,010 0.01 15,070 Federal National Mortgage Association (FNMA) 6.000% 01/11/35 11,163 0.01 7,287 Federal National Mortgage Association (FNMA) 6.000% 01/03/36 5,398 0.00 12,949 Federal National Mortgage Association (FNMA) 5.500% 01/04/36 9,428 0.01 23,377 Federal National Mortgage Association (FNMA) 5.500% 01/06/36 17,021 0.01 6,067 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 4,486 0.00 1,259 Federal National Mortgage Association (FNMA) 6.000% 01/12/36 930 0.00 31,111 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 22,645 0.02 29,144 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 21,213 0.02

The accompanying notes are an integral part of these financial statements.

224 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 25,347 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 18,449 0.01 24,685 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 17,968 0.01 13,653 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 9,938 0.01 15,796 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 11,498 0.01 7,051 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 5,209 0.00 1,613,623 Federal National Mortgage Association (FNMA)(c) 5.819% 01/09/37 1,195,049 0.88 1,475,743 Federal National Mortgage Association (FNMA)(c) 5.940% 01/10/37 1,093,188 0.81 378,196 Federal National Mortgage Association (FNMA) 6.500% 01/11/37 285,203 0.21 47,271 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 34,909 0.03 864,303 Federal National Mortgage Association (FNMA) 5.000% 01/04/38 621,031 0.46 326,006 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 237,280 0.18 52,921 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 38,518 0.03 24,593 Federal National Mortgage Association (FNMA) 5.000% 01/05/38 17,671 0.01 148,335 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 107,964 0.08 77,009 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 56,050 0.04 233,604 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 170,026 0.13 143,402 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 104,374 0.08 34,088 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 24,810 0.02 37,471 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 27,273 0.02 41,905 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 30,500 0.02 30,624 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 22,289 0.02 2,000,000 Federal National Mortgage Association (FNMA) 5.500% 01/12/99 1,473,168 1.09 2,000,000 Federal National Mortgage Association (FNMA) TBA(e) 5.500% 01/12/99 1,453,673 1.07 314,649 Federal National Mortgage Association Remic(c) 0.669% 25/03/37 218,895 0.16 264,041 Federal National Mortgage Association Remic(c) 1.149% 25/04/48 185,227 0.14 1,840,967 Federal National Mortgage Association Remic(c) 1.249% 25/07/48 1,291,415 0.95 400,000 Government National Mortgage Association (GNMA) 4.500% 15/05/39 282,379 0.21 100,000 Government National Mortgage Association (GNMA) 4.500% 15/05/39 70,595 0.05

14,611,607 10.80

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost EUR 14,966,638) 14,611,607 10.80

Non-Agencies Asset Backed Obligations – 7.99% Euro 175,405 JLOC Ltd.(c) 1.471% 16/02/16 144,709 0.11 1,000,000 Pillar Funding Plc.(c) 1.391% 15/11/12 905,220 0.67 334,301 Titan Europe Plc.(c) 1.575% 23/04/17 145,395 0.11

1,195,324 0.89

Japanese Yen 25,324,000 JLOC Ltd.(c) 0.794% 15/01/15 168,514 0.12 14,034,000 JLOC Ltd.(c) 0.796% 16/02/16 87,823 0.07

256,337 0.19

United States Dollar 150,000 Banc of America Commercial Mortgage, Inc. “A4” 5.451% 15/01/49 77,387 0.06 1,175,615 Banc of America Funding Corp.(c) 0.506% 20/10/46 400,282 0.30 600,000 Banc of America Funding Corp.(c) 0.596% 20/06/47 84,651 0.06 256,029 BCAP LLC Trust(c) 0.949% 25/11/36 76,888 0.06 827,693 Bear Stearns Alt-A Trust II(c) 6.105% 25/09/47 288,005 0.21 291,798 Countrywide Alternative Loan Trust(c) 2.749% 20/07/35 83,418 0.06 1,301,621 Countrywide Alternative Loan Trust 5.500% 25/10/35 747,387 0.55 1,373,757 Countrywide Alternative Loan Trust(c) 0.526% 20/03/46 376,094 0.28 1,222,314 Countrywide Alternative Loan Trust “A2”(c) 0.499% 25/10/46 353,597 0.26 237,888 Countrywide Home Equity Loan Trust(c) 0.494% 15/11/36 60,452 0.05 500,000 Fosse Master Issuer Plc.(c) 1.187% 18/10/54 328,318 0.24 1,625,708 Harborview Mortgage Loan Trust(c) 5.959% 19/08/36 531,693 0.39 500,000 LB-UBS Commercial Mortgage Trust 5.347% 15/11/38 273,641 0.20 500,000 LB-UBS Commercial Mortgage Trust(c) 5.858% 15/07/40 249,257 0.18 500,000 LB-UBS Commercial Mortgage Trust “A4” 5.424% 15/02/40 253,391 0.19 827,748 Lehman XS Trust(c) 0.609% 25/11/35 256,353 0.19 617,034 Luminent Mortgage Trust(c) 0.499% 25/07/36 186,336 0.14

The accompanying notes are an integral part of these financial statements.

225 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 1,000,000 Morgan Stanley Capital I(c) 5.208% 14/11/42 598,721 0.44 1,758,630 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 631,124 0.47 594,195 Residential Accredit Loans, Inc. 5.750% 25/09/35 310,312 0.23 999,331 Residential Accredit Loans, Inc.(c) 0.589% 25/12/45 314,627 0.23 305,767 Structured Adjustable Rate Mortgage Loan Trust(c) 3.780% 25/05/34 135,749 0.10 471,136 Structured Asset Mortgage Investments, Inc.(c) 1.159% 25/05/47 129,571 0.10 1,862,518 Structured Asset Mortgage Investments, Inc.(c) 2.939% 25/08/47 518,051 0.38 556,613 Thornburg Mortgage Securities Trust “A1”(c) 0.429% 25/09/46 352,907 0.26 1,137,091 United States Treasury Inflation Indexed Bonds 1.750% 15/01/28 726,097 0.54 634,137 WaMu Mortgage Pass Through Certificates(c) 2.419% 25/07/46 165,095 0.12 616,624 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.409% 25/05/46 173,040 0.13 1,514,072 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.409% 25/06/46 392,909 0.29 300,000 Yapi Kredi DPR Finance Co. “A”(c) 1.003% 21/11/14 165,381 0.12 200,000 Yapi Kredi DPR Finance Co. “B”(c) 0.973% 21/11/14 110,144 0.08 9,350,878 6.91

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost EUR 17,551,422) 10,802,539 7.99

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 42,189,590) 34,804,421 25.73

Other Transferable Securities Corporate Bonds – 1.31% Australian Dollar 1,300,000 National Australia Bank Ltd. 5.750% 19/12/13 745,542 0.55

Euro 200,000 Inbev NV 8.625% 30/01/17 223,454 0.16 600,000 US Bank NA 4.375% 28/02/17 484,080 0.36

707,534 0.52

United States Dollar 450,000 American Express Centurion Bank 5.200% 26/11/10 318,982 0.24

TOTAL CORPORATE BONDS (cost EUR 1,706,563) 1,772,058 1.31

Supranationals – 0.50% United States Dollar 300,000 Asian Development Bank 2.750% 21/05/14 207,332 0.15 570,000 Inter-American Development Bank 7.000% 15/06/25 475,207 0.35

682,539 0.50

TOTAL SUPRANATIONALS (cost EUR 721,603) 682,539 0.50

TOTAL OTHER TRANSFERABLE SECURITIES (cost EUR 2,428,166) 2,454,597 1.81

Mutual Funds – 2.71% Euro 2,375,894 Goldman Sachs Euro Liquid Reserves Fund(f)(g)(h) 2,375,894 1.76

United States Dollar 1,812,507 Goldman Sachs US$ Liquid Reserves Fund(f)(g)(i) 1,284,874 0.95

TOTAL MUTUAL FUNDS (cost EUR 3,733,584) 3,660,768 2.71

The accompanying notes are an integral part of these financial statements.

226 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) EUR Equity

Time Deposits – 4.31% United States Dollar 2,371,780 BZW Securities Ltd. USD Time Deposit 0.005% 01/06/09 1,681,338 1.24 859,806 Rabobank USD Time Deposit 0.120% 01/06/09 609,511 0.45 5,000,156 BNP Paribas USD Time Deposit 0.170% 01/06/09 3,544,575 2.62

5,835,424 4.31

TOTAL TIME DEPOSITS (cost EUR 5,936,000) 5,835,424 4.31

MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES, FORWARD CURRENCY AND SWAPS CONTRACTS (cost EUR 145,495,907) 133,474,246 98.67

Futures Contracts – 0.03% Unrealised %of Number of Gain Shareholders’ Contracts Security Description EUR Equity

AUD (52) Australia Treasury Bonds 3YR 15/06/09 Short 8,833 0.01

EUR (33) German Federal Republic Bonds 08/06/09 Short 26,470 0.02 218 German Federal Republic Bonds 08/06/09 Long 47,820 0.03 74,290 0.05

GBP (42) UK Treasury Bonds 28/09/09 Short 24,898 0.02

USD 4 EURODOLLAR 15/06/09 Long 2,552 0.00 2 EURODOLLAR 14/12/09 Long 1,932 0.00 2 EURODOLLAR 14/09/09 Long 2,109 0.00 22 US Treasury Bonds 30YR 21/09/09 Long 1,994 0.00 (45) US Treasury Notes 5YR 30/09/09 Short 17,434 0.02 26,021 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 134,042 0.10

Unrealised %of Number of Loss Shareholders’ Contracts Security Description EUR Equity

CAD 7 Government of Canada 10YR 21/09/09 Long (10,445) (0.01)

EUR 59 German Federal Republic Bonds 08/06/09 Long (75,730) (0.05)

USD 1 US Treasury Note 2YR 30/09/09 Long (211) (0.00) 18 US Treasury Notes 10YR 21/09/09 Long (11,940) (0.01) (12,151) (0.01)

UNREALISED LOSS ON FUTURES CONTRACTS (98,326) (0.07)

Forward Currency Contracts – 1.49% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

10/06/2009 EUR 21,373,195 JPY 2,818,566,872 483,982 0.36 17/06/2009 AUD 1,827,000 CAD 1,583,196 9,465 0.01 17/06/2009 AUD 902,000 CHF 728,359 28,014 0.02 17/06/2009 AUD 2,103,000 JPY 148,110,192 90,517 0.07 17/06/2009 AUD 357,000 NZD 443,180 1,675 0.00 17/06/2009 AUD 5,991,774 USD 4,186,181 417,915 0.31

The accompanying notes are an integral part of these financial statements.

227 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold EUR Equity

17/06/2009 CAD 1,490,497 EUR 935,000 28,030 0.02 17/06/2009 CAD 1,251,537 USD 1,088,000 37,275 0.03 17/06/2009 CHF 925,909 EUR 611,000 1,328 0.00 17/06/2009 CHF 1,477,000 JPY 128,004,892 27,971 0.02 17/06/2009 CHF 240,166 USD 205,000 13,489 0.01 17/06/2009 EUR 495,000 CHF 736,960 7,629 0.01 17/06/2009 EUR 509,000 JPY 67,799,823 6,449 0.00 17/06/2009 EUR 497,000 NOK 4,327,896 10,106 0.01 17/06/2009 EUR 2,190,300 SEK 23,341,672 2,870 0.00 17/06/2009 EUR 5,653,956 USD 7,556,985 296,274 0.22 17/06/2009 GBP 157,000 CHF 263,242 5,732 0.00 17/06/2009 GBP 248,410 EUR 278,000 6,517 0.00 17/06/2009 GBP 784,000 JPY 114,250,752 51,099 0.04 17/06/2009 GBP 5,006,658 USD 7,562,045 373,123 0.27 17/06/2009 JPY 268,878,133 USD 2,794,797 11,569 0.01 17/06/2009 NOK 3,309,000 JPY 48,709,698 11,217 0.01 17/06/2009 NOK 6,221,015 SEK 7,432,918 3,307 0.00 17/06/2009 NOK 7,168,490 USD 1,097,154 28,614 0.02 17/06/2009 NZD 331,112 AUD 263,000 853 0.00 17/06/2009 NZD 1,705,568 EUR 759,000 10,912 0.01 17/06/2009 NZD 2,693,801 JPY 153,412,976 78,872 0.06 17/06/2009 NZD 6,011,804 USD 3,387,572 312,104 0.23 17/06/2009 SEK 9,144,000 EUR 849,713 7,203 0.01 17/06/2009 SEK 22,967,680 USD 2,913,238 86,981 0.06 23/06/2009 EUR 1,471,671 MXN 26,741,000 28,704 0.02 26/06/2009 EUR 49,962,639 USD 68,674,613 1,271,126 0.94 02/07/2009 EUR 4,685,753 GBP 4,074,263 19,016 0.01 21/07/2009 EUR 294,768 PLN 1,271,483 12,108 0.01

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 3,782,046 2.79

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold EUR Equity

05/06/2009 EUR 707,370 AUD 1,305,876 (31,123) (0.02) 10/06/2009 JPY 104,520,515 EUR 799,417 (24,785) (0.02) 11/06/2009 EUR 2,816,033 CAD 4,430,604 (46,395) (0.03) 17/06/2009 CAD 1,287,599 AUD 1,474,000 (984) (0.00) 17/06/2009 CHF 588,761 GBP 345,000 (5,784) (0.00) 17/06/2009 EUR 1,968,000 GBP 1,757,740 (45,234) (0.03) 17/06/2009 JPY 243,043,043 AUD 3,577,000 (219,767) (0.16) 17/06/2009 JPY 45,699,940 CHF 551,000 (25,650) (0.02) 17/06/2009 JPY 88,330,884 GBP 609,000 (42,787) (0.03) 17/06/2009 NOK 7,100,505 EUR 809,000 (10,185) (0.01) 17/06/2009 USD 808,758 AUD 1,147,710 (75,155) (0.05) 17/06/2009 USD 2,587,821 CAD 3,132,290 (189,126) (0.14) 17/06/2009 USD 1,792,471 CHF 2,040,074 (78,344) (0.06) 17/06/2009 USD 6,782,326 EUR 5,034,764 (226,292) (0.17) 17/06/2009 USD 2,482,467 GBP 1,632,388 (109,664) (0.08) 17/06/2009 USD 4,823,305 JPY 468,049,269 (49,727) (0.04) 17/06/2009 USD 398,959 NOK 2,828,617 (35,373) (0.03) 17/06/2009 USD 4,674,270 NZD 8,297,462 (431,643) (0.32) 17/06/2009 USD 1,494,272 SEK 12,418,843 (104,418) (0.08) 26/06/2009 USD 744,986 EUR 536,211 (8,003) (0.01) 10/07/2009 EUR 491,585 DKK 3,663,000 (121) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (1,760,560) (1.30)

The accompanying notes are an integral part of these financial statements.

228 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – 0.14%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 2,210,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 62,096 0.05 2,210,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 58,409 0.04 2,220,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 60,492 0.04 2,220,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 67,099 0.05 1,880,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 43,759 0.03 1,130,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2010 47,923 0.04 3,300,000 Fixed 3.250% Floating (EUR 6 month LIBOR) EUR 18/06/2012 18,310 0.01 2,950,000 Fixed 2.250% Floating (EUR 6 month LIBOR) EUR 17/12/2012 16,228 0.01 1,380,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 105,374 0.08 1,860,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 141,790 0.11 3,420,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 258,703 0.19 3,910,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 13,052 0.01 4,350,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 14,080 0.01 4,790,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 13,603 0.01 2,350,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2015 163,672 0.12 1,100,000 Floating (EUR 6 month LIBOR) Fixed 4.750% EUR 17/12/2018 119,142 0.09 100,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 259 0.00 940,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 4,367 0.00 950,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 5,976 0.00 1,000,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 50,448 0.04 1,200,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 10,559 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 1,275,341 0.94

Credit Default Swaps 21,100,000 Fixed 1.650% Floating (ITRX Index) EUR 20/06/2013 430,052 0.32 350,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 6,619 0.00

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 436,671 0.32

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 1,712,012 1.26

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps 1,800,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (15,954) (0.01) 1,800,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (14,275) (0.01) 1,800,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (14,659) (0.01) 1,800,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (17,647) (0.01) 1,530,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (11,695) (0.01) 840,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (31,897) (0.03) 840,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (30,238) (0.02) 820,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (31,837) (0.02) 820,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (35,624) (0.03) 690,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (20,811) (0.02) 3,300,000 Floating (EUR 6 month LIBOR) Fixed 3.250% EUR 18/06/2012 (11,873) (0.01) 2,350,000 Fixed 4.500% Floating (EUR 6 month LIBOR) EUR 17/12/2015 (96,732) (0.07) 2,000,000 Fixed 4.750% Floating (EUR 6 month LIBOR) EUR 17/12/2018 (153,589) (0.11) 1,090,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 (8,509) (0.01) 889,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (158,111) (0.12) 140,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (3,787) (0.00) 685,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (6,126) (0.01) 762,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (6,865) (0.01) 1,207,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (2,075) (0.00) 1,207,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (2,132) (0.00) 1,900,000 Floating (USD 3 month MUS) Fixed 3.250% USD 17/06/2014 (686) (0.00) 2,740,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (16,360) (0.01) 210,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (14,454) (0.01) 600,000 Floating (USD 3 month LIBOR) Fixed 5.000% USD 17/12/2028 (109,015) (0.08) 4,900,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (288,294) (0.21) 1,700,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (178,202) (0.13)

UNREALISED LOSS ON INTEREST RATE SWAPS (1,281,447) (0.95)

The accompanying notes are an integral part of these financial statements.

229 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date EUR Equity

Credit Default Swaps 350,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (5,025) (0.00) 6,700,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (232,315) (0.17)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (237,340) (0.17)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (1,518,787) (1.12)

MARKET VALUE OF INVESTMENTS (cost EUR 145,495,907) 135,724,673 100.33

OTHER ASSETS AND LIABILITIES (452,533) (0.33)

SHAREHOLDERS’ EQUITY 135,272,140 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS EUR Equity

Total Investments excluding forward currency, futures and swaps contracts (cost EUR 145,495,907) 133,474,246 98.67 Unrealised gain on futures contracts 134,042 0.10 Unrealised loss on futures contracts (98,326) (0.07) Unrealised gain on forward currency contracts 3,782,046 2.79 Unrealised loss on forward currency contracts (1,760,560) (1.30) Unrealised gain on swaps contracts 1,712,012 1.26 Unrealised loss on swaps contracts (1,518,787) (1.12) Other Assets and Liabilities (452,533) (0.33)

Shareholders’ Equity 135,272,140 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranational, Preferred Stocks and Agencies & Non Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank, Royal Bank of Canada, State Street Bank London, UBS AG London, Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase NA, Morgan Stanley, Royal Bank of Canada and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (f) This security is admitted to an official exchange listing. (g) A related party to Goldman Sachs Funds. (h) The yield for this fund as at 31 May 2009 was 0.895%. (i) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

230 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 11.56% Euro 250,000 Bombardier, Inc. 144A(c) 7.250% 15/11/16 300,645 0.06 250,000 Hellas Telecommunications Luxembourg V(d) 4.935% 15/10/12 222,177 0.05 500,000 Rhodia S.A.(d) 4.185% 15/10/13 507,834 0.10

1,030,656 0.21

United States Dollar 1,200,000 Arizona Public Service Co. 4.650% 15/05/15 972,465 0.20 1,700,000 AT&T, Inc. 6.300% 15/01/38 1,529,719 0.31 2,625,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 2,675,946 0.55 375,000 Chesapeake Energy Corp. 6.875% 15/01/16 323,438 0.07 500,000 Chubb Corp. 6.500% 15/05/38 465,058 0.10 325,000 CNA Financial Corp. 6.500% 15/08/16 236,750 0.05 1,125,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 1,260,876 0.26 650,000 Commonwealth Edison Co. 5.400% 15/12/11 669,286 0.14 400,000 Commonwealth Edison Co. 5.900% 15/03/36 341,763 0.07 1,500,000 Corrections Corp. of America 7.500% 01/05/11 1,473,000 0.30 250,000 CSC Holdings, Inc. 6.750% 15/04/12 240,313 0.05 1,200,000 Dow Chemical Co. 7.600% 15/05/14 1,206,764 0.25 1,375,000 EnCana Corp. 6.500% 01/02/38 1,255,044 0.26 400,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 337,397 0.07 600,000 Energy Transfer Partners LP 5.950% 01/02/15 559,543 0.11 1,725,000 Energy Transfer Partners LP 6.700% 01/07/18 1,627,574 0.33 1,150,000 Enterprise Products Operating LP 5.000% 01/03/15 1,034,587 0.21 600,000 Health Care Property Investors, Inc. 5.950% 15/09/11 590,131 0.12 1,125,000 HSBC Holdings Plc. 6.800% 01/06/38 1,036,124 0.21 500,000 Kraft Foods, Inc. 6.500% 11/08/17 513,490 0.11 1,575,000 Merrill Lynch & Co., Inc. 5.450% 05/02/13 1,474,610 0.30 600,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 540,790 0.11 825,000 MUFG Capital Finance 1 Ltd.(d) 6.346% 29/07/49 702,669 0.14 350,000 Nevada Power Co. 5.875% 15/01/15 338,629 0.07 975,000 Nevada Power Co. 6.500% 15/05/18 934,450 0.19 300,000 ONEOK Partners LP 5.900% 01/04/12 299,753 0.06 875,000 ONEOK Partners LP 6.650% 01/10/36 690,034 0.14 1,525,000 Pacific Gas & Electric Co. 8.250% 15/10/18 1,783,077 0.37 1,150,000 Petroleos Mexicanos 8.000% 03/05/19 1,250,625 0.26 1,900,000 Philip Morris International, Inc. 5.650% 16/05/18 1,910,545 0.39 925,000 Progress Energy, Inc. 7.050% 15/03/19 976,782 0.20 1,350,000 Rogers Communications, Inc. 6.800% 15/08/18 1,412,348 0.29 1,075,000 Royal Bank of Scotland Group Plc.—ADR(e) 9.118% 31/03/49 811,625 0.17 1,850,000 Simon Property Group LP 5.600% 01/09/11 1,830,606 0.38 625,000 SLM Corp. 5.400% 25/10/11 497,673 0.10 550,000 SLM Corp. 8.450% 15/06/18 369,406 0.08 8,700,000 Societe Financement de l’Economie Francaise 144A(c) 1.500% 29/10/10 8,708,123 1.78 1,475,000 TEPPCO Partners LP 6.650% 15/04/18 1,339,599 0.27 1,400,000 Thomson Reuters Corp. 6.500% 15/07/18 1,373,894 0.28 350,000 Time Warner Cable, Inc. 8.750% 14/02/19 393,228 0.08 550,000 Time Warner Cable, Inc. 6.550% 01/05/37 493,708 0.10 800,000 Time Warner Cable, Inc. 144A(c) 5.400% 02/07/12 808,821 0.17 1,675,000 Transocean, Inc. 6.800% 15/03/38 1,618,791 0.33 100,000 UBS Luxembourg SA for OJSC Vimpel Communications 8.250% 23/05/16 82,500 0.02 1,175,000 Verizon Communications, Inc. 6.400% 15/02/38 1,091,657 0.22 700,000 VIP Finance Ireland Ltd. for OJSC Vimpel Communications 9.125% 30/04/18 581,000 0.12 2,150,000 Wachovia Corp. 5.500% 01/05/13 2,179,481 0.45 350,000 Wells Fargo & Co. 5.625% 11/12/17 328,525 0.07 1,200,000 Wells Fargo Capital XIII(d) 7.700% 29/12/49 936,000 0.19 750,000 XTO Energy, Inc. 6.250% 15/04/13 790,227 0.16 450,000 XTO Energy, Inc. 6.500% 15/12/18 457,330 0.09

55,355,774 11.35

TOTAL CORPORATE BONDS (cost USD 58,556,375) 56,386,430 11.56

The accompanying notes are an integral part of these financial statements.

231 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – 1.74% United States Dollar 1,580,000 Republic of Argentina 7.000% 03/10/15 570,380 0.12 450,000 Republic of Indonesia 11.625% 04/03/19 563,625 0.12 830,000 Republic of Peru 7.125% 30/03/19 883,950 0.18 6,320,900 United States Treasury Inflation Indexed Bonds 4.250% 15/01/10 6,459,170 1.32 8,477,125 1.74

TOTAL GOVERNMENT BONDS (cost USD 8,088,542) 8,477,125 1.74

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 66,644,917) 64,863,555 13.30

Transferable securities dealt in another regulated market Corporate Bonds – 11.33% United States Dollar 675,000 Ace Capital Trust II 9.700% 01/04/30 575,674 0.12 270,000 Allied Waste Industries, Inc. 4.250% 15/04/34 254,559 0.05 1,175,000 Altria Group, Inc. 9.700% 10/11/18 1,295,164 0.27 1,650,000 Anheuser-Busch InBev Worldwide, Inc. 144A(c) 7.750% 15/01/19 1,738,914 0.36 1,475,000 Anz Capital Trust I 144A(c) 5.360% 29/12/49 1,131,771 0.23 1,900,000 ArcelorMittal 6.125% 01/06/18 1,585,033 0.32 375,000 Arch Capital Group Ltd. 7.350% 01/05/34 224,246 0.05 175,000 AXA S.A. 144A(c)(d) 6.463% 14/12/18 103,493 0.02 1,000,000 Bank of America Corp. 5.750% 01/12/17 881,323 0.18 575,000 Boardwalk Pipelines LP 5.875% 15/11/16 494,090 0.10 475,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 311,728 0.06 1,025,000 Canadian Natural Resources Ltd. 5.150% 01/02/13 1,028,045 0.21 375,000 Catlin Insurance Co., Ltd. 144A(c)(d) 7.249% 31/12/49 178,240 0.04 425,000 Chubb Corp.(d) 6.375% 29/03/67 323,656 0.07 1,175,000 Comcast Holdings Corp. 10.625% 15/07/12 1,313,554 0.27 800,000 Commonwealth Edison Co. 5.800% 15/03/18 768,240 0.16 1,075,000 COX Communications, Inc. 144A(c) 5.875% 01/12/16 1,007,435 0.21 1,375,000 COX Communications, Inc. 144A(c) 6.250% 01/06/18 1,292,174 0.26 500,000 Echostar DBS Corp. 7.125% 01/02/16 458,750 0.09 425,000 El Paso Natural Gas Co. 7.500% 15/11/26 387,503 0.08 600,000 Enterprise Products Operating LP 5.750% 01/03/35 449,921 0.09 350,000 Enterprise Products Operating LP(d) 8.375% 01/08/66 266,000 0.05 350,000 Enterprise Products Operating LP(d) 7.034% 15/01/68 245,295 0.05 1,100,000 Florida Gas Transmission Co. LLC 144A(c) 7.900% 15/05/19 1,105,938 0.23 500,000 GulfSouth Pipeline Co. 144A(c) 6.300% 15/08/17 432,694 0.09 250,000 HCA, Inc. 9.125% 15/11/14 245,625 0.05 262,000 HCA, Inc.(d) 9.625% 15/11/16 250,865 0.05 500,000 Inmarsat Finance Plc.(d) 10.375% 15/11/12 517,500 0.11 750,000 International Lease Finance Corp. 4.950% 01/02/11 624,375 0.13 775,000 JPMorgan Chase & Co.(d) 7.900% 29/04/49 635,640 0.13 500,000 L-3 Communications Corp. 6.375% 15/10/15 456,250 0.09 2,600,000 LeasePlan Corp. NV 144A(c) 3.000% 07/05/12 2,593,043 0.53 600,000 MetLife Capital Trust X 144A(c)(d) 9.250% 08/04/38 492,000 0.10 950,000 MidAmerican Energy Holdings Co. 5.750% 01/04/18 935,471 0.19 800,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 704,925 0.14 725,000 Morgan Stanley 5.750% 31/08/12 732,716 0.15 1,000,000 Morgan Stanley 5.950% 28/12/17 937,631 0.19 725,000 Morgan Stanley 6.625% 01/04/18 707,341 0.15 400,000 Nisource Finance Corp. 10.750% 15/03/16 431,153 0.09 2,000,000 Pfizer, Inc. 6.200% 15/03/19 2,104,706 0.43 350,000 Phoenix Life Insurance Co. 144A(c) 7.150% 15/12/34 98,000 0.02 175,000 QBE Insurance Group Ltd. 144A(c)(d) 5.647% 01/07/23 98,930 0.02 1,000,000 Qwest Capital Funding, Inc. 7.900% 15/08/10 998,750 0.20 500,000 Royal Bank of Scotland Group Plc.(d) 7.640% 31/03/49 185,000 0.04 7,000,000 Royal Bank of Scotland Plc. 144A(c)(d) 1.638% 11/05/12 6,984,376 1.43 725,000 StatoilHydro ASA 5.250% 15/04/19 715,336 0.15 8,600,000 Suncorp-Metway Ltd. 144A(c)(d) 2.381% 15/04/11 8,588,803 1.76 525,000 Symetra Financial Corp. 144A(c) 6.125% 01/04/16 391,358 0.08 1,075,000 Tennessee Gas Pipeline Co. 7.000% 15/10/28 907,202 0.19

The accompanying notes are an integral part of these financial statements.

232 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 50,000 Ucar Finance, Inc. 10.250% 15/02/12 45,875 0.01 1,050,000 Unicredit Luxembourg Finance S.A. 144A(c)(d) 5.584% 13/01/17 721,882 0.15 700,000 Verizon Wireless 144A(c) 8.500% 15/11/18 831,856 0.17 350,000 Waddell & Reed Financial, Inc. 5.600% 15/01/11 320,335 0.07 275,000 WEA Finance LLC / WT Finance Aust Pty Ltd. 144A(c) 7.500% 02/06/14 270,706 0.06 450,000 Westfield Capital Corp., LLC 144A(c) 5.125% 15/11/14 401,625 0.08 526,000 Westfield Group 144A(c) 5.400% 01/10/12 499,700 0.10 300,000 Whirlpool Corp. 8.000% 01/05/12 304,899 0.06 375,000 Whirlpool Corp. 8.600% 01/05/14 377,059 0.08 950,000 Williams Cos, Inc. 144A(c) 6.375% 01/10/10 945,164 0.19 775,000 ZFS Finance USA Trust I 144A(c)(d) 5.875% 09/05/32 463,063 0.09 1,450,000 ZFS Finance USA Trust I 144A(c)(d) 6.150% 15/12/65 935,250 0.19

55,307,850 11.33

TOTAL CORPORATE BONDS (cost USD 59,899,493) 55,307,850 11.33

Government Bonds – 3.24% United States Dollar 15,830,211 United States Treasury Inflation Indexed Bonds 0.875% 15/04/10 15,810,423 3.24

TOTAL GOVERNMENT BONDS (cost USD 15,610,925) 15,810,423 3.24

Preferred Stocks – 0.23% United States Dollar 1,625,000 Resona Preferred Global Securities Cayman Ltd. 144A(c)(d) 7.191% 1,121,250 0.23

TOTAL PREFERRED STOCKS (cost USD 1,652,154) 1,121,250 0.23

Agencies Asset Backed Obligations – 39.02% United States Dollar 5,200,000 Federal Home Loan Mortgage Corp. (FHLMC) 1.750% 27/07/11 5,211,804 1.07 53,099 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/04/18 54,474 0.01 85,401 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/11/18 87,612 0.02 121,905 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/05/19 124,802 0.03 974,807 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/19 1,019,566 0.21 285,670 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/04/20 293,065 0.06 189,040 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/08/20 193,532 0.04 21,109 Federal Home Loan Mortgage Corp. (FHLMC)(d) 5.131% 01/09/33 21,753 0.00 130,938 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.553% 01/09/33 132,853 0.03 56,469 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.444% 01/10/34 57,392 0.01 55,200 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.483% 01/11/34 56,991 0.01 39,034 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.377% 01/11/34 39,936 0.01 32,220 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.388% 01/11/34 32,940 0.01 109,890 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.374% 01/11/34 112,240 0.02 64,723 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.352% 01/01/35 66,263 0.01 67,438 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.429% 01/02/35 69,744 0.01 55,681 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.358% 01/02/35 57,222 0.01 80,599 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.338% 01/02/35 82,803 0.02 69,214 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.420% 01/02/35 70,651 0.01 125,365 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.424% 01/02/35 128,498 0.03 31,958 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.513% 01/02/35 32,839 0.01 78,634 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.504% 01/02/35 80,980 0.02 336,991 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.534% 01/03/35 345,683 0.07 1,386,031 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.088% 01/04/35 1,424,806 0.29 3,519,910 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.031% 01/06/35 3,596,271 0.74 783,848 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.210% 01/07/35 804,915 0.17 835,012 Federal Home Loan Mortgage Corp. (FHLMC)(d) 4.970% 01/10/35 858,545 0.18 1,144,729 Federal Home Loan Mortgage Corp. (FHLMC)(d) 5.158% 01/05/36 1,183,898 0.24 46,168 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/36 48,133 0.01 78,176 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/36 81,503 0.02 6,004,251 Federal Home Loan Mortgage Corp. (FHLMC)(d) 5.186% 01/01/37 6,154,993 1.26

The accompanying notes are an integral part of these financial statements.

233 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 148,960 Federal Home Loan Mortgage Corp. (FHLMC)(d) 1.000% 15/03/37 147,061 0.03 19,541 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/37 20,548 0.00 39,159 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/37 40,795 0.01 43,275 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/37 45,083 0.01 284,155 Federal Home Loan Mortgage Corp. (FHLMC)(d) 1.000% 15/06/37 273,333 0.06 3,592 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 3,777 0.00 1,953 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 2,054 0.00 22,663 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 23,831 0.01 40,194 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 42,266 0.01 53,324 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 56,073 0.01 27,696 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 29,124 0.01 43,919 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 46,184 0.01 38,611 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 40,602 0.01 28,550 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 30,022 0.01 514,759 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/37 536,267 0.11 80,479 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 83,842 0.02 288,525 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 300,580 0.06 82,451 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/38 85,896 0.02 9,260,846 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/05/38 9,562,185 1.96 2,724,513 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 2,838,193 0.58 88,841 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 93,506 0.02 1,732,717 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 1,805,112 0.37 71,261 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/38 74,234 0.02 964,027 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/10/38 1,025,018 0.21 1,106,176 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 1,152,393 0.24 262,894 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/38 276,695 0.06 8,824 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 9,287 0.00 33,690 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 35,459 0.01 35,041 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 36,881 0.01 23,023 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 24,232 0.01 13,473 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 14,180 0.00 10,233 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 10,770 0.00 84,106 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/39 87,615 0.02 1,000,000 Federal Home Loan Mortgage Corp. (FHLMC) TBA(f) 5.000% 01/12/99 1,011,250 0.21 8,200,000 Federal National Mortgage Association (FNMA) 1.750% 23/03/11 8,303,218 1.70 7,900,000 Federal National Mortgage Association (FNMA) 4.120% 06/05/13 8,018,444 1.64 2,228,103 Federal National Mortgage Association (FNMA) 4.000% 01/08/13 2,271,998 0.47 257,841 Federal National Mortgage Association (FNMA) 4.000% 01/10/13 262,986 0.05 309,962 Federal National Mortgage Association (FNMA) 4.000% 01/05/14 316,335 0.07 1,846,798 Federal National Mortgage Association (FNMA) 4.000% 01/06/14 1,884,439 0.39 1,384,642 Federal National Mortgage Association (FNMA) 4.000% 01/12/14 1,410,294 0.29 1,825,634 Federal National Mortgage Association (FNMA) 4.000% 01/02/15 1,858,824 0.38 3,038,721 Federal National Mortgage Association (FNMA) 4.000% 01/03/15 3,092,835 0.63 174,095 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 180,323 0.04 397,237 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 411,502 0.08 774,970 Federal National Mortgage Association (FNMA) 7.500% 01/03/18 812,810 0.17 2,080,786 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 2,155,508 0.44 1,595,204 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 1,652,489 0.34 779,934 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 807,942 0.17 294,150 Federal National Mortgage Association (FNMA) 5.000% 01/10/18 304,713 0.06 300,822 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 308,145 0.06 652,714 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 668,603 0.14 308,400 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 315,907 0.06 10,000,000 Federal National Mortgage Association (FNMA) 5.200% 09/10/18 10,129,593 2.08 287,803 Federal National Mortgage Association (FNMA) 5.000% 01/11/18 298,198 0.06 285,666 Federal National Mortgage Association (FNMA) 4.500% 01/11/18 292,620 0.06 2,676,761 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 2,743,576 0.56 976,037 Federal National Mortgage Association (FNMA) 5.000% 01/12/18 1,011,292 0.21 472,738 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 484,245 0.10 435,968 Federal National Mortgage Association (FNMA) 5.000% 01/04/19 450,315 0.09 312,512 Federal National Mortgage Association (FNMA) 5.000% 01/05/19 323,019 0.07 786,093 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 804,246 0.17 107,742 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 110,230 0.02 601,677 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 615,571 0.13 331,694 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 339,692 0.07

The accompanying notes are an integral part of these financial statements.

234 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 917,211 Federal National Mortgage Association (FNMA) 4.500% 01/06/19 938,392 0.19 2,645,918 Federal National Mortgage Association (FNMA) 5.000% 01/07/19 2,740,934 0.56 437,999 Federal National Mortgage Association (FNMA) 5.000% 01/08/19 452,413 0.09 631,687 Federal National Mortgage Association (FNMA) 4.500% 01/08/19 646,275 0.13 1,035,241 Federal National Mortgage Association (FNMA) 4.500% 01/04/20 1,062,067 0.22 14,524,671 Federal National Mortgage Association (FNMA) 5.500% 01/06/20 15,200,663 3.12 649,678 Federal National Mortgage Association (FNMA) 4.500% 01/05/23 659,873 0.14 6,436,197 Federal National Mortgage Association (FNMA) 4.500% 01/05/23 6,537,198 1.34 414,739 Federal National Mortgage Association (FNMA) 4.500% 01/07/23 421,247 0.09 610,192 Federal National Mortgage Association (FNMA) 4.500% 01/08/23 619,768 0.13 60,624 Federal National Mortgage Association (FNMA) 4.500% 01/11/23 61,576 0.01 549 Federal National Mortgage Association (FNMA) 5.500% 01/04/29 566 0.00 547,352 Federal National Mortgage Association (FNMA)(d) 4.427% 01/02/33 562,910 0.12 362,359 Federal National Mortgage Association (FNMA)(d) 4.013% 01/02/33 373,634 0.08 4,926 Federal National Mortgage Association (FNMA)(d) 4.607% 01/03/33 5,073 0.00 53,902 Federal National Mortgage Association (FNMA)(d) 4.665% 01/06/33 55,104 0.01 1,801,011 Federal National Mortgage Association (FNMA)(d) 4.519% 01/07/33 1,843,748 0.38 39,259 Federal National Mortgage Association (FNMA)(d) 4.486% 01/07/33 40,165 0.01 3,459 Federal National Mortgage Association (FNMA)(d) 4.375% 01/09/33 3,591 0.00 13,117 Federal National Mortgage Association (FNMA) 5.500% 01/09/33 13,529 0.00 544,549 Federal National Mortgage Association (FNMA)(d) 5.000% 01/10/33 562,133 0.12 4,183 Federal National Mortgage Association (FNMA)(d) 4.914% 01/12/33 4,252 0.00 16,966 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 17,496 0.00 15,259 Federal National Mortgage Association (FNMA)(d) 4.372% 01/04/34 15,647 0.00 1,038,053 Federal National Mortgage Association (FNMA)(d) 4.261% 01/04/34 1,061,981 0.22 2,646 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 2,736 0.00 18,325 Federal National Mortgage Association (FNMA) 5.500% 01/08/34 18,949 0.00 2,004,934 Federal National Mortgage Association (FNMA)(d) 4.514% 01/09/34 2,045,707 0.42 1,545,231 Federal National Mortgage Association (FNMA)(d) 3.960% 01/10/34 1,572,611 0.32 22,101 Federal National Mortgage Association (FNMA)(d) 4.736% 01/10/34 22,641 0.00 1,228 Federal National Mortgage Association (FNMA) 5.500% 01/10/34 1,271 0.00 157,343 Federal National Mortgage Association (FNMA)(d) 4.553% 01/11/34 161,672 0.03 7,925 Federal National Mortgage Association (FNMA)(d) 4.607% 01/11/34 8,063 0.00 69,446 Federal National Mortgage Association (FNMA)(d) 4.540% 01/12/34 71,032 0.01 186,637 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 192,470 0.04 27,726 Federal National Mortgage Association (FNMA)(d) 4.327% 01/01/35 28,345 0.01 100,322 Federal National Mortgage Association (FNMA)(d) 4.530% 01/01/35 103,158 0.02 92,129 Federal National Mortgage Association (FNMA)(d) 4.454% 01/01/35 94,671 0.02 81,710 Federal National Mortgage Association (FNMA)(d) 4.480% 01/01/35 83,590 0.02 219,442 Federal National Mortgage Association (FNMA)(d) 4.430% 01/02/35 224,357 0.05 48,076 Federal National Mortgage Association (FNMA)(d) 4.291% 01/02/35 49,205 0.01 251,628 Federal National Mortgage Association (FNMA)(d) 4.281% 01/02/35 258,520 0.05 137,995 Federal National Mortgage Association (FNMA)(d) 4.707% 01/02/35 142,142 0.03 90,196 Federal National Mortgage Association (FNMA)(d) 4.411% 01/03/35 92,357 0.02 18,653 Federal National Mortgage Association (FNMA) 5.000% 01/04/35 18,928 0.00 51,314 Federal National Mortgage Association (FNMA) 5.000% 01/04/35 52,070 0.01 173,562 Federal National Mortgage Association (FNMA)(d) 3.980% 01/04/35 177,591 0.04 133,938 Federal National Mortgage Association (FNMA)(d) 4.687% 01/04/35 138,738 0.03 336,538 Federal National Mortgage Association (FNMA) 5.000% 01/05/35 341,501 0.07 1,068,517 Federal National Mortgage Association (FNMA)(d) 3.667% 01/05/35 1,089,915 0.22 117,567 Federal National Mortgage Association (FNMA)(d) 4.361% 01/05/35 121,293 0.03 1,216,792 Federal National Mortgage Association (FNMA)(d) 4.052% 01/06/35 1,236,137 0.25 1,529,123 Federal National Mortgage Association (FNMA)(d) 4.549% 01/06/35 1,575,588 0.32 813,993 Federal National Mortgage Association (FNMA)(d) 3.345% 01/06/35 821,049 0.17 18,268 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 18,538 0.00 38,188 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 38,752 0.01 44,157 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 44,809 0.01 17,304 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 17,559 0.00 18,554 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 18,828 0.00 68,493 Federal National Mortgage Association (FNMA) 5.000% 01/07/35 69,504 0.01 777 Federal National Mortgage Association (FNMA) 5.500% 01/07/35 803 0.00 46,983 Federal National Mortgage Association (FNMA) 5.000% 01/08/35 47,694 0.01 1,232,411 Federal National Mortgage Association (FNMA)(d) 4.250% 01/08/35 1,274,153 0.26 1,971 Federal National Mortgage Association (FNMA) 5.500% 01/08/35 2,037 0.00 31,111 Federal National Mortgage Association (FNMA) 5.000% 01/09/35 31,570 0.01

The accompanying notes are an integral part of these financial statements.

235 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 1,419,631 Federal National Mortgage Association (FNMA)(d) 4.442% 01/09/35 1,448,911 0.30 22,379 Federal National Mortgage Association (FNMA) 5.500% 01/09/35 23,085 0.00 72,021 Federal National Mortgage Association (FNMA) 5.000% 01/10/35 73,083 0.02 25,113 Federal National Mortgage Association (FNMA) 5.000% 01/10/35 25,483 0.01 157,441 Federal National Mortgage Association (FNMA) 5.000% 01/12/35 159,763 0.03 23,382 Federal National Mortgage Association (FNMA) 6.000% 01/12/35 24,542 0.01 8,965 Federal National Mortgage Association (FNMA) 5.500% 01/12/35 9,273 0.00 30,757 Federal National Mortgage Association (FNMA) 6.000% 01/04/36 32,094 0.01 42,555 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 44,406 0.01 39,683 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 41,409 0.01 45,729 Federal National Mortgage Association (FNMA) 6.000% 01/07/36 47,718 0.01 25,483 Federal National Mortgage Association (FNMA) 6.500% 01/08/36 27,124 0.01 25,490 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 26,599 0.01 19,016 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 19,843 0.00 149,519 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 159,049 0.03 51,640 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 53,887 0.01 19,035 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 19,863 0.00 29,652 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 30,942 0.01 51,944 Federal National Mortgage Association (FNMA) 6.500% 01/10/36 55,290 0.01 49,071 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 51,206 0.01 510,158 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 532,157 0.11 17,523 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 18,278 0.00 22,034 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 22,840 0.00 19,036 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 19,667 0.00 22,805 Federal National Mortgage Association (FNMA) 5.000% 01/12/36 23,142 0.00 8,651 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 8,912 0.00 4,284 Federal National Mortgage Association (FNMA) 5.500% 01/01/37 4,441 0.00 13,139 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 13,574 0.00 12,152 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 12,597 0.00 5,408 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 5,587 0.00 12,257 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 12,703 0.00 20,890 Federal National Mortgage Association (FNMA) 6.000% 01/02/37 21,782 0.00 2,940 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 3,028 0.00 16,470 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 17,070 0.00 4,772 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 4,945 0.00 5,607 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 5,811 0.00 9,511 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 9,858 0.00 8,721 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 9,010 0.00 1,843 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 1,898 0.00 16,906 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 17,413 0.00 16,681 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 17,234 0.00 5,492 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 5,674 0.00 14,236 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 14,707 0.00 10,592 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 10,978 0.00 3,786 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 3,912 0.00 12,241 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 12,686 0.00 4,197 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 4,336 0.00 5,023 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 5,174 0.00 26,888 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 28,037 0.01 812 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 837 0.00 18,516 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 19,071 0.00 13,754 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 14,166 0.00 13,342 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 13,743 0.00 46,145 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 48,153 0.01 6,262 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 6,449 0.00 6,430 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 6,623 0.00 5,530 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 5,695 0.00 32,109 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 33,481 0.01 31,028 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 31,859 0.01 1,961 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 2,020 0.00 2,749 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 2,840 0.00 21,677 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 22,466 0.00 8,700 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 8,961 0.00 12,480 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 12,855 0.00 45,002 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 46,925 0.01

The accompanying notes are an integral part of these financial statements.

236 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 41,978 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 43,771 0.01 61,057 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 63,660 0.01 52,774 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 55,028 0.01 85,413 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 89,054 0.02 2,200 Federal National Mortgage Association (FNMA) 5.500% 01/08/37 2,273 0.00 33,394 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 35,524 0.01 72,672 Federal National Mortgage Association (FNMA) 6.500% 01/09/37 77,348 0.02 237,019 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 247,122 0.05 24,148 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 25,177 0.01 106,215 Federal National Mortgage Association (FNMA) 5.500% 01/10/37 109,402 0.02 24,068 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 25,094 0.01 53,470 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 55,755 0.01 39,626 Federal National Mortgage Association (FNMA) 6.500% 01/11/37 42,176 0.01 44,473 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 46,373 0.01 29,827 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 31,102 0.01 101,239 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 105,564 0.02 50,636 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 53,895 0.01 144,819 Federal National Mortgage Association (FNMA) 6.500% 01/12/37 154,057 0.03 1,028 Federal National Mortgage Association (FNMA) 5.500% 01/12/37 1,059 0.00 17,765 Federal National Mortgage Association (FNMA) 5.500% 01/01/38 18,279 0.00 162,171 Federal National Mortgage Association (FNMA) 5.500% 01/01/38 167,062 0.03 53,902 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 56,205 0.01 161,250 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 166,113 0.03 72,657 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 75,761 0.02 1,931 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 1,989 0.00 876 Federal National Mortgage Association (FNMA) 5.000% 01/03/38 890 0.00 1,061 Federal National Mortgage Association (FNMA) 5.000% 01/03/38 1,075 0.00 11,935 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 12,373 0.00 46,162 Federal National Mortgage Association (FNMA) 6.500% 01/03/38 49,100 0.01 4,255,966 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 4,437,381 0.91 553,626 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 570,321 0.12 117,394 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 120,934 0.03 5,716 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 5,889 0.00 16,762 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 17,323 0.00 27,542 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 28,373 0.01 160,646 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 165,291 0.03 35,839 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 36,797 0.01 988,329 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 1,018,133 0.21 71,090 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 73,234 0.02 69,294 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 71,383 0.01 60,535 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 62,360 0.01 48,904 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 50,378 0.01 45,630 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 47,006 0.01 9,265 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 9,672 0.00 10,593 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 10,985 0.00 51,940 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 54,156 0.01 11,415 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 11,735 0.00 96,403 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 99,325 0.02 1,993 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 2,053 0.00 1,080 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 1,113 0.00 11,562 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 11,913 0.00 1,705 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,768 0.00 7,485 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 7,736 0.00 1,050 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,089 0.00 27,183 Federal National Mortgage Association (FNMA) 6.000% 01/06/38 28,343 0.01 138,878 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 143,088 0.03 6,202 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 6,390 0.00 2,219 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 2,286 0.00 76,659 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 78,983 0.02 13,642 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 14,055 0.00 4,025 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 4,147 0.00 22,742 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 23,432 0.01 199,099 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 205,134 0.04 32,182 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 33,158 0.01 2,427 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 2,517 0.00

The accompanying notes are an integral part of these financial statements.

237 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 1,275 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 1,322 0.00 1,833 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 1,901 0.00 3,711 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 3,847 0.00 6,811 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 7,018 0.00 50,325 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 51,850 0.01 69,642 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 71,753 0.01 6,457 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 6,652 0.00 22,166 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 22,838 0.00 260,220 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 267,174 0.06 30,074 Federal National Mortgage Association (FNMA) 6.500% 01/08/38 32,009 0.01 53,213 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 55,150 0.01 142,509 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 147,252 0.03 3,653 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 3,763 0.00 28,815 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 30,044 0.01 5,728 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 5,901 0.00 29,695 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 30,595 0.01 26,461 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 27,263 0.01 445,222 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 460,109 0.09 7,660 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 7,918 0.00 13,280 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 13,682 0.00 6,083 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 6,267 0.00 2,560 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 2,637 0.00 15,390 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 15,857 0.00 5,303 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 5,463 0.00 933,154 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 976,203 0.20 942 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 977 0.00 81,730 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 84,463 0.02 90,552 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 93,296 0.02 26,299 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 27,096 0.01 3,436 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 3,527 0.00 145,152 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 149,552 0.03 210,999 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 217,395 0.04 32,432 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 33,792 0.01 39,433 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 40,628 0.01 118,018 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 121,596 0.03 31,407 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 32,359 0.01 74,335 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 76,588 0.02 46,103 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 47,500 0.01 159,925 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 165,297 0.03 154,344 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 159,023 0.03 103,168 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 106,634 0.02 65,687 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 67,894 0.01 35,581 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 36,659 0.01 32,768 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 34,166 0.01 1,001 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 1,038 0.00 15,232 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 15,743 0.00 16,243 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 16,845 0.00 12,454 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 12,915 0.00 39,988 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 41,469 0.01 21,563 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 22,362 0.00 47,649 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 49,413 0.01 129,234 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 133,151 0.03 3,082 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 3,175 0.00 58,935 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 60,915 0.01 56,841 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 58,946 0.01 17,531 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 18,120 0.00 17,499 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 18,147 0.00 29,738 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 30,839 0.01 11,338 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 11,758 0.00 361,801 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 375,199 0.08 26,767 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 27,666 0.01 71,191 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 73,828 0.02 291,524 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 302,320 0.06 19,917 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 20,654 0.00 17,245 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 17,824 0.00

The accompanying notes are an integral part of these financial statements.

238 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 34,023 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 35,282 0.01 80,541 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 82,982 0.02 66,138 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 68,964 0.01 141,025 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 145,300 0.03 82,806 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 85,316 0.02 14,751 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 15,247 0.00 30,520 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 31,819 0.01 38,070 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 39,694 0.01 28,615 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 29,835 0.01 49,739 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 51,246 0.01 20,620,932 Federal National Mortgage Association (FNMA) 6.000% 01/02/39 21,552,901 4.42 130,686 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 134,648 0.03 12,344 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 12,718 0.00 18,031 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 18,637 0.00 12,537 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 12,958 0.00 35,834 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 36,921 0.01 28,767 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 29,536 0.01 27,783 Federal National Mortgage Association (FNMA) 5.500% 01/03/39 28,626 0.01 419,389 Federal National Mortgage Association Remic(d) 0.000% 25/07/33 4,611 0.00 872,168 Federal National Mortgage Association Remic(d) 0.000% 25/06/34 9,048 0.00 4,378,344 Federal National Mortgage Association Remic(d) 0.609% 25/06/37 4,293,355 0.88 457,322 Government National Mortgage Association (GNMA) 5.500% 15/07/20 478,066 0.10 2,915,462 Government National Mortgage Association (GNMA) 5.500% 15/01/39 3,006,102 0.62 1,088,034 Government National Mortgage Association (GNMA) 5.500% 15/01/39 1,120,720 0.23

190,418,852 39.02

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost USD 186,419,801) 190,418,852 39.02

Non-Agencies Asset Backed Obligations – 8.18% United States Dollar 1,000,000 Banc of America Commercial Mortgage, Inc.(d) 5.179% 10/09/47 837,794 0.17 42,831 Banc of America Mortgage Securities, Inc.(d) 3.855% 25/05/34 35,840 0.01 1,971,680 Banc of America Mortgage Securities, Inc.(d) 4.919% 25/08/35 1,440,214 0.30 1,338,398 Bear Stearns Adjustable Rate Mortgage Trust(d) 4.625% 25/10/35 1,093,551 0.22 3,000,000 Bear Stearns Adjustable Rate Mortgage Trust(d) 4.650% 25/10/35 1,807,987 0.37 500,000 Bear Stearns Commercial Mortgage Securities 5.201% 11/12/38 391,960 0.08 668,386 Bear Stearns Mortgage Funding Trust(d) 0.539% 25/09/46 233,470 0.05 789,088 Bear Stearns Mortgage Funding Trust(d) 0.509% 25/09/46 308,782 0.06 675,107 Bear Stearns Mortgage Funding Trust “2A1”(d) 0.529% 25/08/36 287,921 0.06 419,297 Chase Mortgage Finance Corp.(d) 4.584% 25/02/37 347,669 0.07 659,846 Chase Mortgage Finance Corp.(d) 4.827% 25/02/37 530,828 0.11 999,109 Chase Mortgage Finance Corp.(d) 4.776% 25/02/37 847,659 0.17 667,502 Chase Mortgage Finance Corp.(d) 4.605% 25/02/37 564,682 0.12 1,200,000 CIT Mortgage Loan Trust 144A(c)(d) 1.759% 25/10/37 312,000 0.06 600,000 CIT Mortgage Loan Trust 144A(c)(d) 1.559% 25/10/37 163,500 0.03 1,418,272 CIT Mortgage Loan Trust 144A(c)(d) 1.309% 25/10/37 1,120,435 0.23 1,264,453 Countrywide Alternative Loan Trust(d) 5.307% 25/12/35 698,324 0.14 371,893 Countrywide Alternative Loan Trust(d) 0.496% 20/02/47 140,661 0.03 832,608 Countrywide Home Equity Loan Trust(d) 0.494% 15/11/36 298,468 0.06 1,673,504 Countrywide Home Loan Mortgage Pass Through Trust(d) 5.070% 20/11/34 984,944 0.20 1,000,000 Credit Suisse Mortgage Capital Certificates “A3” 5.467% 15/09/39 765,692 0.16 201,101 First Horizon Alternative Mortgage Securities(d) 3.940% 25/03/35 100,883 0.02 277,767 First Horizon Alternative Mortgage Securities(d) 5.074% 25/07/35 136,079 0.03 550,247 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 182,710 0.04 437,869 GMAC Mortgage Corp Loan Trust 7.000% 25/09/37 152,325 0.03 1,335,644 Harborview Mortgage Loan Trust(d) 0.578% 19/01/36 613,767 0.13 1,416,657 Harborview Mortgage Loan Trust(d) 0.508% 19/11/36 577,070 0.12 1,441,855 Harborview Mortgage Loan Trust(d) 0.518% 19/01/38 608,506 0.12 501,729 HFC Home Equity Loan Asset Backed Certificates(d) 0.466% 20/03/36 325,497 0.07 1,873,015 HSBC Home Equity Loan Asset Backed Certificates(d) 1.516% 20/11/36 1,253,457 0.26 288,720 Indymac Index Mortgage Loan Trust(d) 5.196% 25/08/34 161,829 0.03 677,550 JP Morgan Mortgage Trust(d) 4.741% 25/07/35 533,929 0.11 745,236 JP Morgan Mortgage Trust “1A1”(d) 4.198% 25/07/35 615,064 0.13

The accompanying notes are an integral part of these financial statements.

239 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 664,274 JP Morgan Mortgage Trust “5A2”(d) 4.773% 25/07/35 531,554 0.11 3,000,000 LB-UBS Commercial Mortgage Trust 6.653% 15/11/27 3,046,072 0.62 2,000,000 LB-UBS Commercial Mortgage Trust 4.853% 15/09/31 1,890,833 0.39 827,748 Lehman XS Trust(d) 0.609% 25/11/35 361,624 0.07 2,129,959 Lehman XS Trust(d) 0.579% 25/02/36 946,504 0.19 1,075,661 Lehman XS Trust(d) 0.499% 25/11/46 435,952 0.09 1,670,269 Lehman XS Trust(d) 2.264% 25/03/47 659,722 0.14 687,324 Mastr Adjustable Rate Mortgages Trust(d) 4.848% 25/01/36 462,811 0.10 900,599 Merrill Lynch Alternative Note Asset(d) 0.499% 25/07/47 338,021 0.07 1,000,000 Morgan Stanley Capital I(d) 5.208% 14/11/42 844,585 0.17 6,155,204 Morgan Stanley Mortgage Loan Trust(d) 6.315% 25/11/37 3,116,035 0.64 2,111,080 MortgageIT Trust(d) 0.559% 25/11/35 964,055 0.20 566,836 Structured Adjustable Rate Mortgage Loan Trust(d) 4.010% 25/04/34 334,674 0.07 2,000,000 Structured Adjustable Rate Mortgage Loan Trust(d) 5.250% 25/02/36 510,162 0.10 918,963 Structured Asset Mortgage Investments, Inc.(d) 0.509% 25/10/36 375,479 0.08 1,439,811 WaMu Alternative Mortgage Pass-Through Certificates(d) 2.289% 25/10/46 520,975 0.11 2,385,693 WaMu Alternative Mortgage Pass-Through Certificates(d) 2.279% 25/11/46 841,976 0.17 760,887 WaMu Mortgage Pass Through Certificates “1A”(d) 2.139% 25/03/47 265,765 0.05 3,291,128 Washington Mutual, Inc.(d) 4.826% 25/10/35 2,552,563 0.52 4,776,319 Wells Fargo Alternative Loan Trust 6.000% 25/06/37 2,422,959 0.50

39,895,818 8.18

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost USD 66,942,705) 39,895,818 8.18

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 330,525,078) 302,554,193 62.00

Other Transferable Securities Corporate Bonds – 0.06% United States Dollar 350,000 Wachovia Bank NA 6.600% 15/01/38 290,376 0.06

TOTAL CORPORATE BONDS (cost USD 273,487) 290,376 0.06

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 273,487) 290,376 0.06

Mutual Funds – 4.80% United States Dollar 23,418,553 Goldman Sachs US$ Liquid Reserves Fund(g)(h)(i) 23,418,553 4.80

TOTAL MUTUAL FUNDS (cost USD 23,418,553) 23,418,553 4.80

Time Deposits – 14.28% United States Dollar 35,170,284 Rabobank USD Time Deposit 0.120% 01/06/09 35,170,284 7.20 34,537,244 JP Morgan London USD Time Deposit 0.150% 01/06/09 34,537,244 7.08

69,707,528 14.28

TOTAL TIME DEPOSITS (cost USD 69,707,529) 69,707,528 14.28

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost USD 490,569,564) 460,834,205 94.44

The accompanying notes are an integral part of these financial statements.

240 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) USD Equity

Covered Forward Mortgage Backed Securities – (4.06%) (19,000,000) Federal National Mortgage Association (FNMA) TBA(f) 6.000% (19,783,750) (4.06)

TOTAL COVERED FORWARD MORTGAGE BACKED SECURITIES (cost USD (19,837,187)) (19,783,750) (4.06)

Futures Contracts – (0.17%) Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

AUD (117) Australia Treasury Bonds 3YR 15/06/09 Short 28,006 0.01

EUR (14) German Federal Republic Bonds 08/06/09 Short 11,116 0.00 274 German Federal Republic Bonds 08/06/09 Long 76,697 0.02

87,813 0.02

GBP (91) UK Treasury Bonds 28/09/09 Short 76,046 0.01

USD 271 EURODOLLAR 15/06/09 Long 18,963 0.01 (323) US Treasury Notes 10YR 21/09/09 Short 65,078 0.01 (270) US Treasury Notes 5YR 30/09/09 Short 155,375 0.03

239,416 0.05

UNREALISED GAIN ON FUTURES CONTRACTS 431,281 0.09

Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

EUR 99 German Federal Republic Bonds 08/06/09 Long (136,734) (0.03)

USD (21) EURODOLLAR 14/12/09 Short (15,750) (0.00) (88) EURODOLLAR 14/09/09 Short (382,063) (0.08) (88) EURODOLLAR 15/03/10 Short (367,337) (0.08) 234 US Treasury Bonds 30YR 21/09/09 Long (366,468) (0.07) (445) US Treasury Notes 2YR 30/09/09 Short (1,344) (0.00) 19 US Treasury Notes 5YR 30/09/09 Long (11,570) (0.00)

(1,144,532) (0.23)

UNREALISED LOSS ON FUTURES CONTRACTS (1,281,266) (0.26)

Forward Currency Contracts – 0.14% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

10/06/2009 USD 460,941 JPY 43,852,729 2,499 0.00 17/06/2009 AUD 4,897,000 CAD 4,245,624 33,854 0.01 17/06/2009 AUD 2,333,000 CHF 1,883,878 102,192 0.02 17/06/2009 AUD 5,518,000 JPY 389,313,376 327,770 0.07 17/06/2009 AUD 929,000 NZD 1,153,261 6,143 0.00 17/06/2009 AUD 13,716,119 USD 9,491,691 1,440,522 0.29 17/06/2009 CAD 3,984,322 EUR 2,500,000 104,848 0.02 17/06/2009 CAD 2,827,668 USD 2,451,000 125,977 0.02 17/06/2009 CHF 1,885,158 EUR 1,244,000 3,827 0.00 17/06/2009 CHF 3,227,000 JPY 279,143,715 91,716 0.02 17/06/2009 CHF 672,464 USD 574,000 53,277 0.01 17/06/2009 EUR 1,230,000 CHF 1,831,192 26,766 0.01 17/06/2009 EUR 1,270,000 JPY 169,166,628 22,695 0.00

The accompanying notes are an integral part of these financial statements.

241 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 EUR 1,385,000 NOK 12,060,635 39,711 0.01 17/06/2009 EUR 13,220,884 USD 17,640,044 1,007,948 0.21 17/06/2009 GBP 394,000 CHF 660,620 20,284 0.00 17/06/2009 GBP 687,148 EUR 769,000 25,427 0.01 17/06/2009 GBP 2,038,000 JPY 296,993,664 187,357 0.04 17/06/2009 GBP 11,542,756 USD 17,355,047 1,292,451 0.26 17/06/2009 JPY 628,394,557 USD 6,528,967 40,885 0.01 17/06/2009 NOK 8,411,000 JPY 123,855,451 39,781 0.01 17/06/2009 NOK 12,705,966 SEK 15,181,194 9,540 0.00 17/06/2009 NOK 14,595,891 USD 2,232,717 83,411 0.02 17/06/2009 NZD 925,350 AUD 735,000 3,367 0.00 17/06/2009 NZD 4,700,360 EUR 2,092,000 42,045 0.01 17/06/2009 NZD 6,887,403 JPY 391,795,335 289,117 0.06 17/06/2009 NZD 14,185,697 USD 7,974,851 1,057,429 0.22 17/06/2009 SEK 20,618,778 EUR 1,913,476 26,492 0.01 17/06/2009 SEK 58,824,156 USD 7,455,904 319,618 0.06

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 6,826,949 1.40

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 CAD 3,363,125 AUD 3,850,000 (3,619) (0.00) 17/06/2009 CHF 1,648,532 GBP 966,000 (22,830) (0.00) 17/06/2009 EUR 4,900,000 GBP 4,380,463 (165,278) (0.03) 17/06/2009 EUR 4,793,803 SEK 51,214,560 (8,030) (0.00) 17/06/2009 JPY 646,223,193 AUD 9,506,000 (820,355) (0.17) 17/06/2009 JPY 126,317,620 CHF 1,523,000 (100,012) (0.02) 17/06/2009 JPY 237,230,976 GBP 1,636,000 (162,738) (0.03) 17/06/2009 NOK 18,979,630 EUR 2,163,000 (39,146) (0.01) 17/06/2009 USD 1,973,067 AUD 2,794,000 (253,846) (0.05) 17/06/2009 USD 6,359,026 CAD 7,733,266 (688,635) (0.14) 17/06/2009 USD 3,698,666 CHF 4,223,837 (241,346) (0.05) 17/06/2009 USD 15,967,000 EUR 11,886,361 (798,654) (0.16) 17/06/2009 USD 5,526,044 GBP 3,652,475 (374,585) (0.08) 17/06/2009 USD 10,255,034 JPY 998,076,935 (179,841) (0.04) 17/06/2009 USD 1,097,364 NOK 7,780,310 (137,243) (0.03) 17/06/2009 USD 11,930,750 NZD 21,174,359 (1,551,333) (0.32) 17/06/2009 USD 4,280,890 SEK 35,692,740 (437,065) (0.09) 26/06/2009 USD 4,779,812 EUR 3,490,952 (143,835) (0.03) 02/07/2009 USD 3,270,905 GBP 2,041,712 (27,339) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (6,155,730) (1.26)

Swap Contracts – (1.89%)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 13,000,000 Floating (BRL 1 month LIBOR) Fixed 10.059% BRL 04/01/2010 21,224 0.00 8,800,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2010 522,229 0.11 6,170,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 658,421 0.14 380,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 12,034 0.00 7,140,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 29,585 0.01 7,940,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 31,778 0.01 103,000,000 Floating (MXN 1 month MXIBTIIE) Fixed 8.210% MXN 09/12/2010 290,740 0.06 120,000 Fixed 4.250% Floating (USD 3 month LIBOR) USD 17/12/2013 437 0.00 10,100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2019 479,537 0.10 1,600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 125,569 0.03 11,700,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 1,676,217 0.34 12,100,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 900,987 0.18 3,400,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 38,942 0.01 5,000,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 45,706 0.01 8,200,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 111,823 0.02

The accompanying notes are an integral part of these financial statements.

242 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps – (continued) 9,100,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 118,647 0.02 300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 60,389 0.01 400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 79,298 0.02 600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 121,797 0.03 600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 120,592 0.02 700,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 144,437 0.03 3,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 600,674 0.12 3,800,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 29,122 0.01 11,400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 1,874,429 0.38 400,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 13,215 0.00 2,300,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 83,847 0.02 2,400,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 40,077 0.01 3,800,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 293,859 0.06 6,000,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 93,366 0.02 6,700,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 210,323 0.04 2,500,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2039 657,947 0.13 2,400,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 16/12/2039 395,668 0.08

UNREALISED GAIN ON INTEREST RATE SWAPS 9,882,916 2.02

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 9,882,916 2.02

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 853,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (165,743) (0.04) 1,629,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (408,026) (0.08) 170,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (7,083) (0.00) 1,250,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (12,904) (0.00) 1,391,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (14,488) (0.00) 1,807,000,000 Floating (KRW 3 month KWCDC) Fixed 2.830% KRW 28/01/2011 (5,103) (0.00) 1,859,000,000 Floating (KRW 3 month KWCDC) Fixed 2.820% KRW 28/01/2011 (5,491) (0.00) 10,100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (270,082) (0.06) 1,600,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 16/12/2019 (13,624) (0.00) 6,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 16/12/2019 (45,954) (0.01) 10,300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 16/12/2019 (504,371) (0.10) 3,300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (37,107) (0.01) 5,000,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (46,228) (0.01) 8,100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (110,276) (0.02) 9,000,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (117,102) (0.03) 400,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (12,475) (0.00) 2,300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (79,204) (0.02) 3,900,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (286,586) (0.06) 6,900,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (203,457) (0.04) 3,700,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 (28,943) (0.01) 2,500,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2039 (389,915) (0.08)

UNREALISED LOSS ON INTEREST RATE SWAPS (2,764,162) (0.57)

Credit Default Swaps 82,000,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (1,481,795) (0.30) 625,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (129,709) (0.03) 625,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (131,272) (0.03) 625,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (131,272) (0.03) 750,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (163,151) (0.03) 1,250,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (262,544) (0.05) 1,875,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (403,191) (0.08) 2,500,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (1,225,150) (0.25) 2,500,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (1,225,156) (0.25) 1,400,000 Floating (ABX Index) Fixed 0.760% USD 25/01/2038 (589,167) (0.12)

The accompanying notes are an integral part of these financial statements.

243 Goldman Sachs Funds—Global Libor Plus I Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Credit Default Swaps – (continued) 2,000,000 Floating (ABX Index) Fixed 0.760% USD 25/01/2038 (1,022,384) (0.21) 28,000,000 Floating (ABX Index) Fixed 0.110% USD 25/05/2046 (9,555,856) (1.96)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (16,320,647) (3.34)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (19,084,809) (3.91)

MARKET VALUE OF INVESTMENTS (cost USD 490,569,564) 431,669,796 88.47

OTHER ASSETS AND LIABILITIES 56,281,792 11.53

SHAREHOLDERS’ EQUITY 487,951,588 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency, futures and swaps contracts (cost USD 490,569,564) 460,834,205 94.44 Covered forward mortgage backed securities (19,783,750) (4.06) Unrealised gain on futures contracts 431,281 0.09 Unrealised loss on futures contracts (1,281,266) (0.26) Unrealised gain on forward currency contracts 6,826,949 1.40 Unrealised loss on forward currency contracts (6,155,730) (1.26) Unrealised gain on swaps contracts 9,882,916 2.03 Unrealised loss on swaps contracts (19,084,809) (3.91) Other Assets and Liabilities 56,281,792 11.53

Shareholders’ Equity 487,951,588 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Preferred Stocks, Agencies Asset Backed Obligations, Non-Agencies Asset Backed Obligations and Time Deposits are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank, Royal Bank of Canada, State Street Bank London, UBS AG London and Westpac Banking Corp. The counterparties for swaps contracts were Bank of America NA, Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (d) Variable and floating coupon rates are those quoted as of 31 May 2009. (e) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). (f) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (g) A related party to Goldman Sachs Funds. (h) This security is admitted to an official exchange listing. (i) The yield for this fund as at 31 May 2009 was 0.530%.

The accompanying notes are an integral part of these financial statements.

244 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 10.49% Euro 125,000 Hellas Telecommunications Luxembourg V(c) 4.935% 15/10/12 111,089 0.05 250,000 Rhodia S.A.(c) 4.185% 15/10/13 253,917 0.10

365,006 0.15

United States Dollar 400,000 Arizona Public Service Co. 4.650% 15/05/15 324,155 0.13 525,000 AT&T, Inc. 6.300% 15/01/38 472,413 0.19 1,650,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 1,682,023 0.69 125,000 Canadian Natural Resources Ltd. 5.700% 15/05/17 119,412 0.05 125,000 Chesapeake Energy Corp. 6.875% 15/01/16 107,813 0.04 200,000 Chubb Corp. 6.500% 15/05/38 186,023 0.08 150,000 CNA Financial Corp. 6.500% 15/08/16 109,269 0.04 425,000 Comcast Cable Communications Holdings, Inc. 9.455% 15/11/22 476,331 0.20 225,000 Commonwealth Edison Co. 5.400% 15/12/11 231,676 0.10 125,000 Commonwealth Edison Co. 5.900% 15/03/36 106,801 0.04 750,000 Corrections Corp. of America 7.500% 01/05/11 736,500 0.30 125,000 CSC Holdings, Inc. 6.750% 15/04/12 120,156 0.05 650,000 Dow Chemical Co. 7.600% 15/05/14 653,664 0.27 500,000 EnCana Corp. 6.500% 01/02/38 456,380 0.19 150,000 Endurance Specialty Holdings Ltd. 6.150% 15/10/15 126,524 0.05 275,000 Energy Transfer Partners LP 5.950% 01/02/15 256,457 0.11 675,000 Energy Transfer Partners LP 6.700% 01/07/18 636,877 0.26 175,000 Energy Transfer Partners LP 9.700% 15/03/19 199,989 0.08 550,000 Enterprise Products Operating LP 5.000% 01/03/15 494,803 0.20 250,000 GATX Financial Corp. 8.875% 01/06/09 250,040 0.10 275,000 Health Care Property Investors, Inc. 5.950% 15/09/11 270,477 0.11 700,000 HSBC Holdings Plc. 6.800% 01/06/38 644,699 0.27 200,000 Kraft Foods, Inc. 6.500% 11/08/17 205,396 0.08 425,000 Merrill Lynch & Co., Inc. 5.450% 05/02/13 397,911 0.16 225,000 Merrill Lynch & Co., Inc. 6.400% 28/08/17 202,796 0.08 200,000 MUFG Capital Finance 1 Ltd.(c) 6.346% 29/07/49 170,344 0.07 200,000 Nelnet, Inc. 5.125% 01/06/10 161,153 0.07 150,000 Nevada Power Co. 5.875% 15/01/15 145,127 0.06 375,000 Nevada Power Co. 6.500% 15/05/18 359,404 0.15 125,000 ONEOK Partners LP 5.900% 01/04/12 124,897 0.05 325,000 ONEOK Partners LP 6.650% 01/10/36 256,298 0.11 650,000 Pacific Gas & Electric Co. 8.250% 15/10/18 760,000 0.31 730,000 Petroleos Mexicanos 8.000% 03/05/19 793,875 0.33 900,000 Philip Morris International, Inc. 5.650% 16/05/18 904,995 0.37 275,000 Progress Energy, Inc. 5.625% 15/01/16 267,280 0.11 250,000 Progress Energy, Inc. 7.050% 15/03/19 263,995 0.11 475,000 Reed Elsevier Capital, Inc. 8.625% 15/01/19 503,743 0.21 500,000 Rogers Communications, Inc. 6.800% 15/08/18 523,092 0.22 300,000 Royal Bank of Scotland Group Plc.—ADR(d) 9.118% 31/03/49 226,500 0.09 700,000 Simon Property Group LP 5.600% 01/09/11 692,662 0.28 225,000 SLM Corp. 5.400% 25/10/11 179,162 0.07 150,000 SLM Corp. 5.125% 27/08/12 106,002 0.04 275,000 SLM Corp. 8.450% 15/06/18 184,703 0.08 3,300,000 Societe Financement de l’Economie Francaise 144A(e) 1.500% 29/10/10 3,303,081 1.36 250,000 Telecom Italia Capital S.A. 6.200% 18/07/11 256,571 0.11 325,000 Telecom Italia Capital S.A. 7.721% 04/06/38 300,352 0.12 550,000 TEPPCO Partners LP 6.650% 15/04/18 499,512 0.21 550,000 Thomson Reuters Corp. 6.500% 15/07/18 539,744 0.22 75,000 Time Warner Cable, Inc. 6.550% 01/05/37 67,324 0.03 450,000 Time Warner Cable, Inc. 144A(e) 5.400% 02/07/12 454,962 0.19 550,000 Transocean, Inc. 6.800% 15/03/38 531,543 0.22 100,000 UBS Luxembourg SA for OJSC Vimpel Communications 8.250% 23/05/16 82,500 0.03 375,000 Verizon Communications, Inc. 6.400% 15/02/38 348,401 0.14 250,000 VIP Finance Ireland Ltd. for OJSC Vimpel Communications 9.125% 30/04/18 207,500 0.09 975,000 Wachovia Corp. 5.500% 01/05/13 988,369 0.41 300,000 Wells Fargo & Co. 5.625% 11/12/17 281,593 0.12 600,000 Wells Fargo Capital XIII(c) 7.700% 29/12/49 468,000 0.19 200,000 XTO Energy, Inc. 6.250% 15/04/13 210,727 0.09

The accompanying notes are an integral part of these financial statements.

245 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 125,000 XTO Energy, Inc. 5.000% 31/01/15 119,291 0.05 375,000 XTO Energy, Inc. 6.500% 15/12/18 381,108 0.16

25,132,395 10.34

TOTAL CORPORATE BONDS (cost USD 26,347,013) 25,497,401 10.49

Government Bonds – 1.77% United States Dollar 780,000 Republic of Argentina 7.000% 03/10/15 281,580 0.11 250,000 Republic of Indonesia 11.625% 04/03/19 313,125 0.13 450,000 Republic of Peru 7.125% 30/03/19 479,250 0.20 3,160,450 United States Treasury Inflation Indexed Bonds 4.250% 15/01/10 3,229,585 1.33

4,303,540 1.77

TOTAL GOVERNMENT BONDS (cost USD 4,100,544) 4,303,540 1.77

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 30,447,557) 29,800,941 12.26

Transferable securities dealt in another regulated market Corporate Bonds – 10.79% United States Dollar 200,000 Ace Capital Trust II 9.700% 01/04/30 170,570 0.07 150,000 Allied Waste Industries, Inc. 4.250% 15/04/34 141,422 0.06 675,000 Altria Group, Inc. 9.700% 10/11/18 744,031 0.31 950,000 Anheuser-Busch InBev Worldwide, Inc. 144A(e) 7.750% 15/01/19 1,001,193 0.41 300,000 ANZ Capital Trust 144A(e) 4.484% 31/12/49 282,956 0.12 700,000 ArcelorMittal 6.125% 01/06/18 583,960 0.24 125,000 Arch Capital Group Ltd. 7.350% 01/05/34 74,749 0.03 125,000 AXA S.A. 144A(c)(e) 6.463% 14/12/18 73,924 0.03 300,000 Bank of America Corp. 5.750% 01/12/17 264,397 0.11 225,000 Boardwalk Pipelines LP 5.875% 15/11/16 193,339 0.08 175,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 114,847 0.05 250,000 Canadian Natural Resources Ltd. 5.150% 01/02/13 250,743 0.10 750,000 Cargill, Inc. 144A(e) 5.200% 22/01/13 751,398 0.31 125,000 Catlin Insurance Co., Ltd. 144A(c)(e) 7.249% 31/12/49 59,413 0.02 175,000 Chubb Corp.(c) 6.375% 29/03/67 133,270 0.05 275,000 Comcast Holdings Corp. 10.625% 15/07/12 307,427 0.13 325,000 Commonwealth Edison Co. 5.800% 15/03/18 312,098 0.13 350,000 COX Communications, Inc. 144A(e) 5.875% 01/12/16 328,002 0.13 575,000 COX Communications, Inc. 144A(e) 6.250% 01/06/18 540,364 0.22 250,000 Echostar DBS Corp. 7.125% 01/02/16 229,375 0.09 175,000 El Paso Natural Gas Co. 7.500% 15/11/26 159,560 0.07 200,000 Enterprise Products Operating LP 5.750% 01/03/35 149,974 0.06 125,000 Enterprise Products Operating LP(c) 8.375% 01/08/66 95,000 0.04 125,000 Enterprise Products Operating LP(c) 7.034% 15/01/68 87,605 0.04 500,000 Florida Gas Transmission Co. LLC 144A(e) 7.900% 15/05/19 502,699 0.21 200,000 GulfSouth Pipeline Co. 144A(e) 6.300% 15/08/17 173,077 0.07 262,000 HCA, Inc.(c) 9.625% 15/11/16 250,865 0.10 225,000 Inco Ltd. 5.700% 15/10/15 204,324 0.08 250,000 Inmarsat Finance Plc.(c) 10.375% 15/11/12 258,750 0.11 225,000 International Lease Finance Corp. 4.950% 01/02/11 187,312 0.08 425,000 JPMorgan Chase Bank NA 6.000% 01/10/17 400,348 0.16 250,000 L-3 Communications Corp. 6.375% 15/10/15 228,125 0.09 1,300,000 LeasePlan Corp. NV 144A(e) 3.000% 07/05/12 1,296,522 0.53 300,000 MetLife Capital Trust X 144A(c)(e) 9.250% 08/04/38 246,000 0.10 350,000 MidAmerican Energy Holdings Co. 5.750% 01/04/18 344,647 0.14 300,000 MidAmerican Energy Holdings Co. 6.125% 01/04/36 264,347 0.11 250,000 Morgan Stanley 5.750% 31/08/12 252,661 0.10 300,000 Morgan Stanley 5.950% 28/12/17 281,289 0.12 425,000 Morgan Stanley 6.625% 01/04/18 414,648 0.17

The accompanying notes are an integral part of these financial statements.

246 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Corporate Bonds – (continued) United States Dollar – (continued) 250,000 Nisource Finance Corp. 10.750% 15/03/16 269,471 0.11 1,125,000 Pfizer, Inc. 6.200% 15/03/19 1,183,897 0.49 175,000 Phoenix Life Insurance Co. 144A(e) 7.150% 15/12/34 49,000 0.02 625,000 Qwest Capital Funding, Inc. 7.900% 15/08/10 624,219 0.26 125,000 Reinsurance Group of America, Inc.(c) 6.750% 15/12/65 63,177 0.03 200,000 Royal Bank of Scotland Group Plc.(c) 7.640% 31/03/49 74,000 0.03 3,500,000 Royal Bank of Scotland Plc. 144A(c)(e) 1.638% 11/05/12 3,492,188 1.44 400,000 StatoilHydro ASA 5.250% 15/04/19 394,668 0.16 4,500,000 Suncorp-Metway Ltd. 144A(c)(e) 2.381% 15/04/11 4,494,141 1.85 225,000 Symetra Financial Corp. 144A(e) 6.125% 01/04/16 167,725 0.07 425,000 Tennessee Gas Pipeline Co. 7.000% 15/10/28 358,661 0.15 100,000 Time Warner Entertainment Co. LP 8.375% 15/03/23 104,242 0.04 25,000 Ucar Finance, Inc. 10.250% 15/02/12 22,938 0.01 400,000 Verizon Wireless 144A(e) 8.500% 15/11/18 475,346 0.20 200,000 Waddell & Reed Financial, Inc. 5.600% 15/01/11 183,049 0.07 250,000 WEA Finance LLC / WT Finance Aust Pty Ltd. 144A(e) 7.500% 02/06/14 246,097 0.10 400,000 Westfield Capital Corp., LLC 144A(e) 5.125% 15/11/14 357,000 0.15 150,000 Whirlpool Corp. 8.000% 01/05/12 152,449 0.06 175,000 Whirlpool Corp. 8.600% 01/05/14 175,961 0.07 475,000 Williams Cos, Inc. 144A(e) 6.375% 01/10/10 472,582 0.19 825,000 ZFS Finance USA Trust I 144A(c)(e) 6.150% 15/12/65 532,125 0.22 26,248,167 10.79

TOTAL CORPORATE BONDS (cost USD 27,702,173) 26,248,167 10.79

Government Bonds – 3.82% United States Dollar 7,971,241 United States Treasury Inflation Indexed Bonds 0.875% 15/04/10 7,961,277 3.27 1,400,000 United States Treasury Note/Bond 4.250% 15/05/39 1,336,562 0.55

9,297,839 3.82

TOTAL GOVERNMENT BONDS (cost USD 9,229,350) 9,297,839 3.82

Preferred Stocks – 0.16% United States Dollar 550,000 Resona Preferred Global Securities Cayman Ltd. 144A(c)(e) 7.191% 29/12/49 379,500 0.16

TOTAL PREFERRED STOCKS (cost USD 563,280) 379,500 0.16

Agencies Asset Backed Obligations – 49.28% United States Dollar 2,700,000 Federal Home Loan Mortgage Corp. (FHLMC) 1.750% 27/07/11 2,706,129 1.11 669,723 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/19 700,474 0.29 21,109 Federal Home Loan Mortgage Corp. (FHLMC)(c) 5.131% 01/09/33 21,753 0.01 130,938 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.553% 01/09/33 132,853 0.05 56,469 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.444% 01/10/34 57,392 0.02 559,520 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.655% 01/11/34 571,007 0.24 32,220 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.388% 01/11/34 32,940 0.01 39,034 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.377% 01/11/34 39,936 0.02 55,200 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.483% 01/11/34 56,991 0.02 109,890 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.374% 01/11/34 112,240 0.05 64,723 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.352% 01/01/35 66,263 0.03 31,958 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.513% 01/02/35 32,839 0.01 55,681 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.358% 01/02/35 57,222 0.02 67,438 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.429% 01/02/35 69,744 0.03 69,214 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.420% 01/02/35 70,651 0.03 78,634 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.504% 01/02/35 80,980 0.03 80,599 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.338% 01/02/35 82,803 0.03 125,365 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.424% 01/02/35 128,498 0.05 391,924 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.210% 01/07/35 402,457 0.17

The accompanying notes are an integral part of these financial statements.

247 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 422,418 Federal Home Loan Mortgage Corp. (FHLMC)(c) 4.970% 01/10/35 434,323 0.18 1,216,111 Federal Home Loan Mortgage Corp. (FHLMC)(c) 5.158% 01/05/36 1,257,723 0.52 39,873 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/36 41,570 0.02 67,515 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/36 70,389 0.03 2,501,771 Federal Home Loan Mortgage Corp. (FHLMC)(c) 5.186% 01/01/37 2,564,580 1.06 19,541 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/37 20,548 0.01 33,818 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/37 35,231 0.01 37,374 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/37 38,935 0.02 71,039 Federal Home Loan Mortgage Corp. (FHLMC)(c) 1.000% 15/06/37 68,333 0.03 1,953 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 2,054 0.00 3,592 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/37 3,777 0.00 22,663 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 23,831 0.01 27,696 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 29,124 0.01 28,550 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 30,022 0.01 38,611 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 40,602 0.02 40,194 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 42,266 0.02 43,919 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 46,184 0.02 53,324 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/37 56,073 0.02 444,565 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/10/37 463,139 0.19 69,505 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 72,409 0.03 249,181 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/37 259,592 0.11 71,208 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/04/38 74,183 0.03 908,171 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/05/38 946,064 0.39 88,841 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/07/38 93,506 0.04 1,496,437 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/08/38 1,558,960 0.64 61,543 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/09/38 64,111 0.03 794,353 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/38 804,528 0.33 955,334 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/11/38 995,249 0.41 262,894 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/12/38 276,695 0.11 8,824 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 9,287 0.00 10,233 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 10,770 0.00 13,473 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 14,180 0.01 23,023 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 24,232 0.01 33,690 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 35,459 0.01 35,041 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/01/39 36,881 0.02 72,637 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/02/39 75,668 0.03 2,196,954 Federal Home Loan Mortgage Corp. Remic(c) 0.794% 15/07/37 2,159,475 0.89 3,000,000 Federal National Mortgage Association (FNMA) 1.750% 23/03/11 3,037,763 1.25 8,000,000 Federal National Mortgage Association (FNMA) 4.000% 07/07/11 8,027,520 3.30 10,000,000 Federal National Mortgage Association (FNMA) 4.330% 28/07/11 10,060,320 4.14 2,100,000 Federal National Mortgage Association (FNMA) 2.000% 09/01/12 2,116,545 0.87 12,000,000 Federal National Mortgage Association (FNMA) 5.450% 11/09/12 12,163,404 5.00 4,000,000 Federal National Mortgage Association (FNMA) 4.120% 06/05/13 4,059,972 1.67 866,484 Federal National Mortgage Association (FNMA) 4.000% 01/08/13 883,555 0.36 100,271 Federal National Mortgage Association (FNMA) 4.000% 01/10/13 102,272 0.04 120,541 Federal National Mortgage Association (FNMA) 4.000% 01/05/14 123,019 0.05 718,199 Federal National Mortgage Association (FNMA) 4.000% 01/06/14 732,837 0.30 538,472 Federal National Mortgage Association (FNMA) 4.000% 01/12/14 548,448 0.23 709,969 Federal National Mortgage Association (FNMA) 4.000% 01/02/15 722,876 0.30 1,181,725 Federal National Mortgage Association (FNMA) 4.000% 01/03/15 1,202,769 0.49 74,612 Federal National Mortgage Association (FNMA) 5.000% 01/01/18 77,281 0.03 170,245 Federal National Mortgage Association (FNMA) 5.000% 01/02/18 176,358 0.07 258,323 Federal National Mortgage Association (FNMA) 7.500% 01/03/18 270,937 0.11 891,765 Federal National Mortgage Association (FNMA) 5.000% 01/06/18 923,789 0.38 334,257 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 346,261 0.14 683,659 Federal National Mortgage Association (FNMA) 5.000% 01/07/18 708,209 0.29 50,135 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 51,355 0.02 51,400 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 52,651 0.02 108,784 Federal National Mortgage Association (FNMA) 4.500% 01/10/18 111,432 0.05 126,064 Federal National Mortgage Association (FNMA) 5.000% 01/10/18 130,591 0.05 7,000,000 Federal National Mortgage Association (FNMA) 5.200% 09/10/18 7,090,715 2.92 47,610 Federal National Mortgage Association (FNMA) 4.500% 01/11/18 48,769 0.02 123,344 Federal National Mortgage Association (FNMA) 5.000% 01/11/18 127,799 0.05 78,788 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 80,706 0.03 418,301 Federal National Mortgage Association (FNMA) 5.000% 01/12/18 433,411 0.18

The accompanying notes are an integral part of these financial statements.

248 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 730,026 Federal National Mortgage Association (FNMA) 4.500% 01/12/18 748,248 0.31 186,843 Federal National Mortgage Association (FNMA) 5.000% 01/04/19 192,992 0.08 17,955 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 18,370 0.01 55,282 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 56,615 0.02 100,277 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 102,592 0.04 131,015 Federal National Mortgage Association (FNMA) 4.500% 01/05/19 134,041 0.06 133,934 Federal National Mortgage Association (FNMA) 5.000% 01/05/19 138,437 0.06 152,866 Federal National Mortgage Association (FNMA) 4.500% 01/06/19 156,396 0.06 1,133,964 Federal National Mortgage Association (FNMA) 5.000% 01/07/19 1,174,686 0.48 105,281 Federal National Mortgage Association (FNMA) 4.500% 01/08/19 107,712 0.04 187,714 Federal National Mortgage Association (FNMA) 5.000% 01/08/19 193,891 0.08 282,338 Federal National Mortgage Association (FNMA) 4.500% 01/04/20 289,654 0.12 5,281,699 Federal National Mortgage Association (FNMA) 5.500% 01/06/20 5,527,514 2.27 879,658 Federal National Mortgage Association (FNMA) 4.500% 01/05/23 893,836 0.37 241,573 Federal National Mortgage Association (FNMA)(c) 4.013% 01/02/33 249,089 0.10 4,926 Federal National Mortgage Association (FNMA)(c) 4.607% 01/03/33 5,073 0.00 666,492 Federal National Mortgage Association (FNMA)(c) 4.553% 01/04/33 680,744 0.28 832,788 Federal National Mortgage Association (FNMA)(c) 4.665% 01/06/33 851,355 0.35 39,259 Federal National Mortgage Association (FNMA)(c) 4.486% 01/07/33 40,165 0.02 3,459 Federal National Mortgage Association (FNMA)(c) 4.375% 01/09/33 3,591 0.00 4,377 Federal National Mortgage Association (FNMA) 5.500% 01/09/33 4,515 0.00 4,183 Federal National Mortgage Association (FNMA)(c) 4.914% 01/12/33 4,252 0.00 5,661 Federal National Mortgage Association (FNMA) 5.500% 01/02/34 5,838 0.00 883 Federal National Mortgage Association (FNMA) 5.500% 01/04/34 913 0.00 15,259 Federal National Mortgage Association (FNMA)(c) 4.372% 01/04/34 15,647 0.01 259,513 Federal National Mortgage Association (FNMA)(c) 4.261% 01/04/34 265,495 0.11 624,507 Federal National Mortgage Association (FNMA)(c) 4.514% 01/09/34 637,207 0.26 22,101 Federal National Mortgage Association (FNMA)(c) 4.736% 01/10/34 22,641 0.01 515,077 Federal National Mortgage Association (FNMA)(c) 3.960% 01/10/34 524,204 0.22 7,925 Federal National Mortgage Association (FNMA)(c) 4.607% 01/11/34 8,063 0.00 157,343 Federal National Mortgage Association (FNMA)(c) 4.553% 01/11/34 161,672 0.07 62,279 Federal National Mortgage Association (FNMA) 5.500% 01/12/34 64,225 0.03 69,446 Federal National Mortgage Association (FNMA)(c) 4.540% 01/12/34 71,032 0.03 27,726 Federal National Mortgage Association (FNMA)(c) 4.327% 01/01/35 28,345 0.01 81,710 Federal National Mortgage Association (FNMA)(c) 4.480% 01/01/35 83,590 0.03 92,129 Federal National Mortgage Association (FNMA)(c) 4.454% 01/01/35 94,671 0.04 100,322 Federal National Mortgage Association (FNMA)(c) 4.530% 01/01/35 103,158 0.04 48,076 Federal National Mortgage Association (FNMA)(c) 4.291% 01/02/35 49,205 0.02 219,442 Federal National Mortgage Association (FNMA)(c) 4.430% 01/02/35 224,357 0.09 207,328 Federal National Mortgage Association (FNMA)(c) 3.721% 01/03/35 212,801 0.09 90,196 Federal National Mortgage Association (FNMA)(c) 4.411% 01/03/35 92,357 0.04 133,938 Federal National Mortgage Association (FNMA)(c) 4.687% 01/04/35 138,738 0.06 173,562 Federal National Mortgage Association (FNMA)(c) 3.980% 01/04/35 177,591 0.07 117,567 Federal National Mortgage Association (FNMA)(c) 4.361% 01/05/35 121,293 0.05 235,111 Federal National Mortgage Association (FNMA)(c) 3.667% 01/05/35 239,819 0.10 546,115 Federal National Mortgage Association (FNMA)(c) 4.549% 01/06/35 562,710 0.23 616,206 Federal National Mortgage Association (FNMA)(c) 4.250% 01/08/35 637,077 0.26 7,468 Federal National Mortgage Association (FNMA) 5.500% 01/09/35 7,704 0.00 283,926 Federal National Mortgage Association (FNMA)(c) 4.442% 01/09/35 289,782 0.12 20,196 Federal National Mortgage Association (FNMA) 6.000% 01/12/35 21,199 0.01 26,892 Federal National Mortgage Association (FNMA) 6.000% 01/04/36 28,062 0.01 34,698 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 36,207 0.02 37,209 Federal National Mortgage Association (FNMA) 6.000% 01/06/36 38,828 0.02 39,984 Federal National Mortgage Association (FNMA) 6.000% 01/07/36 41,723 0.02 22,288 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 23,258 0.01 36,361 Federal National Mortgage Association (FNMA) 6.000% 01/08/36 38,033 0.02 203,497 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 216,468 0.09 86,367 Federal National Mortgage Association (FNMA) 6.500% 01/09/36 91,929 0.04 16,121 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 16,822 0.01 25,927 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 27,055 0.01 45,153 Federal National Mortgage Association (FNMA) 6.000% 01/09/36 47,117 0.02 32,296 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 33,766 0.01 42,907 Federal National Mortgage Association (FNMA) 6.000% 01/10/36 44,773 0.02 319,189 Federal National Mortgage Association (FNMA) 6.500% 01/10/36 339,747 0.14 446,069 Federal National Mortgage Association (FNMA) 6.000% 01/11/36 465,304 0.19

The accompanying notes are an integral part of these financial statements.

249 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 3,118 Federal National Mortgage Association (FNMA) 5.500% 01/12/36 3,212 0.00 53,581 Federal National Mortgage Association (FNMA) 6.000% 01/01/37 56,019 0.02 1,060 Federal National Mortgage Association (FNMA) 5.500% 01/02/37 1,092 0.00 5,641 Federal National Mortgage Association (FNMA) 5.500% 01/03/37 5,811 0.00 1,810 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 1,864 0.00 4,956 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 5,105 0.00 6,672 Federal National Mortgage Association (FNMA) 5.500% 01/04/37 6,872 0.00 23,510 Federal National Mortgage Association (FNMA) 6.000% 01/04/37 24,514 0.01 1,846 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 1,901 0.00 2,256 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 2,324 0.00 2,317 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 2,386 0.00 4,807 Federal National Mortgage Association (FNMA) 5.500% 01/05/37 4,952 0.00 28,076 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 29,275 0.01 40,348 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 42,103 0.02 366,633 Federal National Mortgage Association (FNMA) 6.000% 01/05/37 382,581 0.16 11,181 Federal National Mortgage Association (FNMA) 5.500% 01/06/37 11,480 0.00 3,070 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 3,162 0.00 4,497 Federal National Mortgage Association (FNMA) 5.500% 01/07/37 4,632 0.00 39,349 Federal National Mortgage Association (FNMA) 6.000% 01/07/37 41,030 0.02 36,705 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 38,273 0.02 46,144 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 48,115 0.02 53,387 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 55,663 0.02 74,683 Federal National Mortgage Association (FNMA) 6.000% 01/08/37 77,866 0.03 769,565 Federal National Mortgage Association (FNMA) 5.500% 01/09/37 789,753 0.33 21,115 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 22,015 0.01 207,244 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 216,078 0.09 210,977 Federal National Mortgage Association (FNMA) 6.000% 01/09/37 220,512 0.09 38,273 Federal National Mortgage Association (FNMA) 5.500% 01/10/37 39,421 0.02 46,754 Federal National Mortgage Association (FNMA) 6.000% 01/10/37 48,751 0.02 26,081 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 27,195 0.01 38,886 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 40,547 0.02 88,521 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 92,302 0.04 98,599 Federal National Mortgage Association (FNMA) 6.000% 01/11/37 103,056 0.04 88,197 Federal National Mortgage Association (FNMA) 6.000% 01/12/37 92,183 0.04 47,131 Federal National Mortgage Association (FNMA) 6.000% 01/01/38 49,145 0.02 58,437 Federal National Mortgage Association (FNMA) 5.500% 01/01/38 60,199 0.03 58,105 Federal National Mortgage Association (FNMA) 5.500% 01/02/38 59,857 0.02 63,530 Federal National Mortgage Association (FNMA) 6.000% 01/02/38 66,244 0.03 381,916 Federal National Mortgage Association (FNMA) 5.000% 01/03/38 387,107 0.16 318,437 Federal National Mortgage Association (FNMA) 6.500% 01/03/38 338,928 0.14 2,060 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 2,122 0.00 9,191 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 9,468 0.00 42,302 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 43,577 0.02 191,230 Federal National Mortgage Association (FNMA) 5.500% 01/03/38 196,997 0.08 3,404,772 Federal National Mortgage Association (FNMA) 6.000% 01/03/38 3,549,904 1.46 12,235 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 12,562 0.01 15,779 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 16,255 0.01 16,442 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 16,938 0.01 21,115 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 21,752 0.01 23,123 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 23,820 0.01 23,722 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 24,438 0.01 329,796 Federal National Mortgage Association (FNMA) 5.500% 01/04/38 339,741 0.14 4,113 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 4,228 0.00 4,166 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 4,292 0.00 34,738 Federal National Mortgage Association (FNMA) 5.500% 01/05/38 35,791 0.02 45,414 Federal National Mortgage Association (FNMA) 6.000% 01/05/38 47,352 0.02 1,343 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 1,384 0.00 2,069 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 2,132 0.00 4,915 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 5,064 0.00 8,195 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 8,443 0.00 10,739 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 11,064 0.00 24,067 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 24,797 0.01 50,043 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 51,560 0.02 66,437 Federal National Mortgage Association (FNMA) 5.500% 01/06/38 68,451 0.03 2,027 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 2,089 0.00

The accompanying notes are an integral part of these financial statements.

250 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 2,138 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 2,203 0.00 7,396 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 7,620 0.00 15,799 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 16,278 0.01 21,863 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 22,526 0.01 82,498 Federal National Mortgage Association (FNMA) 5.500% 01/07/38 84,702 0.04 189,972 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 198,736 0.08 154,316 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 161,435 0.07 141,111 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 147,621 0.06 1,146 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 1,181 0.00 1,798 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 1,852 0.00 8,307 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 8,559 0.00 9,574 Federal National Mortgage Association (FNMA) 5.500% 01/08/38 9,864 0.00 25,194 Federal National Mortgage Association (FNMA) 6.000% 01/08/38 26,269 0.01 541,228 Federal National Mortgage Association (FNMA) 5.000% 01/09/38 548,638 0.23 1,559 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 1,607 0.00 1,665 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 1,715 0.00 4,169 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 4,295 0.00 4,832 Federal National Mortgage Association (FNMA) 5.500% 01/09/38 4,978 0.00 36,266 Federal National Mortgage Association (FNMA) 6.000% 01/09/38 37,939 0.02 37,647 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 39,384 0.02 24,614 Federal National Mortgage Association (FNMA) 6.500% 01/10/38 26,197 0.01 1,078 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 1,107 0.00 8,776 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 9,042 0.00 28,358 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 29,547 0.01 30,216 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 31,132 0.01 35,143 Federal National Mortgage Association (FNMA) 6.000% 01/10/38 36,764 0.02 45,570 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 46,951 0.02 68,540 Federal National Mortgage Association (FNMA) 5.500% 01/10/38 70,618 0.03 77,220 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 80,514 0.03 70,056 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 73,288 0.03 49,588 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 51,876 0.02 10,481 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 10,798 0.00 11,873 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 12,233 0.01 13,061 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 13,457 0.01 14,474 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 14,913 0.01 23,337 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 24,044 0.01 37,051 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 38,174 0.02 48,456 Federal National Mortgage Association (FNMA) 5.500% 01/11/38 49,924 0.02 169,709 Federal National Mortgage Association (FNMA) 6.000% 01/11/38 176,949 0.07 40,573 Federal National Mortgage Association (FNMA) 5.500% 01/12/38 41,803 0.02 16,598 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 17,101 0.01 25,020 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 26,087 0.01 25,996 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 26,784 0.01 26,686 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 27,822 0.01 26,875 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 27,690 0.01 33,287 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 34,707 0.01 44,274 Federal National Mortgage Association (FNMA) 5.500% 01/01/39 45,616 0.02 57,830 Federal National Mortgage Association (FNMA) 6.000% 01/01/39 60,300 0.03 4,119 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 4,244 0.00 11,957 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 12,320 0.01 43,609 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 44,931 0.02 135,556 Federal National Mortgage Association (FNMA) 5.500% 01/02/39 139,179 0.06 10,242,003 Federal National Mortgage Association (FNMA) 6.000% 01/02/39 10,704,894 4.40 9,271 Federal National Mortgage Association (FNMA) 5.500% 01/03/39 9,552 0.00 3,000,000 Federal National Mortgage Association (FNMA) TBA(f) 5.500% 01/12/99 3,075,936 1.27 167,756 Federal National Mortgage Association Remic(c) 0.000% 25/07/33 1,844 0.00 436,084 Federal National Mortgage Association Remic(c) 0.000% 25/06/34 4,524 0.00 2,155,648 Federal National Mortgage Association Remic(c) 0.709% 25/06/37 2,094,270 0.86 2,761,451 Federal National Mortgage Association Remic(c) 1.249% 25/07/48 2,732,601 1.12

119,823,764 49.28

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost USD 118,425,963) 119,823,764 49.28

The accompanying notes are an integral part of these financial statements.

251 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Non-Agencies Asset Backed Obligations – 8.45% United States Dollar 500,000 Banc of America Commercial Mortgage, Inc.(c) 5.179% 10/09/47 418,897 0.17 42,831 Banc of America Mortgage Securities, Inc.(c) 3.855% 25/05/34 35,840 0.01 657,227 Banc of America Mortgage Securities, Inc.(c) 4.919% 25/08/35 480,071 0.20 1,000,000 Bear Stearns Adjustable Rate Mortgage Trust(c) 4.650% 25/10/35 602,662 0.25 668,386 Bear Stearns Mortgage Funding Trust(c) 0.539% 25/09/46 233,470 0.10 789,088 Bear Stearns Mortgage Funding Trust(c) 0.509% 25/09/46 308,782 0.13 659,846 Chase Mortgage Finance Corp.(c) 4.827% 25/02/37 530,828 0.22 1,293,385 Chase Mortgage Finance Corp. “2A1”(c) 4.077% 25/02/37 1,100,839 0.45 200,000 CIT Mortgage Loan Trust 144A(c)(e) 1.559% 25/10/37 54,500 0.02 370,000 CIT Mortgage Loan Trust 144A(e) 1.759% 25/10/37 96,200 0.04 493,312 CIT Mortgage Loan Trust 144A(e) 1.309% 25/10/37 389,716 0.16 1,618,749 Countrywide Alternative Loan Trust 5.750% 25/07/37 890,312 0.37 1,500,000 Countrywide Alternative Loan Trust 5.750% 25/04/47 594,043 0.24 475,776 Countrywide Home Equity Loan Trust(c) 0.494% 15/11/36 170,553 0.07 1,632,281 Downey Savings & Loan Association Mortgage Loan Trust(c) 0.718% 19/11/44 810,487 0.33 134,729 GMAC Mortgage Corp Loan Trust(c) 7.000% 25/09/37 46,869 0.02 146,732 GMAC Mortgage Corp Loan Trust(c) 7.000% 25/09/37 48,723 0.02 572,419 Harborview Mortgage Loan Trust(c) 0.578% 19/01/36 263,043 0.11 1,485,350 Harborview Mortgage Loan Trust(c) 0.568% 19/03/36 593,478 0.24 708,329 Harborview Mortgage Loan Trust(c) 0.508% 19/11/36 288,535 0.12 2,057,438 Harborview Mortgage Loan Trust(c) 0.478% 25/01/47 861,473 0.35 599,365 HSBC Home Equity Loan Asset Backed Certificates(c) 1.516% 20/11/36 401,106 0.16 115,489 Indymac Index Mortgage Loan Trust(c) 5.196% 25/08/34 64,732 0.03 833,662 JP Morgan Alternative Loan Trust 0.569% 25/01/36 437,902 0.18 677,550 JP Morgan Mortgage Trust(c) 4.741% 25/07/35 533,929 0.22 1,000,000 LB-UBS Commercial Mortgage Trust 4.853% 15/09/31 945,417 0.39 413,874 Lehman XS Trust(c) 0.609% 25/11/35 180,812 0.07 532,490 Lehman XS Trust(c) 0.579% 25/02/36 236,626 0.10 717,107 Lehman XS Trust(c) 0.499% 25/11/46 290,635 0.12 835,134 Lehman XS Trust(c) 2.264% 25/03/47 329,861 0.14 1,812,068 Lehman XS Trust(c) 0.549% 25/06/47 409,808 0.17 1,862,042 Lehman XS Trust(c) 1.159% 25/09/47 719,451 0.30 987,255 Luminent Mortgage Trust(c) 0.499% 25/07/36 420,568 0.17 687,324 Mastr Adjustable Rate Mortgages Trust(c) 4.848% 25/01/36 462,811 0.19 500,000 Morgan Stanley Capital I(c) 5.208% 14/11/42 422,293 0.17 1,758,630 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 890,296 0.37 519,662 Residential Accredit Loans, Inc.(c) 2.439% 25/01/46 241,256 0.10 242,930 Structured Adjustable Rate Mortgage Loan Trust(c) 4.010% 25/04/34 143,432 0.06 1,520,273 Structured Adjustable Rate Mortgage Loan Trust(c) 5.885% 25/01/37 704,242 0.29 735,170 Structured Asset Mortgage Investments, Inc.(c) 0.509% 25/10/36 300,383 0.12 719,905 WaMu Alternative Mortgage Pass-Through Certificates(c) 2.289% 25/10/46 260,487 0.11 795,231 WaMu Alternative Mortgage Pass-Through Certificates(c) 2.279% 25/11/46 280,659 0.12 719,922 WaMu Mortgage Pass Through Certificates(c) 2.139% 25/02/47 243,596 0.10 1,000,000 Washington Mutual, Inc.(c) 4.829% 25/09/35 561,187 0.23 1,426,275 Washington Mutual, Inc.(c) 4.826% 25/10/35 1,106,203 0.45 683,346 Washington Mutual, Inc.(c) 2.279% 25/11/46 248,067 0.10 1,769,007 Wells Fargo Alternative Loan Trust 6.000% 25/06/37 897,392 0.37 20,552,472 8.45

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost USD 37,276,312) 20,552,472 8.45

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 193,197,078) 176,301,742 72.50

Other Transferable Securities Non-Agencies Asset Backed Obligations – 0.38% United States Dollar 1,563,489 Credit Suisse Mortgage Capital Certificates 6.500% 25/10/21 934,429 0.38

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost USD 1,063,238) 934,429 0.38

The accompanying notes are an integral part of these financial statements.

252 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) USD Equity

Government Bonds – 5.02% United States Dollar 6,000,000 Federal Farm Credit Bank 3.900% 20/06/11 6,297,183 2.59 5,600,000 Federal Farm Credit Banks Funding Corp. 4.500% 21/05/15 5,903,539 2.43

12,200,722 5.02

TOTAL GOVERNMENT BONDS (cost USD 11,654,428) 12,200,722 5.02

TOTAL OTHER TRANSFERABLE SECURITIES (cost USD 12,717,666) 13,135,151 5.40

Mutual Funds – 4.74% United States Dollar 11,523,734 Goldman Sachs US$ Liquid Reserves Fund(g)(h)(i) 11,523,734 4.74

TOTAL MUTUAL FUNDS (cost USD 11,523,734) 11,523,734 4.74

Time Deposits – 1.39% United States 3,385,350 Rabobank USD Time Deposit 0.120% 01/06/09 3,385,350 1.39

TOTAL TIME DEPOSITS (cost USD 3,385,350) 3,385,350 1.39

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost USD 251,271,385) 234,146,918 96.29

Covered Forward Mortgage Backed Securities – (3.85%) (9,000,000) Federal National Mortgage Association (FNMA) TBA(j) 6.000% (9,371,250) (3.85)

TOTAL COVERED FORWARD MORTGAGE BACKED SECURITIES (cost USD (9,396,562)) (9,371,250) (3.85)

Futures Contracts – 0.19% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

AUD (194) Australia Treasury Bonds 3YR 15/06/09 Short 46,430 0.02

EUR (227) German Federal Republic Bonds 08/06/09 Short 277,235 0.12 670 German Federal Republic Bonds 08/06/09 Long 178,588 0.07 455,823 0.19

GBP (147) UK Treasury Bonds 28/09/09 Short 122,931 0.05

USD 135 EURODOLLAR 15/06/09 Long 1,688 0.00 25 EURODOLLAR 14/12/09 Long 14,375 0.01 130 US Treasury Bonds 30YR 21/09/09 Long 28,078 0.01 (147) US Treasury Notes 10YR 21/09/09 Short 39,328 0.02 (471) US Treasury Notes 5YR 30/09/09 Short 255,273 0.10

338,742 0.14

UNREALISED GAIN ON FUTURES CONTRACTS 963,926 0.40

The accompanying notes are an integral part of these financial statements.

253 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Loss Shareholders’ Contracts Security Description USD Equity

EUR 188 German Federal Republic Bonds 08/06/09 Long (371,142) (0.15)

USD (18) EURODOLLAR 14/06/10 Short (12,375) (0.01) (18) EURODOLLAR 15/03/10 Short (16,425) (0.01) (63) EURODOLLAR 14/09/09 Short (100,237) (0.04) (345) US Treasury Notes 2YR 30/09/09 Short (10,094) (0.00) 16 US Treasury Notes 5YR 30/09/09 Long (9,766) (0.00) (148,897) (0.06)

UNREALISED LOSS ON FUTURES CONTRACTS (520,039) (0.21)

Forward Currency Contracts – 0.53% Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold USD Equity

10/06/2009 JPY 70,869,407 USD 737,156 3,722 0.00 10/06/2009 USD 767,769 JPY 73,043,601 4,162 0.00 17/06/2009 AUD 8,527,000 CAD 7,389,283 62,135 0.03 17/06/2009 AUD 4,080,000 CHF 3,294,563 178,717 0.07 17/06/2009 AUD 9,602,000 JPY 676,221,572 583,238 0.24 17/06/2009 AUD 1,641,000 NZD 2,037,137 10,852 0.00 17/06/2009 AUD 24,310,805 USD 16,764,315 2,612,222 1.07 17/06/2009 CAD 6,778,151 EUR 4,253,000 178,388 0.07 17/06/2009 CAD 5,272,306 USD 4,548,063 256,819 0.11 17/06/2009 CHF 3,138,393 EUR 2,071,000 6,370 0.00 17/06/2009 CHF 5,511,000 JPY 476,378,820 160,152 0.07 17/06/2009 CHF 1,151,624 USD 983,000 91,239 0.04 17/06/2009 EUR 2,300,000 CHF 3,424,190 50,041 0.02 17/06/2009 EUR 2,297,000 JPY 305,964,846 41,051 0.02 17/06/2009 EUR 2,306,000 NOK 20,080,740 66,119 0.03 17/06/2009 EUR 22,904,609 USD 30,545,710 1,761,129 0.72 17/06/2009 GBP 726,000 CHF 1,217,284 37,377 0.02 17/06/2009 GBP 1,167,883 EUR 1,307,000 43,216 0.02 17/06/2009 GBP 3,569,000 JPY 520,103,232 328,105 0.13 17/06/2009 GBP 19,519,336 USD 29,338,453 2,195,332 0.90 17/06/2009 JPY 1,111,004,505 USD 11,535,004 80,525 0.03 17/06/2009 NOK 15,085,000 JPY 221,976,330 72,983 0.03 17/06/2009 NOK 21,137,836 SEK 25,255,661 15,871 0.01 17/06/2009 NOK 24,376,102 USD 3,728,745 139,341 0.06 17/06/2009 NZD 1,583,797 AUD 1,258,000 5,762 0.00 17/06/2009 NZD 7,909,048 EUR 3,520,000 70,886 0.03 17/06/2009 NZD 11,664,842 JPY 663,519,895 490,121 0.20 17/06/2009 NZD 25,533,039 USD 14,296,695 1,960,635 0.81 17/06/2009 SEK 35,895,307 EUR 3,328,655 49,678 0.02 17/06/2009 SEK 95,438,063 USD 12,103,000 512,238 0.21

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 12,068,426 4.96

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 CAD 5,805,300 AUD 6,646,000 (6,466) (0.00) 17/06/2009 CHF 2,820,935 GBP 1,653,000 (39,067) (0.02) 17/06/2009 EUR 8,423,000 GBP 7,533,133 (289,291) (0.12) 17/06/2009 EUR 7,776,962 SEK 83,035,274 (6,440) (0.00) 17/06/2009 JPY 1,129,541,362 AUD 16,623,000 (1,439,764) (0.59) 17/06/2009 JPY 214,814,600 CHF 2,590,000 (170,080) (0.07) 17/06/2009 JPY 411,127,164 GBP 2,835,000 (281,659) (0.12) 17/06/2009 NOK 32,586,012 EUR 3,713,000 (66,304) (0.03) 17/06/2009 USD 4,121,839 AUD 5,854,397 (544,315) (0.22) 17/06/2009 USD 11,086,833 CAD 13,493,772 (1,210,626) (0.50) 17/06/2009 USD 5,969,835 CHF 6,831,501 (402,616) (0.17) 17/06/2009 USD 27,862,684 EUR 20,760,299 (1,419,616) (0.58)

The accompanying notes are an integral part of these financial statements.

254 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold USD Equity

17/06/2009 USD 9,311,482 GBP 6,151,193 (625,864) (0.26) 17/06/2009 USD 17,567,139 JPY 1,709,180,902 (302,313) (0.12) 17/06/2009 USD 1,987,735 NOK 14,093,043 (248,599) (0.10) 17/06/2009 USD 20,811,166 NZD 37,087,137 (2,802,860) (1.15) 17/06/2009 USD 7,285,688 SEK 60,726,358 (741,272) (0.30) 26/06/2009 USD 5,330,105 EUR 3,892,861 (160,394) (0.07) 02/07/2009 USD 2,063,132 GBP 1,287,816 (17,244) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (10,774,790) (4.43)

Swap Contracts – 0.45%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 7,000,000 Floating (BRL 1 month LIBOR) Fixed 10.059% BRL 04/01/2010 11,429 0.00 380,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 43,374 0.02 3,340,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 359,340 0.15 7,300,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 418,167 0.17 7,850,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 837,699 0.34 8,890,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 958,739 0.39 11,880,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 49,226 0.02 13,230,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 52,950 0.02 290,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/12/2013 11,689 0.00 360,000,000 Floating (JPY 6 month LIBOR) Fixed 2.000% JPY 17/12/2018 27,885 0.01 55,000,000 Floating (MXN 1 month MXIBTIIE) Fixed 8.210% MXN 09/12/2010 155,250 0.06 30,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 18 0.00 7,900,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2019 486,169 0.20 16,700,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2019 792,898 0.33 1,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2024 143,266 0.06 100,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 1,145 0.00 200,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 1,828 0.00 300,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 4,091 0.00 400,000 Fixed 3.750% Floating (USD 3 month LIBOR) USD 16/12/2024 5,215 0.00 800,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 161,036 0.07 1,200,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 237,894 0.10 2,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 405,988 0.17 2,000,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 401,975 0.17 2,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 474,579 0.20 6,400,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 833,271 0.34 6,500,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 1,416,887 0.58 6,900,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 52,880 0.02 10,500,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 18/06/2029 1,911,235 0.79 800,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 26,430 0.01 2,800,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 46,757 0.02 4,200,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 153,113 0.06 7,000,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 541,318 0.22 12,200,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 382,976 0.16 12,700,000 Floating (USD 3 month LIBOR) Fixed 4.000% USD 17/12/2029 197,625 0.08 1,800,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 17/06/2039 473,722 0.20 1,700,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 16/12/2039 280,265 0.12

UNREALISED GAIN ON INTEREST RATE SWAPS 12,358,329 5.08

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 12,358,329 5.08

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps 957,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (208,498) (0.09) 3,263,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (817,304) (0.34) 1,436,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (59,828) (0.03) 2,081,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (21,483) (0.01) 2,318,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (24,143) (0.01)

The accompanying notes are an integral part of these financial statements.

255 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps – (continued) 360,000,000 Fixed 2.000% Floating (JPY 6 month LIBOR) JPY 17/12/2018 (204,858) (0.08) 991,000,000 Floating (KRW 3 month KWCDC) Fixed 2.830% KRW 28/01/2011 (2,799) (0.00) 1,020,000,000 Floating (KRW 3 month KWCDC) Fixed 2.820% KRW 28/01/2011 (3,013) (0.00) 24,600,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (657,823) (0.27) 3,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 16/12/2019 (28,099) (0.01) 13,300,000 Fixed 3.500% Floating (USD 3 month LIBOR) USD 16/12/2019 (97,014) (0.04) 17,100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 16/12/2019 (837,354) (0.34) 100,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (1,124) (0.00) 200,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (1,849) (0.00) 300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (4,084) (0.00) 400,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2024 (5,205) (0.00) 800,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (24,949) (0.01) 4,300,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (148,077) (0.06) 7,200,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (529,082) (0.22) 12,500,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 18/06/2029 (368,581) (0.15) 6,700,000 Fixed 4.000% Floating (USD 3 month LIBOR) USD 17/12/2029 (52,411) (0.02) 1,800,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2039 (280,739) (0.12)

UNREALISED LOSS ON INTEREST RATE SWAPS (4,378,317) (1.80)

Credit Default Swaps 31,000,000 Fixed 1.500% Floating (CDX Index) USD 20/12/2013 (560,191) (0.23) 750,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (163,151) (0.07) 800,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (392,048) (0.16) 800,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (392,050) (0.16) 875,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (181,593) (0.07) 875,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (183,781) (0.08) 875,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (183,781) (0.08) 1,750,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (367,561) (0.15) 2,625,000 Floating (ABX Index) Fixed 0.090% USD 25/08/2037 (564,467) (0.23) 400,000 Floating (ABX Index) Fixed 0.760% USD 25/01/2038 (168,333) (0.07) 600,000 Floating (ABX Index) Fixed 0.760% USD 25/01/2038 (306,715) (0.13) 10,000,000 Floating (ABX Index) Fixed 0.110% USD 25/05/2046 (3,412,806) (1.40)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (6,876,477) (2.83)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (11,254,794) (4.63)

MARKET VALUE OF INVESTMENTS (cost USD 251,271,385) 227,616,726 93.61

OTHER ASSETS AND LIABILITIES 15,547,466 6.39

SHAREHOLDERS’ EQUITY 243,164,192 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding forward currency, futures and swaps contracts (cost USD 251,271,385) 234,146,918 96.29 Market value of covered forward mortgage backed securities (9,371,250) (3.85) Unrealised gain on futures contracts 963,926 0.40 Unrealised loss on futures contracts (520,039) (0.21) Unrealised gain on forward currency contracts 12,068,426 4.96 Unrealised loss on forward currency contracts (10,774,790) (4.43) Unrealised gain on swaps contracts 12,358,329 5.08 Unrealised loss on swaps contracts (11,254,794) (4.63) Other Assets and Liabilities 15,547,466 6.39

Shareholders’ Equity 243,164,192 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Preferred Stocks, Agencies Asset Backed Obligations and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank, Royal Bank of Canada, State Street Bank London, UBS AG London and Westpac Banking Corp.

The accompanying notes are an integral part of these financial statements.

256 Goldman Sachs Funds—Global Libor Plus II Portfolio Schedule of Investments As at 31 May 2009

The counterparties for swaps contracts were Bank of America NA, Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA and UBS AG. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. (b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt). (e) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (f) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (g) This security is admitted to an official exchange listing. (h) The yield for this fund as at 31 May 2009 was 0.530%. (i) A related party to Goldman Sachs Funds. (j) These represent TBA sales covered by long FNMA positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of Assets and Liabilities.

The accompanying notes are an integral part of these financial statements.

257 Goldman Sachs Funds—Japan CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 95.93% Computers – (continued) 59,200 NEC Fielding Ltd. 67,251 0.50 Agriculture 5,600 Toukei Computer Co., Ltd. 6,104 0.04 54,000 Chubu Shiryo Co., Ltd. 35,694 0.26 333,303 2.46 Apparel 99,000 Atsugi Co., Ltd. 13,563 0.10 Construction & Engineering 9,000 Asahi Kogyosha Co., Ltd. 3,042 0.02 Auto Parts & Equipment 11,400 Shinko Plantech Co., Ltd. 10,237 0.08 7,000 Aichi Machine Industry Co., Ltd. 1,778 0.01 18,200 Sumitomo Densetsu Co., Ltd. 8,809 0.06 4,700 Aisin Seiki Co., Ltd. 8,991 0.07 5,300 Taikisha Ltd. 5,459 0.04 24,900 Denso Corp. 56,523 0.42 19,000 Toenec Corp. 9,025 0.07 2,800 Nifco, Inc./Japan 3,528 0.03 36,572 0.27 17,000 Press Kogyo Co., Ltd. 2,992 0.02 28,000 Sawafuji Electric Co., Ltd. 4,760 0.03 Cosmetics/Personal Care 22,700 Taiho Kogyo Co., Ltd. 16,185 0.12 6,500 Combi Corp. 4,381 0.03 4,700 Takata Corp. 6,909 0.05 35,000 Kao Corp. 72,975 0.54 13,000 TBK Co., Ltd. 2,158 0.02 19,800 Unipres Corp. 18,216 0.13 77,356 0.57

122,040 0.90 Distribution/Wholesale 27,600 Canon Marketing Japan, Inc. 35,908 0.27 Automobile Manufacturers 2,500 Hakuto Co., Ltd. 1,532 0.01 448,000 Fuji Heavy Industries Ltd. 170,688 1.26 55,800 Kanematsu Electronics Ltd. 44,417 0.33 296,000 Honda Motor Co., Ltd. 816,960 6.03 87,600 Mitsui & Co., Ltd. 112,653 0.83 146,000 Mazda Motor Corp. 36,208 0.26 13,400 Ohashi Technica, Inc. 8,000 0.06 496,400 Nissan Motor Co., Ltd. 289,898 2.14 340,500 Sumitomo Corp. 339,819 2.51 1,313,754 9.69 + 52,000 Takihyo Co., Ltd. 26,156 0.19 40,000 Tsubakimoto Kogyo Co., Ltd. 8,680 0.06 Banks 577,165 4.26 797,000 Bank of Yokohama Ltd. 386,545 2.85 96,000 Chuo Mitsui Trust Holdings, Inc. 33,888 0.25 Diversified Financial Services 32,000 Fukuoka Financial Group, Inc. 13,984 0.10 84,900 Fuyo General Lease Co., Ltd. 168,187 1.24 467,700 Mitsubishi Tokyo Financial Group, Inc. 288,103 2.13 63,900 Nomura Holdings, Inc. 47,413 0.35 64,900 Sumitomo Mitsui Financial Group, Inc. 244,673 1.81 27,300 Ricoh Leasing Co., Ltd. 46,301 0.34 139,000 Sumitomo Trust & Banking Co., Ltd. 64,913 0.48 209 Risa Partners, Inc. 13,418 0.10 1,032,106 7.62 275,319 2.03

Building Materials Electric 233,000 Central Glass Co., Ltd. 84,812 0.63 32,500 Okinawa Electric Power Co., Inc. 160,550 1.19 27,000 Nippon Hume Corp. 7,506 0.05 18,200 Okabe Co., Ltd. 6,989 0.05 Electrical Components & Equipment 99,307 0.73 105,100 Brother Industries Ltd. 94,695 0.70 297,000 Hitachi Ltd. 95,931 0.71 Chemicals 140,000 Mitsubishi Electric Corp. 76,720 0.57 204,000 Kaneka Corp. 138,924 1.02 49,200 Nippon Signal Co., Ltd. 35,768 0.26 38,000 Nippon Chemical Industrial Co., Ltd. 8,550 0.06 9,000 Sanyo Electric Co., Ltd. 2,241 0.02 415,000 Nippon Soda Co., Ltd. 180,110 1.33 595,000 Toshiba TEC Corp. 229,670 1.69 62,000 Sekisui Jushi Corp. 49,538 0.37 535,025 3.95 377,122 2.78 Electronics Commercial Services 5,700 A&D Co., Ltd. 1,967 0.01 48,000 Dai Nippon Printing Co., Ltd. 60,240 0.44 171,900 Alps Electric Co., Ltd. 90,247 0.67 326,000 Toppan Printing Co., Ltd. 285,250 2.11 17,300 Hosiden Corp. 22,455 0.16 16,500 Kaga Electronics Co., Ltd. 16,005 0.12 345,490 2.55 6,000 Marubun Corp. 2,814 0.02 23,000 Nippon Chemi-Con Corp. 6,739 0.05 Computers 92,000 Nissin Electric Co., Ltd. 41,124 0.30 73,300 CAC Corp. 50,137 0.37 137,700 Sanshin Electronics Co., Ltd. 96,115 0.71 31,200 CSK Holdings Corp. 13,011 0.10 48,100 Ulvac, Inc. 99,807 0.74 25,500 DTS Corp. 24,888 0.18 78,200 Hitachi Information Systems Ltd. 146,156 1.08 377,273 2.78 31,600 Ines Corp. 18,391 0.14 14,700 Information Services International- Dentsu Ltd. 7,365 0.05

The accompanying notes are an integral part of these financial statements.

258 Goldman Sachs Funds—Japan CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Common Stocks – (continued) Common Stocks – (continued) Entertainment Iron/Steel 5,500 Aeon Fantasy Co., Ltd. 4,439 0.04 54,300 JFE Holdings, Inc. 180,276 1.33 12,500 Horipro, Inc. 9,712 0.07 83,000 Tokyo Tekko Co., Ltd. 31,125 0.23 59,000 Toyo Kohan Co., Ltd. 26,609 0.20 14,151 0.11 87,000 Yodogawa Steel Works Ltd. 44,979 0.33

Food, Beverages & Tobacco 282,989 2.09 10,100 Kato Sangyo Co., Ltd. 14,281 0.10 139,000 Mitsui Sugar Co., Ltd. 38,781 0.29 Leisure Time 43,000 Nippon Beet Sugar Manufacturing Co., Ltd. 9,503 0.07 21,200 Yamaha Corp. 25,398 0.19 208,000 Nippon Flour Mills Co., Ltd. 86,528 0.64 105,700 Yamaha Motor Co., Ltd. 115,741 0.85 133,000 Nisshin Oillio Group Ltd. 65,170 0.48 141,139 1.04 57,500 Nisshin Seifun Group, Inc. 62,273 0.46 28,300 Rock Field Co., Ltd. 33,705 0.25 Machinery—Diversified 20,000 Showa Sangyo Co., Ltd. 5,460 0.04 65,900 Aida Engineering Ltd. 21,813 0.16 6,900 Torigoe Co., Ltd. 4,885 0.04 85,000 Daifuku Co., Ltd. 58,225 0.43 3,900 Yamazawa Co., Ltd. 4,544 0.03 12,600 Denyo Co., Ltd. 9,412 0.07 44,000 Yonekyu Corp. 40,920 0.30 176,000 Kubota Corp. 125,488 0.92 366,050 2.70 172,000 Mitsubishi Heavy Industries Ltd. 61,060 0.45 165,000 Tsudakoma Corp. 22,605 0.17 Gas 298,603 2.20 1,107,000 Osaka Gas Co., Ltd. 334,314 2.47 8,000 Shizuoka Gas Co., Ltd. 4,072 0.03 Media 125,000 Tokyo Gas Co., Ltd. 43,625 0.32 1,386 Sky Perfect Jsat Corp. 52,945 0.39 382,011 2.82 Metal Fabricate/Hardware Hand/Machine Tools 10,900 Sumitomo Pipe & Tube Co., Ltd. 5,559 0.04 63,000 Asahi Diamond Industrial Co., Ltd. 33,327 0.25 34,300 Makita Corp. 72,545 0.53 Miscellaneous Manufacturing 105,872 0.78 110,800 FUJIFILM Holdings Corp. 303,592 2.24 39,400 Glory Ltd. 74,190 0.55 5,900 Kimoto Co., Ltd. 2,095 0.01 Healthcare Products 29 Kito Corp. 2,453 0.02 36,500 Aloka Co., Ltd. 30,988 0.23 12,200 Towa Corp. 4,307 0.03 1,500 Create Medic Co., Ltd. 1,298 0.01 12,000 JMS Co., Ltd. 4,308 0.03 386,637 2.85 36,594 0.27 Office Furnishings 23,900 Itoki Corp. 6,286 0.05 Healthcare Services 6,900 BML, Inc. 13,441 0.10 Office/Business Equipment 53,500 Canon, Inc. 168,525 1.24 Home Builders 14,000 Daiwa House Industry Co., Ltd. 12,950 0.10 43,000 Sekisui House Ltd. 40,592 0.30 Oil & Gas 16,500 Idemitsu Kosan Co., Ltd. 133,815 0.99 53,542 0.40 458,500 Nippon Mining Holdings, Inc. 255,843 1.89

389,658 2.88 Home Furnishings 25,000 Daiwa Industries Ltd. 10,075 0.08 3,400 Pioneer Corp. 928 0.01 Pharmaceuticals 5,000 Sharp Corp. 5,435 0.04 48,000 Kaken Pharmaceutical Co., Ltd. 40,560 0.30 12,300 Sony Corp. 31,734 0.23 11,000 Mochida Pharmaceutical Co., Ltd. 9,889 0.07 87,800 Takeda Chemical Industries Ltd. 342,420 2.53 48,172 0.36 22,000 Tanabe Seiyaku Co., Ltd. 23,144 0.17

416,013 3.07 Insurance 58,000 Fuji Fire & Marine Insurance Co., Ltd. 7,714 0.06 136,100 Millea Holdings, Inc. 383,802 2.83 Real Estate 435,000 Sompo Japan Insurance, Inc. 311,460 2.30 12,960 Goldcrest Co., Ltd. 31,169 0.23 22,750 T&D Holdings, Inc. 60,515 0.44 38,800 Meiwa Estate Co., Ltd. 17,615 0.13 17,400 Nihon Eslead Corp. 8,300 0.06 763,491 5.63 + 87,400 Nomura Real Estate Holdings, Inc. 145,521 1.08 17,600 Tokyu Community Corp. 33,933 0.25 Internet 236,538 1.75 1,754 Faith, Inc. 12,208 0.09

The accompanying notes are an integral part of these financial statements.

259 Goldman Sachs Funds—Japan CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description (000) JPY Equity Holdings Security Description (000) JPY Equity

Common Stocks – (continued) Mutual Funds – 1.62% Retail Japanese Yen 27,400 Alpen Co., Ltd. 43,292 0.32 219,236,368 Goldman Sachs Yen Liquid Reserves 119,900 Aoyama Trading Co., Ltd. 193,399 1.43 Fund(a)(b)(c) 219,237 1.62 + 106,400 Daiei, Inc. 49,582 0.37 12,300 DCM Japan Holdings Co., Ltd. 6,679 0.05 TOTAL MUTUAL FUNDS 13,900 Doutor Nichires Holdings Co., Ltd. 18,320 0.13 ( c o s t ( 0 0 0 ) J P Y 2 1 9 , 2 3 6 ) 219,237 1.62 107,400 Duskin Co., Ltd. 172,914 1.27 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES AND 14,100 Hard Off Corp., Co., Ltd. 5,654 0.04 SWAPS CONTRACTS 35,000 Kasumi Co., Ltd. 14,350 0.11 ( c o s t ( 0 0 0 ) J P Y 1 7 , 4 6 2 , 8 2 7 ) 13,219,820 97.55 20,400 Mutow Co., Ltd. 8,344 0.06 12,100 Seven & I Holdings Co., Ltd. 28,132 0.21 Futures Contracts – (0.74%) 540,666 3.99 Unrealised %of Number of Gain Shareholders’ Semiconductors Contracts Security Description (000) JPY Equity 6,000 Elpida Memory, Inc. 5,790 0.04 8,300 NEC Electronics Corp. 8,126 0.06 JPY 8,100 Rohm Co., Ltd. 49,977 0.37 57 TOPIX Index 12/06/09 Long 99,783 0.74 164,000 Sanken Electric Co., Ltd. 67,732 0.50 4,900 YAC Co., Ltd. 3,057 0.02 UNREALISED GAIN ON FUTURES CONTRACTS 99,783 0.74 134,682 0.99 Swap Contracts – 1.11% Software 14,900 Computer Engineering & Consulting Ltd. 10,668 0.08 Net Local Unrealised %of 38,500 Fuji Soft ABC, Inc. 69,955 0.51 Notional Gain Shareholders’ 16,400 Sorun Corp. 9,004 0.07 Amount Security Description Currency (000) JPY Equity 89,627 0.66 Total Equity Return Swaps (1,053,624) Total Equity Basket Swap JPY 151,195 1.11 Storage/Warehousing 170,000 Yamatane Corp. 18,190 0.13 UNREALISED GAIN ON TOTAL EQUITY R E T U R N S W A P S C O N T R A C T S 151,195 1.11 Textiles 53,000 Nisshinbo Industries, Inc. 52,099 0.39 TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 151,195 1.11 Toys/Games/Hobbies MARKET VALUE OF INVESTMENTS 34,000 Namco Bandai Holdings, Inc. 34,748 0.25 ( c o s t ( 0 0 0 ) J P Y 1 7 , 4 6 2 , 8 2 7 ) 13,470,798 99.40 17,900 Nintendo Co., Ltd. 475,245 3.51 509,993 3.76 O T H E R A S S E T S A N D L I A B I L I T I E S 81,636 0.60 SHAREHOLDERS’ EQUITY 13,552,434 100.00 Transportation 158 Central Japan Railway Co. 98,434 0.72 %of 140,000 Hitachi Transport System Ltd. 174,580 1.29 Market Value Shareholders’ 61,000 Kawasaki Kisen Kaisha Ltd. 28,243 0.21 TOTAL INVESTMENTS (000) JPY Equity 60,000 Maruzen Showa Unyu Co., Ltd. 16,500 0.12 558,000 Mitsui O.S.K. Lines Ltd. 401,202 2.96 Total Investments excluding futures and swaps contracts 573,000 Nippon Express Co., Ltd. 240,087 1.77 (cost (000) JPY 17,462,827) 13,219,820 97.55 185,000 Nippon Konpo Unyu Soko Co., Ltd. 176,120 1.30 Unrealised gain on futures contracts 99,783 0.74 797,000 Nippon Yusen KK 381,763 2.82 Unrealised gain on swaps contracts 151,195 1.11 132,000 Senko Co., Ltd. 40,260 0.30 Other Assets and Liabilities 81,636 0.60 646 West Japan Railway Co. 206,074 1.52 Shareholders’ Equity 13,552,434 100.00 1,763,263 13.01 The Futures Clearing Merchant was Goldman, Sachs & Co. TOTAL COMMON STOCKS + A portion of these securities were on loan at 31 May 2009. See Note 5. ( c o s t ( 0 0 0 ) J P Y 1 7 , 2 4 3 , 5 9 1 ) 13,000,583 95.93 (a) A related party to Goldman Sachs Funds. TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN (b) OFFICIAL EXCHANGE LISTING The yield for this fund as at 31 May 2009 was 0.076%. ( c o s t ( 0 0 0 ) J P Y 1 7 , 2 4 3 , 5 9 1 ) 13,000,583 95.93 (c) This security is admitted to an official exchange listing.

The accompanying notes are an integral part of these financial statements.

260 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Transferable securities admitted to an official exchange listing Corporate Bonds – 44.48% British Pound Sterling 1,820,000 Abbey National Plc.—Series 2(c) 7.500% 29/09/49 1,319,500 0.41 1,950,000 Alliance & Leicester Plc.(c) 9.625% 30/10/23 1,908,796 0.60 600,000 Allied Irish Banks Plc. 7.875% 05/07/23 386,256 0.12 50,000 American International Group, Inc. 5.000% 26/04/23 13,750 0.00 10,000 Anglian Water Services Financing Plc. 5.250% 30/10/15 10,142 0.00 70,000 Anglian Water Services Financing Plc.—Series B1(c) 7.882% 30/07/37 74,444 0.02 799,000 Anheuser-Busch InBev NV 9.750% 30/07/24 938,311 0.29 2,750,000 Argon Capital Plc. for Royal Bank of Scotland(c) 8.162% 29/10/49 797,500 0.25 200,000 Assicurazioni Generali S.p.A(c) 6.416% 08/02/49 123,266 0.04 150,000 Australia & New Zealand Banking Group Ltd.(c) 6.540% 29/06/49 105,000 0.03 1,350,000 Aviva Plc.(c) 6.875% 20/05/58 837,000 0.26 150,000 AXA S.A.(c) 6.772% 31/12/49 76,500 0.02 900,000 Bank of America Corp. 5.250% 09/11/16 660,357 0.21 1,000,000 Bank of America Corp. 7.000% 31/07/28 930,161 0.29 750,000 Bank of Scotland Plc. 9.375% 15/05/21 672,773 0.21 423,000 Barclays Bank Plc. 10.000% 21/05/21 472,872 0.15 50,000 BAT International Finance Plc. 6.375% 12/12/19 50,803 0.02 1,350,000 BAT International Finance Plc. 7.250% 12/03/24 1,424,236 0.45 100,000 Britannia Building Society(c) 5.750% 02/12/24 60,665 0.02 450,000 British Telecommunications Plc. 6.375% 23/06/37 308,408 0.10 1,150,000 Cadbury Schweppes Finance Plc. 5.375% 11/12/14 1,189,318 0.37 700,000 Cadbury Schweppes Finance Plc. 7.250% 18/07/18 774,823 0.24 10,000 CE Electric UK Funding Co. 7.250% 15/12/22 10,848 0.00 850,000 Centrica Plc. 7.000% 19/09/18 917,507 0.29 750,000 Centrica Plc. 6.375% 10/03/22 743,250 0.23 580,000 Chester Asset Receivables Dealings 2003-B Plc.—Series A 4.650% 15/07/13 496,654 0.16 900,000 Citigroup, Inc. 6.800% 25/06/38 696,438 0.22 1,950,000 Commerzbank Capital Funding Trust I(c) 5.905% 29/03/49 448,500 0.14 900,000 Crédit Agricole S.A.(c) 7.589% 29/01/49 648,000 0.20 73,334 Cumbernauld Fund No 3 Plc. 4.550% 15/02/13 68,230 0.02 250,000 Deutsche Telekom International Finance BV 6.500% 08/04/22 246,445 0.08 550,000 Deutsche Telekom International Finance BV 8.875% 27/11/28 675,385 0.21 1,500,000 DnB NOR Bank ASA(c) 6.012% 29/03/49 904,995 0.28 950,000 E.ON International Finance BV 5.875% 30/10/37 880,384 0.28 600,000 EDF S.A. 6.875% 12/12/22 664,662 0.21 860,000 Eksportfinans A/S 6.000% 06/09/10 895,277 0.28 750,000 Firstgroup Plc. 8.125% 19/09/18 774,225 0.24 1,100,000 Firstgroup Plc. 8.750% 08/04/21 1,161,699 0.36 600,000 France Telecom S.A. 8.125% 20/11/28 732,710 0.23 850,000 GDF Suez 6.125% 11/02/21 890,290 0.28 1,750,000 GE Capital UK Funding 6.000% 11/04/13 1,763,597 0.55 450,000 GE Capital UK Funding 6.250% 05/05/38 333,069 0.10 1,400,000 GE Capital UK Funding 8.000% 14/01/39 1,297,590 0.41 600,000 Generali Finance BV(c) 6.214% 29/06/49 372,375 0.12 100,000 GlaxoSmithKline Capital Plc. 5.250% 10/04/42 88,983 0.03 350,000 Glencore Finance Europe S.A. 6.500% 27/02/19 227,500 0.07 180,000 Hammerson Plc. 5.250% 15/12/16 129,834 0.04 1,050,000 HBOS Capital Funding LP(c) 9.540% 29/03/49 468,754 0.15 14,000 HBOS Plc.(c) 5.750% 29/04/49 5,740 0.00 700,000 Holcim GB Finance Ltd. 8.750% 24/04/17 725,099 0.23 120,000 HSBC Bank Plc.(c) 4.750% 29/09/20 106,378 0.03 750,000 HSBC Holdings Plc.(c) 6.375% 18/10/22 726,855 0.23 200,000 HSBC Holdings Plc. 7.000% 07/04/38 191,960 0.06 1,800,000 Imperial Tobacco Finance Plc. 9.000% 17/02/22 1,913,742 0.60 1,100,000 Imperial Tobacco Finance Plc. 8.125% 15/03/24 1,076,020 0.34 600,000 ING Bank NV(c) 6.875% 29/05/23 487,578 0.15 110,000 Intesa Sanpaolo SpA(c) 5.500% 19/12/16 102,146 0.03 1,000,000 Intesa Sanpaolo SpA(c) 6.375% 12/11/17 917,690 0.29 600,000 Irish Nationwide Building Society(c) 5.500% 10/01/18 120,000 0.04 650,000 Johnson & Johnson 5.500% 06/11/24 677,866 0.21 1,250,000 JPMorgan Chase Bank NA 5.375% 28/09/16 1,094,080 0.34 450,000 Kreditanstalt fuer Wiederaufbau 4.375% 07/03/11 470,604 0.15 23,930,000 Kreditanstalt fuer Wiederaufbau 5.250% 12/01/12 25,666,026 8.05 5,000,000 Kreditanstalt fuer Wiederaufbau 4.875% 15/01/13 5,322,296 1.67 1,050,000 Lafarge S.A. 8.750% 30/05/17 1,042,114 0.33 1,370,000 Land Securities Capital Markets Plc. 5.125% 07/02/36 976,385 0.31 150,000 Linde Finance BV 5.875% 24/04/23 138,947 0.04

The accompanying notes are an integral part of these financial statements.

261 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) British Pound Sterling – (continued) 450,000 Lloyds TSB Bank Plc.(c) 1.685% 29/04/16 320,580 0.10 500,000 Lloyds TSB Bank Plc. 6.750% 24/10/18 488,830 0.15 3,250,000 Lloyds TSB Bank Plc.(c) 6.963% 29/05/20 2,932,377 0.92 130,000 London Stock Exchange Group Plc. 6.375% 07/07/16 112,385 0.04 800,000 Merrill Lynch & Co., Inc. 7.750% 30/04/18 766,744 0.24 20,000 Metronet Rail BCV Finance Plc. 5.305% 15/03/32 18,409 0.01 300,000 Mitchells & Butlers Finance Plc.(c) 2.018% 15/12/30 148,644 0.05 20,376 Mitchells & Butlers Finance Plc.—Series A2 5.574% 15/12/28 18,446 0.01 1,600,000 MUFG Capital Finance 5 Ltd.(c) 6.299% 25/01/49 976,000 0.31 650,000 National Australia Bank Ltd. 7.125% 12/06/23 576,543 0.18 13,000 National Grid Gas Plc. 6.000% 07/06/17 13,720 0.00 1,400,000 National Grid Gas Plc. 6.375% 03/03/20 1,447,600 0.45 450,000 National Grid Gas Plc. 6.000% 13/05/38 419,459 0.13 150,000 Nationwide Building Society(c) 6.024% 29/01/49 65,520 0.02 1,250,000 Norinchukin Finance Ltd.(c) 5.625% 28/09/16 1,125,000 0.35 50,000 Northern Gas Networks Ltd. 4.875% 30/06/27 39,461 0.01 450,000 Pearson Funding One Plc. 6.000% 15/12/15 459,972 0.14 300,000 Punch Taverns Finance Plc.(c) 1.734% 15/10/29 88,895 0.03 1,600,000 Reed Elsevier Investments Plc. 7.000% 11/12/17 1,624,464 0.51 1,000,000 Resolution Plc.(c) 6.586% 29/11/49 150,000 0.05 100,000 Resona Bank Ltd.(c) 5.986% 29/08/49 65,000 0.02 800,000 Roche Holdings, Inc. 5.500% 04/03/15 846,296 0.27 400,000 Royal & Sun Alliance Insurance Group Plc.(c) 6.701% 29/05/49 292,000 0.09 460,000 Royal & Sun Alliance Insurance Group Plc.(c) 8.500% 29/07/49 388,792 0.12 950,000 Royal Bank of Scotland Plc. 6.625% 17/09/18 930,610 0.29 1,300,000 RSA Insurance Group Plc.(c) 9.375% 20/05/39 1,318,265 0.41 2,000,000 Santander Issuances S.A. Unipersonal(c) 6.533% 24/10/17 1,828,000 0.57 650,000 Scottish & Southern Energy Plc. 6.250% 27/08/38 628,095 0.20 1,100,000 SL Finance Plc.(c) 6.546% 29/01/49 517,000 0.16 450,000 SLM Student Loan Trust 2003-12 5.450% 18/09/13 435,764 0.14 4,050,000 SMFG Preferred Capital GBP 1 Ltd.(c) 6.164% 29/01/49 2,561,625 0.80 1,950,000 Societe Generale(c) 8.875% 29/06/49 1,443,000 0.45 610,000 Southern Gas Networks Plc. 4.875% 21/03/29 483,364 0.15 1,050,000 Standard Life Funding BV(c) 6.140% 29/06/49 577,500 0.18 1,200,000 StatoilHydro ASA 6.875% 11/03/31 1,327,248 0.42 950,000 STB Finance Cayman Ltd.(c) 5.834% 29/09/49 712,500 0.22 1,110,000 Svenska Handelsbanken(c) 5.375% 29/09/49 780,808 0.25 800,000 Telecom Italia SpA 7.375% 15/12/17 785,232 0.25 850,000 Telecom Italia SpA 6.375% 24/06/19 757,657 0.24 2,400,000 Telefonica Emision SAU 5.888% 31/01/14 2,504,376 0.79 355,000 Telefonica Emision SAU 5.375% 02/02/18 344,727 0.11 200,000 Telereal Securitisation Plc.(c) 2.130% 10/12/31 52,520 0.02 450,000 Tesco Plc. 6.125% 24/02/22 459,590 0.14 1,900,000 UBS AG/London 6.625% 11/04/18 1,946,664 0.61 500,000 UniCredit International Bank Luxembourg S.A. 8.593% 31/12/49 255,000 0.08 550,000 United Utilities Water Plc. 5.750% 25/03/22 543,455 0.17 1,050,000 Vattenfall AB 6.875% 15/04/39 1,083,715 0.34 1,300,000 Verizon Wireless Capital LLC 8.875% 18/12/18 1,514,071 0.48 250,000 Vodafone Group Plc. 4.625% 08/09/14 249,712 0.08 1,150,000 Vodafone Group Plc. 8.125% 26/11/18 1,349,867 0.42 850,000 Xstrata Canada Financial Corp. 7.375% 27/05/20 683,664 0.21 1,087,000 Yorkshire Power Finance 7.250% 04/08/28 1,096,457 0.34 111,989,231 35.10

Euro 50,000 Alliance & Leicester Plc. 5.000% 04/10/10 43,889 0.01 250,000 ArcelorMittal 8.250% 03/06/13 223,287 0.07 2,380,000 AXA S.A.(c) 5.777% 29/07/49 1,168,567 0.37 150,000 BAA Funding Ltd.(c) 4.600% 30/09/16 92,057 0.03 360,000 BAA Funding Ltd.(c) 4.600% 15/02/20 198,029 0.06 118,000 Banca Popolare di Bergamo Capital Trust(c) 8.364% 29/12/49 82,425 0.03 600,000 Banco Popolare Scarl(c) 6.156% 29/06/49 235,749 0.07 1,250,000 Barclays Bank Plc.(c) 4.500% 04/03/19 889,263 0.28 2,100,000 BBVA Bancomer S.A.(c) 4.799% 17/05/17 1,246,848 0.39 500,000 Caja de Ahorros de Valencia Castellon y Alicante(c) 4.375% 29/03/49 174,498 0.05 900,000 Casino Guichard Perrachon S.A. 6.375% 04/04/13 820,499 0.26 220,000 Clerical Medical Finance Plc.(c) 4.250% 24/06/49 58,588 0.02 1,650,000 Fukoku Mutual Life Insurance Co.(c) 4.500% 28/09/25 787,796 0.25

The accompanying notes are an integral part of these financial statements.

262 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Corporate Bonds – (continued) Euro – (continued) 750,000 Glencore Finance Europe S.A. 7.125% 23/04/15 527,167 0.16 411,000 Halifax Group Euro Finance Jersey LP(c) 7.627% 29/12/49 132,779 0.04 1,700,000 Intesa Sanpaolo SpA 6.625% 08/05/18 1,424,376 0.45 1,000,000 Intesa Sanpaolo SpA(c) 8.047% 29/06/49 615,566 0.19 1,100,000 Koninklijke KPN NV 6.500% 15/01/16 1,036,093 0.32 600,000 Morgan Stanley 4.375% 12/10/16 445,675 0.14 400,000 Morgan Stanley 5.500% 02/10/17 309,438 0.10 1,250,000 Morgan Stanley 6.500% 28/12/18 1,025,015 0.32 1,941,000 Resona Bank Ltd.(c) 4.125% 31/12/49 1,186,339 0.37 4,200,000 Royal Bank of Scotland Plc. 6.934% 09/04/18 2,993,206 0.94 500,000 UniCredit SpA 4.875% 12/02/13 448,084 0.14 150,000 UniCredito Italiano SpA(c) 4.125% 20/09/16 117,525 0.04 950,000 UniCredito Italiano SpA 5.750% 26/09/17 795,187 0.25 1,590,000 UT2 Funding Plc. 5.321% 30/06/16 319,308 0.10 17,397,253 5.45

United States Dollar 2,650,000 BayernLB Capital Trust I(c) 6.203% 29/03/49 262,441 0.08 1,300,000 Bear Stearns Cos, Inc. 7.250% 01/02/18 820,271 0.26 570,000 Capital One Financial Corp. 5.700% 15/09/11 344,478 0.11 5,890,000 Crédit Suisse USA, Inc. 5.250% 02/03/11 3,749,368 1.17 25,000 Energy Transfer Partners LP 5.650% 01/08/12 15,319 0.00 600,000 Energy Transfer Partners LP 8.500% 15/04/14 397,656 0.12 650,000 Energy Transfer Partners LP 9.000% 15/04/19 438,813 0.14 5,800,000 HSBC Finance Corp. 5.500% 19/01/16 3,246,394 1.02 150,000 HSBC Holdings Plc. 6.800% 01/06/38 85,510 0.03 1,590,000 Petroleos Mexicanos 8.000% 03/05/19 1,070,268 0.34 1,150,000 Simon Property Group, Inc. 6.125% 30/05/18 636,977 0.20 2,200,000 Time Warner Cable, Inc. 7.500% 01/04/14 1,460,363 0.46 12,527,858 3.93

TOTAL CORPORATE BONDS (cost GBP 153,664,846) 141,914,342 44.48

Government Bonds – 41.58% British Pound Sterling 5,130,000 UK Treasury 5.250% 07/06/12 5,592,997 1.75 21,000,000 UK Treasury 4.750% 07/09/15 23,417,100 7.34 12,950,000 UK Treasury 8.750% 25/08/17 17,988,845 5.64 4,910,000 UK Treasury 5.000% 07/03/25 5,299,967 1.66 12,980,000 UK Treasury 4.250% 07/12/27 12,777,117 4.01 5,990,000 UK Treasury 4.750% 07/12/30 6,246,446 1.96 9,580,000 UK Treasury 4.250% 07/06/32 9,352,027 2.93 22,350,000 UK Treasury 4.250% 07/03/36 21,159,901 6.63 3,000,000 UK Treasury 4.750% 07/12/38 3,091,860 0.97 22,110,000 UK Treasury 4.500% 07/12/42 21,792,783 6.83 2,600,000 UK Treasury 4.250% 07/12/46 2,442,640 0.77 129,161,683 40.49

Euro 50,000 Bundesrepublik Deutschland 4.500% 04/01/13 47,026 0.01

Mexican Peso 32,680,000 Mexican Bonos 8.000% 19/12/13 1,610,186 0.50 34,000,000 Mexican Bonos 10.000% 05/12/24 1,844,540 0.58 3,454,726 1.08

TOTAL GOVERNMENT BONDS (cost GBP 129,057,145) 132,663,435 41.58

The accompanying notes are an integral part of these financial statements.

263 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Non-Agencies Asset Backed Obligations – 0.00% British Pound Sterling 10,000 Dwr Cymru Financing Ltd.—Series B1 6.907% 31/03/21 10,541 0.00

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 11,417) 10,541 0.00

Supranationals – 3.27% British Pound Sterling 5,000,000 European Investment Bank 5.500% 07/12/11 5,421,221 1.70 2,750,000 European Investment Bank 3.375% 08/09/14 2,750,409 0.86 500,000 European Investment Bank 4.875% 07/09/16 533,357 0.17 1,600,000 European Investment Bank 5.375% 07/06/21 1,707,941 0.54 10,412,928 3.27

TOTAL SUPRANATIONALS (cost GBP 9,951,221) 10,412,928 3.27

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost GBP 292,684,629) 285,001,246 89.33

Transferable securities dealt in another regulated market Corporate Bonds – 1.01% United States Dollar 1,400,000 Altria Group, Inc. 9.700% 10/11/18 955,171 0.30 1,300,000 ArcelorMittal 9.850% 01/06/19 813,383 0.25 250,000 Bank of America Corp. 7.625% 01/06/19 154,198 0.05 300,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/30 145,844 0.05 400,000 Buckeye Tobacco Settlement Financing Authority 5.875% 01/06/47 162,483 0.05 2,495,000 ZFS Finance USA Trust I 144A(c)(d) 6.450% 15/12/65 972,920 0.31 3,203,999 1.01

TOTAL CORPORATE BONDS (cost GBP 3,213,927) 3,203,999 1.01

Agencies Asset Backed Obligations – 0.43% United States Dollar 1,340,000 Federal Home Loan Mortgage Corp. (FHLMC) 5.375% 07/12/28 1,366,875 0.43

TOTAL AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 1,373,507) 1,366,875 0.43

Non-Agencies Asset Backed Obligations – 4.66% British Pound Sterling 200,000 Aire Valley Mortages Plc.(c) 1.901% 20/09/66 94,956 0.03 168,717 Business Mortgage Finance Plc. “A1”(c) 1.547% 15/02/39 86,602 0.03 391,617 Eclipse Plc.(c) 1.715% 25/10/18 212,134 0.06 687,204 Epic Plc.(c) 1.945% 30/09/31 414,330 0.13 86,842 Mall Funding Plc.(c) 1.679% 22/04/14 56,917 0.02 70,132 Paragon Mortgages Plc.(c) 1.477% 15/11/38 32,230 0.01 238,799 Paragon Mortgages Plc.(c) 1.654% 15/01/39 113,430 0.03 435,234 Titan Europe Plc.(c) 1.758% 20/01/17 250,259 0.08 1,260,858 0.39

Euro 4,300,000 Citibank Credit Card Issuance Trust(c) 1.347% 24/05/13 3,295,043 1.03 1,160,715 Eclipse Plc.(c) 1.424% 20/11/22 561,760 0.18 3,856,803 1.21

United States Dollar 4,965,334 American Home Mortgage Assets “A1”(c) 2.139% 25/02/47 1,032,509 0.32 1,171,616 CIT Mortgage Loan Trust 144A(c)(d) 1.309% 25/10/37 572,899 0.18 500,000 CIT Mortgage Loan Trust 144A(c)(d) 1.559% 25/10/37 84,334 0.03 900,000 CIT Mortgage Loan Trust 144A(c)(d) 1.759% 25/10/37 144,838 0.05 2,856,362 Countrywide Alternative Loan Trust(c) 2.819% 25/11/47 587,010 0.18

The accompanying notes are an integral part of these financial statements.

264 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

%of Market Value Shareholders’ Holdings Security Description Coupon Rate(a) Maturity Date(b) GBP Equity

Non-Agencies Asset Backed Obligations – (continued) United States Dollar – (continued) 583,596 Countrywide Alternative Loan Trust(c) 2.749% 20/07/35 145,671 0.05 638,915 Countrywide Alternative Loan Trust(c) 5.250% 25/09/35 216,578 0.07 3,237,498 Countrywide Alternative Loan Trust 5.750% 25/07/37 1,102,144 0.35 1,735,495 Countrywide Alternative Loan Trust 5.500% 25/10/35 870,102 0.27 3,624,136 Lehman XS Trust(c) 0.549% 25/06/47 507,313 0.16 1,758,630 Morgan Stanley Mortgage Loan Trust(c) 6.315% 25/11/37 551,062 0.17 373,722 Residential Accredit Loans, Inc.(c) 5.334% 25/08/35 112,680 0.03 1,188,390 Residential Accredit Loans, Inc. 5.750% 25/09/35 541,894 0.17 1,609,263 Structured Adjustable Rate Mortgage Loan Trust(c) 6.000% 25/11/37 477,792 0.15 471,136 Structured Asset Mortgage Investments, Inc.(c) 1.159% 25/05/47 113,134 0.04 1,287,933 WaMu Mortgage Pass Through Certificates(c) 2.419% 25/07/46 292,772 0.09 1,333,259 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.409% 25/06/46 302,096 0.09 616,624 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.409% 25/05/46 151,089 0.05 5,617,782 Washington Mutual Alternative Mortgage Pass-Through Certificates(c) 2.429% 25/06/46 1,208,397 0.38 2,390,817 Wells Fargo Alternative Loan Trust(c) 6.592% 28/12/37 746,832 0.23 9,761,146 3.06

TOTAL NON AGENCIES ASSET BACKED OBLIGATIONS (cost GBP 23,438,940) 14,878,807 4.66

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost GBP 28,026,374) 19,449,681 6.10

Other Transferable Securities Corporate Bonds – 0.28% British Pound Sterling 500,000 American International Group, Inc.(c) 8.625% 22/05/38 90,000 0.03 750,000 AT&T, Inc. 7.000% 30/04/40 777,273 0.24 50,000 Merill Lynch Co. 8.125% 02/06/28 35,491 0.01 902,764 0.28

TOTAL CORPORATE BONDS (cost GBP 1,281,670) 902,764 0.28

TOTAL OTHER TRANSFERABLE SECURITIES (cost GBP 1,281,670) 902,764 0.28

Mutual Funds – 0.15% British Pound Sterling 486,509 Goldman Sachs Sterling Liquid Reserves Fund(e)(f)(g) 486,509 0.15

TOTAL MUTUAL FUNDS (cost GBP 486,509) 486,509 0.15

MARKET VALUE OF INVESTMENTS EXCLUDING FORWARD CURRENCY, FUTURES AND SWAPS CONTRACTS (cost GBP 322,479,182) 305,840,200 95.86

Futures Contracts – 0.11% Unrealised %of Number of Gain Shareholders’ Contracts Security Description GBP Equity

AUD (164) Australia Treasury Bonds 3YR 15/06/09 Short 24,301 0.01

EUR 559 German Federal Republic Bonds 08/06/09 Long 99,473 0.03 (152) German Federal Republic Bonds 08/06/09 Short 114,949 0.04 214,422 0.07

GBP 59 UK Treasury Bonds 17/06/09 Long 37,387 0.01 (237) UK Treasury Bonds 28/09/09 Short 122,890 0.04 160,277 0.05

The accompanying notes are an integral part of these financial statements.

265 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – (continued) Unrealised %of Number of Gain Shareholders’ Contracts Security Description GBP Equity

USD (27) US Treasury Bonds 30YR 21/09/09 Short 25,851 0.01 (38) US Treasury Notes 10YR 21/09/09 Short 29,401 0.01 (208) US Treasury Notes 5YR 30/09/09 Short 69,247 0.02 124,499 0.04

UNREALISED GAIN ON FUTURES CONTRACTS 523,499 0.17

Unrealised %of Number of Loss Shareholders’ Contracts Security Description GBP Equity

EUR 155 German Federal Republic Bonds 08/06/09 Long (181,841) (0.06)

USD (143) US Treasury Notes 2YR 30/09/09 Short (5,174) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (187,015) (0.06)

Forward Currency Contracts – 0.36%

Unrealised %of Maturity Gain Shareholders’ Date Amount Bought Amount Sold GBP Equity

17/06/2009 AUD 6,554,000 CAD 5,679,912 29,358 0.01 17/06/2009 AUD 3,171,000 CHF 2,560,566 85,977 0.03 17/06/2009 AUD 7,427,000 JPY 523,127,912 278,722 0.09 17/06/2009 AUD 1,256,000 NZD 1,559,198 5,144 0.00 17/06/2009 AUD 17,772,539 USD 12,259,641 1,179,610 0.37 17/06/2009 CAD 5,288,202 EUR 3,317,000 87,117 0.03 17/06/2009 CAD 3,802,582 USD 3,294,000 106,125 0.03 17/06/2009 CHF 2,407,971 EUR 1,589,000 3,021 0.00 17/06/2009 CHF 4,175,000 JPY 360,887,691 75,127 0.02 17/06/2009 CHF 916,144 USD 782,000 44,927 0.01 17/06/2009 EUR 1,684,000 CHF 2,507,101 22,685 0.01 17/06/2009 EUR 1,783,000 JPY 237,499,035 19,724 0.01 17/06/2009 EUR 1,735,000 NOK 15,108,449 30,798 0.01 17/06/2009 EUR 17,910,846 USD 23,892,978 848,140 0.26 17/06/2009 GBP 554,000 CHF 928,892 17,657 0.01 17/06/2009 GBP 863,179 EUR 966,000 19,771 0.01 17/06/2009 GBP 2,748,000 JPY 400,460,544 156,377 0.05 17/06/2009 GBP 14,981,863 USD 22,522,669 1,040,386 0.33 17/06/2009 JPY 907,273,839 USD 9,414,467 43,988 0.01 17/06/2009 NOK 11,592,000 JPY 170,667,655 34,123 0.01 17/06/2009 NOK 15,998,901 SEK 19,115,615 7,431 0.00 17/06/2009 NOK 16,826,384 USD 2,577,837 57,086 0.02 17/06/2009 NZD 1,261,498 AUD 1,002,000 2,839 0.00 17/06/2009 NZD 6,080,808 EUR 2,706,000 34,010 0.01 17/06/2009 NZD 8,853,242 JPY 503,707,076 229,491 0.07 17/06/2009 NZD 19,621,227 USD 11,027,094 907,475 0.28 17/06/2009 SEK 27,972,949 EUR 2,594,774 23,285 0.01 17/06/2009 SEK 73,893,110 USD 9,373,250 243,962 0.08 23/06/2009 GBP 3,796,747 MXN 76,995,000 169,378 0.05 26/06/2009 GBP 22,360,700 EUR 25,478,940 115,979 0.04 02/07/2009 GBP 23,952,283 USD 38,251,795 273,269 0.08

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 6,192,982 1.94

Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold GBP Equity

10/06/2009 JPY 115,836,975 GBP 823,765 (74,193) (0.02) 17/06/2009 CAD 4,589,645 AUD 5,254,000 (3,026) (0.00) 17/06/2009 CHF 2,245,826 GBP 1,316,000 (19,257) (0.01) 17/06/2009 EUR 6,425,000 GBP 5,745,833 (136,210) (0.04)

The accompanying notes are an integral part of these financial statements.

266 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Forward Currency Contracts – (continued) Unrealised %of Maturity Loss Shareholders’ Date Amount Bought Amount Sold GBP Equity

17/06/2009 EUR 6,318,401 SEK 67,456,470 (2,778) (0.00) 17/06/2009 JPY 872,110,855 AUD 12,828,000 (684,891) (0.22) 17/06/2009 JPY 158,830,100 CHF 1,915,000 (77,838) (0.02) 17/06/2009 JPY 322,637,028 GBP 2,225,000 (137,020) (0.04) 17/06/2009 NOK 25,049,498 EUR 2,854,000 (31,336) (0.01) 17/06/2009 USD 2,687,721 AUD 3,806,000 (214,043) (0.07) 17/06/2009 USD 8,460,093 CAD 10,296,397 (571,600) (0.18) 17/06/2009 USD 4,585,892 CHF 5,244,976 (189,800) (0.06) 17/06/2009 USD 21,329,329 EUR 15,885,544 (666,755) (0.21) 17/06/2009 USD 7,306,085 GBP 4,824,294 (301,845) (0.10) 17/06/2009 USD 13,783,565 JPY 1,342,476,040 (155,984) (0.05) 17/06/2009 USD 1,448,569 NOK 10,270,354 (112,139) (0.04) 17/06/2009 USD 15,999,573 NZD 28,467,332 (1,315,995) (0.41) 17/06/2009 USD 5,254,472 SEK 43,818,765 (332,773) (0.10) 26/06/2009 EUR 990,232 GBP 868,498 (3,963) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (5,031,446) (1.58)

Swap Contracts – 0.10%

Net Local Unrealised %of Notional Gain Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 6,350,000 Fixed 2.625% Floating (CAD 6 month CDOR) CAD 12/02/2017 155,787 0.05 6,350,000 Fixed 2.671% Floating (CAD 6 month CDOR) CAD 16/02/2017 146,536 0.05 6,390,000 Fixed 2.657% Floating (CAD 6 month CDOR) CAD 19/02/2017 152,032 0.05 6,390,000 Fixed 2.587% Floating (CAD 3 month CDOR) CAD 22/02/2017 168,637 0.05 6,430,000 Fixed 2.765% Floating (CAD 6 month CDOR) CAD 25/02/2017 130,680 0.04 350,000 Floating (EUR 6 month LIBOR) Fixed 4.500% EUR 17/12/2013 23,265 0.01 6,900,000 Floating (EUR 6 month EURIBOR) Fixed 4.500% EUR 17/12/2013 455,210 0.14 4,710,000 Floating (EUR 6 month EURIBOR) Fixed 3.500% EUR 17/06/2014 90,760 0.03 9,110,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 27,722 0.01 10,160,000 Fixed 3.500% Floating (EUR 6 month EURIBOR) EUR 17/06/2014 30,012 0.01 16,770,000 Floating (GBP 6 month LIBOR) Fixed 3.500% GBP 17/06/2011 311,978 0.10 10,670,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2014 46,604 0.01 580,000 Floating (GBP 3 month LIBOR) Fixed 5.072% GBP 07/09/2015 50,613 0.02 22,130,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 17/06/2019 651,589 0.20 2,000,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 17/06/2039 151,486 0.05 1,990,000 Fixed 4.000% Floating (GBP 6 month LIBOR) GBP 16/12/2039 5,445 0.00 500,000,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/12/2013 7,331 0.00 2,730,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 11,219 0.00 2,730,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 15,129 0.00 3,470,000 Floating (USD 3 month LIBOR) Fixed 5.600% USD 20/06/2028 26,813 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 2,658,848 0.83

Credit Default Swaps 1,000,000 Fixed 3.429% Floating (Renault S.A.) EUR 20/06/2014 16,513 0.01

UNREALISED GAIN ON CREDIT DEFAULT SWAPS 16,513 0.01

TOTAL UNREALISED GAIN ON SWAPS CONTRACTS 2,675,361 0.84

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps 5,180,000 Floating (CAD 6 month CDOR) Fixed 1.965% CAD 12/02/2013 (40,087) (0.01) 5,180,000 Floating (CAD 6 month CDOR) Fixed 2.030% CAD 16/02/2013 (35,868) (0.01) 5,180,000 Floating (CAD 6 month CDOR) Fixed 2.023% CAD 19/02/2013 (36,833) (0.01) 5,180,000 Floating (CAD 3 month CDOR) Fixed 1.942% CAD 22/02/2013 (44,342) (0.01) 5,240,000 Floating (CAD 6 month CDOR) Fixed 2.066% CAD 25/02/2013 (34,972) (0.01) 2,430,000 Floating (CAD 6 month CDOR) Fixed 3.850% CAD 12/02/2025 (80,568) (0.03) 2,430,000 Floating (CAD 6 month CDOR) Fixed 3.881% CAD 16/02/2025 (76,378) (0.02) 2,350,000 Floating (CAD 6 month CDOR) Fixed 3.845% CAD 19/02/2025 (79,666) (0.03) 2,350,000 Floating (CAD 3 month CDOR) Fixed 3.786% CAD 22/02/2025 (89,143) (0.03)

The accompanying notes are an integral part of these financial statements.

267 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

Swap Contracts – (continued)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps – (continued) 2,380,000 Floating (CAD 6 month CDOR) Fixed 3.970% CAD 25/02/2025 (62,677) (0.02) 1,280,000 Fixed 4.750% Floating (EUR 6 month EURIBOR) EUR 17/12/2018 (21,196) (0.01) 1,640,000 Fixed 4.750% Floating (EUR 6 month EURIBOR) EUR 17/12/2018 (16,403) (0.01) 1,380,000 Floating (GBP 6 month LIBOR) Fixed 4.250% GBP 17/06/2016 (17,208) (0.01) 5,100,000 Floating (GBP 6 month LIBOR) Fixed 4.250% GBP 17/06/2016 (31,075) (0.01) 10,500,000 Floating (GBP 6 month LIBOR) Fixed 4.500% GBP 17/06/2019 (391,729) (0.12) 2,000,000 Floating (GBP 6 month LIBOR) Fixed 4.000% GBP 17/06/2039 (3,977) (0.00) 614,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (78,830) (0.02) 2,543,000,000 Fixed 1.500% Floating (JPY 6 month LIBOR) JPY 17/12/2013 (400,696) (0.13) 868,000,000 Fixed 1.250% Floating (JPY 6 month LIBOR) JPY 17/06/2014 (17,614) (0.01) 1,597,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (13,302) (0.00) 1,778,000,000 Floating (JPY 6 month LIBOR) Fixed 1.250% JPY 17/06/2014 (14,912) (0.00) 3,699,000,000 Floating (KRW 3 month KWCDC) Fixed 2.940% KRW 10/02/2011 (5,552) (0.00) 3,699,000,000 Floating (KRW 3 month KWCDC) Fixed 2.935% KRW 10/02/2011 (5,703) (0.00) 1,500,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2014 (18,872) (0.01) 3,800,000 Floating (USD 3 month LIBOR) Fixed 3.500% USD 17/06/2019 (185,198) (0.06) 11,070,000 Fixed 5.600% Floating (USD 3 month LIBOR) USD 20/06/2028 (110,964) (0.03) 2,100,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (128,783) (0.04) 2,200,000 Fixed 5.000% Floating (USD 3 month LIBOR) USD 17/12/2028 (114,307) (0.04)

UNREALISED LOSS ON INTEREST RATE SWAPS (2,156,855) (0.68)

Credit Default Swaps 850,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (5,371) (0.00) 1,000,000 Fixed 3.380% Floating (Peugeot S.A.) EUR 20/06/2014 (12,537) (0.00) 14,600,000 Fixed 1.850% Floating (ITRX Index) EUR 20/06/2014 (63,351) (0.02) 25,200,000 Fixed 1.849% Floating (ITRX Index) EUR 20/06/2014 (114,677) (0.04)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (195,936) (0.06)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (2,352,791) (0.74)

MARKET VALUE OF INVESTMENTS (cost GBP 322,479,182) 307,660,790 96.43

OTHER ASSETS AND LIABILITIES 11,374,902 3.57

SHAREHOLDERS’ EQUITY 319,035,692 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS GBP Equity

Total Investments excluding forward currency, futures and swaps contracts (cost GBP 322,479,182) 305,840,200 95.86 Unrealised gain on futures contracts 523,499 0.17 Unrealised loss on futures contracts (187,015) (0.06) Unrealised gain on forward currency contracts 6,192,982 1.94 Unrealised loss on forward currency contracts (5,031,446) (1.58) Unrealised gain on swaps contracts 2,675,361 0.84 Unrealised loss on swaps contracts (2,352,791) (0.74) Other Assets and Liabilities 11,374,902 3.57

Shareholders’ Equity 319,035,692 100.00 Rates disclosed for Corporate Bonds, Government Bonds, Supranational, Agencies Asset Backed Obligations and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2009. The Futures Clearing Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA, Credit Suisse London, Deutsche Bank AG London, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank, Royal Bank of Canada, State Street Bank London, UBS AG London and Westpac Banking Corp. The counterparties for swaps contracts were Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, JP Morgan Chase Bank NA, Morgan Stanley, Royal Bank of Canada, Royal Bank of Scotland and UBS AG London. (a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices.

The accompanying notes are an integral part of these financial statements.

268 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio Schedule of Investments As at 31 May 2009

(b) Maturity dates represent either the stated date on the security,or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. (c) Variable and floating coupon rates are those quoted as of 31 May 2009. (d) 144A: These securities are issued to qualified institutional investors, pursuant to private placements, and are transferable as stated in rule 144A of the US Securities Act of 1933. (e) This security is admitted to an official exchange listing. (f) The yield for this fund as at 31 May 2009 was 0.816%. (g) A related party to Goldman Sachs Funds.

The accompanying notes are an integral part of these financial statements.

269 Goldman Sachs Funds—US CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Transferable securities admitted to an official exchange listing Common Stocks – (continued) Common Stocks – 100.02% Diversified Financial Services 173 Ameriprise Financial, Inc. 5,225 0.04 Aerospace & Defence 35,175 Citigroup, Inc. 130,851 1.07 513 Northrop Grumman Corp. 24,429 0.20 944 Eaton Vance Corp. 25,582 0.21 836 Federated Investors, Inc. “B” 20,925 0.17 Agriculture 227 GAMCO Investors, Inc. 11,929 0.10 1,663 Archer-Daniels-Midland Co. 45,766 0.37 5,894 T Rowe Price Group, Inc. 239,120 1.96 203 Bunge Ltd. 12,844 0.11 433,632 3.55 58,610 0.48 Electric Airlines 289 Edison International 8,450 0.07 1,675 Skywest, Inc. 17,169 0.14 3,087 Exelon Corp. 148,207 1.21 156,657 1.28 Auto Parts & Equipment 407 Federal Mogul Corp. 4,070 0.03 6,906 Johnson Controls, Inc. 137,637 1.13 Electrical Components & Equipment 9,258 Emerson Electric Co. 297,089 2.43 141,707 1.16 Electronics Banks 3,038 Jabil Circuit, Inc. 23,787 0.19 9,584 Bank of America Corp. 108,012 0.89 1,189 Thermo Fisher Scientific, Inc. 46,264 0.38 4,560 Bank of New York Mellon Corp. 126,677 1.04 1,134 Tyco Electronics Ltd. 19,698 0.16 2,755 Cathay General Bancorp 28,542 0.23 1,690 First Bancorp/Puerto Rico 8,264 0.07 89,749 0.73 8,187 JP Morgan Chase & Co. 302,100 2.47 4,165 US Bancorp 79,968 0.66 Food, Beverages & Tobacco 6,247 Wells Fargo & Co. 159,298 1.30 8,339 Tyson Foods, Inc. “A” 111,076 0.91 1,617 Wilshire Bancorp, Inc. 7,794 0.06 820,655 6.72 Forest Products & Paper 2,921 Plum Creek Timber Co., Inc. 101,213 0.83 Biotechnology 2,273 Amgen, Inc. 113,514 0.93 Healthcare Products 2,755 Biogen Idec, Inc. 142,682 1.17 3,831 Boston Scientific Corp. 36,012 0.29 1,061 Enzon Pharmaceuticals, Inc. 8,509 0.07 2,102 Johnson & Johnson 115,946 0.95 1,202 Facet Biotech Corp. 11,912 0.10 151,958 1.24 2,468 Maxygen, Inc. 17,498 0.14 6,014 PDL BioPharma, Inc. 41,797 0.34 Healthcare Services 335,912 2.75 15,158 Coventry Health Care, Inc. 273,602 2.24 2,676 Humana, Inc. 83,839 0.69 Chemicals 3,675 Kindred Healthcare, Inc. 48,253 0.39 337 Eastman Chemical Co. 13,965 0.11 405,694 3.32

Commercial Services Home Furnishings 135 McKesson Corp. 5,555 0.04 7,081 TiVo, Inc. 49,567 0.41 4,003 Moody’s Corp. 109,642 0.90 7,662 Volt Information Sciences, Inc. 51,029 0.42 Household Products/Wares 166,226 1.36 1,354 Blyth, Inc. 44,966 0.37

Computers Insurance 747 Accenture Ltd. “A” 22,358 0.18 1,550 Aflac, Inc. 55,025 0.45 4,434 Dell, Inc. 51,346 0.42 504 MetLife, Inc. 15,876 0.13 347 Hewlett-Packard Co. 11,919 0.10 1,486 Prudential Financial, Inc. 59,306 0.49 1,111 International Business Machines Corp. 118,077 0.97 1,618 Travelers Cos, Inc. 65,788 0.54 6,545 NetApp, Inc. 127,627 1.04 2,707 Universal American Corp. 24,336 0.20 2,144 Sun Microsystems, Inc. 19,296 0.16 4,242 Unum Group 72,581 0.59 350,623 2.87 292,912 2.40

Construction & Engineering Internet 1,351 Fluor Corp. 63,470 0.52 112 Amazon.com, Inc. 8,735 0.07 408 Google, Inc. “A” 170,230 1.39 Cosmetics/Personal Care 480 Symantec Corp. 7,483 0.06 293 Colgate-Palmolive Co. 19,323 0.16 10,583 VeriSign, Inc. 247,748 2.03 434,196 3.55 Distribution/Wholesale 394 United Stationers, Inc. 14,109 0.12

The accompanying notes are an integral part of these financial statements.

270 Goldman Sachs Funds—US CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

%of %of Market Value Shareholders’ Market Value Shareholders’ Holdings Security Description USD Equity Holdings Security Description USD Equity

Common Stocks – (continued) Common Stocks – (continued) Leisure Time Real Estate Investment Trust 723 Carnival Corp. 18,393 0.15 2,777 HCP, Inc. 64,510 0.53 657 Polaris Industries, Inc. 20,873 0.17 1,293 Simon Property Group, Inc. 69,136 0.56 39,266 0.32 133,646 1.09

Lodging Retail 7,648 Marriott International, Inc. “A” 178,657 1.46 8,356 Asbury Automotive Group, Inc. 79,382 0.65 7,023 Wyndham Worldwide Corp. 82,801 0.68 1,480 Charlotte Russe Holding, Inc. 15,022 0.12 536 Citi Trends, Inc. 13,818 0.11 261,458 2.14 8,614 Family Dollar Stores, Inc. 260,746 2.13 3,451 Genesco, Inc. 89,001 0.73 Machinery—Diversified 1,629 Group 1 Automotive, Inc. 34,877 0.29 1,374 AGCO Corp. 39,654 0.33 9,764 HOT Topic, Inc. 70,399 0.58 538 NACCO Industries, Inc. “A” 18,851 0.15 298 Pantry, Inc. 5,936 0.05 58,505 0.48 1,517 Ruby Tuesday, Inc. 9,375 0.08 743 Sonic Automotive, Inc. 7,066 0.06 6,877 Wal-Mart Stores, Inc. 342,062 2.80 Media 6,465 Comcast Corp. “A” 89,023 0.73 927,684 7.60 1,505 Scripps Networks Interactive, Inc. 41,749 0.34 3,900 Time Warner Cable, Inc. 120,081 0.98 Savings & Loans 7,887 Time Warner, Inc. 184,713 1.51 9,296 Hudson City Bancorp, Inc. 119,268 0.98 1,636 Walt Disney Co. 39,624 0.33 475,190 3.89 Semiconductors 7,289 Broadcom Corp. “A” 185,724 1.52 Mining 11,546 Intel Corp. 181,503 1.49 2,880 Compass Minerals International, Inc. 154,454 1.26 22,273 LSI Logic Corp. 99,560 0.82 765 Newmont Mining Corp. 37,386 0.31 938 Zoran Corp. 10,393 0.08 9,636 Titanium Metals Corp. 89,229 0.73 477,180 3.91 281,069 2.30 Software Miscellaneous Manufacturing 4,734 Acxiom Corp. 50,606 0.41 1,469 Cooper Industries Ltd. “A” 48,212 0.40 5,380 Adobe Systems, Inc. 151,608 1.24 18 EnPro Industries, Inc. 317 0.00 19,512 Microsoft Corp. 407,606 3.34 19,043 General Electric Co. 256,700 2.10 676 SEI Investments Co. 10,431 0.09 305,229 2.50 620,251 5.08

Oil & Gas Telecommunications 749 Apache Corp. 63,111 0.52 1,598 Acme Packet, Inc. 12,385 0.10 3,013 ConocoPhillips 138,116 1.13 7,663 AT&T, Inc. 189,966 1.55 2,068 Devon Energy Corp. 130,780 1.07 12,877 Cisco Systems, Inc. 238,224 1.95 7,741 Exxon Mobil Corp. 536,838 4.40 4,276 Embarq Corp. 179,678 1.47 791 Murphy Oil Corp. 46,677 0.38 896 Qualcomm, Inc. 39,057 0.32 1,338 Occidental Petroleum Corp. 89,793 0.73 20,003 Sprint Nextel Group Corp. 103,015 0.84 694 Southwestern Energy Co. 30,168 0.25 463 Syniverse Holdings, Inc. 6,922 0.06 3,393 Sunoco, Inc. 103,249 0.85 2,368 USA Mobility, Inc. 26,474 0.22 6,488 Tesoro Corp. 109,907 0.90 2,497 Verizon Communications, Inc. 73,062 0.60 11,148 Valero Energy Corp. 249,381 2.04 868,783 7.11 1,498,020 12.27 Transportation Oil & Gas Services 1,378 CH Robinson Worldwide, Inc. 70,030 0.57 1,592 Exterran Holdings, Inc. 31,697 0.26 6,729 Expeditors International of Washington, Inc. 220,778 1.81 2,277 FedEx Corp. 126,214 1.03 348 JB Hunt Transport Services, Inc. 10,694 0.09 Packaging & Containers 1,927 United Parcel Service, Inc. “B” 98,547 0.81 2,361 Ball Corp. 93,968 0.77 526,263 4.31 Pharmaceuticals TOTAL COMMON STOCKS 797 Cephalon, Inc. 46,473 0.38 ( c o s t U S D 1 2 , 8 3 2 , 2 6 9 ) 12,215,585 100.02 6,697 Eli Lilly & Co. 231,515 1.90 2,343 Medco Health Solutions, Inc. 107,520 0.88 TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN 5,482 Merck & Co., Inc. 151,194 1.24 OFFICIAL EXCHANGE LISTING 12,788 Pfizer, Inc. 194,250 1.59 ( c o s t U S D 1 2 , 8 3 2 , 2 6 9 ) 12,215,585 100.02 5,243 Questcor Pharmaceuticals, Inc. 22,335 0.18 6,144 Schering-Plough Corp. 149,914 1.23 MARKET VALUE OF INVESTMENTS EXCLUDING FUTURES AND SWAPS CONTRACTS 903,201 7.40 ( c o s t U S D 1 2 , 8 3 2 , 2 6 9 ) 12,215,585 100.02

The accompanying notes are an integral part of these financial statements.

271 Goldman Sachs Funds—US CORESM Flex Portfolio Schedule of Investments As at 31 May 2009

Futures Contracts – 0.47% Unrealised %of Number of Gain Shareholders’ Contracts Security Description USD Equity

USD 7 S&P 500 Index 19/06/09 Long 57,415 0.47

UNREALISED GAIN ON FUTURES CONTRACTS 57,415 0.47

Swap Contracts – (0.41%)

Net Local Unrealised %of Notional Loss Shareholders’ Amount Security Description Currency USD Equity

Total Equity Return Swaps (54,646) Total Equity Basket Swap USD (50,348) (0.41)

TOTAL UNREALISED LOSS ON SWAPS CONTRACTS (50,348) (0.41)

MARKET VALUE OF INVESTMENTS ( c o s t U S D 1 2 , 8 3 2 , 2 6 9 ) 12,222,652 100.08

O T H E R A S S E T S A N D L I A B I L I T I E S (9,679) (0.08)

SHAREHOLDERS’ EQUITY 12,212,973 100.00

%of Market Value Shareholders’ TOTAL INVESTMENTS USD Equity

Total Investments excluding futures and swaps contracts (cost USD 12,832,269) 12,215,585 100.02 Unrealised gain on futures contracts 57,415 0.47 Unrealised loss on swaps contracts (50,348) (0.41) Other Assets and Liabilities (9,679) (0.08)

Shareholders’ Equity 12,212,973 100.00

The Futures Clearing Merchant was Goldman, Sachs & Co.

The accompanying notes are an integral part of these financial statements.

272 Goldman Sachs Funds Statement of Assets and Liabilities As at 31 May 2009

Regional Equity Portfolios Global Emerging Global Global GMS Alpha+ GMS Alpha+ Europe Equity Markets Emerging Global Equity World World Asia BRICsSM Target Alpha Europe Concentrated Markets Equity Equity Partners Equity Equity Portfolio Portfolio Portfolio Portfolio Equity Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio II Notes USD USD EUR EUR USD USD USD USD USD USD Assets Investments, at value, excluding forward currency, futures, options and swap contracts 3(c) 101,773,179 335,229,205 5,704,981 51,706,779 113,500,736 478,848,134 47,878,046 161,503,537 83,065,892 22,542,019 Unrealised gain on forward currency contracts held for investment purposes 3(d) — — — — — — — — — — Unrealised gain on share class forward currency contracts 3(d) 12 — 491,135 — — — — — — — — Unrealised gain on futures 3(d) 14,616 90,798 — — — 58,788 3,561 — — — Unrealised gain on swap contracts 3(d) — — — — — — — — — — Upfront payments paid on swap transactions 3(d) — — — — — — — — — — Market value of purchased options 3(d) — — — — — — — — — — Cash and cash equivalents 3(f) 3,147,971 7,657,265 69,586 130,905 1,770,264 7,229,594 692,119 261,921 1,159,727 1,258,679 Receivable for investments sold 385,273 2,869,031 — 95,000 1,694,102 4,616,615 159,540 3,155,329 2,324,762 23,599 Receivable for shares sold 96,407 3,815,597 — 31,968 — 69,246 151 18,310 — — Dividends receivable 3(b) 463,078 1,965,159 30,780 210,748 772,367 3,224,273 161,701 663,921 246,900 85,555 Interest receivable 3(b) 584 1,161 — 992 741 1,880 — 1,336 — — Dividend tax reclaim receivable 38,133 — 7,927 67,541 5,641 98,590 12,245 12,679 10,343 3,660 Interest tax reclaim receivable —— —— — ———— — Securities lending receivable — 260 8,116 74,777 — 586 20,753 94,939 3,965 9,349 Other assets 25,439 24,505 30,059 1,386 9,554 21,465 3,947 18,189 1,433 6,418 Total Assets 105,944,680 352,144,116 5,851,449 52,320,096 117,753,405 494,169,171 48,932,063 165,730,161 86,813,022 23,929,279 Liabilities Bank overdraft 645,843 306 — 45,485 1,858 8,456 721 171,175 12,479 — Unrealised loss on forward currency contracts held for investment purposes 3(d) — — — — 13,603 — — — — — Unrealised loss on share class forward currency contracts 3(d) 12 — — — — — — — — — — Unrealised loss on futures 3(d) — — 100 — — — — — — — Unrealised loss on swap contracts 3(d) — — — — — — — — — — Upfront payments received on swap transactions 3(d) — — — — — — — — — — Market value of written options 3(d) — — — — — — — — — — Market value of covered forward mortgage backed securities 3(d) — — — — — — — — — — Payable for investments purchased 948,005 3,337,061 3,026 271,324 2,271,357 2,018,385 184,873 8,365 — 5,092 Payable for shares redeemed 655,434 70,918 2,338 41,853 1,000,000 4,543,642 28,292 587,638 — — Investment Advisor fee payable 5 33,607 294,606 — 14,426 70,133 371,418 18,503 212,683 486,721 105,047 Performance fees payable —— —— — ———— — Administration and Custody fees payable 5 236,169 556,007 6,784 42,510 69,449 536,672 13,136 43,412 81,486 28,346 Distribution and servicing fees payable 5 11,406 68,756 129 2,844 7 25,048 2,727 5,312 — — Transfer Agency fee payable 5 45,857 93,119 18,224 39,599 11,468 69,713 30,543 74,503 11,500 27,554 Taxe d’abonnement payable 4 38,638 13,142 485 3,563 2,083 33,605 4,054 7,818 7,193 1,987 Capital gains tax payable — 204,023 — — — 701,072 — — — — Audit fee payable 15,642 15,642 10,902 10,902 15,642 15,642 15,642 15,642 15,642 15,642 Shareholder Services fees payable 5 2,285 2,531 47 2,389 919 7,673 1,659 1,353 3,727 275 Directors fees payable 16,496 3,805 5,680 12,483 2,499 14,265 11,264 33,971 16,398 11,505 Legal fees payable 1,974 — 6,126 7,417 12,340 27,667 7,429 20,527 62,205 8,697 Insurance fees payable 15,611 15,686 2,275 7,142 1,337 28,628 5,205 26,839 6,790 5,611 Printing fees payable 87,827 42,886 25,426 96,019 2,556 106,399 43,529 64,694 61,693 41,154 Publishing fees payable —— —— — ———— — Other liabilities 25,612 29,714 15,945 13,885 24,383 23,201 26,221 59,794 25,248 25,925 Total Liabilities 2,780,406 4,748,202 97,487 611,841 3,499,634 8,531,486 393,798 1,333,726 791,082 276,835 Shareholders’ Equity 103,164,274 347,395,914 5,753,962 51,708,255 114,253,771 485,637,685 48,538,265 164,396,435 86,021,940 23,652,444 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2009

The accompanying notes are an integral part of these financial statements.

273 Goldman Sachs Funds Statement of Assets and Liabilities As at 31 May 2009

Regional Equity Portfolios Regional CORE Equity Portfolios Global US US Europe Global Small Cap India Japan Growth Value CORESM CORESM CORESM Equity Japan Small Cap Sustain US Equity Equity Equity Equity Equity Equity Portfolio Portfolio(a) Portfolio(a) Portfolio(c) Portfolio Portfolio Portfolio Portfolio Portfolio(c) Portfolio(c) Notes USD JPY JPY USD USD USD USD EUR USD USD Assets Investments, at value, excluding forward currency, futures, options and swap contracts 3(c) 14,014,217 18,188,271 3,430,920 19,499,102 95,417,617 57,752,401 23,791,061 544,182,339 602,189,265 62,379,074 Unrealised gain on forward currency contracts held for investment purposes 3(d) ———— ——— — —— Unrealised gain on share class forward currency contracts 3(d) 12 ———— ——— — —— Unrealised gain on futures 3(d) 80,159 — 20,176 — — — — 17,500 1,197,979 325,698 Unrealised gain on swap contracts 3(d) ———— ——— — —— Upfront payments paid on swap transactions 3(d) ———— ——— — —— Market value of purchased options 3(d) ———— ——— — —— Cash and cash equivalents 3(f) 1,289,517 117,804 30,864 167,964 3,319,584 738,257 949,088 1,983,169 3,941,658 321,791 Receivable for investments sold 67,875 549,733 67,461 — 1,204,564 445,759 101,643 — 3,050 28,919 Receivable for shares sold — 9,168 6 — 2,983,815 1,022,558 — 620,731 55,174 84,677 Dividends receivable 3(b) 8,452 179,121 30,864 69,486 121,920 47,821 56,418 2,691,307 2,595,216 172,762 Interest receivable 3(b) — 185 — — 121 — — 12,788 4,537 789 Dividend tax reclaim receivable — — — 2,083 — — — 234,793 44,849 11,787 Interest tax reclaim receivable ———— ——— — —— Securities lending receivable — 488 326 4,721 — — — 614,526 221,089 10,972 Other assets 32,783 5,008 25,200 46,683 39,997 17,007 22,143 12,582 — 67,498 Total Assets 15,493,003 19,049,778 3,605,817 19,790,039 103,087,618 60,023,803 24,920,353 550,369,735 610,252,817 63,403,967 Liabilities Bank overdraft ———— ——— —1,040,353 142,616 Unrealised loss on forward currency contracts held for investment purposes 3(d) ———— ——— — —— Unrealised loss on share class forward currency contracts 3(d) 12 ———— ——— — —— Unrealised loss on futures 3(d) ———— ———41,630 — — Unrealised loss on swap contracts 3(d) ———— ——— — —— Upfront payments received on swap transactions 3(d) ———— ——— — —— Market value of written options 3(d) ———— ——— — —— Market value of covered forward mortgage backed securities 3(d) ———— ——— — —— Payable for investments purchased 230,389 197,880 78,200 — 4,793,899 — 776,576 284,880 243,879 3,894 Payable for shares redeemed — 11,843 — — 19,413 190,669 — 1,756,422 83,322 62,881 Investment Advisor fee payable 5 3,746 23,774 — — 90,172 56,051 — 131,424 111,638 12,637 Performance fees payable ———— ——— — —— Administration and Custody fees payable 5 5,345 712 5,033 2,096 11,099 17,253 5,390 544,943 51,655 3,329 Distribution and servicing fees payable 5 13 1,777 373 16 22,661 7,889 944 33,692 6,610 70 Transfer Agency fee payable 5 6,139 2,943 3,443 6,035 12,662 33,022 8,133 153,951 26,617 15,222 Taxe d’abonnement payable 4 978 3,365 921 1,278 7,226 32,428 1,936 38,613 13,961 5,078 Capital gains tax payable 4,340 — — 1,587 — — — — — — Audit fee payable 26,669 1,630 1,630 15,632 15,642 15,642 15,642 10,902 15,642 15,642 Shareholder Services fees payable 5 105 269 135 160 615 1,735 198 12,866 5,979 519 Directors fees payable 10,189 1,894 1,135 3,283 15,618 30,561 8,899 17,789 25,523 8,769 Legal fees payable 12,481 — 771 12,625 8,745 2,950 7,718 43,645 60,375 12,759 Insurance fees payable 1,065 394 418 582 2,493 8,597 2,630 28,362 7,539 1,195 Printing fees payable 12,599 5,021 7,590 16,948 35,320 48,469 36,121 57,016 20,261 16,169 Publishing fees payable 18,577 — — — — — — — 12,938 — Other liabilities 40,606 14,914 5,011 24,948 66,145 84,269 29,207 83,333 22,858 24,430 Total Liabilities 373,241 266,416 104,660 85,190 5,101,710 529,535 893,394 3,239,468 1,749,150 325,210 Shareholders’ Equity 15,119,762 18,783,362 3,501,157 19,704,849 97,985,908 59,494,268 24,026,959 547,130,267 608,503,667 63,078,757 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2009

The accompanying notes are an integral part of these financial statements.

274 Goldman Sachs Funds Statement of Assets and Liabilities As at 31 May 2009

Regional CORE Equity Portfolios Fixed Income Portfolios US Global Global Japan US Small Cap Global Global Emerging Global Global Fixed CORESM CORESM CORESM Euro Fixed Corporate Credit Markets Emerging Fixed Income Equity Equity Equity Income Portfolio Portfolio Debt Local Markets Debt Income Portfolio Portfolio(a) Portfolio(c) Portfolio(c) Portfolio (Hedged) (Hedged) Portfolio Portfolio Portfolio (Hedged) Notes JPY USD USD EUR NOK USD USD USD USD EUR Assets Investments, at value, excluding forward currency, futures, options and swap contracts 3(c) 10,464,820 271,405,641 28,877,138 23,334,836 7,471,152,256 333,228,160 770,818,290 463,837,725 241,202,583 91,952,235 Unrealised gain on forward currency contracts held for investment purposes 3(d) — — — 47,896 123,797,070 24,392 23,876,360 566,407 184,169 1,238,107 Unrealised gain on share class forward currency contracts 3(d) 12 9,541 — — — — 6,813,148 — 7,044,020 — 567,950 Unrealised gain on futures 3(d) 22,842 166,271 18,580 15,249 5,452,618 156,877 — — 256,059 91,542 Unrealised gain on swap contracts 3(d) — — — 81,864 47,727,198 669,570 5,187,468 612,481 705,980 507,753 Upfront payments paid on swap transactions 3(d) — — — — 20,900,125 430,126 — — 234,300 — Market value of purchased options 3(d) — — — — — — — — — — Cash and cash equivalents 3(f) 58,623 510,188 84,580 505,548 43,548,527 1,384,274 1,075,646 10,283,475 5,076,598 1,004,802 Receivable for investments sold 350,443 8,361 654,222 291,284 58,648,916 2,499,126 — 30,998,523 7,735,601 1,847,972 Receivable for shares sold 1,638 20,789 37,848 12,845 — 5,557,074 13,784,946 672,699 97,064 2,030 Dividends receivable 3(b) 90,079 572,656 17,889 — 9,036 — 3,012 — — 1,947 Interest receivable 3(b) — 2,642 322 386,522 116,543,983 5,146,392 12,325,881 7,554,922 2,910,024 1,112,471 Dividend tax reclaim receivable ———— ——— ——— Interest tax reclaim receivable — — — 2,124 204,920 42,787 253,758 34,274 4,859 3,070 Securities lending receivable 214——— ——— ——— Other assets 15,069 24,843 44,150 12,151 265,848 46,165 7,962 71,956 23,327 3,457 Total Assets 11,013,269 272,711,391 29,734,729 24,690,319 7,888,250,497 355,998,091 827,333,323 521,676,482 258,430,564 98,333,336 Liabilities Bank overdraft — — — 46,778 28,913,224 26,959,703 8,791,794 359,028 1,088,933 — Unrealised loss on forward currency contracts held for investment purposes 3(d) — — — 3,829 118,495,740 4,561,181 857,410 1,831,685 143,184 55,643 Unrealised loss on share class forward currency contracts 3(d) 12 22,723 — — — — 45,112 — — — 227,621 Unrealised loss on futures 3(d) — — — 332 4,177,399 147,954 — — 243,139 40,195 Unrealised loss on swap contracts 3(d) — — — 127,075 58,108,276 1,551,839 — 12,699 922,742 390,945 Upfront payments received on swap transactions 3(d) — — — 6,706 — — — — — 346,163 Market value of written options 3(d) — — — — — — — — — — Market value of covered forward mortgage backed securities 3(d) — — — — — — — — — — Payable for investments purchased 314,805 — 570,208 263,583 48,984,272 8,320,058 — 28,530,518 11,033,684 2,197,931 Payable for shares redeemed 5,409 60,654 14,541 983 — 22,514 180,620 — 74,125 — Investment Advisor fee payable 5 — 162,393 — — 1,640,049 132,281 576,139 345,014 103,819 25,377 Performance fees payable ———— ——— ——— Administration and Custody fees payable 5 3,241 45,314 3,236 19,328 341,451 10,119 23,161 72,887 25,352 9,016 Distribution and servicing fees payable 5 3,486 7,541 12 10,098 76,895 10,914 11,298 21,419 14,947 8,517 Transfer Agency fee payable 5 4,180 110,238 17,831 15,810 11,247 6,644 14,415 35,935 19,631 6,325 Taxe d’abonnement payable 4 881 20,184 593 1,682 128,090 12,104 13,989 13,016 6,149 1,815 Capital gains tax payable ———— ——— ——— Audit fee payable 1,588 15,642 15,642 10,902 109,020 15,642 15,642 74,768 15,642 10,902 Shareholder Services fees payable 5 87 8,787 241 2,070 5,665 2,390 6,170 6,010 2,092 2,485 Directors fees payable 1,133 24,279 9,126 10,203 131,503 16,387 15,622 24,906 10,430 6,183 Legal fees payable 2,404 122,731 7,533 5,830 805,083 11,406 35,652 26,175 17,755 11,749 Insurance fees payable 192 9,515 739 2,611 28,427 338 4,231 17,328 4,974 1,070 Printing fees payable 18,091 62,130 24,992 23,468 250,643 26,391 19,697 21,743 30,399 16,915 Publishing fees payable ———— ——— ——— Other liabilities 2,383 432,120 26,010 76,343 1,449,628 22,810 16,488 — 179,543 38,079 Total Liabilities 380,603 1,081,528 690,704 627,631 263,656,612 41,875,787 10,582,328 31,393,131 13,936,540 3,396,931 Shareholders’ Equity 10,632,666 271,629,863 29,044,025 24,062,688 7,624,593,885 314,122,304 816,750,995 490,283,351 244,494,024 94,936,405 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2009

The accompanying notes are an integral part of these financial statements.

275 Goldman Sachs Funds Statement of Assets and Liabilities As at 31 May 2009

Fixed Income Portfolios Specialist Portfolios Sterling US Global Specialised Broad Mortgage Commodities Euro Fixed Europe High Fixed Fixed Sterling US Fixed Backed Enhanced Income CORESM Global Yield Income Income Credit Income Securities Index Plus Flex Currency Portfolio Portfolio Portfolio Portfolio(b) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Notes USD EUR GBP GBP USD USD USD EUR EUR USD Assets Investments, at value, excluding forward currency, futures, options and swap contracts 3(c) 1,948,957,393 84,650,651 299,188,244 75,720,200 245,539,109 712,215,324 19,187,465 14,864,404 97,255,017 39,810,635 Unrealised gain on forward currency contracts held for investment purposes 3(d) 438,911 3,203,310 506,808 146,965 1,031,970 — — 328,544 — 10,306,545 Unrealised gain on share class forward currency contracts 3(d) 12 9,547,659 — — — — 1,658,579 252,752 — — 639,800 Unrealised gain on futures 3(d) — 90,830 183,274 63,728 147,748 452,020 17,719 39,440 16,267 — Unrealised gain on swap contracts 3(d) — 1,850,049 3,144,539 225,288 3,924,056 11,356,966 2,371,942 223,348 252,448 — Upfront payments paid on swap transactions 3(d) — — — 578,135 11,916 — — — — — Market value of purchased options 3(d) — — — — — — — — — 53,792 Cash and cash equivalents 3(f) 17,212,712 891,582 3,373,295 422,538 1,044,630 5,968 1,141,613 379,431 426,641 60,956 Receivable for investments sold 2,921,952 793,960 2,512,998 132,118 26,391,289 193,996,655 — 450,481 — — Receivable for shares sold 11,945,170 — — 298,500 82,367 2 401,099 — 205,360 47,118 Dividends receivable 3(b) — — — — — — — — 340,515 — Interest receivable 3(b) 47,208,939 98,085 6,982,837 1,923,932 1,786,866 2,775,556 64,634 240,565 3,222 7,450 Dividend tax reclaim receivable — — — — — — — — 30,203 — Interest tax reclaim receivable 27,000 — 43,999 — — — — — — — Securities lending receivable — — — — — — — — 79,855 — Other assets 181,564 5,846 2,605 1,509 25,026 115,060 13,674 14,984 14,944 107,229 Total Assets 2,038,441,300 91,584,313 315,938,599 79,512,913 279,984,977 922,576,130 23,450,898 16,541,197 98,624,472 51,033,525 Liabilities Bank overdraft — 13,050 623,959 485,473 1,743,471 4,546,571 1,109,760 367,862 — 5,010,805 Unrealised loss on forward currency contracts held for investment purposes 3(d) 13,865,104 806,278 1,115 — 921,536 — — 282,328 — 10,471,247 Unrealised loss on share class forward currency contracts 3(d) 12 38,911 — — — — — — — — 755 Unrealised loss on futures 3(d) — 1,167,201 294,536 15,055 341,953 1,179,449 88,866 3,650 — — Unrealised loss on swap contracts 3(d) — 231,026 1,051,957 149,682 1,453,475 6,229,208 — 145,201 — — Upfront payments received on swap transactions 3(d) — 384,196 1,453,388 — — 4,389,860 — 134,474 — — Market value of written options 3(d) — — — — — — — — — — Market value of covered forward mortgage backed securities 3(d) — — — — — 19,418,750 — — — — Payable for investments purchased 9,817,090 820,022 3,317,111 1,275,313 37,327,699 225,083,489 — 373,412 54,282 — Payable for shares redeemed 18,196,299 211,628 49,413 — 4,233,100 6,147 318,793 — 14,683 127,712 Investment Advisor fee payable 5 1,342,040 36,221 58,550 5,548 134,015 — 28,299 — 131,181 81,106 Performance fees payable —————— ———— Administration and Custody fees payable 5 89,170 3,759 18,422 3,012 8,852 22,396 31,171 18,219 2,586 243,317 Distribution and servicing fees payable 5 34,299 8,477 7,174 7,733 22,458 11,406 10,836 8,587 10,751 — Transfer Agency fee payable 5 91,633 4,968 5,549 2,447 30,841 16,392 13,954 6,105 25,334 72,527 Taxe d’abonnement payable 4 87,467 7,427 5,334 6,543 15,015 14,970 1,245 839 8,092 — Capital gains tax payable —————— ———— Audit fee payable — 10,902 9,255 9,157 15,642 15,641 15,642 10,902 10,902 55,521 Shareholder Services fees payable 5 63,426 757 2,645 638 7,344 3,239 172 128 812 295 Directors fees payable 30,576 5,635 7,196 580 12,335 22,537 8,447 5,545 8,293 10,751 Legal fees payable 97,839 13,611 21,128 14,416 22,921 42,145 3,373 5,769 8,138 — Insurance fees payable 33,785 1,030 2,813 874 7,504 6,229 2,141 660 2,653 2,372 Printing fees payable — 18,362 8,942 3,389 29,960 40,705 24,929 17,346 21,638 16,050 Publishing fees payable — 16,788 — 1,156 — — — — — — Other liabilities 16 17,961 68,218 9,745 18,035 49,423 15,867 25,793 13,033 39,836 Total Liabilities 43,787,655 3,779,299 7,006,705 1,990,761 46,346,156 261,098,557 1,673,495 1,406,820 312,378 16,132,294 Shareholders’ Equity 1,994,653,645 87,805,014 308,931,894 77,522,152 233,638,821 661,477,573 21,777,403 15,134,377 98,312,094 34,901,231 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2009

The accompanying notes are an integral part of these financial statements.

276 Goldman Sachs Funds Statement of Assets and Liabilities As at 31 May 2009

Specialist Portfolios Combined Combined Global Global Fixed Global Global Japan Sterling Total Total Currency Income Plus Libor Libor CORESM Broad Fixed US Period Ended Period Ended Plus Portfolio Plus I Plus II Flex Income Plus CORESM Flex 31 May 30 November Portfolio (Hedged) Portfolio Portfolio Portfolio(a) Portfolio Portfolio(c) 2009 2008 Notes USD EUR USD USD JPY GBP USD USD USD Assets Investments, at value, excluding forward currency, futures, options and swap contracts 3(c) 53,975,089 133,474,246 460,834,205 234,146,918 13,219,820 305,840,200 12,215,585 12,292,261,272 10,459,466,695 Unrealised gain on forward currency contracts held for investment purposes 3(d) 21,918,102 3,782,046 6,826,949 12,068,426 — 6,192,982 — 120,089,220 173,785,734 Unrealised gain on share class forward currency contracts 3(d) 12 729,334 681 4,083,649 2,174,118 — — — 34,336,067 21,217,530 Unrealised gain on futures 3(d) — 134,042 431,281 963,926 99,783 523,499 57,415 8,613,819 17,805,431 Unrealised gain on swap contracts 3(d) — 1,712,012 9,882,916 12,358,329 151,195 2,675,361 — 72,521,654 230,374,820 Upfront payments paid on swap transactions 3(d) — — — — — 751,873 — 6,143,189 14,464,606 Market value of purchased options 3(d) 354,007 — — — — — — 407,799 — Cash and cash equivalents 3(f) 21,549,997 2,353,247 34,112,002 18,596,467 15,252 7,334,751 207,914 184,400,353 662,435,035 Receivable for investments sold 4,400,000 5,102,699 59,778,640 41,667,465 — 5,914,656 592 433,492,904 713,153,660 Receivable for shares sold — 941,618 1 654,398 2,785 — — 44,630,596 61,406,031 Dividends receivable 3(b) — — — — 117,283 — 24,595 20,257,502 11,148,909 Interest receivable 3(b) 35,982 1,644,625 3,512,526 2,697,175 — 6,491,802 — 134,358,997 129,642,969 Dividend tax reclaim receivable — — — — — — — 720,286 826,388 Interest tax reclaim receivable — 1,538 — — — 32,451 — 528,220 461,409 Securities lending receivable — — — — 316 — — 1,477,145 920,386 Other assets 52,824 16,729 146,803 58,151 49,469 46,990 21,196 2,550,341 3,013,256 Total Assets 103,015,335 149,163,483 579,608,972 325,385,373 13,655,903 335,804,565 12,527,297 13,356,789,364 12,500,122,859 Liabilities Bank overdraft 123,464 323,125 793,491 2,355,920 116 2,812,932 — 66,958,471 69,684,940 Unrealised loss on forward currency contracts held for investment purposes 3(d) 21,344,509 1,760,560 6,155,730 10,774,790 — 5,031,446 — 101,985,938 232,581,799 Unrealised loss on share class forward currency contracts 3(d) 12 — 1,380,274 9,663 19,603 — — — 2,619,748 10,894,262 Unrealised loss on futures 3(d) — 98,326 1,281,266 520,039 — 187,015 — 7,174,584 11,555,380 Unrealised loss on swap contracts 3(d) — 1,518,787 19,084,809 11,254,794 — 2,352,791 50,348 58,931,619 240,664,101 Upfront payments received on swap transactions 3(d) — 571,778 15,336,622 12,223,880 — — — 36,334,471 41,847,980 Market value of written options 3(d) — — — — — — — — 82,800 Market value of covered forward mortgage backed securities 3(d) — — 19,783,750 9,371,250 — — — 48,573,750 36,421,263 Payable for investments purchased 4,744 7,884,433 29,036,004 35,484,330 — 6,079,864 — 448,368,537 697,287,253 Payable for shares redeemed — 37,872 — 70,565 87,718 — — 34,638,469 70,682,826 Investment Advisor fee payable 5 22,634 69,402 — — — 112,748 115,984 6,280,873 7,361,500 Performance fees payable —————— — — 65 Administration and Custody fees payable 5 3,316 7,638 23,314 29,175 6,525 10,597 5,565 3,488,955 2,042,561 Distribution and servicing fees payable 5 — 9,008 10,770 11,419 1,052 7,177 10,831 577,331 358,230 Transfer Agency fee payable 5 14,903 14,404 23,936 20,022 2,377 5,562 20,040 1,541,654 1,013,909 Taxe d’abonnement payable 4 1,572 9,020 11,740 6,823 234 5,472 1,011 583,017 302,298 Capital gains tax payable — — — — — — — 911,022 285,416 Audit fee payable 15,642 15,267 15,642 15,642 1,630 9,255 15,642 837,929 968,972 Shareholder Services fees payable 5 647 987 3,963 1,975 110 2,856 98 185,479 184,617 Directors fees payable 3,879 13,828 10,642 7,964 1,104 6,294 6,471 646,859 520,929 Legal fees payable 10,617 13,340 35,719 20,100 2,329 18,773 16,532 1,165,199 301,122 Insurance fees payable 2,075 4,173 5,890 3,935 118 2,189 1,105 328,202 167,085 Printing fees payable 2,341 11,916 17,586 12,178 — — 54,739 1,807,528 1,528,408 Publishing fees payable — — — — — — — 57,065 57,313 Other liabilities 115,658 147,205 16,847 16,777 156 123,902 15,958 2,897,847 3,315,538 Total Liabilities 21,666,001 13,891,343 91,657,384 82,221,181 103,469 16,768,873 314,324 826,894,547 1,430,110,567 Shareholders’ Equity 81,349,334 135,272,140 487,951,588 243,164,192 13,552,434 319,035,692 12,212,973 12,529,894,817 11,070,012,292 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2009

The accompanying notes are an integral part of these financial statements.

277 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Regional Equity Portfolios Global Emerging Global Global GMS GMS Europe Equity Markets Emerging Global Equity Alpha+ Alpha+ Asia BRICsSM Target Alpha Europe Concentrated Markets Equity Partners Europe Equity US Equity Portfolio Portfolio Portfolio Portfolio Equity Portfolio Equity Portfolio Portfolio Portfolio Portfolio(b) Portfolio(b) Notes USD USD EUR EUR USD USD USD USD EUR USD Income Dividend Income 3(b) 1,144,695 3,604,654 169,841 1,359,088 1,947,993 8,013,321 757,264 2,119,053 24,661 75,101 Interest Income 3(b) 4,062 74,708 586 11,578 8,414 28,747 1,021 10,465 53 21,666 Net (amortisation)/ Net accretion 3(b) — — — — — — — — — 35,717 Securities lending 5 — 1,693 13,629 129,320 2,661 15,756 33,291 149,742 — — Other income — — — — — — — — 67,658 28,682 1,148,757 3,681,055 184,056 1,499,986 1,959,068 8,057,824 791,576 2,279,260 92,372 161,166 Expenses Bank and Swap Interest expense 5,802 9,302 1,353 3,971 250 17,498 2,766 2,652 549 147 Investment Advisor fee 5 473,893 1,729,737 50,139 310,518 495,159 2,321,044 326,329 851,169 41,415 88,031 Performance fees 5 — — —— — ——— —— Administration and Custody fees 5 312,272 614,492 46,847 97,110 180,976 716,967 99,778 77,765 — 12,622 Distribution and servicing fees 5 56,558 279,166 771 15,745 30 140,959 15,271 7,446 — — Transfer Agency fees 5 23,651 56,310 8,938 17,389 7,986 37,045 16,119 7,583 457 — Taxe d’ abonnement 4 13,529 53,299 1,346 9,611 5,267 41,781 11,422 30,149 787 2,570 Audit fee 8,532 8,531 6,777 6,777 8,532 8,532 8,532 8,532 3,406 4,348 Shareholder Services fees 5 10,866 10,759 289 13,793 4,948 39,424 9,256 5,679 172 549 Directors fees 1,704 2,499 1,034 1,332 1,894 3,540 1,550 1,910 2,308 3,438 Legal fees 14,496 27,739 6,279 21,928 17,716 45,034 11,914 18,075 2,211 1,984 Insurance fees 7,712 8,371 949 3,163 685 14,225 2,594 2,590 — 390 Printing fees 17,571 29,928 1,404 10,798 11,572 45,208 4,812 9,590 — — Publishing fees 21,756 19,769 12,839 26,961 7,899 26,842 35,868 13,933 20,310 511 Other expenses 40,569 62,772 21,230 26,153 26,564 72,417 27,740 17,847 91 30,084 1,008,911 2,912,674 160,195 565,249 769,478 3,530,516 573,951 1,054,920 71,706 144,674 Less: Investment Advisor fee waived 5 131,215 99,980 8,284 40,788 48,602 87,908 23,808 185 — — Less: Investment Advisor fixed operating fee waived 5 165,797 370,760 88,009 99,793 1,007 47,289 115,981 — — 9,106 Add: Additional fee to Investment Advisor for fixed operating share classes 5 — — — — — — — 33,500 43,579 — Total expenses 711,899 2,441,934 63,902 424,668 719,869 3,395,319 434,162 1,088,235 115,285 135,568 Withholding tax on dividends and other investment income 90,055 308,483 32,100 261,247 168,198 781,764 151,711 464,341 1,968 18,347 Net income/(expense) for the Period 346,803 930,638 88,054 814,071 1,071,001 3,880,741 205,703 726,684 (24,881) 7,251 Net realised gain/(loss) on investment securities (39,067,510) (101,779,914) (1,735,131) (10,565,429) (29,436,567) (136,392,007) (14,776,679) (28,519,495) (3,469,966) (13,347,389) Net realised gain/(loss) on futures transactions (13,368) 725,923 (67,317) 184,075 (14,321) 270,519 (104,823) — — — Net realised gain/(loss) on foreign currencies and forward currency contracts (10,629,225) (19,334,206) (284,893) (1,701,261) (9,434,360) (57,276,710) (1,526,669) 752,431 (287,770) (33) Net realised gain/(loss) on swap contracts — 1,981,991 — — — — — — — — Net realised gain/(loss) on options contracts — — — — — — — — — 64,349 Net realised gain/(loss) (49,710,103) (118,406,206) (2,087,341) (12,082,615) (38,885,248) (193,398,198) (16,408,171) (27,767,064) (3,757,736) (13,283,073) Net change in unrealised gain/(loss) on investment securities 93,780,997 228,926,519 1,923,102 12,378,052 79,073,978 361,816,279 19,613,309 32,733,175 3,076,360 11,684,844 Net change in unrealised gain/(loss) on covered forward mortgage backed securities — — — — — — — — — — Net change in unrealised gain/(loss) on futures transactions 14,616 70,301 (26,120) (87,130) — 58,788 18,812 — — — Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts (7,479,802) 714,884 866 4,114 6,207 (1,309,998) 11,757 15,039 163,159 (72,580) Net change in unrealised gain/(loss) on swap contracts — 1,725,935 — — — — — — — — Net change in unrealised gain/(loss) on options contracts — — — — — — — — — 21,390 Net change in unrealised gain/(loss) 86,315,811 231,437,639 1,897,848 12,295,036 79,080,185 360,565,069 19,643,878 32,748,214 3,239,519 11,633,654 Net investment income gain/(loss) 36,952,511 113,962,071 (101,439) 1,026,492 41,265,938 171,047,612 3,441,410 5,707,834 (543,098) (1,642,168) (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

278 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Regional Equity Portfolios GMS GMS Alpha+ Alpha+ Japan US Growth US Growth US Premier World Equity World Equity India Equity Japan Small Cap Sustain US Equity Equity Opportunities Equity Portfolio Portfolio II Portfolio Portfolio(a) Portfolio(a) Portfolio(c) Portfolio Portfolio Portfolio(b) Portfolio(b) Notes USD USD USD JPY JPY USD USD USD USD USD Income Dividend Income 3(b) 1,448,960 534,357 28,714 229,883 38,066 230,730 282,308 349,527 34,029 23,665 Interest Income 3(b) 144 25 50 502 133 207 166 37 19 — Net (amortisation)/ Net accretion 3(b) — 9,242 — — — — — — — — Securities lending 5 40,983 29,496 — 2,206 1,612 5,722 — — — — Other income — — — — — 39 — — 47,315 62,299 1,490,087 573,120 28,764 232,591 39,811 236,698 282,474 349,564 81,363 85,964 Expenses Bank and Swap Interest expense 1,268 904 — 1,852 306 1,741 1,282 1,488 702 16 Investment Advisor fee 5 868,470 280,970 72,543 131,275 30,160 51,388 185,379 323,034 59,389 15,520 Performance fees 5—————————— Administration and Custody fees 5 103,666 71,610 158,361 14,688 9,969 42,092 44,648 54,580 48,137 42,101 Distribution and servicing fees 5 — — 37 6,282 3,124 83 44,836 38,398 3,719 1,828 Transfer Agency fees 5 6,780 14,841 29,025 1,696 1,567 6,774 4,924 11,603 2,015 3,740 Taxe d’ abonnement 4 21,821 8,234 2,176 3,575 818 1,793 10,203 10,891 1,152 336 Audit fee 8,532 8,532 17,063 831 831 7,929 8,532 8,532 — — Shareholder Services fees 5 21,780 1,961 469 2,767 955 454 1,411 8,810 833 227 Directors fees 1,863 1,543 3,590 288 156 1,296 1,326 1,565 1,385 1,288 Legal fees 16,670 11,849 7,922 3,332 4,726 7,677 8,359 12,409 4,961 3,627 Insurance fees 3,534 1,907 648 395 413 350 568 2,851 2,212 1,164 Printing fees 12,791 5,367 1,258 1,733 1,599 9,485 1,687 10,485 — — Publishing fees 5,262 9,519 8,642 2,743 2,104 — 24,192 23,315 43,842 44,391 Other expenses 39,199 22,979 34,562 1,739 23,700 51,090 17,847 17,847 83,385 66,385 1,111,636 440,216 336,296 173,196 80,428 182,152 355,194 525,808 251,732 180,623 Less: Investment Advisor fee waived 5 — — 21,159 — 1,271 128,678 19,974 17,266 876 27,423 Less: Investment Advisor fixed operating fee waived 5 110,845 99,422 49,871 1,011 37,465 954 48,696 51,347 123,865 69,979 Add: Additional fee to Investment Advisor for fixed operating share classes 5 — — — 3,862 — — — — — — Total expenses 1,000,791 340,794 265,266 176,047 41,692 52,520 286,524 457,195 126,991 83,221 Withholding tax on dividends and other investment income 191,665 106,678 661 16,092 2,665 48,104 74,713 100,716 10,081 6,411 Net income/(expense) for the Period 297,631 125,648 (237,163) 40,452 (4,546) 136,074 (78,763) (208,347) (55,709) (3,668) Net realised gain/(loss) on investment securities (27,971,359) (13,974,560) (1,544,815) (6,676,136) (1,433,233) (347,656) (3,805,310) (8,118,448) (7,891,163) (1,229,979) Net realised gain/(loss) on futures transactions (6,000) — 447,718 61,999 (114,065) — — — — — Net realised gain/(loss) on foreign currencies and forward currency contracts (2,433,093) (215,635) (1,087,327) (969) (2,678) (253,908) 3,418 112 597 14 Net realised gain/(loss) on swap contracts —————————— Net realised gain/(loss) on options contracts —————————— Net realised gain/(loss) (30,410,452) (14,190,195) (2,184,424) (6,615,106) (1,549,976) (601,564) (3,801,892) (8,118,336) (7,890,566) (1,229,965) Net change in unrealised gain/(loss) on investment securities 65,132,672 17,849,878 9,541,715 7,106,850 1,501,150 2,832,313 10,422,168 16,711,206 7,681,776 1,144,329 Net change in unrealised gain/(loss) on covered forward mortgage backed securities — — — — — — — — — — Net change in unrealised gain/(loss) on futures transactions — — 79,915 — 83,994 — — — — — Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts (12,694,752) (341,192) 8,956 1,495 993 9,204 — 606 (5) (1) Net change in unrealised gain/(loss) on swap contracts —————————— Net change in unrealised gain/(loss) on options contracts — — — — — — — — — — Net change in unrealised gain/(loss) 52,437,920 17,508,686 9,630,586 7,108,345 1,586,137 2,841,517 10,422,168 16,711,812 7,681,771 1,144,328 Net investment income gain/(loss) 22,325,099 3,444,139 7,208,999 533,691 31,615 2,376,027 6,541,513 8,385,129 (264,504) (89,305) (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

279 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Regional Equity Sector Equity Portfolios Regional CORE Equity Portfolios Portfolios Global US Global US Value Europe Global Small Cap Japan UK US Small Cap Financial Global Equity CORESM Equity CORESM Equity CORESM Equity CORESM Equity CORESM Equity CORESM Equity CORESM Equity Services Technology Portfolio Portfolio Portfolio(c) Portfolio(c) Portfolio(a) Portfolio(b) Portfolio(c) Portfolio(c) Portfolio(b) Portfolio(b) Notes USD EUR USD USD JPY GBP USD USD USD CHF Income Dividend Income 3(b) 287,307 15,152,269 9,333,282 914,408 112,020 — 3,684,707 214,377 212,986 162,888 Interest Income 3(b) 80 83,325 44,766 3,644 217 103 24,064 2,469 1,574 5,960 Net (amortisation)/ Net accretion 3(b) —————————— Securities lending 5 — 1,488,389 468,770 19,762 990 — — — 1,047 — Other income —————12,582 — — 51,544 141,321 287,387 16,723,983 9,846,818 937,814 113,227 12,685 3,708,771 216,846 267,151 310,169 Expenses Bank and Swap Interest expense 819 161,857 14,883 1,614 489 2,499 11,936 1,355 2,341 4,856 Investment Advisor fee 5 164,033 2,730,169 1,516,781 330,586 54,531 52 1,568,069 93,953 130,785 290,185 Performance fees 5 —————————— Administration and Custody fees 5 48,570 505,801 326,211 227,172 9,278 8,626 138,837 91,107 52,870 57,386 Distribution and servicing fees 5 5,299 195,915 36,752 58 17,855 11 37,800 68 12,260 2,974 Transfer Agency fees 5 6,367 80,691 16,574 9,749 1,993 — 53,443 9,541 1,724 12,922 Taxe d’ abonnement 4 5,221 96,135 34,485 13,905 2,319 3 60,150 1,431 3,772 6,355 Audit fee 8,532 6,777 8,532 8,532 831 1,692 8,531 8,532 — — Shareholder Services fees 5 1,158 74,963 30,170 2,754 454 1 52,776 1,241 2,558 7,708 Directors fees 1,412 4,342 4,398 1,618 294 2,722 3,175 1,413 — — Legal fees 9,767 59,447 59,085 13,029 — 1,156 22,605 9,771 4,941 4,964 Insurance fees 1,314 11,300 3,649 499 186 — 7,727 374 1,685 — Printing fees 2,746 178,680 80,513 7,366 6,621 — 41,239 2,556 — — Publishing fees 23,374 19,068 58,322 18,199 2,175 3,767 38,564 26,605 32,865 47,912 Other expenses 20,539 112,096 103,139 20,538 29,589 7,454 117,875 36,378 53,532 59,257 299,151 4,237,241 2,293,494 655,619 126,615 27,983 2,162,727 284,325 299,333 494,519 Less: Investment Advisor fee waived 5 22,237 129,009 226,940 10,132 4,178 6,990 74,345 160,687 376 — Less: Investment Advisor fixed operating fee waived 5 60,662 451,559 13,345 244,681 38,208 5,838 131,361 2,047 67,150 619 Add: Additional fee to Investment Advisor for fixed operating share classes 5 —————————19,718 Total expenses 216,252 3,656,673 2,053,209 400,806 84,229 15,155 1,957,021 121,591 231,807 513,618 Withholding tax on dividends and other investment income 74,089 2,512,027 2,034,858 164,349 7,841 — 1,074,946 54,915 29,931 41,132 Net income/(expense) for the Period (2,954) 10,555,283 5,758,751 372,659 21,157 (2,470) 676,804 40,340 5,413 (244,581) Net realised gain/(loss) on investment securities (7,677,737) (164,961,485) (121,355,924) (15,871,766) (2,321,448) 4,915 (85,978,617) (7,357,919) (17,815,381) (14,325,609) Net realised gain/(loss) on futures transactions — (951,285) (84,024) (359,121) (13,152) (2,744) 481,353 26,473 (231) (155) Net realised gain/(loss) on foreign currencies and forward currency contracts 22 (24,125,640) (10,743,568) (2,044,608) (87,659) 5,088 10,921 (3) (1,960,078) (3,176,274) Net realised gain/(loss) on swap contracts —————————— Net realised gain/(loss) on options contracts —————————— Net realised gain/(loss) (7,677,715) (190,038,410) (132,183,516) (18,275,495) (2,422,259) 7,259 (85,486,343) (7,331,449) (19,775,690) (17,502,038) Net change in unrealised gain/(loss) on investment securities 7,822,029 202,803,852 179,296,699 26,286,495 3,443,550 — 82,975,890 9,036,593 17,954,613 12,169,472 Net change in unrealised gain/(loss) on covered forward mortgage backed securities —————————— Net change in unrealised gain/(loss) on futures transactions — (1,169,579) 756,132 424,982 55,064 (7,280) (84,579) (45,490) — — Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts — (61,840) 119,036 17,864 120,424 (1,127) (3,726) — 2,191 8,453,299 Net change in unrealised gain/(loss) on swap contracts —————————— Net change in unrealised gain/(loss) on options contracts —————————— Net change in unrealised gain/(loss) 7,822,029 201,572,433 180,171,867 26,729,341 3,619,038 (8,407) 82,887,585 8,991,103 17,956,804 20,622,771 Net investment income gain/(loss) 141,360 22,089,306 53,747,102 8,826,505 1,217,936 (3,618) (1,921,954) 1,699,994 (1,813,473) 2,876,152 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

280 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Fixed Income Portfolios Global Global Global Emerging Global Global Global Fixed Specialised Sterling Euro Fixed Corporate Credit Markets Debt Emerging Fixed Income Global High Fixed Broad Income Portfolio Portfolio Local Markets Debt Income Portfolio Yield Income Fixed Income Portfolio (Hedged) (Hedged) Portfolio Portfolio Portfolio (Hedged) Portfolio Portfolio Portfolio Notes EUR NOK USD USD USD USD EUR USD EUR GBP Income Dividend Income 3(b) — — — — — — — 233,369 — — Interest Income 3(b) 676,000 234,071,277 4,853,375 18,326,870 22,625,040 4,743,508 2,155,706 84,920,500 558,939 9,031,662 Net (amortisation)/ Net accretion 3(b) (29,157) 5,526,807 477,345 (59,517) 3,369,525 24,096 31,381 8,088,335 116,085 (54,464) Securities lending 5—————————— Other income —————————— 646,843 239,598,084 5,330,720 18,267,353 25,994,565 4,767,604 2,187,087 93,242,204 675,024 8,977,198 Expenses Bank and Swap Interest expense 83,663 35,235,651 128,186 596,806 4,147,843 702,943 377,264 293,870 432,324 1,446,826 Investment Advisor fee 5 113,341 9,027,269 471,180 2,581,591 2,017,521 576,517 105,449 6,077,137 178,210 602,131 Performance fees 5—————————— Administration and Custody fees 5 52,737 1,939,615 100,397 323,372 242,538 155,327 71,841 382,482 60,212 114,699 Distribution and servicing fees 5 10,943 — 675 5,271 98,722 25,615 193 111,452 — — Transfer Agency fees 5 9,406 7,284 4,569 11,403 23,854 12,300 5,119 51,297 2,441 2,407 Taxe d’ abonnement 4 4,799 367,388 34,046 33,931 43,872 16,788 4,871 229,615 21,999 14,884 Audit fee 6,776 61,375 8,532 8,532 8,532 8,532 6,777 8,532 6,777 6,025 Shareholder Services fees 5 12,435 164,284 9,385 29,632 34,749 12,320 14,347 314,633 4,455 13,468 Directors fees 1,168 54,540 1,646 4,855 4,392 2,446 1,576 10,289 1,608 2,470 Legal fees 7,657 632,210 13,673 67,479 59,412 27,013 15,136 161,389 15,582 31,669 Insurance fees 1,184 24,755 174 2,475 8,988 2,467 516 16,972 575 1,115 Printing fees 2,479 72,867 580 89,747 54,817 13,318 3,758 129,309 6,450 29,665 Publishing fees 17,486 — 25,004 9,131 27,793 23,553 16,534 36,152 1,268 9,622 Other expenses 30,604 391,716 20,591 38,733 26,729 31,993 24,779 26,729 18,078 40,933 354,678 47,978,954 818,638 3,802,958 6,799,762 1,611,132 648,160 7,849,858 749,979 2,315,914 Less: Investment Advisor fee waived 5 21,422 172,438 31,783 40,874 — 68,945 59,964 — 50,324 54,755 Less: Investment Advisor fixed operating fee waived 5 94,776 — 269 54 15,011 17,884 12,468 — — 295 Add: Additional fee to Investment Advisor for fixed operating share classes 5 — — 77 627 6,753 — — 222,443 — 77 Total expenses 238,480 47,806,516 786,663 3,762,657 6,791,504 1,524,303 575,728 8,072,301 699,655 2,260,941 Withholding tax on dividends and other investment income (3,610) 305,795 95,448 152,818 45,797 26,329 10,241 337,143 — (10,765) Net income/(expense) for the Period 411,973 191,485,773 4,448,609 14,351,878 19,157,264 3,216,972 1,601,118 84,832,760 (24,631) 6,727,022 Net realised gain/(loss) on investment securities (2,532,328) 10,459,676 (818,070) 1,197,049 (46,921,146) 250,933 556,965 (121,728,593) 936,929 (2,801,065) Net realised gain/(loss) on futures transactions 671,183 22,715,061 (93,327) — 639 2,039,434 680,416 — 5,270,693 1,894,409 Net realised gain/(loss) on foreign currencies and forward currency contracts (13,292) 463,541,649 4,501,791 (18,091,711) 16,385,274 (1,434,792) 3,337,146 3,738,648 3,209,298 4,707,806 Net realised gain/(loss) on swap contracts 148,225 (27,567,387) 402,553 (6,999,039) 1,751,001 1,356,762 136,463 — (956,538) (998,713) Net realised gain/(loss) on options contracts —————————— Net realised gain/(loss) (1,726,212) 469,148,999 3,992,947 (23,893,701) (28,784,232) 2,212,337 4,710,990 (117,989,945) 8,460,382 2,802,437 Net change in unrealised gain/(loss) on investment securities 1,285,717 (59,009,473) 19,145,447 81,323,320 218,340,074 83,216,482 (3,876,514) 500,347,198 (6,255,084) (6,120,931) Net change in unrealised gain/(loss) on covered forward mortgage backed securities — — — — — — — — — — Net change in unrealised gain/(loss) on futures transactions (418,037) (3,646,503) (18,953) — — (548,361) (55,974) — (4,700,139) (601,908) Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts 97,861 217,489,149 2,838,259 31,833,205 (70,142,968) (70,884,240) 1,156,830 (3,098,203) 3,024,047 (613,923) Net change in unrealised gain/(loss) on swap contracts (145,550) (60,371,254) (1,040,942) 4,976,913 333,387 20,183 (169,158) — 1,071,095 (382,366) Net change in unrealised gain/(loss) on options contracts — — — — — — — — — — Net change in unrealised gain/(loss) 819,991 94,461,919 20,923,811 118,133,438 148,530,493 11,804,064 (2,944,816) 497,248,995 (6,860,081) (7,719,128) Net investment income gain/(loss) (494,248) 755,096,691 29,365,367 108,591,615 138,903,525 17,233,373 3,367,292 464,091,810 1,575,670 1,810,331 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

281 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Fixed Income Portfolios Specialist Portfolios Global US Mortgage Commodities Fixed Sterling US Fixed Backed Enhanced Euro Fixed Europe Global Global Income Plus Global Libor Credit Income Securities Index Income Plus CORESM Flex Currency Currency Portfolio Plus I Portfolio(b) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Plus Portfolio (Hedged) Portfolio Notes GBP USD USD USD EUR EUR USD USD EUR USD Income Dividend Income 3(b) — — — — — 2,795,801 29 — 2 — Interest Income 3(b) 1,663,399 8,316,207 22,149,282 300,265 469,563 78,811 88,665 144,092 3,728,764 12,344,637 Net (amortisation)/ Net accretion 3(b) 269,290 77,679 1,003,643 (12,243) 582 — 50,776 75,104 11,641 315,952 Securities lending 5 — — — — — 214,081 — — — — Other income —— — — — —— — — — 1,932,689 8,393,886 23,152,925 288,022 470,145 3,088,693 139,470 219,196 3,740,407 12,660,589 Expenses Bank and Swap Interest expense 120,828 1,340,073 167,968 35,804 115,055 13,868 11,402 474 1,077,080 3,289,197 Investment Advisor fee 5 109,313 1,023,000 1,020,979 32,602 41,496 753,766 237,919 20,681 462,099 196,392 Performance fees 5 — — — — — — — 9,118 — — Administration and Custody fees 5 36,251 158,007 350,520 66,483 57,885 80,915 344,689 45,667 115,402 219,526 Distribution and servicing fees 5 — 63,274 4,603 459 725 12,576 12,106 — 3,254 394 Transfer Agency fees 5 2,447 17,393 8,704 9,596 4,276 12,738 23,645 10,968 10,461 18,506 Taxe d’ abonnement 4 19,336 44,034 44,083 3,285 2,564 21,323 2,799 4,072 22,605 35,673 Audit fee 6,075 8,532 8,531 8,531 6,776 6,777 8,876 8,532 6,777 8,532 Shareholder Services fees 5 2,536 43,538 21,086 1,033 764 4,368 2,286 3,312 6,086 22,358 Directors fees 580 2,830 6,981 1,375 1,098 2,961 1,570 1,520 1,948 4,595 Legal fees 15,015 33,374 103,205 13,784 7,330 15,640 11,115 12,218 20,914 59,917 Insurance fees 874 3,692 3,316 1,161 318 959 1,954 1,250 2,084 2,886 Printing fees 3,398 19,030 202,795 3,216 1,378 8,133 2,470 563 13,616 76,965 Publishing fees 1,177 25,774 20,628 16,145 17,293 21,634 22,165 1,944 16,568 14,675 Other expenses 35,974 42,904 92,581 12,447 18,226 23,818 76,706 15,666 31,781 45,896 353,804 2,825,455 2,055,980 205,921 275,184 979,476 759,702 135,985 1,790,675 3,995,512 Less: Investment Advisor fee waived 5 67,189 24,086 284,034 77,369 65,834 8,732 250,097 2 87,656 159,646 Less: Investment Advisor fixed operating fee waived 5 10 87,737 4,725 36,039 34,164 81,709 196,406 — 15,345 1,802 Add: Additional fee to Investment Advisor for fixed operating share classes 5 — 152 — — — — — 63 — 1,911 Total expenses 286,605 2,713,784 1,767,221 92,513 175,186 889,035 313,199 136,046 1,687,674 3,835,975 Withholding tax on dividends and other investment income 12,146 29,350 — — 1,827 564,896 9 554 34,785 54,805 Net income/(expense) for the Period 1,633,938 5,650,752 21,385,704 195,509 293,132 1,634,762 (173,738) 82,596 2,017,948 8,769,809 Net realised gain/(loss) on investment securities 19,860 (9,641,437) (1,094,950) 23,408,423 241,911 (14,600,139) (2,133,857) 15,503 1,945,607 (12,032,487) Net realised gain/(loss) on futures transactions 415,659 (377,215) 1,583,403 (224,947) 200,548 (3,748,930) — — 1,497,913 (910,890) Net realised gain/(loss) on foreign currencies and forward currency contracts 832,804 (714,167) 2,782,411 626,872 (218,122) (2,911,621) 1,667,644 6,076,358 4,963,155 26,197,672 Net realised gain/(loss) on swap contracts (428,184) 3,224,262 9,624,602 (29,273,385) (215,036) — — — (964,542) (8,216,826) Net realised gain/(loss) on options contracts — — — — — — (17,064) (49,157) — — Net realised gain/(loss) 840,139 (7,508,557) 12,895,466 (5,463,037) 9,301 (21,260,690) (483,277) 6,042,704 7,442,133 5,037,469 Net change in unrealised gain/(loss) on investment securities (1,397,572) 17,230,635 16,209,976 2,642,418 (168,124) 15,760,249 668,426 43,714 (12,457,844) 30,685,731 Net change in unrealised gain/(loss) on covered forward mortgage backed securities — (139,468) 1,174,896 — — — — — 2,003 53,438 Net change in unrealised gain/(loss) on futures transactions 48,673 (232,183) (1,290,421) (778) 102,146 1,922,161 — — (339,634) (1,346,337) Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts 124,501 618,283 1,821,189 117,288 197,599 351,750 (759,621) (227,922) 3,713,783 5,649,219 Net change in unrealised gain/(loss) on swap contracts 75,606 1,936,997 9,577,075 4,312,951 176,386 80,382 — — 681,213 6,005,412 Net change in unrealised gain/(loss) on options contracts — — — — — — 40,036 269,820 — — Net change in unrealised gain/(loss) (1,148,792) 19,414,264 27,492,715 7,071,879 308,007 18,114,542 (51,159) 85,612 (8,400,479) 41,047,463 Net investment income gain/(loss) 1,325,285 17,556,459 61,773,885 1,804,351 610,440 (1,511,386) (708,174) 6,210,912 1,059,602 54,854,741 (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

282 Goldman Sachs Funds Statement of Operations For the Period Ended 31 May 2009

Specialist Portfolios Global Japan Sterling Combined Total Combined Total Global Libor Property CORESM Broad US CORESM Period Ended Period Ended Plus II Securities Flex Fixed Income Plus Flex 31 May 31 May Portfolio Portfolio(b) Portfolio(a) Portfolio Portfolio(c) 2009 2008 Notes USD USD JPY GBP USD USD USD Income Dividend Income 3(b) — 341,904 148,980 — 148,233 67,495,377 180,919,415 Interest Income 3(b) 7,618,202 44 177 12,245,757 — 265,047,383 335,468,439 Net (amortisation)/ Net accretion 3(b) 249,362 — — (39,852) — 14,948,303 6,043,129 Securities lending 5 — 3,788 1,988 — — 3,285,793 11,539,243 Other income — 88,131 — — 28,136 537,905 642,280 7,867,564 433,867 151,145 12,205,905 176,369 351,314,761 534,612,506 Expenses Bank and Swap Interest expense 2,888,342 338 600 2,366,112 222 27,679,479 8,554,286 Investment Advisor fee 5 293,051 60,486 31,401 843,296 68,973 39,433,094 94,033,115 Performance fees 5 — — — — — 9,118 624,745 Administration and Custody fees 5 178,445 59,053 12,545 122,395 48,671 8,820,715 10,620,217 Distribution and servicing fees 5 5,060 11,447 3,543 94 550 1,666,109 8,683,404 Transfer Agency fees 5 18,363 1,883 1,506 3,747 11,346 847,041 638,122 Taxe d’ abonnement 4 20,862 1,322 767 17,601 2,893 1,311,643 3,033,734 Audit fee 8,532 — 831 6,025 8,532 426,975 474,269 Shareholder Services fees 5 11,788 505 682 17,710 574 1,021,170 2,224,759 Directors fees 2,887 1,536 232 2,641 1,328 146,902 (252,188) Legal fees 33,680 4,630 17,357 33,615 8,193 1,651,832 1,309,278 Insurance fees 2,080 742 117 977 455 161,239 515,824 Printing fees 34,267 — 2,814 6,568 1,155 1,426,023 2,175,224 Publishing fees 15,356 79,572 3,207 13,358 27,793 1,245,185 1,167,855 Other expenses 25,000 45,225 30,935 36,155 — 3,065,032 2,294,556 3,537,713 266,739 106,537 3,470,294 180,685 88,911,557 136,097,200 Less: Investment Advisor fee waived 5 132,983 59,952 54,973 17,855 58,009 3,792,998 3,063,915 Less: Investment Advisor fixed operating fee waived 5 16,954 28,980 524 — 10,718 4,187,390 — Add: Additional fee to Investment Advisor for fixed operating share classes 5 — — — 279 259 382,041 — Total expenses 3,387,776 177,807 51,040 3,452,718 112,217 81,313,210 133,033,285 Withholding tax on dividends and other investment income 18,429 58,108 10,429 (4,841) 43,347 11,802,698 29,868,449 Net income/(expense) for the Period 4,461,359 197,952 89,676 8,758,028 20,805 258,198,853 371,710,772 Net realised gain/(loss) on investment securities 5,686,461 (14,338,966) (5,092,284) 5,963,258 (2,457,417) (1,292,119,194) (622,919,766) Net realised gain/(loss) on futures transactions 5,423,722 — (238,116) 4,214,265 (53,366) 23,400,572 43,768,800 Net realised gain/(loss) on foreign currencies and forward currency contracts 5,327,876 (959,036) (4,206) 347,893 100 (20,791,778) 6,219,970 Net realised gain/(loss) on swap contracts (12,794,361) — — 1,047,306 — (46,008,988) 4,247,081 Net realised gain/(loss) on options contracts — — — — — (1,872) (175,337) Net realised gain/(loss) 3,643,698 (15,298,002) (5,334,606) 11,572,722 (2,510,683) (1,335,521,260) (568,859,252) Net change in unrealised gain/(loss) on investment securities 8,913,622 13,836,950 6,244,295 (7,288,506) 2,531,647 2,734,767,898 (678,447,360) Net change in unrealised gain/(loss) on covered forward mortgage backed securities 25,313 — — — — 1,116,829 — Net change in unrealised gain/(loss) on futures transactions (23,622) — 332,322 (64,297) 70,627 (4,881,662) 3,611,591 Net change in unrealised gain/(loss) on foreign currencies and forward currency contracts 6,901,636 (1,671) 1 2,255,239 — (61,561,422) (101,935,522) Net change in unrealised gain/(loss) on swap contracts 9,495,399 — (357,337) (1,995,489) (50,348) 23,490,865 (44,282,291) Net change in unrealised gain/(loss) on options contracts — — — — — 331,246 187,794 Net change in unrealised gain/(loss) 25,312,348 13,835,279 6,219,281 (7,093,053) 2,551,926 2,693,263,754 (820,865,788) Net investment income gain/(loss) 33,417,405 (1,264,771) 974,351 13,237,697 62,048 1,615,941,347 (1,018,014,268) (a) Expressed in ’000 (b) Refer to Appendix II. (c) Refer to Note 3(j). Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations

The accompanying notes are an integral part of these financial statements.

283 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Regional Equity Portfolios Global Emerging Global Markets Emerging Europe Concentrated Markets Global Asia BRICsSM Equity Target Europe Equity Equity Global Equity Partners Portfolio Portfolio Alpha Portfolio Portfolio Portfolio Portfolio Equity Portfolio Portfolio Notes USD USD EUR EUR USD USD USD USD

Shareholders’ equity at the start of the Period 74,149,323 191,669,293 6,850,758 54,434,303 103,996,832 446,021,807 47,454,615 102,722,728 Reinvestment from distributions 1,321,537 440,925 134,251 795,807 1,597,392 5,794,542 249,291 2,275 Proceeds from shares issued 21,745,743 75,623,376 225,193 9,269,434 1,068,712 85,192,895 1,322,585 80,546,586 Payment for shares redeemed (29,447,748) (33,762,014) (1,209,452) (12,665,787) (31,800,000) (215,776,727) (3,652,796) (24,570,443) Net investment income gain/(loss) for the Period 36,952,511 113,962,071 (101,439) 1,026,492 41,265,938 171,047,612 3,441,410 5,707,834 Distributions 8 (1,557,092) (537,737) (145,349) (1,151,994) (1,875,103) (6,642,444) (276,840) (12,545) Currency adjustments 16 — — — — — — — — Shareholders’ equity at 31 May 2009 103,164,274 347,395,914 5,753,962 51,708,255 114,253,771 485,637,685 48,538,265 164,396,435 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

284 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Regional Equity Portfolios GMS Alpha+ GMS Alpha+ GMS Alpha+ Japan Europe Equity GMS Alpha+ US World Equity World Equity India Equity Japan Small Cap Sustain Portfolio(b) Equity Portfolio(b) Portfolio Portfolio II Portfolio Portfolio(a) Portfolio(a) Portfolio(c) Notes EUR USD USD USD USD JPY JPY USD

Shareholders’ equity at the start of the Period 8,119,098 22,390,200 94,814,774 52,015,485 8,133,813 26,616,387 6,003,935 7,143,196 Reinvestment from distributions 7,068 — — 315,782 — 26,899 3,370 37 Proceeds from shares issued 375,099 999,999 2,786,380 164,173 179,277 10,203,563 130,381 15,451,586 Payment for shares redeemed (7,929,827) (21,748,031) (33,904,313) (31,865,755) (402,327) (18,553,079) (2,663,845) (5,265,958) Net investment income gain/(loss) for the Period (543,098) (1,642,168) 22,325,099 3,444,139 7,208,999 533,691 31,615 2,376,027 Distributions 8 (28,340) — — (421,380) — (44,099) (4,299) (39) Currency adjustments 16— ——————— Shareholders’ equity at 31 May 2009 — — 86,021,940 23,652,444 15,119,762 18,783,362 3,501,157 19,704,849 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

285 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Regional Equity Portfolios Regional CORE Equity Portfolios US Growth Europe CORESM Global CORESM Global Small Cap US US Growth Opportunities US Premier US Value Equity Equity CORESM Equity Equity Portfolio Equity Portfolio Portfolio(b) Equity Portfolio(b) Equity Portfolio Portfolio Portfolio(c) Portfolio(c) Notes USD USD USD USD USD EUR USD USD

Shareholders’ equity at the start of the Period 18,313,744 49,145,261 12,570,982 3,203,025 26,722,818 565,805,624 547,585,197 54,849,579 Reinvestment from distributions — — — 22 3,067 5,865,203 1,416,294 584,400 Proceeds from shares issued 81,454,697 18,220,570 1,735,836 2 4,148,529 172,276,024 165,505,309 2,557,135 Payment for shares redeemed (8,324,046) (16,256,692) (14,042,314) (3,111,315) (6,985,101) (203,539,359) (156,571,093) (3,153,720) Net investment income gain/(loss) for the Period 6,541,513 8,385,129 (264,504) (89,305) 141,360 22,089,306 53,747,102 8,826,505 Distributions 8 — — — (2,429) (3,714) (15,366,531) (3,179,142) (585,142) Currency adjustments 16 — — — — — — — — Shareholders’ equity at 31 May 2009 97,985,908 59,494,268 — — 24,026,959 547,130,267 608,503,667 63,078,757 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

286 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Regional CORE Equity Portfolios Sector Equity Portfolios Fixed Income Portfolios US Global Euro Global Japan UK US Small Cap Financial Global Fixed Corporate CORESM Equity CORESM Equity CORESM Equity CORESM Equity Services Technology Income Portfolio Portfolio(a) Portfolio(b) Portfolio(c) Portfolio(c) Portfolio(b) Portfolio(b) Portfolio (Hedged) Notes JPY GBP USD USD USD CHF EUR NOK

Shareholders’ equity at the start of the Period 8,368,990 97,891 310,299,379 24,265,190 29,179,650 51,818,716 30,193,214 6,866,864,907 Reinvestment from distributions 172 — 265,980 10 48,298 — 698,598 — Proceeds from shares issued 1,604,163 — 48,412,644 4,078,534 2,595,153 6,315,925 6,113,205 2,632,287 Payment for shares redeemed (555,096) (94,273) (83,589,844) (961,132) (29,824,865) (61,010,793) (11,306,346) — Net investment income gain/(loss) for the Period 1,217,936 (3,618) (1,921,954) 1,699,994 (1,813,473) 2,876,152 (494,248) 755,096,691 Distributions 8 (3,499) — (1,836,342) (38,571) (184,763) — (1,141,735) — Currency adjustments 16———————— Shareholders’ equity at 31 May 2009 10,632,666 — 271,629,863 29,044,025 — — 24,062,688 7,624,593,885 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

287 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Fixed Income Portfolios Global Global Global Global Credit Emerging Emerging Global Fixed Income Global Sterling Broad Portfolio Markets Debt Markets Debt Fixed Income Portfolio High Yield Specialised Fixed Fixed Income (Hedged) Local Portfolio Portfolio Portfolio (Hedged) Portfolio Income Portfolio Portfolio Notes USD USD USD USD EUR USD EUR GBP

Shareholders’ equity at the start of the Period 27,430,488 555,826,150 470,826,482 197,524,104 87,824,025 1,463,124,663 93,090,540 247,568,377 Reinvestment from distributions 5,670 31,345,344 14,631,865 6,050,407 37,244 113,719,662 13,398 13,612,958 Proceeds from shares issued 278,971,835 343,880,758 20,663,492 58,772,307 5,213,735 823,483,980 13,529,695 78,969,246 Payment for shares redeemed (21,639,684) (185,426,389) (127,402,485) (28,701,720) (1,456,264) (695,250,913) (20,356,201) (19,358,362) Net investment income gain/(loss) for the Period 29,365,367 108,591,615 138,903,525 17,233,373 3,367,292 464,091,810 1,575,670 1,810,331 Distributions 8 (11,372) (37,466,483) (27,339,528) (6,384,447) (49,627) (174,515,557) (48,088) (13,670,656) Currency adjustments 16— ———— — — — Shareholders’ equity at 31 May 2009 314,122,304 816,750,995 490,283,351 244,494,024 94,936,405 1,994,653,645 87,805,014 308,931,894 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

288 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Fixed Income Portfolios Specialist Portfolios US US Mortgage Fixed Backed Commodities Euro Fixed Europe Sterling Credit Income Securities Enhanced Index Income Plus CORESM Global Currency Global Currency Portfolio(b) Portfolio Portfolio Portfolio Portfolio Flex Portfolio Portfolio Plus Portfolio Notes GBP USD USD USD EUR EUR USD USD

Shareholders’ equity at the start of the Period — 264,388,120 919,293,108 20,701,808 15,512,302 88,507,353 113,694,004 44,432,413 Reinvestment from distributions — 4,987,683 54,843,588 93,194 5,291 29,930 2,195,284 — Proceeds from shares issued 79,050,138 19,024,089 160,655,474 9,065,656 307,808 45,213,042 5,632,741 30,791,971 Payment for shares redeemed (2,058,966) (54,972,092) (465,633,263) (9,767,885) (1,271,912) (33,802,654) (82,885,253) (85,962) Net investment income gain/(loss) for the Period 1,325,285 17,556,459 61,773,885 1,804,351 610,440 (1,511,386) (708,174) 6,210,912 Distributions 8 (794,305) (17,345,438) (69,455,219) (119,721) (29,552) (124,191) (3,027,371) — Currency adjustments 16 — — — — — — — — Shareholders’ equity at 31 May 2009 77,522,152 233,638,821 661,477,573 21,777,403 15,134,377 98,312,094 34,901,231 81,349,334 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

289 Goldman Sachs Funds Statement of Changes in Shareholders’ Equity For the Period Ended 31 May 2009

Specialist Portfolios Global Fixed Combined Total Combined Total Income Global Property Sterling Broad Period Ended Period Ended Plus Portfolio Global Libor Global Libor Securities Japan CORESM Fixed Income US CORESM 31 May 30 November (Hedged) Plus I Portfolio Plus II Portfolio Portfolio(b) Flex Portfolio(a) Plus Portfolio Flex Portfolio(c) 2009 2008 Notes EUR USD USD USD JPY GBP USD USD USD

Shareholders’ equity at the start of the Period 146,093,703 533,287,669 262,239,828 15,398,983 15,954,385 354,424,784 12,043,192 11,070,012,292 23,559,129,354 Reinvestment from distributions 1,814,792 1,947,384 576,246 — 212,051 24,723 1,190 277,424,753 297,634,237 Proceeds from shares issued 57,565,704 83,309,014 10,933,287 56,870 12,171 6,873,645 316,085 3,243,428,653 12,736,535,453 Payment for shares redeemed (68,922,636) (182,549,146) (62,778,771) (14,152,215) (3,388,473) (55,480,729) (208,352) (3,598,124,772) (17,693,773,368) Net investment income gain/(loss) for the Period 1,059,602 54,854,741 33,417,405 (1,264,771) 974,351 13,237,697 62,048 1,615,941,347 (6,623,556,565) Distributions 8 (2,339,025) (2,898,074) (1,223,803) (38,867) (212,051) (44,428) (1,190) (408,053,979) (495,862,307) Currency adjustments 16 — — — — — — — 329,266,523 (710,094,512) Shareholders’ equity at 31 May 2009 135,272,140 487,951,588 243,164,192 — 13,552,434 319,035,692 12,212,973 12,529,894,817 11,070,012,292 (a) Expressed in ’000. (b) Refer to Appendix II. (c) Refer to Note 3(j).

The accompanying notes are an integral part of these financial statements.

290 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Regional Equity Portfolios Asia Portfolio Base Currency Share Class USD 2,086,724 13.36 9.28 25.11 27,879,183 26,091,956 270,134,284 14.09 Base Accumulation Share Class USD 128,734 10.25 6.93 18.69 1,319,543 2,260,503 10,897,510 10.81 “A” Share Class USD 922,679 16.69 11.39 30.85 15,399,583 11,289,485 45,221,122 17.36 “B” Share Class USD 80,763 15.66 10.67 29.20 1,264,507 741,335 4,451,082 15.66 “I” Share Class USD 2,404,602 19.10 13.32 36.82 45,922,642 24,728,732 4,381,324 19.10 “I” Accumulation Share Class USD 4,095 5.18 3.49 9.34 21,220 18,147 9,340 5.18 “E” Accumulation Share Class EUR 370,540 11.32 8.57 20.09 4,192,916 4,095,493 30,466,099 11.77 “P” Share Class USD 288,992 8.22 5.57 — 2,374,899 1,996,034 — 8.67 “P” Accumulation Share Class USD 369,546 8.25 5.57 — 3,047,831 1,826,360 — 8.70 BRICsSM Portfolio Base Currency Share Class USD 1,314,545 12.11 7.70 21.17 15,919,048 10,295,519 46,517,964 12.78 Base Accumulation Share Class USD 3,705,098 12.12 7.70 21.19 44,895,509 33,918,270 141,293,815 12.79 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 1,334,048 10.11 6.48 19.03 13,482,606 8,707,354 22,636,255 10.67 “A” Share Class USD 1,937,656 11.92 7.59 20.99 23,091,134 13,111,396 32,463,534 12.40 “I” Accumulation Share Class USD 2,354,869 7.04 4.46 12.20 16,573,015 7,347,810 32,439,920 7.04 “IO” Accumulation Share Class USD 207,616 5.86 3.69 10.00 1,217,621 952,417 10,000 5.86 “IO” Accumulation Share Class GBP 10,592 9.36 6.19 — 99,139 6,190 — 9.36 “E” Accumulation Share Class EUR 11,770,266 10.14 7.21 17.26 119,350,314 64,122,385 183,171,710 10.55 “IX” Share Class USD 6,568,547 6.41 4.13 — 42,079,547 24,853,193 — 6.41 “P” Share Class USD 665,678 8.32 5.28 — 5,539,619 3,233,060 — 8.78 “P” Accumulation Share Class USD 1,197,962 8.32 5.28 — 9,966,916 5,480,029 — 8.78 Europe Equity Target Alpha Portfolio Base Currency Share Class EUR 504,748 9.26 9.53 17.63 4,673,446 5,681,709 39,235,697 9.77 Base Accumulation Share Class EUR 45,909 7.24 7.25 13.21 332,290 589,281 38,509,562 7.64 “I” Share Class EUR 1,026 5.07 5.19 9.39 5,205 5,189 9,392 5.07 “I” Accumulation Share Class EUR 1,000 5.21 5.19 9.39 5,206 5,190 9,392 5.21 “E” Accumulation Share Class EUR 33,226 6.02 6.05 11.08 200,122 253,818 919,764 6.26 “P” Share Class EUR 1,001 7.59 7.60 — 7,598 7,595 — 8.01 “P” Accumulation Share Class EUR 69,828 7.59 7.59 — 530,095 307,976 — 8.01 Europe Portfolio Base Currency Share Class EUR 351,207 74.94 75.56 135.72 26,318,564 29,661,956 79,944,965 79.06 Base Accumulation Share Class EUR 72,108 7.51 7.37 13.13 541,411 1,700,271 2,966,142 7.92 Other Currency Share Class USD 338,219 9.96 9.10 18.95 3,369,532 3,727,679 13,087,070 10.51 “A” Share Class EUR 689,564 5.90 6.18 11.09 4,069,134 4,113,323 8,839,272 6.14 “A” Share Class USD 46,857 9.95 8.98 18.65 466,454 415,881 3,095,952 10.35 “B” Share Class USD 3,949 10.00 8.82 18.41 39,470 87,507 267,004 10.00 “I” Share Class EUR 386 7.25 7.33 13.19 2,800 1,222,707 18,123,728 7.25 “I” Accumulation Share Class EUR 1,729,708 5.42 5.29 9.36 9,373,768 7,453,284 24,362,966 5.42 “E” Accumulation Share Class EUR 196,849 7.51 7.39 13.22 1,477,455 1,561,607 17,946,719 7.81 “IO” Accumulation Share Class EUR 318,572 8.17 7.95 — 2,603,272 2,507,761 — 8.17 “P” Share Class EUR 148,886 7.71 7.57 — 1,147,553 971,385 — 8.13 “P” Accumulation Share Class EUR 444,602 7.73 7.57 — 3,436,326 1,907,568 — 8.16 Global Emerging Markets Concentrated Equity Portfolio Base Currency Share Class USD 389,640 6.91 4.63 11.19 2,692,976 1,203,756 72,268 7.29 Base Accumulation Share Class USD 5,523 6.92 4.63 11.20 38,203 25,593 61,860 7.30 “A” Share Class USD 1,000 6.79 4.56 11.08 6,791 4,560 11,084 7.06 “E” Accumulation Share Class EUR 1,000 6.48 4.85 10.19 6,475 4,855 10,188 6.74 “I” Share Class USD 1,000 6.95 4.63 11.13 6,951 4,633 11,133 6.95 “I” Accumulation Share Class USD 1,000 6.95 4.63 11.13 6,947 4,635 11,133 6.95 “IO” Accumulation Share Class USD 187,738 6.62 4.39 10.45 1,242,483 1,132,265 214,191 6.62 “IX” Share Class USD 16,076,777 6.86 4.67 11.55 110,233,448 101,603,986 260,244,929 6.86 “P” Share Class USD 1,002 8.39 5.62 — 8,403 5,622 — 8.85 “P” Accumulation Share Class USD 1,000 8.40 5.62 — 8,403 5,622 — 8.86 Global Emerging Markets Equity Portfolio Base Currency Share Class USD 2,426,138 21.61 14.75 35.47 52,440,467 41,370,374 197,163,770 22.80 Base Accumulation Share Class USD 2,711,209 11.44 7.67 18.40 31,020,135 8,548,352 32,696,181 12.07 “A” Share Class USD 1,020,613 23.01 15.55 37.44 23,485,512 17,590,727 74,621,485 23.93 “B” Share Class USD 26,223 21.36 14.42 35.07 560,001 424,501 1,720,659 21.36 “I” Share Class USD 6,040,378 25.64 17.56 42.11 154,845,230 111,427,186 208,270,508 25.64 “I” Accumulation Share Class USD 4,372,476 9.79 6.54 15.59 42,818,811 42,964,651 94,904,749 9.79 “E” Accumulation Share Class EUR 1,915,955 16.36 12.30 25.60 31,340,862 82,592,329 181,209,427 17.01 “IO” Share Class USD 1,311,048 10.65 7.44 17.68 13,958,947 14,648,205 83,718,047 10.65 “IX” Share Class USD 14,757,575 6.48 4.46 11.05 95,576,384 88,431,605 100,410,084 6.48 “IO” Accumulation Share Class USD 746,298 6.37 4.24 10.00 4,755,287 2,966,486 10,000 6.37 “IO” Accumulation Share Class GBP 17,019 9.62 6.73 — 163,776 6,726 — 9.62 “P” Share Class USD 1,314,288 8.56 5.74 — 11,253,151 7,383,326 — 9.03 “P” Accumulation Share Class USD 1,202,455 8.56 5.74 — 10,298,242 5,454,645 — 9.03

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

291 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Global Equity Portfolio Base Currency Share Class USD 2,105,562 17.99 16.80 31.06 37,872,862 37,126,838 118,000,178 18.98 Base Accumulation Share Class USD 11,963 7.89 7.32 13.36 94,438 87,545 373,908 8.32 “A” Share Class USD 157,903 7.99 7.42 13.63 1,261,512 1,440,855 4,891,299 8.31 “B” Share Class USD 24,457 7.36 6.87 12.73 179,899 168,021 1,596,113 7.36 “I” Accumulation Share Class USD 1,000 5.79 5.34 9.70 5,787 5,344 9,698 5.79 “E” Accumulation Share Class EUR 36,840 5.36 5.56 8.83 197,418 199,625 322,545 5.57 “D” Share Class USD 1,096,090 8.02 7.44 13.94 8,796,021 8,336,761 20,224,851 8.34 “P” Share Class USD 1,001 7.45 6.91 — 7,461 6,907 — 7.86 “P” Accumulation Share Class USD 5,473 7.46 6.91 — 40,847 29,040 — 7.29 Global Equity Partners Portfolio Base Currency Share Class USD 4,519,123 6.58 6.51 9.73 29,750,399 1,297,589 1,371,514 6.94 Base Accumulation Share Class USD 4,817,599 8.01 7.93 11.85 38,611,909 35,968,673 115,177,816 8.45 Other Currency Share Class GBP 2,073,243 8.84 9.19 10.29 18,333,558 11,545,210 17,530,848 9.33 Other Currency Accumulation Share Class GBP 840,072 8.83 9.18 10.25 7,416,480 6,275,389 21,097,315 9.32 “A” Share Class(a) USD 725,320 10.70 — — 7,759,950 — — 11.13 “A” Accumulation Share Class(a) USD 196,301 10.70 — — 2,100,158 — — 11.13 “I” Accumulation Share Class(a) USD 17,277 10.71 — — 185,090 — — 10.71 Other Currency Accumulation Share Class EUR 4,035,179 6.73 7.42 9.60 27,137,684 30,035,170 40,703,826 7.00 “E” Accumulation Share Class(a) EUR 104,570 9.86 — — 1,030,999 — — 10.25 “P” Share Class(a) USD 413,694 10.71 — — 4,429,660 — — 11.30 “P” Accumulation Share Class(a) USD 15,375 10.71 — — 164,681 — — 11.30 GMS Alpha+ Europe Equity Portfolio Base Currency Share Class(a) EUR — — 5.30 8.97 — 4,242,730 1,681,668 — Base Accumulation Share Class(a) EUR — — 5.30 8.96 — 3,876,368 16,000,039 — GMS Alpha+ US Equity Portfolio Base Currency Share Class(a) USD — — 6.50 10.40 — 21,394,651 39,008,508 — Base Accumulation Share Class(a) USD — — 6.29 10.05 — 995,549 10,055 — GMS Alpha+ World Equity Portfolio Base Currency Share Class USD 10,025,544 8.58 6.61 14.22 86,022,000 94,814,830 439,919,794 9.05 GMS Alpha+ World Equity Portfolio II Base Currency Share Class USD 2,875,783 8.14 7.32 11.73 23,399,369 51,789,805 170,111,875 8.59 Base Accumulation Share Class USD 36,320 6.97 6.21 9.94 253,076 225,680 9,942 7.35 India Equity Portfolio Base Currency Share Class USD 539,423 7.82 4.11 — 4,220,139 2,215,422 — 8.25 Base Accumulation Share Class USD 808,283 7.83 4.11 — 6,325,677 3,357,645 — 8.26 “A” Share Class USD 3,000 7.78 4.09 — 23,326 4,092 — 8.09 “I” Share Class USD 1,000 7.90 4.13 — 7,896 4,129 — 7.90 “E” Accumulation Share Class EUR 2,578 8.63 5.11 — 22,259 5,099 — 8.98 “I” Accumulation Share Class USD 501,000 7.89 4.13 — 3,954,749 2,067,966 — 7.89 “P” Share Class USD 42,302 9.49 4.97 — 401,362 210,439 — 10.01 “P” Accumulation Share Class USD 16,346 9.48 4.97 — 154,915 267,650 — 10.00 Japan Portfolio Base Currency Share Class(b) JPY 3,433,593 728.05 686.00 1,229.00 2,499,819,516 14,226,751,884 7,202,831,736 768.09 Base Accumulation Share Class(b) JPY 810,274 6,317.15 5,940.58 10,635.68 5,118,628,167 4,146,427,056 266,039,503 6,664.59 Other Currency Share Class USD 78,889 11.67 10.99 16.90 920,312 1,310,303 3,214,348 12.31 “A” Share Class USD 232,660 8.79 8.31 12.86 2,045,629 2,209,402 5,493,668 9.14 “B” Share Class USD 102,208 8.30 7.88 12.30 848,212 784,863 1,457,875 8.30 “I” Share Class(b) JPY 5,107,744 885.38 836.00 1,490.00 4,522,311,699 3,832,598,115 2,533,326 885.38 “E” Accumulation Share Class EUR 3,129,753 5.82 6.16 8.25 18,227,364 7,132,110 8,366,837 6.05 “I” Accumulation Share Class(b) JPY 604,422 5,742.40 5,376.99 9,568.95 3,470,833,483 2,712,740,944 1,098,133 5,742.40 “P” Share Class(b) JPY 23,625 7,499.40 7,041.38 — 177,170,000 266,289,808 — 7,911.87 “P” Accumulation Share Class(b) JPY 22,373 7,499.30 7,040.75 — 167,787,572 159,629,302 — 7,911.76 Japan Small Cap Portfolio Base Currency Share Class(b) JPY 1,918,632 1,213.32 1,153.00 2,001.00 2,327,915,794 3,008,592,861 13,475,984,691 1,280.05 Base Accumulation Share Class(b) JPY 5,196 4,693.66 4,459.74 7,737.47 24,388,018 20,485,439 1,267,445,685 4,951.81 “A” Share Class USD 838,376 11.32 10.82 16.21 9,491,459 27,930,123 47,711,929 11.77 “B” Share Class USD 36,845 10.22 9.80 14.81 376,504 501,339 1,033,256 10.22 “I” Share Class(b) JPY 172,836 551.70 543.00 941.00 95,352,604 114,809,493 562,655 551.70 “E” Accumulation Share Class EUR 103,421 6.70 7.14 9.25 692,739 826,177 1,625,748 6.97 “I” Accumulation Share Class(b) JPY 115 5,683.82 5,386.29 9,291.12 652,275 1,150,668 1,066,249 5,683.82 “P” Share Class(b) JPY 909 8,198.55 7,813.15 — 7,458,414 7,105,475 — 8,649.47 “P” Accumulation Share Class(b) JPY 1,198 8,221.78 7,813.42 — 9,846,364 43,987,236 — 8,673.98

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

292 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Sustain Portfolio Base Currency Close Share Class USD 1,000 7.99 7.12 — 7,992 7,118 — 8.43 Base Accumulation Snap Share Class USD 1,000 7.94 7.05 — 7,940 7,048 — 8.38 Base Accumulation Close Share Class USD 41,000 7.99 7.12 — 327,591 7,118 — 8.43 “A” Snap Share Class USD 1,000 7.91 7.04 — 7,912 7,040 — 8.23 “A” Accumulation Snap Share Class USD 1,000 7.91 7.04 — 7,912 7,040 — 8.23 “E” Snap Share Class EUR 1,000 7.89 7.83 — 7,893 7,835 — 8.21 “E” Accumulation Snap Share Class EUR 1,000 7.89 7.83 — 7,893 7,832 — 8.21 “I” Accumulation Snap Share Class USD 1,000 7.98 7.06 — 7,985 7,059 — 7.98 “I” Accumulation Close Share Class USD 665,273 8.04 7.13 — 5,346,332 4,968,090 — 8.04 “IO” Close Share Class USD 1,004 7.73 6.85 — 7,763 6,851 — 7.73 “P” Snap Share Class USD 82,911 7.97 7.05 — 661,006 7,055 — 8.41 “P” Snap Share Class EUR 817,998 7.94 7.85 — 6,490,969 7,851 — 8.38 “P” Accumulation Snap Share Class USD 86,551 7.98 7.05 — 690,951 7,055 — 8.42 “P” Accumulation Snap Share Class EUR 295,989 7.96 7.85 — 2,354,961 1,640,551 — 8.40 US Equity Portfolio Base Currency Share Class USD 2,116,044 8.70 7.78 12.72 18,405,841 448,516 387,932 9.18 Base Accumulation Share Class USD 602,522 8.68 7.77 12.71 5,230,948 2,343,195 7,275,133 9.16 “A” Share Class USD 1,180,803 8.55 7.67 12.60 10,099,110 7,043,918 5,146,179 8.89 “E” Accumulation Share Class EUR 3,955,793 7.20 7.24 10.29 28,495,519 70,986 66,867 7.49 “I” Accumulation Share Class USD 1,835,491 6.76 6.02 9.78 12,399,453 1,570,906 9,784 6.76 “IO” Accumulation Share Class(a) EUR — — 8.06 — — 4,990,069 — — “P” Share Class USD 890,061 7.48 6.68 — 6,661,107 6,684 — 7.89 “P” Accumulation Share Class USD 649,324 7.48 6.68 — 4,855,503 478,553 — 7.89 US Growth Equity Portfolio Base Currency Share Class USD 3,336,896 6.78 5.68 9.72 22,628,792 19,073,206 40,550,367 7.15 Base Accumulation Share Class USD 233,198 8.44 7.06 12.09 1,968,933 785,127 125,123 8.90 “A” Share Class USD 2,220,945 6.91 5.80 9.98 15,354,886 13,139,022 32,845,454 7.19 “B” Share Class USD 142,611 6.37 5.37 9.33 908,044 579,553 1,190,696 6.37 “I” Share Class USD 852,055 7.55 6.29 10.70 6,431,564 11,719,583 32,204,712 7.55 “E” Accumulation Share Class EUR 56,978 7.75 7.28 10.83 441,428 68,419 62,832 8.06 “I” Accumulation Share Class USD 48,062 6.80 5.67 9.64 326,750 5,667 9,639 6.80 “P” Share Class USD 284,199 7.67 6.41 — 2,179,493 1,428,504 — 8.09 “P” Accumulation Share Class USD 1,182,485 7.67 6.41 — 9,070,988 2,327,785 — 8.09 US Growth Opportunities Portfolio Base Currency Share Class(a) USD — — 7.75 13.42 — 2,704,347 8,379,873 — Base Accumulation Share Class(a) USD — — 7.14 12.36 — 8,006,562 8,577,245 — “A” Share Class(a) USD — — 7.55 13.12 — 1,344,061 3,769,404 — “B” Share Class(a) USD — — 7.01 12.30 — 253,548 349,351 — “I” Share Class(a) USD — — 8.10 13.93 — 810 1,393 — “E” Accumulation Share Class(a) EUR — — 7.77 11.69 — 175,134 56,775 — “I” Accumulation Share Class(a) USD — — 5.62 9.68 — 5,622 9,677 — “P” Share Class(a) USD — — 6.18 — — 27,628 — — “P” Accumulation Share Class(a) USD — — 6.18 — — 6,175 — — US Premier Equity Portfolio Base Currency Share Class(a) USD — — 7.37 11.73 — 671,238 1,012,125 — Base Accumulation Share Class(a) USD — — 7.37 11.73 — 623,266 5,622,223 — “A” Share Class(a) USD — — 7.26 11.63 — 1,101,218 4,674,990 — “E” Accumulation Share Class(a) EUR — — 6.93 9.58 — 6,933 21,197 — “I” Accumulation Share Class(a) USD — — 6.04 9.57 — 6,043 9,565 — “P” Share Class(a) USD — — 7.10 — — 785,374 — — “P” Accumulation Share Class(a) USD — — 7.09 — — 7,088 — — US Value Equity Portfolio Base Currency Share Class USD 241,245 7.37 7.19 11.84 1,776,966 4,792,065 18,937,276 7.78 Base Accumulation Share Class USD 1,704,252 7.42 7.24 11.85 12,650,214 14,225,609 37,483,291 7.83 “A” Share Class USD 278,566 7.30 7.13 11.74 2,032,917 2,468,928 5,248,792 7.59 “E” Accumulation Share Class EUR 20,872 6.24 6.82 9.68 130,256 87,347 19,015 6.49 “I” Accumulation Share Class USD 196,120 6.03 5.86 9.53 1,183,185 1,354,998 691,098 6.03 “P” Share Class USD 229,889 7.18 7.00 — 1,651,438 688,902 — 7.57 “P” Accumulation Share Class USD 632,571 7.19 7.00 — 4,547,869 3,081,481 — 7.59 Regional CORE Equity Portfolios Europe CORESM Equity Portfolio Base Currency Share Class EUR 21,959,388 8.05 8.11 14.94 176,669,633 252,719,631 968,472,351 8.49 Base Accumulation Share Class EUR 21,328,846 7.70 7.36 13.12 164,215,111 106,116,042 514,799,835 8.12 “A” Share Class EUR 10,310,074 7.17 7.11 13.06 73,962,464 84,167,036 117,755,678 7.46 “A” Share Class USD 293,590 6.45 5.84 12.35 1,893,471 1,712,922 12,286,265 6.71 “I” Share Class EUR 1,433,065 10.39 10.57 20.18 14,888,784 27,549,055 134,211,533 10.39 “I” Accumulation Share Class EUR 14,341,190 6.80 6.48 11.50 97,563,840 69,195,769 137,324,306 6.80 “E” Accumulation Share Class EUR 635,156 9.15 8.77 15.72 5,812,744 11,432,360 1,518,708,677 9.52 “P” Accumulation Share Class EUR 2,263,478 5.58 5.33 9.48 12,640,536 8,418,993 28,170,314 5.89 “IO” Accumulation Share Class EUR 6,673 5.91 5.61 — 39,439 4,856,813 — 5.91

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

293 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Global CORESM Equity Portfolio Base Accumulation Close Share Class USD 1,000 7.91 7.27 13.39 7,906 7,272 13,389 8.34 Base Accumulation Snap Share Class USD 200,249 7.91 7.29 13.57 1,584,766 1,937,478 7,635,377 8.35 Base Currency Close Share Class USD 15,125 6.96 7.10 13.36 105,269 64,821 2,289,530 7.34 Base Currency Snap Share Class USD 1,827,342 9.12 8.70 16.44 16,665,093 7,892,538 56,687,335 9.62 “A” Snap Share Class USD 3,643 6.99 6.59 12.43 25,459 25,099 419,290 7.27 “IO” Accumulation Close Share Class USD 10,753,791 6.02 5.50 10.00 64,730,854 30,768,523 10,000 6.02 “E” Accumulation Close Share Class EUR 1,770,442 5.99 6.16 9.86 10,605,001 12,722,105 14,924,144 6.23 “E” Accumulation Snap Share Class EUR 109,373 7.08 7.30 11.81 774,824 673,359 50,334,234 7.36 “I” Accumulation Close Share Class USD 20,810,643 7.39 6.78 12.42 153,850,310 219,231,717 551,917,257 7.39 “I” Accumulation Close Share Class EUR 23,219,592 5.83 5.97 9.49 135,422,431 56,507,724 9,486 5.83 “I” Close Share Class USD 851 6.99 6.57 12.25 5,952 5,457 126,332,122 6.99 “I” Snap Share Class USD 4,569,482 9.25 8.75 16.50 42,287,430 98,617,728 239,089,880 9.25 “P” Accumulation Snap Share Class USD 2,534,375 5.88 5.41 10.04 14,899,342 11,540,086 11,147,269 6.20 “IO” Accumulation Close Share Class GBP 132,930 8.52 8.18 — 1,132,299 8,179 — 8.52 “IO” Accumulation Close Share Class EUR 8,397,739 8.12 8.27 — 68,168,838 69,366,340 — 8.12 “P” Snap Share Class(a) USD 682,643 11.19 — — 7,637,777 — — 11.81 Global Small Cap CORESM Equity Portfolio Base Currency Close Share Class USD 1,014 6.51 5.67 10.93 6,608 5,683 10,941 6.87 Base Currency Snap Share Class USD 9,331,945 6.46 5.62 10.90 60,318,111 52,437,526 110,249,801 6.82 “A” Close Share Class USD 1,004 5.50 4.76 9.20 5,517 4,757 9,198 5.72 “A” Snap Share Class USD 1,388 5.19 4.49 8.71 7,209 6,217 8,713 5.40 “IO” Accumulation Close Share Class USD 393,138 6.16 5.26 10.00 2,421,124 2,226,257 10,000 6.16 “E” Accumulation Close Share Class EUR 1,000 5.18 4.98 8.34 5,181 4,981 8,338 7.63 “E” Accumulation Snap Share Class EUR 1,000 4.93 4.74 7.95 4,926 4,736 7,951 5.13 “I” Accumulation Snap Share Class EUR 1,000 5.70 5.45 9.07 5,699 5,453 9,066 5.70 “IO” Accumulation Close Share Class GBP 10,430 8.45 7.60 — 88,093 7,603 — 13.62 “P” Accumulation Snap Share Class USD 1,000 5.37 4.61 8.88 5,366 4,607 8,877 5.67 Japan CORESM Equity Portfolio Base Currency Share Class(b) JPY 151,066 5,656.20 5,067.44 9,951.04 854,461,419 882,023,454 2,138,552 5,967.29 Base Accumulation Share Class(b) JPY 37,571 5,672.77 5,059.64 9,945.17 213,130,181 326,514,197 8,135,214 5,984.77 Other Currency Share Class GBP 7,595 7.72 7.32 9.22 58,615 373,521 42,158,905 8.14 “A” Share Class USD 246,548 7.02 6.28 10.68 1,731,033 1,732,860 4,811,252 7.30 “E” Accumulation Share Class EUR 10,603,632 5.85 5.84 8.59 62,058,726 49,959,299 41,326,286 6.08 “I” Accumulation Share Class(b) JPY 10,957 5,078.10 4,516.63 8,823.43 55,639,207 529,534 161,621 5,078.10 “J” Share Class (AUD Hedged Class) AUD 71,537 37.33 34.41 86.05 2,670,238 2,539,652 1,174,255 38.82 “J” Share Class (USD Hedged Class) USD 156,650 43.82 39.18 86.93 6,863,955 6,417,622 5,499,181 45.57 “P” Accumulation Share Class(b) JPY 25,055 4,898.09 4,358.80 8,520.78 122,722,748 131,675,357 633,490 5,167.48 UK CORESM Equity Portfolio Base Currency Share Class(a) GBP — — 8.04 7.57 — 11,451 103,819 — Base Accumulation Share Class(a) GBP — — 12.77 11.57 — 11,370 7,445,806 — “A” Share Class(a) USD — — 10.31 13.41 — 8,644 189,574 — “I” Share Class(a) GBP — — 11.23 10.76 — 60,832 31,904,761 — “E” Accumulation Share Class(a) EUR — — 10.35 10.85 — 10,350 20,104 — US CORESM Equity Portfolio Base Accumulation Snap Share Class USD 184,439 7.08 7.03 11.63 1,304,910 1,684,531 54,197,673 7.47 Base Accumulation Close Share Class USD 570,980 7.12 7.05 11.55 4,067,206 6,382,887 14,983,425 7.51 Base Currency Snap Share Class USD 11,175,007 12.34 12.29 20.37 137,913,724 166,626,479 673,066,692 13.02 Base Currency Close Share Class USD 272,235 7.10 7.04 11.54 1,931,613 805,068 1,267,573 7.49 “A” Snap Share Class USD 1,308,060 7.47 7.44 12.37 9,775,940 9,049,247 29,616,035 7.77 “B” Snap Share Class USD 76,343 6.90 6.90 11.59 526,501 641,747 2,209,744 6.90 “I” Accumulation Close Share Class(a) USD — — 6.16 10.03 — 422,679 1,508,897 — “I” Snap Share Class USD 4,302,536 8.59 8.74 14.55 36,957,804 35,842,745 196,487,779 8.59 “E” Accumulation Snap Share Class EUR 959,898 4.94 5.49 7.92 4,737,644 6,339,490 66,310,697 5.14 “P” Accumulation Snap Share Class USD 595,665 5.82 5.76 9.49 3,465,256 1,928,798 5,989,459 6.14 “U” Close Share Class USD 8,138,533 8.07 8.05 13.23 65,691,730 76,050,397 246,610,252 8.52 “P” Snap Share Class USD 237,462 6.54 6.51 — 1,553,991 1,546,130 — 6.90 US Small Cap CORESM Equity Portfolio Base Currency Snap Share Class USD 3,445 6.39 6.06 10.20 21,998 25,838 151,614 6.74 Base Accumulation Snap Share Class USD 42,705 6.38 6.05 10.20 272,534 258,498 9,973,601 6.73 Base Accumulation Close Share Class USD 1,866 6.46 6.13 10.14 12,057 11,439 101,444 6.82 “A” Close Share Class USD 3,288 6.36 6.05 10.05 20,909 13,897 122,842 6.61 “P” Accumulation Snap Share Class USD 240,598 5.38 5.08 8.53 1,294,645 5,085 8,530 5.68 “I” Snap Share Class USD 4,672,243 5.80 5.49 9.21 27,087,297 23,764,942 32,093,780 5.80 “I” Accumulation Snap Share Class USD 1,000 5.91 5.59 9.38 5,914 5,595 9,379 5.91 “E” Accumulation Close Share Class EUR 1,000 5.28 5.60 8.05 5,282 5,603 8,050 7.78 “E” Accumulation Snap Share Class EUR 1,000 5.22 5.54 8.11 5,222 5,540 12,577 5.43 Sector Equity Portfolios Global Financial Services Portfolio Base Currency Share Class(a) USD — — 9.35 20.76 — 13,898,673 60,161,558 — Base Accumulation Share Class(a) USD — — 5.94 13.10 — 6,676,127 13,237,941 — “A” Share Class(a) USD — — 9.14 20.26 — 6,879,181 7,447,561 — “B” Share Class(a) USD — — 8.52 19.06 — 118,828 465,587 — “E” Accumulation Share Class(a) EUR — — 6.57 12.57 — 1,150,299 1,528,287 — “I” Accumulation Share Class(a) USD — — 4.41 9.67 — 4,405 9,668 — “P” Share Class(a) USD — — 6.24 — — 136,580 — — “P” Accumulation Share Class(a) USD — — 6.24 — — 6,240 — —

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

294 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Global Technology Portfolio Base Currency Share Class(a) CHF — — 9.49 16.63 — 34,358,843 71,303,577 — Other Currency Accumulation Share(a) USD — — 7.53 14.04 — 811,631 1,222,420 — Other Currency Share Class(a) USD — — 4.92 9.29 — 9,353,446 33,765,326 — Other Currency Share Class(a) GBP — — 2.23 3.13 — 15,925 22,402 — “A” Share Class(a) USD — — 4.51 8.50 — 2,465,604 5,095,815 — “B” Share Class(a) USD — — 4.48 8.51 — 448 851 — “E” Accumulation Share Class(a) EUR — — 3.92 6.41 — 152,541 555,116 — “I” Accumulation Share Class(a) USD — — 5.15 9.65 — 1,450,532 9,646 — “P” Share Class(a) USD — — 6.31 — — 52,558 — — “P” Accumulation Share Class(a) USD — — 6.31 — — 22,195 — — Fixed Income Portfolios Euro Fixed Income Portfolio Base Currency Share Class EUR 1,305,724 8.37 8.91 10.31 10,932,541 16,350,686 36,591,440 8.83 Base Accumulation Share Class EUR 30,050 9.24 9.36 10.04 277,514 374,119 1,188,333 9.75 “A” Share Class EUR 857,249 8.90 9.60 10.62 7,625,572 7,940,584 14,488,740 9.26 “I” Share Class EUR 51,544 8.46 8.97 10.06 436,292 682,891 12,037,608 8.46 “I” Accumulation Share Class EUR 515,950 9.29 9.39 10.00 4,790,787 4,844,951 10,001 9.29 “P” Share Class(a) EUR 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) EUR 1,000 10.00 — — 10,000 — — 10.55 Global Corporate Portfolio (Hedged) “I” Accumulation Share Class NOK 73,163,360 104.21 93.89 — 7,624,593,885 6,866,864,907 — 104.21 Global Credit Portfolio (Hedged) Base Currency Share Class USD 20,781 8.41 8.40 10.09 174,720 105,525 122,265 8.87 Base Accumulation Share Class USD 2,000 9.38 8.96 10.32 18,752 17,928 10,115,327 9.90 “A” Share Class USD 17,624 8.60 8.38 10.04 151,533 280,495 162,474 8.94 “E” Accumulation Share Class EUR 73,381 7.79 8.35 8.52 571,756 54,485 99,966 8.10 “E” Accumulation Share Class (EUR Hedged Class)(a) EUR 10,000 10.36 — — 103,585 — — 10.77 “I” Accumulation Share Class (EUR Hedged Class) EUR 13,550,119 9.18 8.73 10.00 124,398,371 87,347 34,731 9.18 “I” Accumulation Share Class (GBP Hedged Class)(a) GBP 1,757,338 10.01 — — 17,594,857 — — 10.01 “P” Share Class USD 1,788,385 9.31 8.88 — 16,644,636 492,993 — 9.82 “P” Accumulation Share Class USD 2,349,022 9.32 8.89 — 21,884,161 257,358 — 9.83 “P” Accumulation Share Class (EUR Hedged Class) EUR 4,745,721 10.51 10.01 — 49,894,925 20,464,774 — 11.09 Global Emerging Markets Debt Local Portfolio Base Currency Share Class USD 316,946 8.47 7.79 10.33 2,685,294 2,081,319 4,638,786 8.94 Base Accumulation Share Class USD 20,481 9.46 7.99 10.33 193,776 163,654 2,030,904 9.98 “A” Accumulation Share Class USD 129,008 9.42 7.96 10.32 1,215,270 3,579,362 7,948,274 9.94 “A” Share Class USD 184,035 8.91 7.94 10.32 1,639,704 3,009,180 3,632,960 9.27 “E” Accumulation Share Class EUR 1,000 8.99 8.48 9.49 8,989 8,480 9,490 9.35 “E” Share Class EUR 1,070 8.39 8.35 9.49 8,978 8,469 9,490 8.73 “I” Accumulation Share Class USD 477,245 9.58 8.07 10.37 4,572,498 556,142 10,369 9.58 “I” Share Class USD 8,717,933 8.83 7.92 10.37 77,010,909 8,071 10,369 8.83 “P” Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 “IO” Accumulation Share Class USD 298,237 9.62 8.06 10.25 2,868,230 141,190,809 210,519 9.62 “IX” Share Class USD 93,812,398 7.74 7.02 10.32 726,539,882 405,216,106 288,172,160 7.74 Global Emerging Markets Debt Portfolio Base Currency Share Class USD 2,663,740 11.28 10.34 14.50 30,056,713 30,897,367 96,996,722 11.90 Base Accumulation Share Class USD 484,330 11.14 8.69 11.74 5,393,077 3,190,010 18,932,091 11.75 Base Accumulation Share Class (EUR Hedged Class) EUR 1,599,807 9.05 7.05 9.87 14,472,915 11,487,719 98,708 9.55 “A” Share Class USD 2,324,047 13.36 11.80 16.84 31,048,254 26,867,682 63,237,849 14.09 “B” Share Class USD 10,525 13.25 11.69 17.20 139,489 143,128 576,951 13.25 “I” Share Class USD 808,259 13.79 11.54 16.79 11,144,928 9,520,175 91,385,842 13.79 “I” Share Class (GBP Hedged Class) GBP 3,820,465 8.76 7.72 11.11 33,462,934 26,050,004 35,371,649 8.76 “I” Share Class (EUR Hedged Class) EUR 7,336,997 8.07 7.07 10.33 59,236,554 46,385,710 79,118,568 8.07 “I” Accumulation Share Class (EUR Hedged Class) EUR 9,911,281 10.04 7.80 10.88 99,463,703 78,042,514 135,069,917 10.04 “E” Accumulation Share Class EUR 423,948 10.74 9.36 10.97 4,551,980 67,720,376 21,484,196 11.17 “IO” Share Class USD 1,995 9.63 8.12 11.29 19,213 2,738,113 46,293,210 9.63 “IO” Accumulation Share Class USD 390,434 9.66 7.49 10.00 3,772,924 2,657,942 10,000 9.66 “IX” Share Class USD 11,806,801 7.90 6.64 10.07 93,306,033 87,856,132 111,826,395 7.90 “IO” Accumulation Share Class (GBP Hedged Class) GBP 709,061 9.12 7.08 — 6,469,041 4,948,114 — 9.12 “IO” Accumulation Share Class (EUR Hedged Class) EUR 12,209 9.22 7.15 — 112,562 93,502 — 9.22 Global Fixed Income Portfolio Base Currency Share Class USD 564,352 14.56 14.52 16.01 8,215,394 8,282,962 15,129,146 15.36 Base Accumulation Share Class USD 231,190 11.77 10.91 11.66 2,722,215 3,307,691 6,394,655 12.42 “A” Share Class USD 1,509,126 11.49 11.02 12.10 17,334,970 16,934,619 25,683,092 11.95 “B” Share Class USD 14,442 11.94 11.39 12.49 172,379 316,955 430,771 11.94 “I” Share Class USD 15,950,514 12.39 11.90 13.08 197,553,105 142,126,405 141,925,836 12.39 “E” Accumulation Share Class EUR 306,119 4.91 5.08 4.71 1,502,321 2,230,117 515,520 5.11 “I” Accumulation Share Class EUR 892,558 10.57 10.91 10.05 9,436,316 16,589,678 10,050 10.57 “IO” Accumulation Share Class USD 281,616 10.70 9.87 10.43 3,012,921 2,675,081 496,657 10.70 “P” Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

295 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Global Fixed Income Portfolio (Hedged) Base Currency Share Class EUR 38,804 9.68 9.62 10.40 375,617 383,800 22,236,848 10.21 Base Accumulation Share Class EUR 241,978 10.37 9.94 10.44 2,509,550 3,389,570 5,802,988 10.94 “I” Share Class EUR 28,664 4.51 4.49 4.94 129,357 123,717 129,189 4.51 “I” Accumulation Share Class EUR 997,274 10.18 9.74 10.19 10,156,445 4,926,840 31,813,423 10.18 “E” Accumulation Share Class EUR 18,453 10.28 9.86 10.38 189,658 257,224 15,693 10.69 “IO” Share Class (GBP Hedged Class) GBP 4,343,318 10.49 10.01 — 45,555,761 43,457,099 — 10.49 “I” Accumulation Share Class (NZD Hedged Class) NZD 6,135,085 10.61 10.01 — 65,084,301 61,333,011 — 10.61 “P” Share Class(a) EUR 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) EUR 1,000 10.00 — — 10,000 — — 10.55 Global High Yield Portfolio Base Currency Share Class USD 48,086,757 6.41 5.61 8.91 308,114,414 252,990,290 333,001,422 6.76 Base Accumulation Share Class USD 13,704,906 9.72 7.56 11.29 133,220,682 85,037,410 138,065,933 10.25 Other Currency Share Class (EUR Hedged Class) EUR 29,374,769 5.46 5.07 8.42 160,490,777 132,979,020 376,827,256 5.76 Other Currency Accumulation Share Class (EUR Hedged Class)(a) EUR 2,651,673 13.13 — — 34,816,730 — — 13.85 “A” Share Class USD 16,379,806 7.65 6.72 11.03 125,262,818 73,635,884 128,250,035 7.96 “B” Share Class USD 50,640 4.68 4.25 6.86 236,913 129,516 611,865 4.68 “I” Share Class USD 81,654,273 8.24 7.53 12.13 672,849,398 560,050,026 939,886,965 8.24 “E” Accumulation Share Class EUR 148,932 11.79 10.24 13.29 1,755,192 1,235,262 9,976,650 12.26 “IO” Share Class USD 26,812,418 6.62 6.91 10.69 177,511,808 136,839,488 682,882,296 6.62 “I” Accumulation Share Class USD 16,677,581 8.69 6.73 10.00 144,880,668 102,269,564 98,873,450 8.69 “I” Accumulation Share Class (EUR Hedged Class) EUR 4,533,568 8.39 6.48 9.73 38,053,874 16,076,871 97,269 8.39 “IO” Accumulation Share Class USD 648,766 8.59 6.64 9.81 5,575,879 4,893,064 207,102 8.59 “I” Accumulation Share Class (GBP Hedged Class) GBP 5,552,003 7.23 6.44 9.74 40,116,904 26,595,344 34,053,708 7.23 “IO” Accumulation Share Class (GBP Hedged Class) GBP 2,171,973 8.45 6.55 — 18,349,192 9,558,157 — 8.45 “IO” Accumulation Share Class (EUR Hedged Class) EUR 10,000 8.59 6.61 — 85,950 66,066 — 8.59 “IO” Share Class (GBP Hedged Class) GBP 58,993 7.82 6.52 — 461,376 33,066 — 7.82 Specialised Fixed Income Portfolio “P” Share Class EUR 471,428 11.00 10.89 10.04 5,187,331 6,172,717 10,036 11.61 “P” Accumulation Share Class EUR 7,446,111 11.10 10.90 10.04 82,617,683 86,917,823 47,303,924 11.71 Sterling Broad Fixed Income Portfolio Base Currency Share Class GBP 246,776 6.58 7.02 7.87 1,622,861 1,008,524 2,285,837 6.94 Base Accumulation Share Class GBP 4,045 9.50 9.57 10.27 38,427 302,370 41,537 10.02 “I” Share Class GBP 25,238,731 9.46 10.04 11.20 238,830,377 246,257,482 296,131,305 9.46 “ID” Accumulation Share Class(a) GBP 6,566,625 10.42 — — 68,440,229 — — 10.42 “P” Share Class(a) GBP 1,000 10.00 — — 10,000 — — 10.55 Sterling Credit Portfolio “P” Share Class(a) GBP 380,074 100.16 — — 38,066,474 — — 105.67 “IO” Share Class(a) GBP 401,841 98.14 — — 39,435,657 — — 98.14 Base Currency Share Class(a) GBP 100 100.03 — — 10,003 — — 105.53 “I” Share Class(a) GBP 100 100.19 — — 10,019 — — 100.19 US Fixed Income Portfolio Base Currency Share Class USD 13,266,091 9.45 9.49 11.42 125,415,034 149,480,916 279,160,401 9.97 Base Accumulation Share Class USD 418,349 10.36 9.64 11.10 4,335,103 7,052,328 12,877,278 10.93 “A” Share Class USD 2,646,136 10.55 10.44 12.59 27,907,779 18,790,451 18,166,307 10.97 “B” Share Class USD 598,929 9.20 9.10 10.97 5,509,239 5,420,557 9,160,656 9.20 “I” Share Class USD 7,191,716 9.02 8.97 10.89 64,876,431 74,050,132 123,756,365 9.02 “I” Accumulation Share Class USD 459,406 9.99 9.27 10.59 4,589,073 3,909,993 55,322,889 9.99 “E” Accumulation Share Class EUR 112,629 6.31 6.57 6.58 710,843 4,479,267 4,141,934 6.56 “P” Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 US Mortgage Backed Securities Portfolio Base Currency Share Class USD 10,002,656 2.11 2.27 2.34 21,074,651 22,718,210 51,172,435 2.23 Base Accumulation Share Class USD 284,818 11.80 11.08 11.15 3,361,817 3,658,165 4,299,870 12.45 “A” Share Class USD 464,531 6.82 6.62 6.98 3,168,246 4,004,925 1,789,676 7.09 “I” Share Class USD 38,535,895 9.69 9.91 10.23 373,380,062 621,663,064 644,128,365 9.69 “IO” Share Class USD 17,851,206 10.85 10.69 10.88 193,669,837 256,316,834 137,681,926 10.85 “I” Accumulation Share Class (GBP Hedged Class) GBP 528,651 9.92 — — 5,242,666 — — 9.92 “I” Accumulation Share Class (EUR Hedged Class) EUR 3,811,596 10.85 10.17 10.11 41,365,973 8,573,031 101,108 10.85 “P” Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 “P” Accumulation Share Class(a) USD 1,000 10.00 — — 10,000 — — 10.55 Specialist Portfolios Commodities Enhanced Index Portfolio Other Accumulation Snap Share Class (EUR Hedged Class) EUR 833,857 6.08 5.91 9.58 5,070,573 1,249,540 1,657,580 6.41 Base Snap Currency Share Class USD 614,780 6.44 6.36 9.83 3,957,051 4,184,187 1,476,303 6.79 Base Snap Accumulation Share Class USD 223,637 6.94 6.67 10.06 1,551,439 1,322,964 1,756,710 7.32 “A” Snap Share Class USD 107,266 6.60 6.56 10.01 707,449 257,559 102,077 6.86 “I” Accumulation Snap Share Class USD 4,260 7.44 7.14 10.76 31,677 5,576,054 8,620,687 7.44 “I” Accumulation Snap Share Class (CAD Hedged Class)(a) CAD — — 5.57 — — 31,322 — — “IO” Accumulation Snap Share Class (GBP Hedged Class) GBP 921,493 5.63 5.47 — 5,185,061 5,042,765 — 5.63 Euro Fixed Income Plus Portfolio Base Currency Share Class EUR 24,019 8.05 8.16 10.00 193,377 190,820 896,076 8.49 Base Accumulation Share Class EUR 441,687 10.26 9.88 10.05 4,531,456 4,648,812 7,631,585 10.82 “A” Share Class EUR 38,132 9.45 9.52 9.85 360,246 489,097 535,112 9.83 “I” Accumulation Share Class EUR 1,000 10.35 9.95 10.09 10,347 9,948 10,086 10.35 “P” Accumulation Share Class EUR 322,149 10.56 10.16 10.30 3,400,800 3,793,413 2,687,576 11.14 “E” Accumulation Share Class EUR 11,958 10.30 9.93 10.11 123,191 168,974 19,656 10.71 “IO” Accumulation Share Class EUR 609,400 10.69 10.24 — 6,514,961 6,211,238 — 10.69

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000. The accompanying notes are an integral part of these financial statements.

296 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Europe CORESM Flex Portfolio Base Currency Share Class EUR 35,533 5.45 6.24 10.87 193,479 471,460 5,295,827 5.75 Base Accumulation Share Class EUR 13,495,384 6.22 6.30 10.88 83,967,322 73,376,290 34,486,427 6.56 “A” Share Class USD 575,704 5.78 5.39 10.83 3,327,106 2,833,039 6,897,085 6.01 “I” Accumulation Share Class EUR 455,695 6.38 6.44 11.01 2,908,126 2,851,861 7,080,911 6.38 “I” Share Class EUR 93,633 6.03 6.37 11.00 564,734 569,538 2,138,597 6.03 “P” Accumulation Share Class EUR 869,687 5.85 5.90 10.12 5,083,699 5,440,789 20,080,951 6.17 “P” Share Class EUR 14,866 4.21 4.41 10.12 62,603 65,506 2,387,508 4.44 “E” Accumulation Share Class EUR 548,901 5.80 5.89 10.21 3,181,567 3,499,238 11,362,606 6.03 Global Currency Portfolio Base Currency Share Class USD 12,562 5.98 6.70 9.93 75,161 55,931 469,435 6.31 Base Accumulation Share Class USD 198,515 9.89 10.12 10.15 1,964,181 4,752,362 2,119,023 10.43 Other Currency Share Class (EUR Hedged Class) EUR 1,920 9.01 9.57 9.84 17,296 18,376 26,673,892 9.51 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 37,502 9.66 9.87 9.82 362,094 9,560,576 68,835,296 10.19 Other Currency Share Class (GBP Hedged Class) GBP 501,238 8.46 9.50 9.97 4,239,785 5,317,121 39,798,682 8.93 “A” Share Class USD 265,298 9.06 9.58 10.02 2,402,789 3,555,338 5,734,796 9.56 “A” Accumulation Share Class (EUR Hedged Class) EUR 229,156 9.60 9.82 9.79 2,199,361 2,498,715 28,949,330 10.13 “I” Share Class USD 30,000 7.19 8.17 9.96 215,832 530,873 3,783,982 7.19 “I” Share Class (GBP Hedged Class) GBP 65,125 9.36 9.71 10.04 609,327 42,132,142 47,207,958 9.36 “I” Accumulation Share Class (EUR Hedged Class) EUR 1,252,025 9.74 9.93 — 12,194,654 11,537,085 — 9.74 “IO” Accumulation Share Class USD 118,432 9.93 10.10 10.00 1,176,192 1,520,409 10,000.00 9.93 “IO” Accumulation Share Class (EUR Hedged Class) EUR 10,732 10.01 10.16 — 107,453 128,729 — 10.01 “IO” Accumulation Share Class (GBP Hedged Class) GBP 15,433 9.67 9.86 — 149,276 98,554 — 9.67 Global Currency Plus Portfolio Base Accumulation Share Class USD 4,789 100.23 99.21 — 480,012 9,921 — 105.74 Base Currency Share Class USD 100 100.22 99.21 — 10,022 9,921 — 105.73 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 2,299 100.51 99.09 — 231,058 141,264 — 106.04 “I” Accumulation Share Class (GBP Hedged Class) GBP 9,277 101.01 99.22 — 937,039 9,922 — 101.01 “IO” Accumulation Share Class (GBP Hedged Class) GBP 456,568 103.60 101.02 — 47,300,520 28,786,470 — 103.60 “P” Share Class USD 100 100.74 99.38 — 10,074 9,938 — 106.28 “P” Accumulation Share Class USD 100 100.74 99.38 — 10,074 9,938 — 106.28 “P” Accumulation Share Class (EUR Hedged Class)(a) EUR 18,297 99.98 — — 1,829,377 — — 105.48 Global Fixed Income Plus Portfolio (Hedged) Base Currency Share Class EUR 29,954 9.64 9.57 10.13 288,807 2,213,822 5,222,864 10.17 Base Accumulation Share Class EUR 1,049,360 10.43 9.83 10.38 10,944,289 11,099,476 71,991,724 11.00 Other Currency Share Class (USD Hedged Class) USD 31,664 9.12 9.53 10.70 288,754 1,764,566 8,318,218 9.62 Other Currency Accumulation Share Class (USD Hedged Class) USD 189,554 10.51 9.94 10.58 1,992,814 3,641,302 5,652,830 11.09 “A” Share Class EUR 129,275 9.69 9.55 10.21 1,252,389 1,554,494 1,390,480 10.08 “A” Share Class (USD Hedged Class) USD 130,903 9.80 9.68 10.56 1,283,451 1,267,320 3,234,651 10.19 “I” Accumulation Share Class (USD Hedged Class) USD 203,810 10.10 9.53 10.10 2,058,742 2,199,604 23,691,365 10.10 “I” Accumulation Share Class EUR 2,606,037 10.17 9.57 10.07 26,507,531 19,294,066 10,067 10.17 “P” Accumulation Share Class EUR 1,169,699 10.52 9.90 10.44 12,301,175 41,047,369 318,918 11.10 “P” Share Class (GBP Hedged Class) GBP 2,801,935 10.07 10.05 10.54 28,207,581 33,167,584 27,724,143 10.62 “P” Accumulation Share Class (USD Hedged Class) USD 5,223,199 10.47 9.89 10.51 54,680,616 17,814,760 4,175,868 11.05 “E” Accumulation Share Class EUR 32,277 10.13 9.56 10.12 326,849 191,850 118,629 10.54 “IO” Accumulation Share Class (USD Hedged Class) USD 1,011,578 10.09 9.49 10.00 10,208,517 12,188,792 99,979 10.09 “IO” Accumulation Share Class EUR 12,980 10.18 9.55 — 132,162 153,810 — 10.18 “IO” Accumulation Share Class (GBP Hedged Class) GBP 104,610 10.24 9.60 — 1,071,380 96,011 — 10.24 Global Libor Plus I Portfolio Base Currency Share Class USD 27,738 87.35 90.66 102.82 2,422,915 2,450,019 5,937,783 92.15 Base Accumulation Share Class USD 131,943 99.45 95.49 105.51 13,121,301 27,991,140 152,225,896 104.92 Other Currency Share Class (EUR Hedged Class) EUR 29,203 91.13 89.98 101.98 2,661,108 3,333,913 16,901,070 96.14 Other Accumulation Share Class (EUR Hedged Class) EUR 89,532 97.88 93.69 103.00 8,763,648 10,829,835 55,972,554 103.26 Other Currency Share Class (GBP Hedged Class) GBP 153,446 87.03 94.34 105.44 13,354,587 14,924,905 53,267,418 91.82 “A” Share Class USD 1,689 92.36 90.85 102.67 155,982 160,799 10,267 96.05 “I” Accumulation Share Class USD 100 94.86 90.91 100.18 9,486 9,091 67,627,908 94.86 “I” Share Class (EUR Hedged Class) EUR 659 73.75 73.04 103.39 48,586 46,434 6,761,140 73.75 “I” Accumulation Share Class (EUR Hedged Class) EUR 1,000 94.87 90.67 99.54 94,874 90,668 99,536 94.87 “IO” Accumulation Share Class (GBP Hedged Class) GBP 2,538,265 97.38 93.14 100.69 247,185,473 181,620,750 92,964,292 97.38 “IO” Accumulation Share Class (HKD Hedged Class) HKD 283,527 952.23 912.39 1,009.99 269,981,146 255,330,871 282,542,671 952.23 “IO” Accumulation Share Class (EUR Hedged Class)(a) EUR — — 91.30 — — 117,286,917 — — “E” Accumulation Share Class (EUR Hedged Class) EUR 1,226 94.29 90.39 99.60 115,596 134,949 99,596 98.06 Global Libor Plus II Portfolio Base Currency Share Class USD 32,626 93.89 90.76 102.69 3,063,243 5,789,787 4,035,852 99.05 Base Accumulation Share Class USD 62,054 102.63 94.42 105.51 6,368,379 8,308,500 10,672,817 108.27 Other Currency Share Class (EUR Hedged Class) EUR 15,827 93.86 89.38 102.86 1,485,583 1,956,847 3,685,650 99.02 Other Accumulation Share Class (EUR Hedged Class) EUR 121,212 101.17 92.90 103.05 12,262,752 18,058,712 26,726,956 106.73 Other Currency Share Class (GBP Hedged Class) GBP 61,817 97.03 93.02 105.48 5,998,011 9,724,111 15,131,504 102.37 “A” Share Class USD 20,887 98.65 93.50 105.09 2,060,462 2,825,349 7,801,236 102.60 “I” Accumulation Share Class USD 98 105.08 96.40 107.33 10,350 9,495 22,606,902 105.08 “I” Accumulation Share Class (EUR Hedged Class) EUR 99,160 104.59 95.78 105.74 10,371,520 11,000,852 20,283,459 104.59 “IO” Accumulation Share Class (HKD Hedged Class) HKD 410,790 998.28 914.81 1,016.22 410,083,996 381,198,274 427,894,924 998.28 “E” Accumulation Share Class (EUR Hedged Class) EUR 5,309 96.89 89.22 99.22 514,368 703,415 99,216 100.77 “I” Share Class (GBP Hedged Class)(a) GBP — — 86.21 99.76 — 3,718,353 2,992,738 — “IO” Accumulation Share Class (EUR Hedged Class)(a) EUR — — 90.80 — — 20,651,726 — — “IO” Share Class (GBP Hedged Class) GBP 216,117 108.74 99.53 — 23,501,454 21,499,032 — 108.74 “IO” Accumulation Share Class (GBP Hedged Class) GBP 593,630 100.46 91.91 — 59,634,309 49,300,750 — 100.46

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

297 Goldman Sachs Funds Statistical Information As at 31 May 2009

Max. public offering price Outstanding Net Asset Value per Share as at Net Assets as at per share Shares as at as at Currency 31-May-09 31-May-09 30-Nov-08 30-Nov-07 31-May-09 30-Nov-08 30-Nov-07 31-May-09

Global Property Securities Portfolio Base Currency Share Class(a) USD — — 3.78 9.11 — 37,511 80,840 — Base Accumulation Share Class(a) USD — — 3.89 9.10 — 21,079 1,456,598 — “A” Share Class(a) USD — — 3.92 9.23 — 1,167,651 5,805,834 — “A” Accumulation Share Class(a) USD — — 3.86 9.07 — 4,871,533 23,861,679 — “P” Accumulation Share Class(a) USD — — 3.92 9.14 — 1,210,741 782,490 — “I” Share Class(a) USD — — 3.89 9.15 — 3,934 9,145 — “I” Accumulation Share Class(a) USD — — 3.94 9.15 — 7,488,565 11,379,563 — “E” Accumulation Share Class(a) EUR — — 4.03 8.18 — 466,032 1,824,112 — “I” Accumulation Share Class (EUR Hedged Class)(a) EUR — — 5.22 10.49 — 5,218 10,487 — Japan CORESM Flex Portfolio Close Base Currency Share Class(b) JPY 14 4,955.55 4,502.67 8,516.07 70,765 64,298 121,610 5,228.11 Close Base Accumulation Share Class(b) JPY 8,019 4,958.07 4,506.55 8,523.63 39,759,791 668,628,627 1,630,043,904 5,230.76 Close “A” Share Class USD 39,801 6.08 5.54 9.08 241,968 469,995 906,727 6.32 Close “I” Share Class(b) JPY 124 4,995.14 4,564.34 8,584.98 616,989 557,858 1,045,651 4,995.14 Close “I” Accumulation Share Class(b) JPY 754,331 5,068.07 4,582.35 8,585.65 3,823,001,480 3,458,831,692 7,045,466,117 5,068.07 Close “P” Accumulation Share Class(b) JPY 10,030 5,040.94 4,563.56 8,571.41 50,559,032 129,389,902 760,157,392 5,318.19 Close “P” Share Class(b) JPY 835 5,017.16 4,541.60 8,568.75 4,187,611 7,651,042 169,364,081 5,293.10 Close “E” Accumulation Share Class EUR 35,692 5.55 5.77 8.16 198,202 24,818,908 51,335,593 5.77 Close“IO” Share Class(b) JPY 1,770,537 5,413.33 4,995.32 9,335.22 9,584,503,775 8,644,972,968 12,525,689,852 5,413.33 Sterling Broad Fixed Income Plus Portfolio Base Currency Share Class GBP 146,909 6.21 6.28 9.78 911,999 806,291 1,592,897 6.55 Base Accumulation Share Class GBP 362 9.69 9.34 9.87 3,508 3,383 495,210 10.22 “A” Share Class GBP 1,070 8.98 9.06 9.60 9,613 155,372 9,832 9.34 “I” Accumulation Share Class GBP 18,191,128 10.12 9.75 10.26 184,088,067 224,874,550 220,517,116 10.12 “IO” Accumulation Share Class GBP 12,728,969 10.49 10.07 — 133,548,597 128,128,603 — 10.49 “P” Accumulation Share Class GBP 46,279 10.24 9.87 10.39 473,909 456,585 383,184 10.80 US CORESM Flex Portfolio Base Accumulation Snap Share Class USD 230,678 6.13 6.14 9.67 1,413,742 1,413,292 8,851,878 6.47 Base Currency Close Share Class USD 10,000 6.24 6.22 9.67 62,384 62,242 249,183 6.58 Base Accumulation Close Share Class USD 1,370 6.23 6.22 9.67 8,537 8,522 11,643,111 6.57 “I” Close Share Class USD 10,068 6.35 6.35 9.78 63,969 63,524 97,847 6.35 “I” Accumulation Close Share Class USD 10,000 6.40 6.35 9.79 63,981 63,536 97,852 6.40 “A” Snap Share Class USD 29,529 5.61 5.63 8.91 165,529 132,037 287,291 5.83 “I” Accumulation Snap Share Class EUR 1,000 6.04 6.71 9.06 6,037 6,711 13,295 6.04 “P” Accumulation Snap Share Class USD 1,738,352 5.86 5.85 9.15 10,191,613 10,169,722 25,815,402 6.18 “P” Snap Share Class USD 1,146 5.41 6.19 9.16 6,201 6,186 1,541,200 5.71 “E” Accumulation Snap Share Class EUR 19,911 5.03 5.64 7.73 100,186 60,690 160,633 5.23

(a) Refer to Appendix II. (b) JPY Net Asset Values expressed in ’000.

The accompanying notes are an integral part of these financial statements.

298 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009

1 Organisation

Goldman Sachs Funds (the “Fund”) was incorporated on 5 November 1992 under the laws of the Grand Duchy of Luxembourg as a “Société d’Investissement à Capital Variable”, for an unlimited period of time. The Fund is registered pursuant to Part I of the Law of 20 December 2002 and qualifies as a self-managed company in accordance with article 27 of the Law of 20 December 2002. The Fund is comprised of fourty seven different portfolios (the “Portfolios”).

On 26 March 2008 the Fund launched India Equity Portfolio. This Portfolio invests through a wholly-owned special purpose subsidiary GS India Fund Ltd (the “Subsidiary”). The Subsidiary is administered by Intercontinental Trust Limited, who are based in Mauritius. The administration function of the Subsidiary has been sub-delegated back to State Street Bank, Luxembourg S.A. The Subsidiary has obtained from the Financial Services Commission of Mauritius (the “FSC”) status as a Category 1 Global Business Company. The Subsidiary has obtained a tax residence certificate from the Commissioner of Income Tax in Mauritius. Accordingly, the objective will be that the Subsidiary will qualify as a resident of Mauritius for the purposes of receiving the benefits of the India-Mauritius Double Taxation Avoidance Agreement (the “India-Mauritius Treaty”) but this cannot be guaranteed.

The underlying investments of the Subsidiary comply with the investment guidelines and restrictions applicable to the Portfolio. Appropriate procedures have been put in place in order to allow the Custodian of the Fund to fulfill its supervisory and monitoring functions as regards the assets held by the Subsidiary on behalf of the Portfolio. The costs and expenses borne by the Subsidiary are allocated to the relevant Portfolio of the Fund, which invests its assets through the Subsidiary. As a wholly owned subsidiary of the Portfolio, all assets and liabilities, income and expenses of the Subsidiary are consolidated in the statement of net assets and operations of the Portfolio, allocated to the relevant Portfolio as appropriate. All investments held by the Subsidiary are disclosed in the financial statements and accounts of the Portfolio and all the assets held by the Subsidiary on behalf of the Fund are to be considered as assets held directly by the Fund. The Subsidiary’s accounts are audited by PricewaterhouseCoopers S.àr.l. Mauritius. The Subsidiary incurs and pays certain fees and expenses relating to its investment activity in India. These fees and expenses may include brokerage costs and commissions, transaction costs associated with converting currency to and from Indian Rupee to US Dollars, fees incurred by its standing proxy, corporate and registration fees and taxes associated with the establishment and operation of the Subsidiary.

As at 31 May 2009, the Fund offered shares in the Portfolios as detailed in Appendix I.

Please refer to Appendix II for Portfolios and share classes launched, merged or liquidated during the year.

2 Investment Objective

The primary investment objective of the Regional Equity Portfolios is long-term capital appreciation derived from investing in any Permitted Investments.

The primary investment objective of the Regional CORE Equity Portfolios is to achieve attractive total returns through capital appreciation and income.

The primary investment objective of the Fixed Income Portfolios is a high level of total return consisting of income and capital appreciation through investment in Permitted Investments.

299 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

2 Investment Objective (continued)

The primary investment objectives of the Specialist Portfolios are customised for each Specialist Portfolio as detailed in Supplement of the Prospectus.

3 Significant Accounting Policies

(a) Basis of Financial Statements

The financial statements of the individual Portfolios are presented in their base currency while the Combined Totals of all the Portfolios are presented in United States Dollars. The financial statements have been prepared in accordance with the Luxembourg law on Undertakings for Collective Investment. The preparation of financial statements requires management to make estimates and assumptions that may affect the amounts reported in the financial statements and accompanying notes. Actual results may differ from those estimates.

The comparative figures are as at 30 November 2008 for the Statement of Assets and Liabilities, for the period from 1 December 2007 to 31 May 2008 for the Statement of Operations and for the period from 1 December 2007 to 30 November 2008 for the Statement of Changes in Shareholders’ Equity.

(b) Investment Transactions and Related Investment Income

The Fund records its investment transactions on a trade date basis. Realised gains and losses are based on the First In First Out (“FIFO”) method. Dividend income and dividend expense are recorded on the ex- dividend date and interest income and interest expense are accrued over the life of the investment. Interest income includes accretion of market discount, original issue discounts and amortisation of premiums and is recorded into income over the life of the underlying investment. Interest income and dividend income are recognised on a gross basis before withholding tax, if any.

(c) Investment in Securities and Valuation

(i) Recognition

The Portfolios recognise financial assets and financial liabilities on the date it becomes a party to the contractual provisions of the investment. Purchases and sales of financial assets and financial liabilities are recognised using trade date plus one accounting. From trade date plus one, any gains and losses arising from changes in value of the financial assets or financial liabilities are recorded in the Statement of Operations.

(ii) Debt Securities

Debt securities, including Corporate Bonds, Government Bonds, Supranationals, Non Agencies MBS and ABS, Agencies MBS and ABS, Asset Backed Obligations and Preferred Stock, are valued on the basis of dealer supplied quotations or by using a third party pricing service selected by the Investment Advisor. When quoted market prices are not available, valuation techniques are used to estimate the value of the debt security. Valuation methods include the use of recent market transactions, reference to the current fair value of another investment that is substantially the same, discounted cash flow analyses or any other techniques that provides a reliable estimate of prices obtained in actual market transactions.

300 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(c) Investment in Securities and Valuation (continued)

(iii) Exchange Listed Assets and Liabilities

The value of exchange traded financial investments, including Transferable securities admitted to an official exchange listing which include Common Stocks, Corporate Bonds, Government Bonds and Futures Contracts, is based upon quoted market prices at the period end date without any deduction for estimated future transaction costs.

(iv) Securities Purchased under Agreements to Resell

Securities purchased under agreements to resell (“repurchase agreements”) are transactions whereby the Portfolio acquires a security for cash subject to an obligation by the counterparty to repurchase, and the portfolio to resell the security at an agreed upon price and time. In connection with these transactions, with the exception of tri-party repurchase agreements and overnight repurchase agreements, the Portfolio takes possession of securities collateralising the repurchase agreement. The Portfolio is permitted to deliver or re-pledge these securities through reverse repurchase agreements. The collateral is marked to market daily to ensure that the market value of the assets remains sufficient to protect the Portfolio in the event of default by the seller. Securities purchased under agreements to resell are carried at their contractual amounts plus accrued interest. Securities held as collateral for tri-party repurchase agreements are maintained for the Portfolio in the Portfolio’s account by the tri-party agent until maturity of the repurchase agreement.

As of 31 May 2009, the Fund did not hold any repurchase or reverse repurchase agreements and therefore did not hold or give any underlying securities as collateral. (30 November 2008: none)

(v) Certificates of Deposit and Money Market Investments

Certificates of deposit and money market investments are valued at amortised cost, which approximates market value.

(vi) Shares in Collective Investment Schemes

The value of investments in open-ended investment funds, including Mutual Funds is based upon the net asset value per unit as supplied by the funds.

(d) Derivatives

A derivative is an instrument whose value is derived from an underlying instrument, index reference rate or a combination of these factors. Derivative instruments may be privately negotiated contracts which are often referred to as over the counter (“OTC”) derivatives or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or com- modities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount.

Derivative contracts are stated at market value and recognised as assets and liabilities on the Statement of Assets and Liabilities. Gains and losses resulting from the change in the market value are reflected on the Statement of Operations as a component of change in unrealised gain/(loss). Realised gains or losses are recorded on termination or from periodic cash flow payments.

301 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(d) Derivatives (continued)

(i) Option Contracts

The Company enters into exchange traded and OTC option contracts with various counterparties. When the Company purchases an option, an amount equal to the premium paid is recorded as an asset, the value of which is marked-to-market daily. When the Company writes an option, an amount equal to the premium received by the Company is recorded as a liability and is adjusted to the fair value of the option written on each valuation date.

When options are closed, the difference between the premium and the amount paid or received, net of brokerage commissions, or the full amount of the premium if the option expires worthless, is treated as realised gain or loss. The exercise of an option written by the Company could result in the Company buying or selling a financial instrument at a price different from the current fair value.

The fair value of an OTC contract is determined by applying an option valuation model or by reference to the price quoted by the counterparty to the relevant option agreement. The fair value of an exchange traded option is based on exchange settlement prices or independent market quotes provided by a pricing service or counterparty.

(ii) Futures Contracts

Futures contracts are contracts to buy or sell a standardised quantity of a specified commodity and valued based on exchange settlement prices or independent market quotes. Initial margin deposits, in either cash or securities, are required to trade in the futures market. Unrealised gains or losses on futures contracts are recognised to reflect the market value of the contracts and are included as component of the unrealised gains or losses on the Portfolio’s Statement of Operations. Variation margin is received or paid, depending on whether unrealised gains or losses are incurred. When the contract is terminated, the Portfolio will recognise a realised gain or loss equal to the difference between the value of the contract at the time it was entered into and the time it was closed.

(iii) Swap Contracts

Swaps including Interest Rate Swaps, Credit Default Swaps and Total Return Swaps can be linked to any number of underlying investments and indexes, and swap terms can vary greatly. Cash flows are exchanged based on the underlying. Swap agreements are carried at fair value and the value of the swap agreement is based on a counterparty provided price or valuation model. The model considers various inputs including the fair value of the underlying, the risks associated with the underlying and the specific terms of the contract.

The Europe CORESM Flex Portfolio has entered into 4,979,325 Total Return Swaps (11,321,162 long / 6,341,837 short, together “the Swaps”) on a basket of securities with Morgan Stanley acting as Prime broker. The Japan CORESM Flex Portfolio has entered into (54,646) Total Return Swaps (234,936 long / 289,582 short, together “the Swaps”) on a basket of securities with Morgan Stanley acting as Prime broker. The US CORESM Flex Portfolio has entered into (1,053,624) Total Return Swaps (6,838,606 long / 7,892,230 short, together “the Swaps”) on a basket of securities with Morgan Stanley acting as Prime broker. The Swaps are comprised of positions in a diversified selection of stocks which is continuously monitored by the Investment Advisor.

302 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(d) Derivatives (continued)

(iv) Forward Foreign Currency Contracts

In a forward foreign currency contract, the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. Purchases and sales of forward foreign currency contracts having the same notional value, settlement date and counterparty are generally offset (which result in a net foreign currency position of zero with the counterparty) and any realised gains or losses are recognised on trade date plus one.

The value of forward foreign currency contracts is based on the price at which a new forward foreign currency contract of the same notional value, currency and maturity could be effected at the close of business in the principal currency markets in which these currencies are traded.

(e) All Securities and Derivatives

The value of all securities and derivatives is determined according to procedures developed by a person appointed and authorised by the Directors (“the Competent Person”), including securities where there is either no quotation or a quotation that is believed by the Competent Person to be materially inaccurate. If a quoted market price is not available from a third party pricing service or a dealer, the fair value of the investment is determined by using valuation techniques. Such securities and derivatives shall be valued at their probable realisation value as determined by the Competent Person and reported to the Directors.

Such a Competent Person may be the Investment Manager itself, independent pricing agents or others, subject to applicable law. The Competent Person during the periods ended 31 May 2009 and 31 May 2008 was Goldman Sachs Valuation Oversight Group (“VOG”).

303 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(e) All Securities and Derivatives (continued)

The following table sets forth Competent Person use as at 31 May 2009 and 30 November 2008:

Period ended 31 May 2009 Number of % of Net Portfolios Currency Assets valued Value assets Asia Portfolio USD 2 316,561 0.31%

BRICsSM Portfolio USD 1 2,121,198 0.61%

Europe Portfolio EUR 1 0 0.00%

Global Emerging Markets Equity Portfolio USD 2 2,167,890 0.45%

GMS Alpha+ World Equity Portfolio USD 3 107,362 0.12%

GMS Alpha+ World Equity Portfolio II USD 1 365,822 1.55%

India Equity Portfolio USD 1 540,375 3.57%

Sustain Portfolio USD 1 2,952 0.01%

Europe CORESM Equity Portfolio EUR 1 0 0.00%

Global CORESM Equity Portfolio USD 2 5,595 0.00%

Global Small Cap CORESM Equity Portfolio USD 6 15,295 0.02%

Global Corporate Portfolio (Hedged) NOK 1 243,693 0.00%

Global Emerging Markets Debt Portfolio USD 1 0 0.00%

Global High Yield Portfolio USD 16 541,745 0.03%

Global Currency Portfolio USD 1 56,553 0.16%

Global Libor Plus I Portfolio USD 2 43,417 0.01%

Global Libor Plus II Portfolio USD 2 12,052 0.00%

304 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(e) All Securities and Derivatives (continued)

Year ended 30 November 2008 Number of % of Net Fund Currency Assets valued Value assets

Asia Portfolio USD 1 0 0.00%

BRICsSM Portfolio USD 1 1,671,343 0.87%

Global Emerging Markets Equity Portfolio USD 2 2,668,214 0.60%

GMS Alpha+ US Equity Portfolio USD 1 391,738 1.75%

GMS Alpha+ World Equity Portfolio USD 1 0 0.00%

GMS Alpha+ World Equity Portfolio II USD 1 428,154 0.82%

Sustain Portfolio USD 2 3,331 0.04%

Europe CORESM Equity Portfolio EUR 2 0 0.00%

Global CORESM Equity Portfolio USD 2 0 0.00%

Global Small Cap CORESM Equity Portfolio USD 7 15,057 0.03%

US Small Cap CORESM Equity Portfolio USD 1 49 0.00%

Global Corporate Portfolio (Hedged) NOK 1 162,137 0.00%

Global High Yield Portfolio USD 12 531,862 0.04%

Europe CORESM Flex Portfolio EUR 1 0 0.00%

Global Currency Portfolio USD 1 37,082 0.03%

Global LIBOR Plus I Portfolio USD 2 31,811 0.00%

Global LIBOR Plus II Portfolio USD 2 8,920 0.00%

Global Small Cap CoreSM Equity Portfolio USD 1 4,519 0.00%

Global High Yield Portfolio USD 15 1,256,476 0.03%

Actual realisable value of any security may differ from its probable realisable value as presented in the Statement of Assets and Liabilities.

When a bond has been identified as being in default, the interest accrual on the defaulted security is stopped. On confirmation of default from relevant parties, the amount receivable is written off.

(f) Cash and Cash Equivalents

Cash and cash equivalents consist principally of short-term investments, which are readily convertible into cash and have original maturities of 90 days or less. Cash and cash equivalents are valued at amortised cost, which approximates market value.

(g) Due from/to Brokers

Due from brokers consists primarily of cash collateral receivable from the Portfolio’s clearing brokers and various counterparties. Due to brokers consists primarily of cash collateral payable to the Portfolio’s clearing brokers and various counterparties.

305 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(h) Foreign Currency Translation

The books and records of all Portfolios are maintained in their base currency.Please refer to Appendix I for the base currency of each portfolio. Transactions in foreign currencies are translated at the foreign currency exchange rate in effect at the date of the transaction. Assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign currency closing exchange rate in effect at the period end date. Foreign currency exchange differences arising on translation and realised gains and losses on disposals or settlements of assets and liabilities are recognised in the Statement of Operations. Foreign currency exchange gains or losses relating to investments, derivative financial investments, and all other foreign currency exchange gains or losses relating to monetary items, including cash and cash equivalents, are reflected in the net realised investment gain/(loss) or net change in unrealised investment gain/(loss) in the Statement of Operations.

(i) Expenses

Expenses incurred by the Fund that do not specifically relate to an individual Portfolio or Share Class of the Fund are allocated to the Portfolios depending upon the nature of the charges. Expenses directly attributable to a Portfolio or Share Class are charged in that manner.

(j) “Snap” and “Close” Valuation

In the case of certain Portfolios, the Fund may decide to issue share classes which have different Valuation Points, termed “snap” and “close”, where the “snap” Valuation Point takes a value at a time other than at market close and “close” takes the value based on market closing prices. In consequence, the net asset values and performance per Share of such share classes are expected to differ from each other as a result of the application of different Valuation Points.

For the period ended 31 May 2009, such “snap” and “close” Share Classes as described above are applicable to:

• the Sustain Portfolio,

• the Global CORESM Equity Portfolio,

• the Global Small Cap CORESM Equity Portfolio,

• the US CORESM Equity Portfolio,

• the US Small Cap CORESM Equity Portfolio,

• the US CORESM Flex Portfolio.

For financial reporting purposes only, the Schedules of Investments, the Statement of Assets and Liabilities, the Statement of Operations and the Statement of Changes in Shareholders’ Equity have been presented using prices as of “close” of all markets. If the Schedules of Investments, the Statement of Assets and Liabilities, the Statement of Operations and the Statement of Changes in Shareholders’ Equity

306 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

3 Significant Accounting Policies (continued)

(j) “Snap” and “Close” Valuation (continued)

were to be presented using the “snap” prices, then the total market value and the total net assets would vary as follows:

Market Value of Investments, including Unrealised Gain/Loss on futures Shareholders’ Equity

Percentage Snap Close Variation Snap Close Variation Variation

Sustain Portfolio USD 19,390,977 19,499,102 108,125 19,596,724 19,704,849 108,125 0.55%

Global CORESM Equity Portfolio USD 598,087,700 603,387,244 5,299,544 603,204,123 608,503,667 5,299,544 0.88%

Global Small Cap CORESM Equity Portfolio USD 62,228,181 62,704,772 476,591 62,602,166 63,078,757 476,591 0.76%

US CORESM Equity Portfolio USD 267,680,589 271,571,912 3,891,323 267,738,540 271,629,863 3,891,323 1.45%

US Small Cap CORESM Equity Portfolio USD 28,390,087 28,895,718 505,631 28,538,394 29,044,025 505,631 1.77%

US CORESM Flex Portfolio USD 12,056,604 12,222,652 166,048 12,046,925 12,212,973 166,048 1.38%

4 Taxation

Taxation — Luxembourg Each Portfolio is subject to Luxembourg tax law. Under legislation and regulations in Luxembourg, each Portfolio is subject to a tax (taxe d’abonnement) of 0.05% per annum of each Portfolio’s net assets attributable to the Retail share class and to a tax of 0.01% per annum of the net assets attributable to the “I” share class. The taxe d’abonnement is payable quarterly on the basis of the value of the net assets of each share class as of the end of each calendar quarter.

Generally, under current law, neither the Portfolios nor their shareholders are subject to any Luxembourg tax on income, capital gains, withholding taxes or estate taxes. There is no Luxembourg tax or duty payable on the issuance of the shares.

Dividends, interest, income and investment gains received by a Portfolio on its investments may be subject to non-recoverable withholding or other taxes in the countries of origin.

Taxation — UK Under the United Kingdom Income and Corporation Taxes Act, 1988, offshore funds, including individual share classes, must distribute substantially all of their income every year, and meet certain investment restrictions, in order to apply to the HM Revenue & Customs in the United Kindgom for certification as a distributing fund. Such certification is granted retrospectively for each accounting period.

Taxation — Subsidiary There can be no assurance that any future changes to the India-Mauritius Treaty or future interpretations of such Treaty or a change in the Mauritius or Indian domestic tax laws, or a change of policy of the Mauritian or Indian tax authorities will not adversely affect the tax position of the Subsidiary’s investments, which may have a material effect on the Fund.

307 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

4 Taxation (continued)

Taxation — General Each Portfolio is subject to taxation on capital gains, interest and dividends in certain jurisdictions in which each Portfolio invests. It is the policy of each Portfolio to accrue for such taxes when the dividend is declared or interest is earned. At each valuation date, taxation on unrealised appreciation of securities is accrued for at statutory rates.

Prospective investors should consult their own taxation advisors regarding the tax implications of investing in the fund in relation to their own individual circumstances as they may differ from the general statements that appear above.

5 Significant Agreements

Investment Advisor and Sub-Investment Advisor

Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman Sachs & Co. (“Goldman Sachs”), acts as each Portfolio’s investment advisor pursuant to an Investment Advisory Agreement dated 14 November 2005. Under the Investment Advisory Agreement, GSAMI, subject to the general supervision of the Fund’s Board of Directors, manages the Fund’s Portfolios.

GSAMI may rely upon Goldman Sachs Asset Management L.P., the U.S. sub-advisor, in connection with the selection of securities of U.S. issuers and issuers in many emerging market countries; upon the asset management division of Goldman Sachs (Singapore) PTE, the Asian sub-advisor, in connection with the selection of Asian issuers; and, upon Goldman Sachs Asset Management Co., Ltd, the Japanese sub-advisor, in connection with the selection of Japanese issuers. All these entities are affiliates of Goldman Sachs.

GSAMI has entered into sub-advisory agreements with each of the following sub-advisors in connection with the management of the Goldman Sachs GMS Alpha+ World Equity Portfolio and the Goldman Sachs GMS Alpha+ World Equity Portfolio II: Artisan Partners Limited Partnership; Eagle Capital Management; Polaris Capital Management, Inc.; Southeastern Asset Management, Inc.; and Third Avenue Manage- ment LLC. None of these investment advisors are an affiliate of GSAMI. As compensation for the services rendered under the Investment Advisory Agreement, GSAMI receives a fee, payable monthly, at an annual rate. A portion of the Investment Advisor’s fees may be remitted to the sub-advisor.

GSAMI has voluntarily agreed to limit total expenses in respect of certain Portfolios and certain Share classes. Therefore, to the extent that total ordinary expenses would exceed the expense cap, GSAMI has voluntarily agreed to reduce its advisory fees accordingly for the period ended 31 May 2009. There is no guarantee that the existence or level of these expense caps will continue in the future and no obligation on the part of GSAMI to agree to limit total expenses in this way. In addition, the portfolios are not obliged to reimburse GSAMI for prior fiscal year expense reimbursement, if any.

From 8 September 2008, the fees and expenses charged to Base, Other Currency, A, B and E Share Classes are set at a fixed percentage of the total net assets of each Class of shares. The fixed percentage covers operating costs, which are detailed in the prospectus of the Fund in the Fees and Expenses section. It excludes any fees payable to the Investment Advisor and Distributor and any extraordinary expenses.

To the extent the actual operating costs are less than the fixed percentage, the difference is paid to the Investment Advisor and will be separately disclosed as “Additional fee to Investment Advisor for fixed fee share classes” in the Statement of Operations. To the extent that the actual operating costs exceed the

308 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Investment Advisor and Sub-Investment Advisor (continued)

fixed percentage, the amount borne by the Investment Advisor will be separately disclosed as “Investment Advisor fixed operating fee waived” in the Statement of Operations.

Details of advisory fee rates and the expense caps as at 31 May 2009 are detailed in Appendix I.

Directors’ Remuneration

Mr. Frank Ennis, Mr. Eugene Regan and Mr. David Shubotham are independent Directors and have no executive function with the Investment Advisor or its affiliated companies. The Fund pays each inde- pendent Director an annual fee for their services as a Director of the Fund. Mr. John Perlowski, Mr. Alan Shuch, Mr. Theodore Sotir and Ms. Alison Bott (resigned 22 December 2008) are affiliated with the Investment Advisor and receive no compensation from the Fund. Ms. Alison Bott resigned from her position as a member of the board of directors on 22 December 2008.

Performance Fees

GSAMI is entitled to a monthly performance fee on certain Portfolios. The performance fee accrues daily and is paid monthly out of the assets attributable to each share class of the Portfolios. The performance fee is equal to 20% of the amount by which the Class NAV per Share exceeds such Class’s Benchmark Value per Share, as defined within the prospectus. As at 31 May 2009, the Global Libor Plus I Portfolio, the Global Libor Plus II Portfolio, the Global Currency Portfolio and the Global Currency Plus Portfolio were subject to such a performance fee.

Fees Earned on Other Goldman Sachs Funds

To the extent permitted by applicable law and the terms of the Prospectus, any Portfolio may invest all or some of its short term cash investments in any money market fund advised or managed by Goldman Sachs and may invest in other investment funds advised or managed by Goldman Sachs. Subject to applicable law and the terms of the Prospectus, the Fund may be required to bear its proportionate share of any fees (including investment advisory and management fees) applicable to investment in such investment funds.

The Portfolios may invest in Goldman Sachs US$ Liquid Reserves Fund, Goldman Sachs Sterling Liquid Reserves Fund, Goldman Sachs Euro Liquid Reserves Fund and Goldman Sachs Yen Liquid Reserves Fund (“the Liquid Reserves Funds”), sub-funds of Goldman Sachs Funds, plc. This is a collective investment scheme promoted by the Investment Advisor which is authorised by the Financial Regulator in Ireland as an Undertaking for Collective Investments in Transferable Securities under the European Communities (Undertaking for Collective Investments in Transferable Securities) Regulations 2003. For

309 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Fees Earned on Other Goldman Sachs Funds (continued)

the period ended 31 May 2009, the following Investment Advisory fees were earned on each Portfolio’s investment in the Liquid Reserves Funds:

Investment Advisory Fees Earned on Investments in GS Liquid Reserves Portfolios Currency Funds

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

Asia Portfolio USD 1,149

BRICsSM Portfolio USD 4,164

Europe Equity Target Alpha Portfolio EUR 35

Europe Portfolio EUR 1,149

Global Emerging Markets Concentrated Equity Portfolio USD 1,177

Global Emerging Markets Equity Portfolio USD 2,689

Global Equity Portfolio USD 143

Global Equity Partners Portfolio USD 1,919

Japan Portfolio JPY 195,219

Japan Small Cap Portfolio JPY 97,492

Regional CORE Equity Portfolios

Europe CORESM Equity Portfolio EUR 7,296

Global CORESM Equity Portfolio USD 10,321

Global Small Cap CORESM Equity Portfolio USD 1,315

Japan CORESM Equity Portfolio JPY 106,692

US CORESM Equity Portfolio USD 3,077

US Small Cap CORESM Equity Portfolio USD 972

Sector Equity Portfolios

Global Financial Services Portfolio USD 311

Global Technology Portfolio CHF 1,309

GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Euro Fixed Income Portfolio EUR 629

Global Corporate Portfolio (Hedged) NOK 197,022

310 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Fees Earned on Other Goldman Sachs Funds (continued)

Investment Advisory Fees Earned on Investments in GS Liquid Reserves Portfolios Currency Funds

Global Credit Portfolio (Hedged) USD 9,217

Global Emerging Markets Debt Local Portfolio USD 25,664

Global Emerging Markets Debt Portfolio USD 16,385

Global Fixed Income Portfolio USD 5,320

Global High Yield Portfolio USD 69,754

Specialised Fixed Income Portfolio EUR 4,359

Sterling Broad Fixed Income Portfolio GBP 2,864

Sterling Credit Portfolio GBP 1,630

US Fixed Income Portfolio USD 6,975

US Mortgage Backed Securities Portfolio USD 21,839

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Commodities Enhanced Index Portfolio USD 1,105

Euro Fixed Income Plus Portfolio EUR 618

Global Currency Portfolio USD 1,756

Global Currency Plus Portfolio USD 3,341

Global Fixed Income Plus Portfolio (Hedged) EUR 1,581

Global Libor Plus I Portfolio USD 18,772

Global Libor Plus II Portfolio USD 10,648

Japan CORESM Flex Portfolio JPY 186,504

Sterling Broad Fixed Income Plus Portfolio GBP 1,848

Commissions

In the normal course of its operations, each Portfolio may enter into transactions on securities or other investments with Goldman Sachs or other Goldman Sachs affiliates (together “Goldman Sachs Affili- ates”). For the period ended 31 May 2009, the following transactions were entered into with Goldman

311 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Commissions (continued)

Sachs Affiliates with total brokerage commissions paid to Goldman Sachs Affiliates being split between commissions related to security transactions and futures contracts:

Security Percent of Transactions Total Security Percent of (excluding Security Transactions Total Futures) Aggregate Brokerage Security Futures Portfolios Currency Aggregate Value* Value Commissions Commissions Commissions**

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

Asia Portfolio USD 363,045 0.19% 904 0.61% 756

BRICsSM Portfolio USD 5,286,055 1.45% 11,560 2.10% 96,556

Europe Equity Target Alpha Portfolio EUR 15,867 0.19% 25 0.24% 13,751

Europe Portfolio EUR — — — — 23,528

Global Emerging Markets Concentrated Equity Portfolio USD 13,265,476 8.17% 35,251 11.95% 14,321

Global Emerging Markets Equity Portfolio USD 14,466,384 1.79% 22,291 1.82% 34,655

Global Equity Portfolio USD 33,272 0.05% 9 0.01% 10,507

GMS Alpha+ US Equity Portfolio USD 1,677,927 6.53% 4,878 7.30% —

GMS Alpha+ World Equity Portfolio USD 125,942 0.25% 106 0.14% 6,000

GMS Alpha+ World Equity Portfolio II USD 259,737 0.65% 427 0.78% —

India Equity Portfolio USD 3,674,278 20.04% 12,852 100.00% —

Japan Portfolio JPY 1,913,020,922 3.79% 2,869,444 6.70% 11,143,183

Japan Small Cap Portfolio JPY 128,282,348 1.75% 192,557 2.09% 4,710,196

US Equity Portfolio USD 121,482 0.12% 94 0.12% —

US Premier Equity Portfolio USD 627,306 9.40% 492 100.00% —

US Value Equity Portfolio USD 2,251,869 7.90% 1,140 3.51% —

Regional CORE Equity Portfolios

Europe CORESM Equity Portfolio EUR — — — — 725,929

Global CORESM Equity Portfolio USD — — — — 163,999

Global Small Cap CORESM Equity Portfolio USD — — — — 54,283

Japan CORESM Equity Portfolio JPY — — — — 1,433,186

312 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Commissions (continued)

Security Percent of Transactions Total Security Percent of (excluding Security Transactions Total Futures) Aggregate Brokerage Security Futures Portfolios Currency Aggregate Value* Value Commissions Commissions Commissions**

US CORESM Equity Portfolio USD — — — — 194,451

US Small Cap CORESM Equity Portfolio USD — — — — 7,027

Regional Sector Equity Portfolios

Global Financial Services Portfolio USD 48,221 0.08% 77 0.44% —

Global Technology Portfolio CHF 1,497,628 1.24% 5,267 11.71% —

GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Euro Fixed Income Portfolio EUR 224,000 0.10% — — 34,384

Global Corporate Portfolio (Hedged) NOK — — — — 660,023

Global Credit Portfolio (Hedged) USD 303,761 0.04% — — 10,720

Global Emerging Markets Debt Portfolio USD — — — — 639

Global Fixed Income Portfolio USD — — — — 117,671

Global Fixed Income Portfolio (Hedged) EUR — — — — 28,154

Specialised Fixed Income Portfolio EUR 34,628,016 6.65% — — 24,913

Sterling Broad Fixed Income Portfolio GBP — — — — 113,840

Sterling Credit Portfolio GBP 616,452 — — — —

US Fixed Income Portfolio USD 751,867 0.03% — — 24,184

US Mortgage Backed Securities Portfolio USD 57,450,472 0.45% — — 119,017

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Commodities Enhanced Index Portfolio USD — — — — 183,440

Euro Fixed Income Plus Portfolio EUR — — — — 13,597

Europe CORESM Flex Portfolio EUR — — — — 57,106

Global Currency Portfolio USD 64,743 0.12% — — 68,088

Global Fixed Income Plus Portfolio (Hedged) EUR 289,333 0.02% — — 68,088

313 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Commissions (continued)

Security Percent of Transactions Total Security Percent of (excluding Security Transactions Total Futures) Aggregate Brokerage Security Futures Portfolios Currency Aggregate Value* Value Commissions Commissions Commissions**

Global Libor Plus I Portfolio USD 49,248,135 0.62% — — 12,085

Global Libor Plus II Portfolio USD 86,690,507 1.46% — — 5,203

Japan CORESM Flex Portfolio JPY — — — — 7,748,526

Sterling Broad Fixed Income Plus Portfolio GBP — — — — 95,540

US CORESM Flex Portfolio USD — — — — 7,178

* Represents the cost of Securities (excluding futures transactions) for transactions entered into with Goldman Sachs Affiliates. ** All portfolio futures transactions were affected through Goldman Sachs.

There were no transactions with affiliates for Global Equity Partners Portfolio, Global Property Securities Portfolio, US Growth Equity Portfolio, US Growth Opportunities Portfolio, GMS Alpha+ Europe Equity Portfolio, Sustain Portfolio, UK CORESM Equity Portfolio, Global High Yield Portfolio and Global Currency Plus Portfolio.

The Investment Advisor undertakes forward currency contracts with a number of counterparties including Goldman Sachs International.

The Investment Advisor undertakes swap transactions with a number of counterparties including Goldman Sachs International.

All such transactions with GS Affiliates were entered into the ordinary course of business and on normal commercial terms. A number of Portfolios invest into other Goldman Sachs Funds, as indicated in the Schedules of Investments.

Securities Lending

The securities lending agent is Goldman Sachs Agency Lending, an affiliate of Goldman Sachs.

The Portfolios may lend portions of investments to third parties. In return the portfolio receives a fee that is negotiated for each transaction. The Portfolios receive G-10 (excluding Italy and Japan) government securities as collateral against the securities loaned. G-10 is made of eleven industrial countries (Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States) which consult and co-operate on economic, monetary and financial matters. This collateral is maintained over the life of the loan for an amount not less than 102% of the value of lent securities in the case of lent securities denominated in US Dollars or whose primary trading market is located in the United States, and not less than 105% in the case of lent securities which are not denominated in US Dollars or whose primary trading market is not located in the United States. In general, loans may only be affected via recognised clearing houses, or through the intermediary of prime financial institutions that specialise in such activities and in the way specified by them.

314 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Securities Lending (continued)

The following summarises the securities lent as at 31 May 2009 and the income earned by each Portfolio part of the Securities Lending program:

Collateral as a Percentage of the Income Market Value Market Value Market Value Earned of Securities Of Collateral of Securities for the Lent as at Received as at Lent as at Period Ended Portfolios Currency 31 May 2009 31 May 2009 31 May 2009 31 May 2009

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

BRICsSM Portfolio USD 1,473,000 1,546,705 105% 1,693

Europe Equity Target Alpha Portfolio EUR 368,256 387,075 105% 13,629

Europe Portfolio EUR 4,732,727 4,969,728 105% 129,320

Global Emerging Markets Concentrated Equity Portfolio USD — — — 2,660

Global Emerging Markets Equity Portfolio USD 3,314,250 3,479,991 105% 15,756

Global Equity Portfolio USD 1,213,463 1,274,599 105% 33,291

Global Equity Partners Portfolio USD 4,772,559 5,011,333 105% 149,742

GMS Alpha+ World Equity Portfolio USD — — — 40,983

GMS Alpha+ World Equity Portfolio II USD 1,008,341 1,059,587 105% 29,496

Japan Portfolio JPY 236,949,769 248,859,296 105% 2,206,530

Japan Small Cap Portfolio JPY 132,827,217 139,580,210 105% 1,611,926

Sustain Portfolio USD 180,416 190,800 106% 5,722

Regional CORE Equity Portfolios

Europe CORESM Equity Portfolio EUR 55,304,102 58,070,259 105% 1,488,389

Global CORESM Equity Portfolio USD 15,121,559 15,878,896 105% 468,771

Global Small Cap CORESM Equity Portfolio USD 209,931 220,454 105% 19,762

Japan CORESM Equity Portfolio JPY 75,656,570 79,557,980 105% 989,776

Sector Equity Portfolios

Global Financial Services Portfolio USD — — — 1,047

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Europe CORESM Flex Portfolio EUR 3,760,276 3,948,448 105% 214,081

315 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Securities Lending (continued)

Collateral as a Percentage of the Income Market Value Market Value Market Value Earned of Securities Of Collateral of Securities for the Lent as at Received as at Lent as at Period Ended Portfolios Currency 31 May 2009 31 May 2009 31 May 2009 31 May 2009

Global Property Securities Portfolio USD — — — 3,788

Japan CORESM Flex Portfolio JPY 139,172,390 146,284,221 105% 1,987,932

Total (in USD) 3,285,793

Administrator, Custodian, Domiciliary Agent and Listing Agent

The Fund has appointed State Street Bank Luxembourg S.A. as Administrator, Custodian, Domiciliary Agent and Listing Agent.

For its services as an Administrator, Domiciliary Agent and Listing Agent, State Street Bank Luxembourg S.A. receives a fee payable monthly and calculated on the Monthly Average Net Assets of each Portfolio. Please see the table below which details the fee rate for all Portfolios except India Equity Portfolio:

Fee rate Monthly Average Net Assets. % USD million

0.04 up to 250

0.03 from 250 up to 500

0.025 from 500 up to 1,000

0.02 from 1,000 up to 1,500

0.0175 above 1,500

For its services as Custodian, State Street Bank Luxembourg S.A. charges a fee which is a combination of basis point charge on assets and transactions dependent on the country.

For India Equity Portfolio, State Street Bank Luxembourg S.A. receives a flat fee of USD15,000 for Administrator services. State Street Bank Luxembourg S.A. may also receive Custodian fees in respect of any residual assets held by the India Equity Portfolio.

For its Financial Reporting Services, State Street Bank Luxembourg S.A. receives a fixed fee of USD 9,000 per annum per portfolio payable monthly in arrears.

31-May-2009 31-May-2008 Expenses during the year USD USD

Financial Reporting Services fees 296,527 262,160

Administration, Custodian, Domiciliary and Listing Agent fees 8,524,188 10,358,057

Total 8,820,715 10,620,217

316 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Distributor

Goldman Sachs International (“GSI”), an affiliate of the Fund serves as the Distributor of shares of each Portfolio pursuant to a Distribution Agreement dated 14 November 2005. GSI may receive a portion of the sales charge imposed on the sale of Portfolio shares. Please see the table below which details the value of retained sales charges per Portfolio.

Portfolios Currency Sales Charge

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

Asia Portfolio USD 21

BRICsSM Portfolio USD 23,236

Europe Portfolio EUR 46

Global Emerging Markets Equity Portfolio USD 659

Global Equity Partners Portfolio USD 29,469

GMS Alpha+ World Equity Portfolio USD 750

GMS Alpha+ World Equity Portfolio II USD 825

India Equity Portfolio USD 525

Japan Portfolio JPY 129,129

Japan Small Cap Portfolio JPY 589

Sustain Portfolio USD 17,708

US Equity Portfolio USD 16,322

US Growth Equity Portfolio USD 4

Regional CORE Equity Portfolios

Europe CORESM Equity Portfolio EUR 1,332

Japan CORESM Equity Portfolio JPY 169,450

US CORESM Equity Portfolio USD 18

US Small Cap CORESM Equity Portfolio USD 9

GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Euro Fixed Income Portfolio EUR 96

Global Credit Portfolio (Hedged) USD 50,692

Global Emerging Markets Debt Local Portfolio USD 300

Global Emerging Markets Debt Portfolio USD 32

Global Fixed Income Portfolio USD 2,266

Global High Yield Portfolio USD 242,300

317 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Distributor (continued)

Portfolios Currency Sales Charge

Sterling Credit Portfolio GBP 133,554

Specialist Portfolios

Euro Fixed Income Plus Portfolio EUR 8

Global Currency Portfolio USD 143

Global Fixed Income Plus Portfolio (Hedged) EUR 9,033

Global Libor Plus I Portfolio USD 2,068

Global Libor Plus II Portfolio USD 529

As of 31 May 2009, there were no retained sales charges for the Europe Equity Target Alpha Portfolio, Global Emerging Markets Concentrated Equity Portfolio, Global Equity Portfolio, GMS Alpha+ Europe Equity Portfolio, GMS Alpha+ US Equity Portfolio, US Growth Opportunities Portfolio, US Premier Equity Portfolio, US Value Equity Portfolio, Global CORESM Equity Portfolio, Global Small Cap CORESM Equity Portfolio, UK CORESM Equity Portfolio, Global Financial Services Portfolio, Global Technology Portfolio, Global Corporate Portfolio (Hedged), Global Fixed Income Portfolio (Hedged), Specialised Fixed Income Portfolio, Sterling Broad Fixed Income Portfolio, US Fixed Income Portfolio, US Mortgage Backed Securities Portfolio, Commodities Enhanced Index Portfolio, Europe CORESM Flex Portfolio, Global Currency Plus Portfolio, Global Property Securities Portfolio, Japan CORESM Flex Portfolio, Sterling Broad Fixed Income Plus Portfolio and US CORESM Flex Portfolio.

In respect of “A” and “E” share classes of a Portfolio, the Distributor will receive an additional monthly distribution fee for its services payable out of the share class assets and charged at a rate of up to 0.50% per annum by reference to the class’ average daily net asset value. In respect of “B” share classes of a Portfolio, the Distributor will receive an additional monthly distribution fee and a services fee payable out of the share class assets of that Portfolio and charged at the rate of up to 1% and 0.50% respectively per annum by reference to the class’ average daily net asset value.

In respect of “D” share classes of a Portfolio, the Distributor will receive an additional monthly distribution fee for its services payable out of the share class assets and charged at the rate of up to 0.25% per annum by reference to the relevant class’ average daily net asset value.

Other share classes have no distribution fees.

Out of its fees, the Distributor is responsible for remunerating third party sub-distributors.

Transfer Agent

The Fund has appointed RBC Dexia Investor Services Bank S.A. as registrar and transfer agent (the “Transfer Agent”) for the Fund pursuant to the Registrar and Transfer Agent Agreement between the Fund and the Transfer Agent dated 14 November 2005. The day-to-day services provided to the Fund by the

318 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

5 Significant Agreements (continued)

Transfer Agent (continued)

Transfer Agent include receiving and processing subscription and redemption orders, allotting and issuing shares and maintaining the shareholder register for the shares. The Transfer Agent is paid a fee, quarterly in arrears, out of the net assets of the Portfolios. The Transfer Agency fee consists of both a fixed and variable fee. The fixed portion consists of an annual charge for maintenance and shareholder account charges. Variable costs are determined by the level of transactions in each Portfolio.

For the period ended 31 May 2009, the Transfer Agency fees charged to the Fund amounted to USD 847,041 (31 May 2008: USD 638,122).

Shareholder Services

GSI, through its European Shareholder Services Group, also receives a fee from the Portfolios. This is in respect of investor services provided to shareholders in the Portfolios and is payable monthly in arrears. Investors should note that this fee is in addition to the fee payable to GSI in its capacity as Distributor.

For the period ended 31 May 2009, the Shareholder Services fees charged to the Fund amounted to USD 1,021,170 (31 May 2008: USD 2,224,759).

6 Share Capital

Shares of each Portfolio may be purchased through the Distributor and any sub-distribution agent daily, at the net asset value per share of the relevant class of shares of the Portfolio on such date, plus any applicable sales charge. For Base Currency shares, Other Currency shares, “P” shares and “U” shares the sales charge will not exceed 5.5% of the purchase price of these shares. For “A”, “D” and “E” shares the sales charge will not exceed 4%. For “J” shares the sales charge will not exceed 3.5%. The “B” shares of each Portfolio have no upfront sales charge but are subject to a Contingent Deferred Sales Charge (“CDSC”) which varies based on time shares are held between 4% and 0% of the lower of either initial purchase price or total net asset value of the shares being redeemed. The “I” shares, “IO” shares and “IX” shares of each Portfolio have no sales charge.

The minimum initial investment for “I” shares is, depending on the currency of such share classes, USD 1 million, EUR 1 million, GBP 1 million or JPY 100 million. The minimum initial investment for Base shares and for Base Accumulation shares is, depending on the currency of such share class, USD 5,000, EUR 5,000, GBP 3,000, JPY 500,000 or CHF 7,500. For all other share classes the minimum initial investment is USD 1,500, EUR 1,500, JPY 150,000, GBP 1,500 and CHF 2,500, AUD 5 million and HKD 5 million in each USD, EUR, JPY,GBP,CHF,AUD and HKD denominated share classes, respectively. The minimum initial investment for “U” shares is USD 20 million. The minimum initial subscription level for Base Shares in the GMS Alpha+ World Equity Portfolio and in the GMS Alpha+ World Equity Portfolio II is USD 200,000. The minimum subsequent subscription level for the GMS Alpha+ World Equity Portfolio and the GMS Alpha+ World Equity Portfolio II is USD 50,000 in respect of all share classes. Shares are redeemable on a daily basis prior to 2pm CET,cut-off time, at the option of the shareholder,at the net asset value per share determined on such date.

319 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

The following summarises the activity in the Portfolios’ shares for the period ended 31 May 2009.

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Regional Equity Portfolios Asia Portfolio Base Currency Share Class USD 2,812,934 272,931 999,141 2,086,724 Base Accumulation Share Class USD 325,982 2,352 199,600 128,734 “A” Share Class USD 991,174 31,652 100,147 922,679 “B” Share Class USD 69,460 16,000 4,697 80,763 “I” Share Class USD 1,857,061 1,341,143 793,602 2,404,602 “I” Accumulation Share Class USD 5,194 — 1,099 4,095 “E” Accumulation Share Class EUR 477,629 34,108 141,197 370,540 “P” Share Class USD 358,149 891 70,048 288,992 “P” Accumulation Share Class USD 327,689 183,712 141,855 369,546 Asia Portfolio Total 7,225,272 1,882,789 2,451,386 6,656,675 BRICsSM Portfolio Base Currency Share Class USD 1,337,844 177,832 201,131 1,314,545 Base Accumulation Share Class USD 4,404,979 439,275 1,139,156 3,705,098 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 1,343,617 188,716 198,285 1,334,048 “A” Share Class USD 1,727,230 641,393 430,967 1,937,656 “I” Accumulation Share Class USD 1,648,651 1,473,028 766,810 2,354,869 “IO” Accumulation Share Class USD 257,850 35,256 85,490 207,616 “IO” Accumulation Share Class GBP 1,000 11,326 1,734 10,592 “E” Accumulation Share Class EUR 8,891,110 4,092,645 1,213,489 11,770,266 “IX” Share Class USD 6,013,174 656,897 101,524 6,568,547 “P” Share Class USD 612,191 69,911 16,424 665,678 “P” Accumulation Share Class USD 1,037,584 452,305 291,927 1,197,962 BRICsSM Portfolio Total 27,275,230 8,238,584 4,446,937 31,066,877 Europe Equity Target Alpha Portfolio Base Currency Share Class EUR 595,924 15,276 106,452 504,748 Base Accumulation Share Class EUR 81,291 — 35,382 45,909 “I” Share Class EUR 1,000 26 — 1,026 “I” Accumulation Share Class EUR 1,000 — — 1,000 “E” Accumulation Share Class EUR 41,936 638 9,348 33,226 “P” Share Class EUR 1,000 1 — 1,001 “P” Accumulation Share Class EUR 40,581 29,247 — 69,828 Europe Equity Target Alpha Portfolio Total 762,732 45,188 151,182 656,738 Europe Portfolio Base Currency Share Class EUR 392,562 39,193 80,548 351,207 Base Accumulation Share Class EUR 230,642 — 158,534 72,108 Other Currency Share Class USD 409,793 26,654 98,228 338,219 “A” Share Class EUR 665,245 58,660 34,341 689,564 “A” Share Class USD 46,320 957 420 46,857 “B” Share Class USD 9,923 — 5,974 3,949 “I” Share Class EUR 166,810 5,790 172,214 386 “I” Accumulation Share Class EUR 1,408,565 886,102 564,959 1,729,708 “E” Accumulation Share Class EUR 211,382 24,576 39,109 196,849 “IO” Accumulation Share Class EUR 315,356 15,375 12,159 318,572 “P” Share Class EUR 128,372 20,657 143 148,886 “P” Accumulation Share Class EUR 251,988 302,565 109,951 444,602 Europe Portfolio Total 4,236,958 1,380,529 1,276,580 4,340,907 Global Emerging Markets Concentrated Equity Portfolio Base Currency Share Class USD 259,989 129,651 — 389,640 Base Accumulation Share Class USD 5,523 — — 5,523 “A” Share Class USD 1,000 — — 1,000 “E” Accumulation Share Class EUR 1,000 — — 1,000 “I” Share Class USD 1,000 — — 1,000 “I” Accumulation Share Class USD 1,000 — — 1,000 “IO” Accumulation Share Class USD 257,677 7,624 77,563 187,738 “IX” Share Class USD 21,775,153 368,608 6,066,984 16,076,777 “P” Share Class USD 1,000 2 — 1,002 “P” Accumulation Share Class USD 1,000 — — 1,000 Global Emerging Markets Concentrated Equity Portfolio 22,304,342 505,885 6,144,547 16,665,680

320 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global Emerging Markets Equity Portfolio Base Currency Share Class USD 2,804,760 376,076 754,698 2,426,138 Base Accumulation Share Class USD 1,114,064 2,123,305 526,160 2,711,209 “A” Share Class USD 1,131,270 82,185 192,842 1,020,613 “B” Share Class USD 29,430 — 3,207 26,223 “I” Share Class USD 6,347,021 1,754,843 2,061,486 6,040,378 “I” Accumulation Share Class USD 6,567,330 1,084,344 3,279,198 4,372,476 “E” Accumulation Share Class EUR 6,717,333 163,111 4,964,489 1,915,955 “IO” Share Class USD 1,968,161 1,092,506 1,749,619 1,311,048 “IX” Share Class USD 19,844,416 2,943,908 8,030,749 14,757,575 “IO” Accumulation Share Class USD 700,066 212,183 165,951 746,298 “IO” Accumulation Share Class GBP 1,000 18,014 1,995 17,019 “P” Share Class USD 1,286,804 66,542 39,058 1,314,288 “P” Accumulation Share Class USD 950,520 380,099 128,164 1,202,455 Global Emerging Markets Equity Portfolio Total 49,462,175 10,297,116 21,897,616 37,861,675 Global Equity Portfolio Base Currency Share Class USD 2,209,859 74,637 178,934 2,105,562 Base Accumulation Share Class USD 11,963 — — 11,963 “A” Share Class USD 194,070 48,476 84,643 157,903 “B” Share Class USD 24,457 — — 24,457 “I” Accumulation Share Class USD 1,000 — — 1,000 “E” Accumulation Share Class EUR 35,889 989 38 36,840 “D” Share Class USD 1,120,650 — 24,560 1,096,090 “P” Share Class USD 1,000 1 — 1,001 “P” Accumulation Share Class USD 4,203 2,443 1,173 5,473 Global Equity Portfolio Total 3,603,091 126,546 289,348 3,440,289 Global Equity Partners Portfolio Base Currency Share Class USD 199,362 5,708,857 1,389,096 4,519,123 Base Accumulation Share Class USD 4,537,408 1,559,830 1,279,639 4,817,599 Other Currency Share Class GBP 1,256,088 922,693 105,538 2,073,243 Other Currency Accumulation Share Class GBP 683,674 185,627 29,229 840,072 “A” Share Class USD — 834,465 109,145 725,320 “A” Accumulation Share Class USD — 196,301 — 196,301 “I” Accumulation Share Class USD — 17,277 — 17,277 Other Currency Accumulation Share Class EUR 4,047,743 323,587 336,151 4,035,179 “E” Accumulation Share Class EUR — 105,118 548 104,570 “P” Share Class USD — 413,694 — 413,694 “P” Accumulation Share Class USD — 49,524 34,149 15,375 Global Equity Partners Portfolio Total 10,724,275 10,316,973 3,283,495 17,757,753 GMS Alpha+ Europe Equity Portfolio Base Currency Share Class EUR 799,793 57,306 857,099 — Base Accumulation Share Class EUR 731,827 — 731,827 — GMS Alpha+ Europe Equity Portfolio Total 1,531,620 57,306 1,588,926 — GMS Alpha+ US Equity Portfolio Base Currency Share Class USD 3,290,069 157,480 3,447,549 — Base Accumulation Share Class USD 158,378 — 158,378 — GMS Alpha+ US Equity Portfolio Total 3,448,447 157,480 3,605,927 — GMS Alpha+ World Equity Portfolio Base Currency Share Class USD 14,351,515 420,276 4,746,247 10,025,544 GMS Alpha+ World Equity Portfolio Total 14,351,515 420,276 4,746,247 10,025,544 GMS Alpha+ World Equity Portfolio II Base Currency Share Class USD 7,075,990 66,950 4,267,157 2,875,783 Base Accumulation Share Class USD 36,320 — — 36,320 GMS Alpha+ World Equity Portfolio II Total 7,112,310 66,950 4,267,157 2,912,103

321 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

India Equity Portfolio Base Currency Share Class USD 539,423 — — 539,423 Base Accumulation Share Class USD 817,268 — 8,985 808,283 “A” Share Class USD 1,000 2,000 — 3,000 “I” Share Class USD 1,000 — — 1,000 “E” Accumulation Share Class EUR 1,000 1,578 — 2,578 “I” Accumulation Share Class USD 501,000 — — 501,000 “P” Share Class USD 42,302 — — 42,302 “P” Accumulation Share Class USD 53,831 22,410 59,895 16,346 India Equity Portfolio Total 1,956,824 25,988 68,880 1,913,932 Japan Portfolio Base Currency Share Class JPY 20,734,145 3,464,534 20,765,086 3,433,593 Base Accumulation Share Class JPY 697,984 297,121 184,831 810,274 Other Currency Share Class USD 119,181 4,600 44,892 78,889 “A” Share Class USD 265,905 31,228 64,473 232,660 “B” Share Class USD 99,548 4,161 1,501 102,208 “I” Share Class JPY 4,587,029 1,136,643 615,928 5,107,744 “E” Accumulation Share Class EUR 1,158,065 3,190,130 1,218,442 3,129,753 “I” Accumulation Share Class JPY 504,509 534,245 434,332 604,422 “P” Share Class JPY 37,818 5,050 19,243 23,625 “P” Accumulation Share Class JPY 22,672 6,088 6,387 22,373 Japan Portfolio Total 28,226,856 8,673,800 23,355,115 13,545,541 Japan Small Cap Portfolio Base Currency Share Class JPY 2,609,507 15,516 706,391 1,918,632 Base Accumulation Share Class JPY 4,593 931 328 5,196 “A” Share Class USD 2,582,166 105,940 1,849,730 838,376 “B” Share Class USD 51,148 — 14,303 36,845 “I” Share Class JPY 211,406 6,415 44,985 172,836 “E” Accumulation Share Class EUR 115,660 1,084 13,323 103,421 “I” Accumulation Share Class JPY 214 — 99 115 “P” Share Class JPY 909 — — 909 “P” Accumulation Share Class JPY 5,630 90 4,522 1,198 Japan Small Cap Portfolio Total 5,581,233 129,976 2,633,681 3,077,528 Sustain Portfolio Base Currency Close Share Class USD 1,000 — — 1,000 Base Accumulation Snap Share Class USD 1,000 — — 1,000 Base Accumulation Close Share Class USD 1,000 40,000 — 41,000 “A” Snap Share Class USD 1,000 — — 1,000 “A” Accumulation Snap Share Class USD 1,000 — — 1,000 “E” Snap Share Class EUR 1,000 — — 1,000 “E” Accumulation Snap Share Class EUR 1,000 — — 1,000 “I” Accumulation Snap Share Class USD 1,000 — — 1,000 “I” Accumulation Close Share Class USD 697,009 712,289 744,025 665,273 “IO” Close Share Class USD 1,000 4 — 1,004 “P” Snap Share Class USD 1,000 81,911 — 82,911 “P” Snap Share Class EUR 1,000 816,998 — 817,998 “P” Accumulation Snap Share Class USD 1,000 86,360 809 86,551 “P” Accumulation Snap Share Class EUR 208,989 87,000 — 295,989 Sustain Portfolio Total 917,998 1,824,562 744,834 1,997,726 US Equity Portfolio Base Currency Share Class USD 57,637 2,091,613 33,206 2,116,044 Base Accumulation Share Class USD 301,671 320,832 19,981 602,522 “A” Share Class USD 918,233 397,330 134,760 1,180,803 “E” Accumulation Share Class EUR 9,811 3,960,976 14,994 3,955,793 “I” Accumulation Share Class USD 260,992 1,627,972 53,473 1,835,491 “IO” Accumulation Share Class EUR 619,437 — 619,437 — “P” Share Class USD 1,000 889,061 — 890,061 “P” Accumulation Share Class USD 71,587 577,737 — 649,324 US Equity Portfolio Total 2,240,368 9,865,521 875,851 11,230,038

322 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

US Growth Equity Portfolio Base Currency Share Class USD 3,360,123 855,486 878,713 3,336,896 Base Accumulation Share Class USD 111,136 199,383 77,321 233,198 “A” Share Class USD 2,265,092 298,961 343,108 2,220,945 “B” Share Class USD 107,944 49,476 14,809 142,611 “I” Share Class USD 1,863,892 312,975 1,324,812 852,055 “E” Accumulation Share Class EUR 9,399 50,618 3,039 56,978 “I” Accumulation Share Class USD 1,000 47,062 — 48,062 “P” Share Class USD 222,852 61,347 — 284,199 “P” Accumulation Share Class USD 363,124 841,772 22,411 1,182,485 US Growth Equity Portfolio Total 8,304,562 2,717,080 2,664,213 8,357,429 US Growth Opportunities Portfolio Base Currency Share Class USD 348,786 2,672 351,458 — Base Accumulation Share Class USD 1,120,818 193,415 1,314,233 — “A” Share Class USD 178,016 25 178,041 — “B” Share Class USD 36,166 — 36,166 — “I” Share Class USD 100 — 100 — “E” Accumulation Share Class EUR 22,535 1,468 24,003 — “I” Accumulation Share Class USD 1,000 37,644 38,644 — “P” Share Class USD 4,472 — 4,472 — “P” Accumulation Share Class USD 1,000 1,109 2,109 — US Growth Opportunities Portfolio Total 1,712,893 236,333 1,949,226 — US Premier Equity Portfolio Base Currency Share Class USD 91,104 — 91,104 — Base Accumulation Share Class USD 84,536 — 84,536 — “A” Share Class USD 151,621 — 151,621 — “E” Accumulation Share Class EUR 1,001 — 1,001 — “I” Accumulation Share Class USD 1,000 — 1,000 — “P” Share Class USD 110,567 3 110,570 — “P” Accumulation Share Class USD 1,000 — 1,000 — US Premier Equity Portfolio Total 440,829 3 440,832 — US Value Equity Portfolio Base Currency Share Class USD 666,578 375 425,708 241,245 Base Accumulation Share Class USD 1,965,707 107,900 369,355 1,704,252 “A” Share Class USD 346,105 14,818 82,357 278,566 “E” Accumulation Share Class EUR 12,805 12,683 4,616 20,872 “I” Accumulation Share Class USD 231,255 2,784 37,919 196,120 “P” Share Class USD 98,395 131,559 65 229,889 “P” Accumulation Share Class USD 440,239 338,851 146,519 632,571 US Value Equity Portfolio Total 3,761,084 608,970 1,066,539 3,303,515 Regional CORE Equity Portfolios Europe CORESM Equity Portfolio Base Currency Share Class EUR 31,175,225 3,986,282 13,202,119 21,959,388 Base Accumulation Share Class EUR 14,425,791 13,916,495 7,013,440 21,328,846 “A” Share Class EUR 11,835,566 1,032,448 2,557,940 10,310,074 “A” Share Class USD 293,280 6,042 5,732 293,590 “I” Share Class EUR 2,607,106 289,048 1,463,089 1,433,065 “I” Accumulation Share Class EUR 10,673,701 6,230,333 2,562,844 14,341,190 “E” Accumulation Share Class EUR 1,304,106 97,327 766,277 635,156 “P” Accumulation Share Class EUR 1,579,830 985,025 301,377 2,263,478 “IO” Accumulation Share Class EUR 865,723 — 859,050 6,673 Europe CORESM Equity Portfolio Total 74,760,328 26,543,000 28,731,868 72,571,460

323 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global CORESM Equity Portfolio Base Accumulation Close Share Class USD 1,000 — — 1,000 Base Accumulation Snap Share Class USD 265,814 — 65,565 200,249 Base Currency Close Share Class USD 9,124 6,001 — 15,125 Base Currency Snap Share Class USD 907,372 1,209,994 290,024 1,827,342 “A” Snap Share Class USD 3,807 — 164 3,643 “IO” Accumulation Close Share Class USD 5,592,827 5,979,297 818,333 10,753,791 “E” Accumulation Close Share Class EUR 2,064,920 9,001 303,479 1,770,442 “E” Accumulation Snap Share Class EUR 92,302 36,720 19,649 109,373 “I” Accumulation Close Share Class USD 32,329,071 194,039 11,712,467 20,810,643 “I” Accumulation Close Share Class EUR 9,468,017 14,207,695 456,120 23,219,592 “I” Close Share Class USD 830 21 — 851 “I” Snap Share Class USD 11,264,490 153,081 6,848,089 4,569,482 “P” Accumulation Snap Share Class USD 2,134,065 762,961 362,651 2,534,375 “IO” Accumulation Close Share Class GBP 1,000 148,041 16,111 132,930 “IO” Accumulation Close Share Class EUR 8,382,816 22,901 7,978 8,397,739 “P” Snap Share Class USD — 682,643 — 682,643 Global CORESM Equity Portfolio Total 72,517,455 23,412,395 20,900,630 75,029,220 Global Small Cap CORESM Equity Portfolio Base Currency Close Share Class USD 1,003 11 — 1,014 Base Currency Snap Share Class USD 9,334,366 482,223 484,644 9,331,945 “A” Close Share Class USD 1,000 4 — 1,004 “A” Snap Share Class USD 1,385 3 — 1,388 “IO” Accumulation Close Share Class USD 423,012 51,703 81,577 393,138 “E” Accumulation Close Share Class EUR 1,000 — — 1,000 “E” Accumulation Snap Share Class EUR 1,000 — — 1,000 “I” Accumulation Snap Share Class EUR 1,000 — — 1,000 “IO” Accumulation Close Share Class GBP 1,000 10,955 1,525 10,430 “P” Accumulation Snap Share Class USD 1,000 — — 1,000 Global Small Cap CORESM Equity Portfolio Total 9,765,766 544,899 567,746 9,742,919 Japan CORESM Equity Portfolio Base Currency Share Class JPY 174,057 6,862 29,853 151,066 Base Accumulation Share Class JPY 64,533 41 27,003 37,571 Other Currency Share Class GBP 51,103 14,843 58,351 7,595 “A” Share Class USD 275,933 — 29,385 246,548 “E” Accumulation Share Class EUR 8,565,050 2,156,255 117,673 10,603,632 “I” Accumulation Share Class JPY 117 10,924 84 10,957 “J” Share Class (AUD Hedged Class) AUD 74,832 14,066 17,361 71,537 “J” Share Class (USD Hedged Class) USD 164,000 4,945 12,295 156,650 “P” Accumulation Share Class JPY 30,209 — 5,154 25,055 Japan CORESM Equity Portfolio Total 9,399,834 2,207,936 297,159 11,310,611 UK CORESM Equity Portfolio Base Currency Share Class GBP 1,425 — 1,425 — Base Accumulation Share Class GBP 890 — 890 — “A” Share Class USD 839 — 839 — “I” Share Class GBP 5,415 — 5,415 — “E” Accumulation Share Class EUR 1,000 — 1,000 — UK CORESM Equity Portfolio Total 9,569 — 9,569 — US CORESM Equity Portfolio Base Accumulation Snap Share Class USD 239,627 9,113 64,301 184,439 Base Accumulation Close Share Class USD 905,086 26,459 360,565 570,980 Base Currency Snap Share Class USD 13,562,049 1,605,162 3,992,204 11,175,007 Base Currency Close Share Class USD 114,436 243,179 85,380 272,235 “A” Snap Share Class USD 1,215,968 230,181 138,089 1,308,060 “B” Snap Share Class USD 92,968 — 16,625 76,343 “I” Accumulation Close Share Class USD 68,614 1,827 70,441 — “I” Snap Share Class USD 4,102,629 989,511 789,604 4,302,536 “E” Accumulation Snap Share Class EUR 1,153,998 1,107,875 1,301,975 959,898 “P” Accumulation Snap Share Class USD 334,601 282,027 20,963 595,665 “U” Close Share Class USD 9,450,844 1,283,533 2,595,844 8,138,533 “P” Snap Share Class USD 237,462 — — 237,462 US CORESM Equity Portfolio Total 31,478,282 5,778,867 9,435,991 27,821,158

324 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

US Small Cap CORESM Equity Portfolio Base Currency Snap Share Class USD 4,265 — 820 3,445 Base Accumulation Snap Share Class USD 42,705 — — 42,705 Base Accumulation Close Share Class USD 1,866 — — 1,866 “A” Close Share Class USD 2,298 990 — 3,288 “P” Accumulation Snap Share Class USD 1,000 239,598 — 240,598 “I” Snap Share Class USD 4,326,340 528,722 182,819 4,672,243 “I” Accumulation Snap Share Class USD 1,000 — — 1,000 “E” Accumulation Close Share Class EUR 1,000 — — 1,000 “E” Accumulation Snap Share Class EUR 1,000 — — 1,000 US Small Cap CORESM Equity Portfolio Total 4,381,474 769,310 183,639 4,967,145 Sector Equity Portfolios Global Financial Services Portfolio Base Currency Share Class USD 1,486,096 189,352 1,675,448 — Base Accumulation Share Class USD 1,124,546 67,337 1,191,883 — “A” Share Class USD 752,493 38,015 790,508 — “B” Share Class USD 13,951 1,694 15,645 — “E” Accumulation Share Class EUR 175,096 21,593 196,689 — “I” Accumulation Share Class USD 1,000 — 1,000 — “P” Share Class USD 21,878 60 21,938 — “P” Accumulation Share Class USD 1,000 — 1,000 — Global Financial Services Portfolio Total 3,576,060 318,051 3,894,111 — Global Technology Portfolio Base Currency Share Class CHF 3,621,450 371,244 3,992,694 — Other Currency Accumulation Share USD 107,815 182 107,997 — Other Currency Share Class USD 1,899,992 54,060 1,954,052 — Other Currency Share Class GBP 7,147 — 7,147 — “A” Share Class USD 547,222 — 547,222 — “B” Share Class USD 100 — 100 — “E” Accumulation Share Class EUR 38,918 3,104 42,022 — “I” Accumulation Share Class USD 281,900 430,000 711,900 — “P” Share Class USD 8,333 — 8,333 — “P” Accumulation Share Class USD 3,519 542 4,061 — Global Technology Portfolio Total 6,516,396 859,132 7,375,528 — Fixed Income Portfolios Euro Fixed Income Portfolio Base Currency Share Class EUR 1,835,347 139,743 669,366 1,305,724 Base Accumulation Share Class EUR 39,951 — 9,901 30,050 “A” Share Class EUR 827,190 609,092 579,033 857,249 “I” Share Class EUR 76,163 12,193 36,812 51,544 “I” Accumulation Share Class EUR 515,950 — — 515,950 “P” Share Class EUR — 1,000 — 1,000 “P” Accumulation Share Class EUR — 1,000 — 1,000 Euro Fixed Income Portfolio Total 3,294,601 763,028 1,295,112 2,762,517 Global Corporate Portfolio (Hedged) “I” Accumulation Share Class NOK 73,136,908 26,452 — 73,163,360 Global Corporate Portfolio (Hedged) Total 73,136,908 26,452 — 73,163,360 Global Credit Portfolio (Hedged) Base Currency Share Class USD 12,562 9,461 1,242 20,781 Base Accumulation Share Class USD 2,000 — — 2,000 “A” Share Class USD 33,454 1,386 17,216 17,624 “E” Accumulation Share Class EUR 6,525 71,191 4,335 73,381 “E” Accumulation Share Class (EUR Hedged Class) EUR — 10,000 — 10,000 “I” Accumulation Share Class (EUR Hedged Class) EUR 10,000 13,540,119 — 13,550,119 “I” Accumulation Share Class (GBP Hedged Class) GBP — 1,757,338 — 1,757,338 “P” Share Class USD 55,516 1,770,087 37,218 1,788,385 “P” Accumulation Share Class USD 28,964 2,387,644 67,586 2,349,022 “P” Accumulation Share Class (EUR Hedged Class) EUR 2,045,424 4,135,163 1,434,866 4,745,721 Global Credit Portfolio (Hedged) Total 2,194,445 23,682,389 1,562,463 24,314,371

325 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global Emerging Markets Debt Local Portfolio Base Currency Share Class USD 267,097 122,890 73,041 316,946 Base Accumulation Share Class USD 20,481 — — 20,481 “A” Accumulation Share Class USD 449,685 32,534 353,211 129,008 “A” Share Class USD 379,199 20,152 215,316 184,035 “E” Accumulation Share Class EUR 1,000 — — 1,000 “E” Share Class EUR 1,014 56 — 1,070 “I” Accumulation Share Class USD 68,903 444,217 35,875 477,245 “I” Share Class USD 1,019 8,716,914 — 8,717,933 “P” Share Class USD — 1,000 — 1,000 “P” Accumulation Share Class USD — 1,000 — 1,000 “IO” Accumulation Share Class USD 17,525,284 169,406 17,396,453 298,237 “IX” Share Class USD 57,711,289 41,807,299 5,706,190 93,812,398 Global Emerging Markets Debt Local Portfolio Total 76,424,971 51,315,468 23,780,086 103,960,353 Global Emerging Markets Debt Portfolio Base Currency Share Class USD 2,988,566 278,973 603,799 2,663,740 Base Accumulation Share Class USD 367,069 150,509 33,248 484,330 Base Accumulation Share Class (EUR Hedged Class) EUR 1,628,506 1,520 30,219 1,599,807 “A” Share Class USD 2,276,289 295,417 247,659 2,324,047 “B” Share Class USD 12,245 229 1,949 10,525 “I” Share Class USD 824,677 154,140 170,558 808,259 “I” Share Class (GBP Hedged Class) GBP 3,374,929 445,536 — 3,820,465 “I” Share Class (EUR Hedged Class) EUR 6,556,997 780,000 — 7,336,997 “I” Accumulation Share Class (EUR Hedged Class) EUR 10,006,486 35,470 130,675 9,911,281 “E” Accumulation Share Class EUR 7,234,804 27,462 6,838,318 423,948 “IO” Share Class USD 337,274 29,376 364,655 1,995 “IO” Accumulation Share Class USD 354,672 140,816 105,054 390,434 “IX” Share Class USD 13,234,978 1,616,728 3,044,905 11,806,801 “IO” Accumulation Share Class (GBP Hedged Class) GBP 699,004 12,276 2,219 709,061 “IO” Accumulation Share Class (EUR Hedged Class) EUR 13,083 — 874 12,209 Global Emerging Markets Debt Portfolio Total 49,909,579 3,968,452 11,574,132 42,303,899 Global Fixed Income Portfolio Base Currency Share Class USD 570,344 56,038 62,030 564,352 Base Accumulation Share Class USD 303,042 2,253 74,105 231,190 “A” Share Class USD 1,536,783 72,765 100,422 1,509,126 “B” Share Class USD 27,823 4,952 18,333 14,442 “I” Share Class USD 11,946,258 4,919,093 914,837 15,950,514 “E” Accumulation Share Class EUR 438,831 148,156 280,868 306,119 “I” Accumulation Share Class EUR 1,520,932 238,726 867,100 892,558 “IO” Accumulation Share Class USD 271,129 34,817 24,330 281,616 “P” Share Class USD — 1,000 — 1,000 “P” Accumulation Share Class USD — 1,000 — 1,000 Global Fixed Income Portfolio Total 16,615,142 5,478,800 2,342,025 19,751,917 Global Fixed Income Portfolio (Hedged) Base Currency Share Class EUR 39,902 554 1,652 38,804 Base Accumulation Share Class EUR 340,834 5,378 104,234 241,978 “I” Share Class EUR 27,554 1,110 — 28,664 “I” Accumulation Share Class EUR 505,779 508,958 17,463 997,274 “E” Accumulation Share Class EUR 26,078 13,112 20,737 18,453 “IO” Share Class (GBP Hedged Class) GBP 4,340,544 2,774 — 4,343,318 “I” Accumulation Share Class (NZD Hedged Class) NZD 6,129,602 5,483 — 6,135,085 “P” Share Class EUR — 1,000 — 1,000 “P” Accumulation Share Class EUR — 1,000 — 1,000 Global Fixed Income Portfolio (Hedged) Total 11,410,293 539,369 144,086 11,805,576

326 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global High Yield Portfolio Base Currency Share Class USD 45,071,233 46,485,076 43,469,552 48,086,757 Base Accumulation Share Class USD 11,250,806 6,051,414 3,597,314 13,704,906 Other Currency Share Class (EUR Hedged Class) EUR 26,245,143 18,559,055 15,429,429 29,374,769 Other Currency Accumulation Share Class (EUR Hedged Class) EUR — 3,237,135 585,462 2,651,673 “A” Share Class USD 10,958,915 7,726,787 2,305,896 16,379,806 “B” Share Class USD 30,446 25,614 5,420 50,640 “I” Share Class USD 74,331,432 33,503,946 26,181,105 81,654,273 “E” Accumulation Share Class EUR 120,583 81,704 53,355 148,932 “IO” Share Class USD 19,790,041 13,806,086 6,783,709 26,812,418 “I” Accumulation Share Class USD 15,185,530 7,114,609 5,622,558 16,677,581 “I” Accumulation Share Class (EUR Hedged Class) EUR 2,479,557 3,404,322 1,350,311 4,533,568 “IO” Accumulation Share Class USD 736,686 129,505 217,425 648,766 “I” Accumulation Share Class (GBP Hedged Class) GBP 4,127,070 1,517,802 92,869 5,552,003 “IO” Accumulation Share Class (GBP Hedged Class) GBP 1,458,889 714,973 1,889 2,171,973 “IO” Accumulation Share Class (EUR Hedged Class) EUR 10,000 — — 10,000 “IO” Share Class (GBP Hedged Class) GBP 5,070 53,923 — 58,993 Global High Yield Portfolio Total 211,801,401 142,411,951 105,696,294 248,517,058 Specialised Fixed Income Portfolio “P” Share Class EUR 566,682 21,538 116,792 471,428 “P” Accumulation Share Class EUR 7,975,587 1,211,877 1,741,353 7,446,111 Specialised Fixed Income Portfolio Total 8,542,269 1,233,415 1,858,145 7,917,539 Sterling Broad Fixed Income Portfolio Base Currency Share Class GBP 143,615 128,423 25,262 246,776 Base Accumulation Share Class GBP 31,604 — 27,559 4,045 “I” Share Class GBP 24,526,394 2,731,563 2,019,226 25,238,731 “IO” Accumulation Share Class GBP — 6,566,625 — 6,566,625 “P” Share Class GBP — 1,000 — 1,000 Sterling Broad Fixed Income Portfolio Total 24,701,613 9,427,611 2,072,047 32,057,177 Sterling Credit Portfolio “P” Share Class GBP — 401,534 21,460 380,074 “ID” Share Class GBP — 401,841 — 401,841 Base Currency Share Class GBP — 100 — 100 “I” Share Class GBP — 100 — 100 Sterling Credit Portfolio Total — 803,575 21,460 782,115 US Fixed Income Portfolio Base Currency Share Class USD 15,754,576 835,651 3,324,136 13,266,091 Base Accumulation Share Class USD 731,434 37,045 350,130 418,349 “A” Share Class USD 1,800,026 1,137,374 291,264 2,646,136 “B” Share Class USD 595,698 3,233 2 598,929 “I” Share Class USD 8,258,226 198,775 1,265,285 7,191,716 “I” Accumulation Share Class USD 421,781 208,055 170,430 459,406 “E” Accumulation Share Class EUR 681,365 76,845 645,581 112,629 “P” Share Class USD — 1,000 — 1,000 “P” Accumulation Share Class USD — 1,000 — 1,000 US Fixed Income Portfolio Total 28,243,106 2,496,978 6,046,828 24,693,256 US Mortgage Backed Securities Portfolio Base Currency Share Class USD 10,006,782 30,337,586 30,341,712 10,002,656 Base Accumulation Share Class USD 330,234 43,744 89,160 284,818 “A” Share Class USD 604,522 17,842 157,833 464,531 “I” Share Class USD 62,755,121 8,444,330 32,663,556 38,535,895 “IO” Share Class USD 23,968,605 1,320,754 7,438,153 17,851,206 “I” Accumulation Share Class (GBP Hedged Class) GBP — 528,651 — 528,651 “I” Accumulation Share Class (EUR Hedged Class) EUR 843,256 3,802,281 833,941 3,811,596 “P” Share Class USD — 1,000 — 1,000 “P” Accumulation Share Class USD — 1,000 — 1,000 US Mortgage Backed Securities Portfolio Total 98,508,520 44,497,188 71,524,355 71,481,353

327 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Specialist Portfolios Commodities Enhanced Index Portfolio Other Accumulation Snap Share Class (EUR Hedged Class) EUR 211,549 749,566 127,258 833,857 Base Snap Currency Share Class USD 658,200 94,753 138,173 614,780 Base Snap Accumulation Share Class USD 198,355 45,621 20,339 223,637 “A” Snap Share Class USD 39,280 84,145 16,159 107,266 “I” Accumulation Snap Share Class USD 781,130 379,160 1,156,030 4,260 “I” Accumulation Snap Share Class (CAD Hedged Class) CAD 5,621 — 5,621 — “IO” Accumulation Snap Share Class (GBP Hedged Class) GBP 921,493 — — 921,493 Commodities Enhanced Index Portfolio Total 2,815,628 1,353,245 1,463,580 2,705,293 Euro Fixed Income Plus Portfolio Base Currency Share Class EUR 23,382 637 — 24,019 Base Accumulation Share Class EUR 470,550 — 28,863 441,687 “A” Share Class EUR 51,399 214 13,481 38,132 “I” Accumulation Share Class EUR 1,000 — — 1,000 “P” Accumulation Share Class EUR 373,503 — 51,354 322,149 “E” Accumulation Share Class EUR 17,010 829 5,881 11,958 “IO” Accumulation Share Class EUR 606,425 28,089 25,114 609,400 Euro Fixed Income Plus Portfolio Total 1,543,269 29,769 124,693 1,448,345 Europe CORESM Flex Portfolio Base Currency Share Class EUR 75,613 1,412 41,492 35,533 Base Accumulation Share Class EUR 11,639,562 7,202,918 5,347,096 13,495,384 “A” Share Class USD 526,030 121,854 72,180 575,704 “I” Accumulation Share Class EUR 443,010 314,235 301,550 455,695 “I” Share Class EUR 89,469 4,164 — 93,633 “P” Accumulation Share Class EUR 921,838 — 52,151 869,687 “P” Share Class EUR 14,866 — — 14,866 “E” Accumulation Share Class EUR 594,327 5,197 50,623 548,901 Europe CORESM Flex Portfolio Total 14,304,715 7,649,780 5,865,092 16,089,403 Global Currency Portfolio Base Currency Share Class USD 8,349 4,213 — 12,562 Base Accumulation Share Class USD 469,602 62,513 333,600 198,515 Other Currency Share Class (EUR Hedged Class) EUR 1,920 — — 1,920 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 968,678 6,178 937,354 37,502 Other Currency Share Class (GBP Hedged Class) GBP 559,639 13,499 71,900 501,238 “A” Share Class USD 371,191 42,721 148,614 265,298 “A” Accumulation Share Class (EUR Hedged Class) EUR 254,573 37,234 62,651 229,156 “I” Share Class USD 65,000 — 35,000 30,000 “I” Share Class (GBP Hedged Class) GBP 4,340,182 155,516 4,430,573 65,125 “I” Accumulation Share Class (EUR Hedged Class) EUR 1,161,623 284,120 193,718 1,252,025 “IO” Accumulation Share Class USD 150,606 11,545 43,719 118,432 “IO” Accumulation Share Class (EUR Hedged Class) EUR 12,674 — 1,942 10,732 “IO” Accumulation Share Class (GBP Hedged Class) GBP 10,000 7,005 1,572 15,433 Global Currency Portfolio Total 8,374,037 624,544 6,260,643 2,737,938 Global Currency Plus Portfolio Base Accumulation Share Class USD 100 4,954 265 4,789 Base Currency Share Class USD 100 — — 100 Other Currency Accumulation Share Class (EUR Hedged Class) EUR 1,426 1,299 426 2,299 “I” Accumulation Share Class (GBP Hedged Class) GBP 100 9,177 — 9,277 “IO” Accumulation Share Class (GBP Hedged Class) GBP 284,967 171,601 — 456,568 “P” Share Class USD 100 — — 100 “P” Accumulation Share Class USD 100 — — 100 “P” Accumulation Share Class (EUR Hedged Class) EUR — 18,297 — 18,297 Global Currency Plus Portfolio Total 286,893 205,328 691 491,530

328 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global Fixed Income Plus Portfolio (Hedged) Base Currency Share Class EUR 231,247 71 201,364 29,954 Base Accumulation Share Class EUR 1,129,105 35,459 115,204 1,049,360 Other Currency Share Class (USD Hedged Class) USD 185,094 4,789 158,219 31,664 Other Currency Accumulation Share Class (USD Hedged Class) USD 366,187 14,129 190,762 189,554 “A” Share Class EUR 162,772 5,863 39,360 129,275 “A” Share Class (USD Hedged Class) USD 130,903 — — 130,903 “I” Accumulation Share Class (USD Hedged Class) USD 230,852 31,475 58,517 203,810 “I” Accumulation Share Class EUR 2,015,346 844,879 254,188 2,606,037 “P” Accumulation Share Class EUR 4,144,401 59,055 3,033,757 1,169,699 “P” Share Class (GBP Hedged Class) GBP 3,299,895 1,586,120 2,084,080 2,801,935 “P” Accumulation Share Class (USD Hedged Class) USD 1,800,956 3,840,538 418,295 5,223,199 “E” Accumulation Share Class EUR 20,075 18,542 6,340 32,277 “IO” Accumulation Share Class (USD Hedged Class) USD 1,284,629 172,708 445,759 1,011,578 “IO” Accumulation Share Class EUR 16,110 — 3,130 12,980 “IO” Accumulation Share Class (GBP Hedged Class) GBP 10,000 113,588 18,978 104,610 Global Fixed Income Plus Portfolio (Hedged) Total 15,027,572 6,727,216 7,027,953 14,726,835 Global Libor Plus I Portfolio Base Currency Share Class USD 27,023 7,850 7,135 27,738 Base Accumulation Share Class USD 293,131 1,443 162,631 131,943 Other Currency Share Class (EUR Hedged Class) EUR 37,050 2,752 10,599 29,203 Other Accumulation Share Class (EUR Hedged Class) EUR 115,591 — 26,059 89,532 Other Currency Share Class (GBP Hedged Class) GBP 158,210 20,477 25,241 153,446 “A” Share Class USD 1,770 77 158 1,689 “I” Accumulation Share Class USD 100 — — 100 “I” Share Class (EUR Hedged Class) EUR 636 23 — 659 “I” Accumulation Share Class (EUR Hedged Class) EUR 1,000 — — 1,000 “IO” Accumulation Share Class (GBP Hedged Class) GBP 1,949,968 588,297 — 2,538,265 “IO” Accumulation Share Class (HKD Hedged Class) HKD 279,847 4,339 659 283,527 “IO” Accumulation Share Class (EUR Hedged Class) EUR 1,284,568 — 1,284,568 — “E” Accumulation Share Class (EUR Hedged Class) EUR 1,493 52 319 1,226 Global Libor Plus I Portfolio Total 4,150,387 625,310 1,517,369 3,258,328 Global Libor Plus II Portfolio Base Currency Share Class USD 63,794 5,164 36,332 32,626 Base Accumulation Share Class USD 87,993 5,396 31,335 62,054 Other Currency Share Class (EUR Hedged Class) EUR 21,893 1,304 7,370 15,827 Other Accumulation Share Class (EUR Hedged Class) EUR 194,383 12,668 85,839 121,212 Other Currency Share Class (GBP Hedged Class) GBP 104,535 3,444 46,162 61,817 “A” Share Class USD 30,219 1,876 11,208 20,887 “I” Accumulation Share Class USD 98 — — 98 “I” Accumulation Share Class (EUR Hedged Class) EUR 114,855 — 15,695 99,160 “IO” Accumulation Share Class (HKD Hedged Class) HKD 416,694 — 5,904 410,790 “E” Accumulation Share Class (EUR Hedged Class) EUR 7,884 61 2,636 5,309 “I” Share Class (GBP Hedged Class) GBP 43,132 — 43,132 — “IO” Accumulation Share Class (EUR Hedged Class) EUR 227,435 — 227,435 — “IO” Share Class (GBP Hedged Class) GBP 216,000 117 — 216,117 “IO” Accumulation Share Class (GBP Hedged Class) GBP 536,386 57,244 — 593,630 Global Libor Plus II Portfolio Total 2,065,301 87,274 513,048 1,639,527

329 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

6 Share Capital (continued)

Balance at Balance at Currency 30 November 2008 Subscriptions Redemptions 31 May 2009

Global Property Securities Portfolio Base Currency Share Class USD 9,926 240 10,166 — Base Accumulation Share Class USD 5,419 2,710 8,129 — “A” Share Class USD 297,578 10,300 307,878 — “A” Accumulation Share Class USD 1,261,386 — 1,261,386 — “P” Accumulation Share Class USD 309,057 — 309,057 — “I” Share Class USD 1,010 36 1,046 — “I” Accumulation Share Class USD 1,902,420 2,260 1,904,680 — “E” Accumulation Share Class EUR 115,782 — 115,782 — “I” Accumulation Share Class (EUR Hedged Class) EUR 1,000 — 1,000 — Global Property Securities Portfolio Total 3,903,578 15,546 3,919,124 — Japan CORESM Flex Portfolio Close Base Currency Share Class JPY 14 — — 14 Close Base Accumulation Share Class JPY 148,368 488 140,837 8,019 Close “A” Share Class USD 84,750 — 44,949 39,801 Close “I” Share Class JPY 122 2 — 124 Close “I” Accumulation Share Class JPY 754,815 — 484 754,331 Close “P” Accumulation Share Class JPY 28,353 — 18,323 10,030 Close “P” Share Class JPY 1,685 — 850 835 Close “E” Accumulation Share Class EUR 4,306,220 13,981 4,284,509 35,692 Close“IO” Share Class JPY 1,730,615 43,564 3,642 1,770,537 Japan CORESM Flex Portfolio Total 7,054,942 58,035 4,493,594 2,619,383 Sterling Broad Fixed Income Plus Portfolio Base Currency Share Class GBP 128,329 24,193 5,613 146,909 Base Accumulation Share Class GBP 362 — — 362 “A” Share Class GBP 17,155 738 16,823 1,070 “I” Accumulation Share Class GBP 23,074,351 682,938 5,566,161 18,191,128 “IO” Accumulation Share Class GBP 12,728,969 — — 12,728,969 “P” Accumulation Share Class GBP 46,279 — — 46,279 Sterling Broad Fixed Income Plus Portfolio Total 35,995,445 707,869 5,588,597 31,114,717 US CORESM Flex Portfolio Base Accumulation Snap Share Class USD 230,297 32,654 32,273 230,678 Base Currency Close Share Class USD 10,000 — — 10,000 Base Accumulation Close Share Class USD 1,370 3,371 3,371 1,370 “I” Close Share Class USD 10,000 68 — 10,068 “I” Accumulation Close Share Class USD 10,000 — — 10,000 “A” Snap Share Class USD 23,464 6,065 — 29,529 “I” Accumulation Snap Share Class EUR 1,000 — — 1,000 “P” Accumulation Snap Share Class USD 1,738,352 — — 1,738,352 “P” Snap Share Class USD 1,000 146 — 1,146 “E” Accumulation Snap Share Class EUR 10,759 9,458 306 19,911 US CORESM Flex Portfolio Total 2,036,242 51,762 35,950 2,052,054

7 Financial Investments and Associated Risks

The Fund’s investing activities expose it to various types of risks that are associated with the financial investments and markets in which it and its underlying Portfolios invest. These may be both derivative and non derivative financial investments. The Fund’s underlying Portfolios’ investments are comprised of debt, equity, derivative investments and investments in other funds.

The significant types of financial risks which the Fund is exposed to are market risk, liquidity risk and credit risk. The prospectus provides details of these and other types of risk some of which are additional to that information provided in these financial statements.

Asset allocation is determined by the Fund’s Investment Advisor who manages the allocation of assets to achieve the investment objectives as detailed in Note 2. Achievement of the Investment objectives involves taking risks. The Investment Advisor exercises judgment based on analysis, research and risk

330 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

7 Financial Investments and Associated Risks (continued)

management techniques when making investment decisions. Divergence from the benchmark and/or the target asset allocation and the composition of the portfolio is monitored by the Fund’s Investment Advisor.

The risk management policies employed by the Fund are detailed below.

I. Market Risk

The potential for changes in the market value of the Fund’s underlying Portfolios’ investments is referred to as market risk. Commonly used categories of market risk include currency risk, interest rate risk and other price risk.

• Currency risks may result from exposures to changes in spot prices, forward prices and volatilities of currency rates.

• Interest rate risks may result from exposures to changes in the level, slope and curvature of the yield curve, the volatility of interest rates, mortgage prepayment speeds and credit spreads.

• Other price risks are the risk that the value of an instrument will fluctuate as a result of changes in market prices other than those arising from currency risk or interest rate risk and may result from exposures to changes in the prices and volatilities of individual equities, equity baskets, equity indices, and commodities.

The Fund’s market risk strategy is driven by the Fund’s underlying Portfolios’ investment risk and return objectives.

The Board has agreed with the Investment Advisor’s recommendation to manage market risk through the application of risk budgeting principles. The Investment Advisor determines an appropriate risk target, commonly referred to as expected or predicted (i.e. forward looking) Tracking Error, employing a risk budgeting framework.

A Market Risk Analysis Group at the Investor Advisor (“IMD MRA”) which is independent of the Portfolio Management team monitors the Tracking Error on both a predicted and realised basis. The Tracking Errors are produced by Portfolio Management Systems. The IMD MRA analyses predicted portfolio Tracking Error (and related concentrations of risk exposures within this predicted number) and its dispersion across different investment strategies, in addition to examining the pattern of realised Tracking Errors and relative returns over multiple time horizons. These analyses incorporate and consider the many interdependencies between the various currency, interest rate and other price risk variables which drive portfolio risk and return. The above metrics are reported to the Board no less frequently than semi-annually.

(i) Currency Risk

The Fund may invest in financial investments and enter into transactions denominated in currencies other than its portfolio base currencies. Consequently,the Fund may be exposed to risks that the exchange rate of its base currency relative to other foreign currencies may change in a manner that has an adverse effect on the value of that portion of the Fund’s assets or liabilities denominated in currencies other than the base currency.

331 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

7 Financial Investments and Associated Risks (continued)

I. Market Risk (continued)

When an investor invests into a shareclass which is in a different currency to the base currency of the Portfolio in which it invests, the currency risk of the investor may be different to the currency risk of the Portfolio.

(ii) Interest Rate Risk

The Portfolios may invest in fixed income securities and interest rate swaps contracts. Any change to relevant interest rates for particular securities may result in the Investment Advisor being unable to secure similar returns upon the expiry of contracts or the sale of securities. In addition, changes to prevailing interest rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In general, if interest rates rise, the value of fixed income securities will decline. A decline in interest rates will in general, have the opposite effect. All fixed income securities and floating rate securities, together with their coupon and maturity date are disclosed in the Schedule of Investments. The Portfolios may invest in instruments in desired currencies at fixed, floating and zero rates of interest.

(iii) Other Price Risk

Other price risk is the risk that the value of a financial investment will fluctuate as a result of changes in market prices, other than those arising from currency risk or interest rate risk whether caused by factors specific to an individual investment, its issuer or any factor affecting financial investments traded in the market.

The Funds’ financial investments are carried at market value with market value changes recognised in the Statement of Operations, all changes in market conditions will directly affect shareholders’ equity.

II. Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Among other things liquidity could be impaired by an inability to access secured and /or unsecured sources of financing, an inability to sell assets or unforeseen outflows of cash or collateral or violations of counterparty or prime broker terms or covenants. This situation may arise due to circum- stances outside of the Fund’s control, such as a general market disruption or an operational problem affecting the Fund or third parties. Also, the ability to sell assets may be impaired if other market participants are seeking to sell similar assets at the same time.

The Fund’s financial investments include investments in derivative contracts traded over the counter, which are not traded in an organised public market and which may be illiquid and in investments which may represent a significant percentage of issue size. As a result, the Fund may not be able to liquidate quickly some of these investments at an amount close to its market value in order to meet requirements, or to respond to specific events such as deterioration in the creditworthiness of any particular issuer.The forced liquidation of investment positions may cause financial losses.

The Fund provides for the subscription and redemption of shares and it is therefore exposed to the liquidity risk associated with shareholder redemptions in accordance with the terms in the prospectus. The Portfolios are managed to include liquid investments which the Investment Advisor believes are sufficient to meet normal liquidity needs although substantial redemptions of shares in the Portfolios could require the Portfolios to liquidate their investments more rapidly than otherwise desirable in order to raise cash for

332 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

7 Financial Investments and Associated Risks (continued)

II. Liquidity Risk (continued)

the redemptions and changes in the liquidity of the Portfolio’s underlying investments once acquired can adversely impact its position in this respect.

These factors could adversely affect the value of the shares redeemed and the valuation of the shares that remain outstanding and the liquidity of the Portfolio’s remaining assets if more liquid assets have to be sold to meet redemptions.

Financing arrangements include repurchase agreements, reverse repurchase agreements, derivative transactions and lines of credit.

Expiration or termination of available financing for leveraged positions, and the requirements to post collateral in respect of changes in the fair value of leveraged exposures or changes in advance rates or other terms and conditions of the Fund’s financing arrangements, can result in adverse effects to the Fund’s access to liquidity and ability to maintain leveraged positions, and may cause the Fund to incur material losses.

However, there is no guarantee that any such arrangements for obtaining leverage will be available, or, if available, will be available on terms and conditions acceptable to the Fund. Unfavourable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund.

The use of leverage also increases risk as it magnifies the effect of any volatility in market values on the Fund’s equity.

A decline in the market value of the Fund’s assets may have particular adverse consequences in instances where they have borrowed money on the market value of those assets. A decrease in the market value of those assets may result in the lender (including derivative counterparties) requiring the Fund to post additional collateral or otherwise sell assets at time when it may not be in the Fund’s best interest to do so.

III. C r e d i t R i s k

Credit risk is the risk that one party to a financial investment will cause a financial loss for the other party by failing to discharge an obligation.

The Investment Advisor has adopted procedures to reduce credit risk related to its dealings with counterparties. Before transacting with any counterparty, the Investment Advisor or its affiliates evaluate both credit-worthiness and reputation by conducting a credit analysis of the party, their business and reputation. The credit risk of approved counterparties is then monitored on an ongoing basis, including periodic reviews of financial statements and interim financial reports as needed.

In order to reduce exposure to credit losses, Master Netting Agreements (MNA’s) are entered into with over-the-counter derivative counterparties, excluding those counterparties executing only spot foreign exchange contracts. While MNA’s do not result in an offset of reported assets and liabilities, MNA’s do provide for the reduction of credit risk on favourable contracts to the extent of the value of unfavourable contracts in the event of default as all amounts with the counterparty are terminated and settled on a net basis.

333 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

7 Financial Investments and Associated Risks (continued)

III. C r e d i t R i s k ( c o n t i n u e d )

Debt securities are subject to the risk of issuer’s or a guarantor’s inability to meet principal and interest payments on its obligations and are subject to price volatility due to factors such as interest rate sensitivity, market perception of the creditworthiness of the issuer, and general market liquidity.

IV. Additional Risks

(i) Concentration Risk

The Fund may invest in a limited number of investments and investment themes. A consequence of a limited number of investments is that performance may be more favourably or unfavourably affected by the performance of an individual investment.

(ii) Operational Risk

Operational risk is the potential for loss caused by a deficiency in information, communications, trans- action processing and settlement, and accounting systems. The Fund’s service providers as shown on page 1, maintain controls and procedures for the purpose of managing operational risk. Reviews of the service levels of service providers are performed on a regular basis. No assurance is given that these measures will be 100% effective.

(iii) Legal, Tax and Regulatory Risks

Legal, tax and regulatory changes could occur during the duration of the Fund which may adversely affect the Fund.

With respect to tax, each Portfolio may be subject to taxation on capital gains, interest and dividends in certain jurisdictions where the Portfolio invests.

The interpretation and applicability of the tax law and regulations by tax authorities at times may not be clear or consistent. Tax obligations where probable and estimable are recorded as liabilities. However, some tax obligations are subject to uncertainty and may result in additional tax liabilities, interest and penalties based on future actions, interpretations or judgments of these authorities covering current and past tax positions. Consequently,it is possible that certain potential tax obligations which currently are not probable may become so which may result in additional tax liabilities for a Portfolio in the future and these additional liabilities may be material.

(iv) Non-Developed Markets Risk

The Fund may invest a portion of its capital in securities of companies based in non-developed or emerging markets or issued by governments of such countries. Investing in the securities of such companies and countries involves certain considerations not usually associated with investing in secu- rities of developed market companies or countries, including, without limitation, less liquidity,greater price and foreign currency volatility, and greater legal, tax and regulatory risks.

334 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

7 Financial Investments and Associated Risks (continued)

IV. Additional Risks (continued)

(v) Small Capitalisation Companies Risk

The Fund may invest a portion of its capital in securities of companies with smaller capitalisation. Smaller capitalisation companies are generally not as well known to the investing public and have less investor following than larger capitalisation companies. Investing in the securities of such companies may involve certain considerations, including, without limitation, less liquidity, greater price volatility, and risks asso- ciated with limited operating histories and/or the availability of information pertaining to the Fund and its operations.

Additional details of risks not disclosed in these Financial Statements can be found in the Prospectus.

8 Distributions

The Fund intends that substantially all the net investment income, if any, of each Portfolio will be declared as a dividend and paid at least annually to the Shareholders of the Distribution Share Class of the Portfolio. Net capital and currency gains realised on each Portfolio’s investments are expected to be retained by each Portfolio, except in the case of “D” Shares, “J” Shares and “IX” Shares where at the discretion of the Board of Directors of the Fund, the Portfolio may also distribute to its Shareholders the Portfolio’s capital gains, if any, and capital attributable to such Shares.

Dividends distributed by each Portfolio may be paid in cash or reinvested in additional Shares of the Portfolio at the net asset value of the Shares as of the date on which such dividends are declared. When Shareholders make use of this reinvestment facility, each dividend due to the Shareholder will be paid by the Portfolio to State Street Bank Luxembourg S.A. at its Luxembourg office to the account of the relevant Shareholder,and additional Shares will be issued to the Shareholder.State Street Bank Luxembourg S.A. will, as agent for the Shareholders, credit such monies to the Portfolio for subscription in further Shares. Any Contingent of Deferred Sales Charge of ”B” Shares due as the result of reinvestment of dividends will be waived.

No distributions will be made in respect of the Accumulation Share Classes.

9 Commission Recapture

All Portfolios may direct trades, subject to obtaining best price and execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the applicable Portfolio as cash payments and are included in net realised gain and loss on investments in the Statement of Operations.

Commissions Commissions paid on securities reimbursed to Percentage in the program the portfolio reimbursed Portfolio (USD) (USD) in the program

US Growth Equity Portfolio (USD) 4,447 3,245 72.97%

US Value Equity Portfolio (USD) 10,030 7,466 74.44%

Total 14,477 10,711 73.99%

335 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

10 Cash Flow Statement

The company is not required to prepare a cash flow statement and has not done so for the period ended 31 May 2009.

11 Statement of Changes in each Portfolio

A Statement of Changes is available, free of charge, upon request.

12 Share Class Specific Forward Currency Contracts

Certain Portfolios of the Fund engage in forward currency contracts for the purpose of hedging the currency exposure of certain Share Classes.

The Euro Hedged Classes of the BRICsSM Portfolio, Global Credit Portfolio (Hedged), Global Emerging Markets Debt Portfolio, Global High Yield Portfolio, US Mortgage Backed Securities Portfolio, Commod- ities Enhanced Index Portfolio, Global Currency Portfolio, , Global Libor Plus I Portfolio and Global Libor Plus II Portfolio, the GBP Hedged Classes of the Global Emerging Market Debt Portfolio, Global High Yield Portfolio, Commodities Enhanced Index Portfolio, Global Currency Portfolio, Global Fixed Income Plus Portfolio (Hedged), Global Libor Plus I and Global Libor Plus II Portfolio and the HKD Hedged Classes of the Global Libor Plus I Portfolio and Global Libor Plus II Portfolio have entered into Class specific forward currency contracts as a hedge against adverse currency movements in the value of the investments that are denominated in US Dollars, held by the Euro Share Class, GBP Share Class or HKD Hedged Share Class respectively.

The USD Hedged Class and the AUD Hedged Class of the Japan CORESM Equity Portfolio have entered into Class specific forward currency contracts as a hedge against adverse currency movements in the value of the investments that are denominated in Japanese Yen, held by the USD Share Class or AUD Share Class respectively.

The USD Hedged Class of the Global Fixed Income Plus Portfolio (Hedged) has entered into Class specific forward currency contracts as a hedge against adverse currency movements in the value of the investments that are denominated in Euro, held by the USD Share Class.

The NZD Hedged Class of the Global Fixed Income Portfolio (Hedged) has entered into Class specific forward currency contracts as a hedge against adverse currency movements in the value of the invest- ments that are denominated in Euro, held by the NZD Share Class.

Gains and losses on these forward currency transactions are allocated to the respective share classes.

Details of these transactions are found below:

BRICsSM Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 12,945,096 USD 17,766,656 491,135

Unrealised gain on forward currency contracts held for hedging purposes 491,135

336 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

12 Share Class Specific Forward Currency Contracts (continued)

Japan CORESM Equity Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold JPY 08/07/2009 AUD 2,768,793 JPY 201,641,477 9,541

Unrealised gain on forward currency contracts held for hedging purposes 9,541

Unrealised Loss Maturity Date Amount Bought Amount Sold JPY 08/07/2009 USD 6,415,793 JPY 632,795,449 (21,981) 08/07/2009 JPY 20,003,064 AUD 271,984 (742)

Unrealised loss on forward currency contracts held for hedging purposes (22,723)

Global Credit Portfolio (Hedged) Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 172,208,876 USD 236,317,042 6,566,721 02/07/2009 GBP 17,573,382 USD 28,142,145 246,427

Unrealised gain on forward currency contracts held for hedging purposes 6,813,148

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 26/06/2009 USD 2,560,587 EUR 1,847,486 (45,112)

Unrealised loss on forward currency contracts held for hedging purposes (45,112)

Global Emerging Market Debt Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 170,011,373 USD 233,292,371 6,492,029 02/07/2009 GBP 39,373,127 USD 63,052,549 551,991

Unrealised gain on forward currency contracts held for hedging purposes 7,044,020

Global Fixed Income Portfolio (Hedged) Unrealised Gain Maturity Date Amount Bought Amount Sold USD 16/06/2009 NZD 65,024,515 EUR 28,786,359 567,950

Unrealised gain on forward currency contracts held for hedging purposes 567,950

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 02/07/2009 GBP 45,343,646 EUR 52,165,090 (227,621)

Unrealised loss on forward currency contracts held for hedging purposes (227,621)

337 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

12 Share Class Specific Forward Currency Contracts (continued)

Global High Yield Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 231,495,261 USD 317,742,679 8,758,728 02/07/2009 GBP 57,620,511 USD 92,292,985 788,931

Unrealised gain on forward currency contracts held for hedging purposes 9,547,659

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 26/06/2009 USD 4,129,934 EUR 2,955,785 (38,911)

Unrealised loss on forward currency contracts held for hedging purposes (38,911)

US Mortgage Backed Securities Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 41,492,325 USD 56,936,416 1,584,447 02/07/2009 GBP 5,286,512 USD 8,465,859 74,132

Unrealised gain on forward currency contracts held for hedging purposes 1,658,579

Commodities Enhanced Index Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 5,039,655 USD 6,925,188 182,753 02/07/2009 GBP 4,992,079 USD 7,994,356 69,999

Unrealised gain on forward currency contracts held for hedging purposes 252,752

Global Currency Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 14,921,211 USD 20,475,485 569,422 02/07/2009 GBP 5,019,977 USD 8,039,045 70,378

Unrealised gain on forward currency contracts held for hedging purposes 639,800

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 26/06/2009 USD 67,345 EUR 48,284 (755)

Unrealised loss on forward currency contracts held for hedging purposes (755)

338 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

12 Share Class Specific Forward Currency Contracts (continued)

Global Currency Plus Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 2,059,829 USD 2,821,463 83,725 02/07/2009 GBP 48,214,923 USD 77,242,236 645,609

Unrealised gain on forward currency contracts held for hedging purposes 729,334

Global Fixed Income Plus Portfolio (Hedged) Unrealised Gain Maturity Date Amount Bought Amount Sold EUR 26/06/2009 EUR 76,566 USD 107,028 681

Unrealised gain on forward currency contracts held for hedging purposes 681

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 26/06/2009 USD 70,273,921 EUR 51,063,724 (1,238,273) 02/07/2009 GBP 29,780,852 EUR 34,253,549 (141,998) 02/07/2009 EUR 6,009 GBP 5,250 (3)

Unrealised loss on forward currency contracts held for hedging purposes (1,380,274)

Global Libor Plus I Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 26/06/2009 EUR 11,579,826 USD 15,890,081 442,131 02/07/2009 GBP 259,710,991 USD 415,903,470 3,641,518

Unrealised gain on forward currency contracts held for hedging purposes 4,083,649

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 19/06/2009 HKD 268,982,048 USD 34,716,911 (9,176) 26/06/2009 USD 19,244 EUR 13,990 (487)

Unrealised loss on forward currency contracts held for hedging purposes (9,663)

Global Libor Plus II Portfolio Unrealised Gain Maturity Date Amount Bought Amount Sold USD 19/06/2009 USD 297,533 HKD 2,305,522 43 26/06/2009 EUR 24,714,416 USD 33,918,998 938,266 02/07/2009 GBP 88,132,847 USD 141,136,657 1,235,809

Unrealised gain on forward currency contracts held for hedging purposes 2,174,118

339 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

12 Share Class Specific Forward Currency Contracts (continued)

Unrealised Loss Maturity Date Amount Bought Amount Sold USD 19/06/2009 HKD 409,124,333 USD 52,804,773 (13,969) 26/06/2009 USD 515,206 EUR 369,285 (5,634)

Unrealised loss on forward currency contracts held for hedging purposes (19,603)

13 Exchange Rates The following exchange rates (against USD) were used to convert the investments and other assets and liabilities denominated in currencies other than USD:

Currency 31-May-2009 30-Nov-2008 Argentine Peso 3.738000 3.368750 Australian Dollar 1.253290 1.528117 Brazil Real 1.982500 2.312100 Canadian Dollar 1.097400 1.239000 Chilean Peso 559.250000 665.250000 Colombian Peso 2175.750000 2,319.050000 Czech Koruna 19.032000 19.756500 Danish Krone 5.278000 5.843150 Egyptian Pound 5.622000 5.520000 Euro 0.708893 0.784221 Hong Kong Dollar 7.751050 7.750500 Hungarian Forint 200.616750 203.231000 Indian Rupee 47.115000 50.085000 Indonesian Rupiah 10290.000000 12,025.000000 Israeli Shekel 3.901750 3.940000 Japanese Yen 95.665000 95.390000 Malaysian Ringgit 3.494500 3.623500 Mexican Peso 13.094750 13.251000 New Zealand Dollar 1.569243 1.820665 Nigerian Naira 148.000000 119.325000 Norwegian Kroner 6.298850 7.000750 Peruvian Sol 3.007500 3.094500 Philippines Peso 47.335000 48.975000 Polish Zloty 3.178350 2.949650 Russian Rouble 30.854900 27.855400 Singapore Dollar 1.443750 1.508850 South African Rand 7.957050 10.029150

340 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

13 Exchange Rates (continued)

Currency 31-May-2009 30-Nov-2008 South Korean Won 1255.100000 1,469.000000 Swedish Krona 7.564900 8.078850 Swiss Franc 1.072200 1.211100 Taiwan Dollar 32.540500 33.289000 Thailand Baht 34.320000 35.520000 Turkish Lira 1.540750 1.575200 UAE Dirham 3.672650 3.673000 United Kingdom Pound 0.618965 0.651317 Yuan Renminbi 6.828100 6.834900

The following exchange rates (against EUR) were used to convert the investments and other assets and liabilities denominated in currencies other than EUR:

Currency 31-May-2009 30-Nov-2008 Argentine Peso 5.273010 4.295664 Australian Dollar 1.767954 1.948580 Canadian Dollar 1.548047 1.579912 Danish Krona 7.445411 7.450897 Hungarian Forint 283.000044 259.150163 Japanese Yen 134.949844 121.636630 Mexican Peso 18.472111 16.897023 New Zealand Dollar 2.213653 2.321622 Norwegian Kroner 8.885474 8.927012 Polish Zloty 4.483540 3.761248 South Korean Won 1770.506974 1873.196459 Swedish Krona 10.671427 10.301752 Swiss Franc 1.512499 1.544335 U.S. Dollars 1.410650 1.275151 United Kingdom Pound 0.873143 0.830527

341 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

13 Exchange Rates (continued)

The following exchange rates (against JPY) were used to convert the investments and other assets and liabilities denominated in currencies other than JPY:

Currency 31-May-2009 30-Nov-2008 Australian Dollar 0.013101 0.016020 Euro 0.007410 0.008221 South Korean Won 13.119741 15.399937 U.S. Dollars 0.010453 0.010483

The following exchange rates (against NOK) were used to convert the investments and other assets and liabilities denominated in currencies other than NOK:

Currency 31-May-2009 30-Nov-2008 Australian Dollar 0.198971 0.218279 Canadian Dollar 0.174222 0.176981 Euro 0.112543 0.112020 Japanese Yen 15.187693 13.625683 U.S. Dollars 0.158759 0.142842 United Kingdom Pound 0.098266 0.093035

The following exchange rates (against GBP) were used to convert the investments and other assets and liabilities denominated in currencies other than GBP:

Currency 31-May-2009 30-Nov-2008 Argentine Peso 6.039114 5.172213 Australian Dollar 2.024816 2.346195 Canadian Dollar 1.772960 1.902299 Euro 1.145288 1.204054 Hungarian Forint 324.116469 312.030854 Japanese Yen 154.556397 146.457102 Mexican Peso 21.155881 20.344932 New Zealand Dollar 2.535269 2.795359 Norwegian Kroner 10.176424 10.748606 South Korean Won 2027.739856 2255.430152 Swedish Krona 12.221854 12.403868 Swiss Franc 1.732246 1.859463 U.S. Dollars 1.615600 1.535351

342 Goldman Sachs Funds Notes to the Financial Statements For the Period Ended 31 May 2009 (Continued)

14 Soft Commissions

The Fund may pay commissions for research and/or execution, but did not enter into any third party soft commission arrangements for the period ended 31 May 2009 (30 November 2008: none).

15 Prospectus

The Prospectus was revised in September 2008. The revised Prospectus includes the creation of new Share Classes and the addition of new Portfolios.

16 Currency Adjustment

The opening value of the Fund has been restated at the exchange rates ruling at 31 May 2009. The resulting gain of USD 329,266,523 (30 November 2008: Loss of USD 710,094,512) represents the movement in exchange rates between 30 November 2008 and 31 May 2009. This is a notional gain, which has no impact on the Net Asset Value of the individual Portfolios.

17 Cross Liabilities

Legislation has been introduced in Luxembourg which is intended to eliminate the risk of cross contam- ination. Therefore, as a matter of Luxembourg law, each Portfolio is “ring-fenced” and considered to constitute a single pool of assets and liabilities, so that the rights of Shareholders and creditors in relation to each Portfolio should be limited to the assets of that Portfolio.

18 Contingent Liabilities

There were no contingent liabilities as at 31 May 2009 (30 November 2008: none).

19 Subsequent Events

Since 31 May 2009, the following share classes were launched.

Currency of Share Portfolios Class Class Launch Date

Global High Yield Portfolio “I” Accumulation Share Class (GBP Hedged) GBP 3-Jun-2009

US Equity Portfolio Other Currency Accumulation Shares (EUR Hedged) EUR 17-Jun-2009

Sterling Credit Portfolio “IO” Accumulation Share Class GBP 30-Jun-2009

Since 31 May 2009, the following share classes were closed.

Currency of Share Portfolios Class Class Close Date

Global High Yield Portfolio “IO” Share Class (GBP Hedged) GBP 16-Jun-2009

Global Equity Partners Portfolio “I” Accumulation Shares USD 19-Jun-2009

20 Approval of the Financial Statements

The Board of Directors approved the Financial Statements on 23 July 2009.

343 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Regional Equity Portfolios Asia Portfolio(b) Base Currency Share Class USD 31 May 1994 1.50% 1.90% 1.90% Base Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90% “A” Share Class USD 5 March 2001 1.50% 2.40% 2.40% “B” Share Class USD 5 March 2001 1.50% 3.40% 3.40% “I” Share Class USD 13 November 2001 0.75% 1.21% 1.21% “I” Accumulation Share Class USD 26 October 2007 0.75% 1.21% 1.21% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “P” Share Class USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65% BRICsSM Portfolio Base Currency Share Class USD 17 January 2006 1.75% 2.15% 2.15% Base Accumulation Share Class USD 17 January 2006 1.75% 2.15% 2.15% Other Currency Accumulation Share Class (EUR Hedged Class) EUR 17 March 2006 1.75% 2.15% 2.15% “A” Share Class USD 17 January 2006 1.75% 2.65% 2.65% “I” Accumulation Share Class USD 31 July 2007 1.00% 1.36% 1.36% “IO” Accumulation Share Class USD 30 November 2007 — 0.36% 0.36% “IO” Accumulation Share Class GBP 19 August 2008 — 0.36% 0.36% “E” Accumulation Share Class EUR 17 January 2006 1.75% 2.65% 2.65% “IX” Share Class USD 21 January 2008 1.00% 1.36% 1.36% “P” Share Class USD 8 September 2008 1.50% 1.90% 1.90% “P” Accumulation Share Class USD 8 September 2008 1.50% 1.90% 1.90% Europe Equity Target Alpha Portfolio(b) Base Currency Share Class EUR 30 December 2003 1.75% 2.15% 2.15% Base Accumulation Share Class EUR 14 November 2005 1.75% 2.15% 2.15% “I” Share Class EUR 16 July 2007 1.00% 1.36% 1.36% “I” Accumulation Share Class EUR 16 July 2007 1.00% 1.36% 1.36% “E” Accumulation Share Class EUR 4 December 2006 1.75% 2.90% 2.90% “P” Share Class EUR 8 September 2008 1.50% 1.90% 1.90% “P” Accumulation Share Class EUR 8 September 2008 1.50% 1.90% 1.90% Europe Portfolio(b) Base Currency Share Class EUR 30 September 1996 1.50% 1.90% 1.90% Base Accumulation Share Class EUR 14 November 2005 1.50% 1.90% 1.90% Other Currency Share Class USD 27 July 1998 1.50% 1.90% 1.90% “A” Share Class EUR 17 January 2001 1.50% 2.40% 2.40% “A” Share Class USD 25 April 2002 1.50% 2.40% 2.40% “B” Share Class USD 5 March 2001 1.50% 3.40% 3.40% “I” Share Class EUR 13 November 2001 0.75% 1.11% 1.11% “I” Accumulation Share Class EUR 15 June 2007 0.75% 1.11% 1.11% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “IO” Accumulation Share Class EUR 25 September 2008 — 0.36% 0.36% “P” Share Class EUR 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class EUR 8 September 2008 1.25% 1.65% 1.65% Global Emerging Markets Concentrated Equity Portfolio Base Currency Share Class USD 29 June 2007 1.75% 2.25% 2.25% Base Accumulation Share Class USD 29 June 2007 1.75% 2.25% 2.25% “A” Share Class USD 29 June 2007 1.75% 2.75% 2.75% “E” Accumulation Share Class EUR 29 June 2007 1.75% 2.75% 2.75% “I” Share Class USD 29 June 2007 1.00% 1.46% 1.44% “I” Accumulation Share Class USD 29 June 2007 1.00% 1.46% 1.44% “IO” Accumulation Share Class USD 26 September 2007 0.00% 0.46% 0.45% “IX” Share Class USD 28 August 2007 1.00% 1.46% 1.45% “P” Share Class USD 8 September 2008 1.50% 2.00% 1.99% “P” Accumulation Share Class USD 8 September 2008 1.50% 2.00% 1.99% Global Emerging Markets Equity Portfolio(b) Base Currency Share Class USD 15 December 1997 1.75% 2.25% 2.25% Base Accumulation Share Class USD 14 November 2005 1.75% 2.25% 2.25% “A” Share Class USD 5 March 2001 1.75% 2.63% 2.63% “B” Share Class USD 5 March 2001 1.75% 3.63% 3.63% “I” Share Class USD 6 July 2001 1.00% 1.46% 1.46% “I” Accumulation Share Class USD 7 March 2006 1.00% 1.46% 1.46% “E” Accumulation Share Class EUR 14 November 2005 1.75% 2.75% 2.75% “IO” Share Class USD 20 June 2006 — 0.46% 0.46% “IX” Share Class USD 4 September 2007 1.00% 1.46% 1.46% “IO” Accumulation Share Class USD 30 November 2007 — 0.46% 0.46% “IO” Accumulation Share Class GBP 19 August 2008 — 0.46% 0.46% “P” Share Class USD 8 September 2008 1.50% 2.00% 2.00% “P” Accumulation Share Class USD 8 September 2008 1.50% 2.00% 2.00%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

344 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Global Equity Portfolio(b) Base Currency Share Class USD 4 December 1992 1.50% 1.90% 1.90% Base Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90% “A” Share Class USD 5 March 2001 1.50% 2.40% 2.40% “B” Share Class USD 5 March 2001 1.50% 3.40% 3.40% “I” Accumulation Share Class USD 26 October 2007 0.75% 1.11% 1.11% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “D” Share Class USD 8 November 2001 1.25% 1.90% 1.90% “P” Share Class USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65% Global Equity Partners Portfolio Base Currency Share Class USD 25 July 2007 1.50% 1.90% 1.90% Base Accumulation Share Class USD 23 February 2006 1.50% 1.90% 1.90% Other Currency Share Class GBP 3 July 2006 1.50% 1.90% 1.90% Other Currency Accumulation Share Class GBP 3 July 2006 1.50% 1.90% 1.90% “A” Share Class(c) USD 17 April 2009 1.50% 2.40% 2.40% “A” Accumulation Share Class(c) USD 17 April 2009 1.50% 2.40% 2.40% “I” Accumulation Share Class(c) USD 17 April 2009 1.00% 1.36% 1.36% Other Currency Accumulation Share Class EUR 23 February 2006 1.50% 1.90% 1.90% “E” Accumulation Share Class(c) EUR 17 April 2009 1.50% 2.65% 2.65% “P” Share Class(c) USD 17 April 2009 1.25% 1.65% 1.65% “P” Accumulation Share Class(c) USD 17 April 2009 1.25% 1.65% 1.65% GMS Alpha+ Europe Equity Portfolio(b)(d) Base Currency Share Class(c) EUR 15 June 2007 1.00% 1.30% 1.30% Base Accumulation Share Class(c) EUR 15 June 2007 1.00% 1.30% 1.30% GMS Alpha+ US Equity Portfolio(b)(d) Base Currency Share Class(c) USD 1 December 2006 1.00% 1.30% 1.30% Base Accumulation Share Class(c) USD 31 July 2007 1.00% 1.30% 1.30% GMS Alpha+ World Equity Portfolio(b)(d) Base Currency Share Class USD 30 July 2004 1.00% 1.30% 1.30% GMS Alpha+ World Equity Portfolio II(b)(d) Base Currency Share Class USD 15 March 2006 1.00% 1.30% 1.30% Base Accumulation Share Class USD 31 July 2007 1.00% 1.30% 1.30% India Equity Portfolio(b)(c) Base Currency Share Class USD 26 March 2008 1.75% 2.25% 2.25% Base Accumulation Share Class USD 26 March 2008 1.75% 2.25% 2.25% “A” Share Class USD 26 March 2008 1.75% 2.75% 2.75% “I” Share Class USD 26 March 2008 1.00% 1.46% 1.46% “E” Accumulation Share Class EUR 26 March 2008 1.75% 2.75% 2.75% “I” Accumulation Share Class USD 26 March 2008 1.00% 1.46% 1.46% “P” Share Class USD 8 September 2008 1.50% 2.00% 2.00% “P” Accumulation Share Class USD 8 September 2008 1.50% 2.00% 2.00% Japan Portfolio(b) Base Currency Share Class JPY 30 April 1996 1.50% 1.90% 1.90% Base Accumulation Share Class JPY 14 November 2005 1.50% 1.90% 1.90% Other Currency Share Class USD 21 January 2002 1.25% 1.65% 1.65% “A” Share Class USD 5 March 2001 1.50% 2.40% 2.40% “B” Share Class USD 5 March 2001 1.50% 3.40% 3.40% “I” Share Class JPY 13 November 2001 0.75% 1.11% 1.01% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “I” Accumulation Share Class JPY 31 October 2007 0.75% 1.11% 1.01% “P” Share Class JPY 8 September 2008 1.25% 1.65% 1.54% “P” Accumulation Share Class JPY 8 September 2008 1.25% 1.65% 1.54% Japan Small Cap Portfolio(b) Base Currency Share Class JPY 3 September 1997 1.50% 1.90% 1.90% Base Accumulation Share Class JPY 14 November 2005 1.50% 1.90% 1.90% “A” Share Class USD 5 March 2001 1.50% 2.28% 2.28% “B” Share Class USD 5 March 2001 1.50% 3.28% 3.28% “I” Share Class JPY 15 July 2005 1.00% 1.36% 1.36% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “I” Accumulation Share Class JPY 31 October 2007 1.00% 1.36% 1.36% “P” Share Class JPY 8 September 2008 1.50% 1.90% 1.90% “P” Accumulation Share Class JPY 8 September 2008 1.50% 1.90% 1.90%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

345 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Sustain Portfolio Base Currency Close Share Class USD 16 September 2008 1.75% 2.00% 2.00% Base Accumulation Snap Share Class USD 16 September 2008 1.75% 2.00% 2.00% Base Accumulation Close Share Class USD 16 September 2008 1.75% 2.00% 2.00% “A” Snap Share Class USD 16 September 2008 1.75% 2.50% 2.50% “A” Accumulation Snap Share Class USD 16 September 2008 1.75% 2.50% 2.50% “E” Snap Share Class EUR 16 September 2008 1.75% 2.50% 2.50% “E” Accumulation Snap Share Class EUR 16 September 2008 1.75% 2.50% 2.50% “I” Accumulation Snap Share Class USD 16 September 2008 1.00% 1.21% 1.21% “I” Accumulation Close Share Class USD 16 September 2008 1.00% 1.21% 1.21% “IO” Close Share Class USD 25 September 2008 — 0.21% 0.21% “P” Snap Share Class USD 16 September 2008 1.25% 1.50% 1.50% “P” Snap Share Class EUR 16 September 2008 1.25% 1.50% 1.50% “P” Accumulation Snap Share Class USD 16 September 2008 1.25% 1.50% 1.50% “P” Accumulation Snap Share Class EUR 16 September 2008 1.25% 1.50% 1.50% US Equity Portfolio(b) Base Currency Share Class USD 3 February 2006 1.50% 1.90% 1.90% Base Accumulation Share Class USD 3 February 2006 1.50% 1.90% 1.90% “A” Share Class USD 3 February 2006 1.50% 2.40% 2.40% “E” Accumulation Share Class EUR 3 February 2006 1.50% 2.65% 2.65% “I” Accumulation Share Class USD 26 October 2007 0.75% 1.11% 1.11% “IO” Accumulation Share Class(c) EUR 25 September 2008 — 0.36% 0.36% “P” Share Class USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65% US Growth Equity Portfolio(b) Base Currency Share Class USD 15 November 1999 1.50% 1.90% 1.90% Base Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90% “A” Share Class USD 5 March 2001 1.50% 2.40% 2.40% “B” Share Class USD 5 March 2001 1.50% 3.40% 3.40% “I” Share Class USD 6 July 2001 0.75% 1.11% 1.11% “E” Accumulation Share Class EUR 14 November 2005 1.50% 2.65% 2.65% “I” Accumulation Share Class USD 26 October 2007 0.75% 1.11% 1.11% “P” Share Class USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65% US Growth Opportunities Portfolio(b) Base Currency Share Class(c) USD 30 April 2001 1.50% 1.90% 1.90% Base Accumulation Share Class(c) USD 14 November 2005 1.50% 1.90% 1.90% “A” Share Class(c) USD 5 March 2001 1.50% 2.28% 2.28% “B” Share Class(c) USD 5 March 2001 1.50% 3.28% 3.28% “I” Share Class(c) USD 30 April 2001 1.00% 1.36% 1.36% “E” Accumulation Share Class(c) EUR 14 November 2005 1.50% 2.65% 2.65% “I” Accumulation Share Class(c) USD 26 October 2007 1.00% 1.36% 1.36% “P” Share Class(c) USD 8 September 2008 1.50% 1.90% 1.90% “P” Accumulation Share Class(c) USD 8 September 2008 1.50% 1.90% 1.90% US Premier Equity Portfolio(b) Base Currency Share Class(c) USD 2 February 2006 1.50% 1.90% 1.90% Base Accumulation Share Class(c) USD 2 February 2006 1.50% 1.90% 1.90% “A” Share Class(c) USD 2 February 2006 1.50% 2.40% 2.40% “E” Accumulation Share Class(c) EUR 2 February 2006 1.50% 2.65% 2.65% “I” Accumulation Share Class(c) USD 31 October 2007 0.75% 1.11% 1.11% “P” Share Class(c) USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class(c) USD 8 September 2008 1.25% 1.65% 1.65% US Value Equity Portfolio(b) Base Currency Share Class USD 1 February 2006 1.50% 1.90% 1.90% Base Accumulation Share Class USD 1 February 2006 1.50% 1.90% 1.90% “A” Share Class USD 1 February 2006 1.50% 2.40% 2.40% “E” Accumulation Share Class EUR 1 February 2006 1.50% 2.65% 2.65% “I” Accumulation Share Class USD 31 October 2007 0.75% 1.11% 1.11% “P” Share Class USD 8 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

346 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Regional CORE Equity Portfolios Europe CORESM Equity Portfolio Base Currency Share Class EUR 1 October 1999 1.25% 1.50% 1.50% Base Accumulation Share Class EUR 14 November 2005 1.25% 1.50% 1.50% “A” Share Class EUR 5 March 2001 1.25% 2.00% 2.00% “A” Share Class USD 31 October 2006 1.25% 2.00% 2.00% “I” Share Class EUR 28 October 2002 0.75% 0.96% 0.94% “I” Accumulation Share Class EUR 5 September 2006 0.75% 0.96% 0.95% “E” Accumulation Share Class EUR 14 November 2005 1.25% 2.00% 2.00% “P” Accumulation Share Class EUR 11 June 2007 1.00% 1.25% 1.24% “IO” Accumulation Share Class EUR 10 December 2007 — 0.21% 0.18% Global CORESM Equity Portfolio(b) Base Accumulation Close Share Class USD 21 November 2005 1.25% 1.50% 1.50% Base Accumulation Snap Share Class USD 14 November 2005 1.25% 1.50% 1.50% Base Currency Close Share Class USD 21 November 2005 1.25% 1.50% 1.50% Base Currency Snap Share Class USD 14 October 2004 1.25% 1.50% 1.50% “A” Snap Share Class USD 8 March 2006 1.25% 2.00% 2.00% “IO” Accumulation Close Share Class USD 30 November 2007 — 0.21% 0.19% “E” Accumulation Close Share Class EUR 31 October 2006 1.25% 2.00% 2.00% “E” Accumulation Snap Share Class EUR 14 November 2005 1.25% 2.00% 2.00% “I” Accumulation Close Share Class USD 31 January 2006 0.75% 0.96% 0.94% “I” Accumulation Close Share Class EUR 26 October 2007 0.75% 0.96% 0.94% “I” Close Share Class USD 11 July 2006 0.75% 0.96% 0.94% “I” Snap Share Class USD 14 October 2004 0.75% 0.96% 0.94% “P” Accumulation Snap Share Class USD 11 June 2007 1.00% 1.25% 1.23% “IO” Accumulation Close Share Class GBP 19 August 2008 — 0.21% 0.20% “IO” Accumulation Close Share Class EUR 25 September 2008 — 0.21% 0.19% “P” Snap Share Class(c) USD 3 April 2009 1.00% 1.25% 1.20% Global Small Cap CORESM Equity Portfolio(b) Base Currency Close Share Class USD 03 August 2006 1.25% 1.50% 1.50% Base Currency Snap Share Class USD 03 August 2006 1.25% 1.50% 1.50% “A” Close Share Class USD 30 March 2007 1.25% 2.00% 2.00% “A” Snap Share Class USD 18 June 2007 1.25% 2.00% 2.00% “IO” Accumulation Close Share Class USD 30 November 2007 — 0.21% 0.21% “E” Accumulation Close Share Class EUR 30 March 2007 1.25% 2.00% 2.00% “E” Accumulation Snap Share Class EUR 18 June 2007 1.25% 2.00% 2.00% “I” Accumulation Snap Share Class EUR 31 October 2007 0.85% 1.06% 1.06% “IO” Accumulation Close Share Class GBP 19 August 2008 — 0.21% 0.21% “P” Accumulation Snap Share Class USD 11 June 2007 1.00% 1.25% 1.25% Japan CORESM Equity Portfolio(b) Base Currency Share Class JPY 8 December 2005 1.25% 1.50% 1.50% Base Accumulation Share Class JPY 8 December 2005 1.25% 1.50% 1.50% Other Currency Share Class GBP 19 July 2007 1.25% 1.50% 1.50% “A” Share Class USD 8 December 2005 1.25% 2.00% 2.00% “E” Accumulation Share Class EUR 8 December 2005 1.25% 2.00% 2.00% “I” Accumulation Share Class JPY 6 March 2007 0.75% 0.96% 0.96% “J” Share Class (AUD Hedged Class) AUD 27 November 2006 0.75% 1.00% 1.00% “J” Share Class (USD Hedged Class) USD 24 November 2006 0.75% 1.00% 1.00% “P” Accumulation Share Class JPY 11 June 2007 0.80% 1.05% 1.05% UK CORESM Equity Portfolio(b) Base Currency Share Class(c) GBP 7 December 2005 1.25% 1.50% 1.50% Base Accumulation Share Class(c) GBP 7 December 2005 1.25% 1.50% 1.50% “A” Share Class(c) USD 7 December 2005 1.25% 2.00% 2.00% “I” Share Class(c) GBP 23 August 2006 0.75% 0.96% 0.96% “E” Accumulation Share Class(c) EUR 7 December 2005 1.25% 2.00% 2.00% US CORESM Equity Portfolio Base Accumulation Snap Share Class USD 14 November 2005 1.25% 1.50% 1.50% Base Accumulation Close Share Class USD 21 November 2005 1.25% 1.50% 1.50% Base Currency Snap Share Class USD 19 November 1996 1.25% 1.50% 1.50% Base Currency Close Share Class USD 21 November 2005 1.25% 1.50% 1.50% “A” Snap Share Class USD 5 March 2001 1.25% 2.00% 2.00% “B” Snap Share Class USD 5 March 2001 1.25% 3.00% 3.00% “I” Accumulation Close Share Class(c) USD 11 June 2007 0.75% 0.96% 0.96% “I” Snap Share Class USD 22 February 2002 0.75% 0.96% 0.96% “E” Accumulation Snap Share Class EUR 14 November 2005 1.25% 2.00% 2.00% “P” Accumulation Snap Share Class USD 11 June 2007 0.80% 1.05% 1.05% “U” Close Share Class USD 27 February 2004 1.05% 1.30% 1.30% “P” Snap Share Class USD 25 April 2008 0.80% 1.05% 1.05%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

347 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio (a)

US Small Cap CORESM Equity Portfolio(b) Base Currency Snap Share Class USD 5 December 2005 1.25% 1.50% 1.50% Base Accumulation Snap Share Class USD 5 December 2005 1.25% 1.50% 1.50% Base Accumulation Close Share Class USD 5 December 2005 1.25% 1.50% 1.50% “A” Close Share Class USD 5 December 2005 1.25% 2.00% 2.00% “P” Accumulation Snap Share Class USD 11 June 2007 0.80% 1.05% 1.05% “I” Snap Share Class USD 9 October 2006 0.75% 0.96% 0.96% “I” Accumulation Snap Share Class USD 26 October 2007 0.75% 0.96% 0.96% “E” Accumulation Close Share Class EUR 5 December 2005 1.25% 2.00% 2.00% “E” Accumulation Snap Share Class EUR 5 December 2005 1.25% 2.00% 2.00% Sector Equity Portfolios Global Financial Services Portfolio(b) Base Currency Share Class(c) USD 30 March 2001 1.50% 1.90% 1.90% Base Accumulation Share Class(c) USD 14 November 2005 1.50% 1.90% 1.90% “A” Share Class(c) USD 5 March 2001 1.50% 2.28% 2.28% “B” Share Class(c) USD 5 March 2001 1.50% 3.28% 3.28% “E” Accumulation Share Class(c) EUR 14 November 2005 1.50% 2.65% 2.65% “I” Accumulation Share Class(c) USD 26 October 2007 1.00% 1.36% 1.36% “P” Share Class(c) USD 8 September 2008 1.50% 1.90% 1.90% “P” Accumulation Share Class(c) USD 8 September 2008 1.50% 1.90% 1.90% Global Technology Portfolio(b) Base Currency Share Class(c) CHF 17 June 1996 1.75% 2.15% 2.15% Other Currency Accumulation Share(c) USD 14 November 2005 1.75% 2.15% 2.15% Other Currency Share Class(c) USD 1 February 1999 1.75% 2.15% 2.15% Other Currency Share Class(c) GBP 3 October 2000 1.75% 2.15% 2.15% “A” Share Class(c) USD 5 March 2001 1.75% 2.40% 2.40% “B” Share Class(c) USD 5 March 2001 1.75% 3.40% 3.40% “E” Accumulation Share Class(c) EUR 14 November 2005 1.75% 2.65% 2.65% “I” Accumulation Share Class(c) USD 26 October 2007 1.25% 1.61% 1.61% “P” Share Class(c) USD 8 September 2008 1.75% 2.15% 2.15% “P” Accumulation Share Class(c) USD 8 September 2008 1.75% 2.15% 2.15% Fixed Income Portfolios Euro Fixed Income Portfolio(b) Base Currency Share Class EUR 15 March 1999 1.00% 1.25% 1.25% Base Accumulation Share Class EUR 14 November 2005 1.00% 1.25% 1.25% “A” Share Class EUR 5 March 2001 1.00% 1.50% 1.50% “I” Share Class EUR 13 July 2001 0.50% 0.71% 0.71% “I” Accumulation Share Class EUR 31 October 2007 0.50% 0.71% 0.71% “P” Share Class(c) EUR 29 May 2009 0.40% 0.65% 0.65% “P” Accumulation Share Class(c) EUR 29 May 2009 0.40% 0.65% 0.65% Global Corporate Portfolio (Hedged) “I” Accumulation Share Class NOK 31 December 2007 0.25% 0.35% 0.35% Global Credit Portfolio (Hedged)(b) Base Currency Share Class USD 26 January 2006 1.00% 1.25% 1.25% Base Accumulation Share Class USD 26 January 2006 1.00% 1.25% 1.25% “A” Share Class USD 26 January 2006 1.00% 1.50% 1.50% “E” Accumulation Share Class EUR 26 January 2006 1.00% 1.50% 1.50% “E” Accumulation Share Class (EUR Hedged Class)(c) EUR 19 February 2009 1.00% 1.25% 1.25% “I” Accumulation Share Class (EUR Hedged Class) EUR 19 November 2007 0.50% 0.71% 0.71% “I” Accumulation Share Class (GBP Hedged Class)(c) GBP 20 May 2009 0.50% 0.71% 0.71% “P” Share Class USD 8 September 2008 0.50% 0.75% 0.75% “P” Accumulation Share Class USD 8 September 2008 0.50% 0.75% 0.75% “P” Accumulation Share Class (EUR Hedged Class) EUR 28 October 2008 0.50% 0.75% 0.75% Global Emerging Markets Debt Local Portfolio Base Currency Share Class USD 29 June 2007 1.60% 1.85% 1.85% Base Accumulation Share Class USD 29 June 2007 1.60% 1.85% 1.85% “A” Accumulation Share Class USD 29 June 2007 1.60% 2.10% 2.10% “A” Share Class USD 29 June 2007 1.60% 2.10% 2.10% “E” Accumulation Share Class EUR 29 June 2007 1.60% 2.10% 2.10% “E” Share Class EUR 29 June 2007 1.60% 2.10% 2.10% “I” Accumulation Share Class USD 29 June 2007 1.00% 1.36% 1.22% “I” Share Class USD 29 June 2007 1.00% 1.36% 1.28% “P” Share Class(c) USD 29 May 2009 1.25% 0.70% 0.70% “P” Accumulation Share Class(c) USD 29 May 2009 1.25% 0.70% 0.70% “IO” Accumulation Share Class USD 26 September 2007 — 0.36% 0.18% “IX” Share Class USD 4 September 2007 1.00% 1.36% 1.20%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

348 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio (a)

Global Emerging Markets Debt Portfolio(b) Base Currency Share Class USD 3 May 2000 1.25% 1.50% 1.50% Base Accumulation Share Class USD 14 November 2005 1.25% 1.50% 1.50% Base Accumulation Share Class (EUR Hedged Class) EUR 12 October 2007 1.25% 1.50% 1.50% “A” Share Class USD 5 March 2001 1.25% 1.75% 1.75% “B” Share Class USD 5 March 2001 1.25% 2.75% 2.75% “I” Share Class USD 19 June 2001 0.75% 1.11% 0.97% “I” Share Class (GBP Hedged Class) GBP 30 November 2005 0.75% 1.11% 0.97% “I” Share Class (EUR Hedged Class) EUR 27 November 2006 0.75% 1.11% 0.97% “I” Accumulation Share Class (EUR Hedged Class) EUR 7 February 2006 0.75% 1.11% 0.97% “E” Accumulation Share Class EUR 14 November 2005 1.25% 1.75% 1.75% “IO” Share Class USD 2 August 2006 — 0.36% 0.22% “IO” Accumulation Share Class USD 30 November 2007 — 0.36% 0.22% “IX” Share Class USD 4 September 2007 0.75% 1.11% 0.97% “IO” Accumulation Share Class (GBP Hedged Class) GBP 30 April 2008 — 0.36% 0.22% “IO” Accumulation Share Class (EUR Hedged Class) EUR 10 December 2007 — 0.36% 0.22% Global Fixed Income Portfolio(b) Base Currency Share Class USD 26 February 1993 1.00% 1.25% 1.25% Base Accumulation Share Class USD 14 November 2005 1.00% 1.25% 1.25% “A” Share Class USD 17 January 2001 1.00% 1.50% 1.50% “B” Share Class USD 5 March 2001 1.00% 2.50% 2.50% “I” Share Class USD 5 December 2001 0.50% 0.71% 0.71% “E” Accumulation Share Class EUR 14 November 2005 1.00% 1.50% 1.50% “I” Accumulation Share Class EUR 31 October 2007 0.50% 0.71% 0.71% “IO” Accumulation Share Class USD 26 September 2007 — 0.21% 0.21% “P” Share Class(c) USD 29 May 2009 0.40% 0.65% 0.65% “P” Accumulation Share Class(c) USD 29 May 2009 0.40% 0.65% 0.65% Global Fixed Income Portfolio (Hedged)(b) Base Currency Share Class EUR 17 December 2001 1.00% 1.25% 1.25% Base Accumulation Share Class EUR 14 November 2005 1.00% 1.25% 1.25% “I” Share Class EUR 17 December 2001 0.50% 0.71% 0.71% “I” Accumulation Share Class EUR 28 September 2007 0.50% 0.71% 0.71% “E” Accumulation Share Class EUR 18 June 2007 1.00% 1.50% 1.50% “IO” Share Class (GBP Hedged Class) GBP 26 November 2008 — 0.21% 0.21% “I” Accumulation Share Class (NZD Hedged Class) NZD 21 November 2008 0.50% 0.71% 0.71% “P” Share Class(c) EUR 29 May 2009 0.40% 0.65% 0.65% “P” Accumulation Share Class(c) EUR 29 May 2009 0.40% 0.65% 0.65% Global High Yield Portfolio Base Currency Share Class USD 27 January 1998 1.10% 1.35% 1.35% Base Accumulation Share Class USD 14 November 2005 1.10% 1.35% 1.35% Other Currency Share Class (EUR Hedged Class) EUR 7 May 1999 1.10% 1.40% 1.40% Other Currency Accumulation Share Class (EUR Hedged Class)(c) EUR 18 December 2008 1.10% 1.35% 1.35% “A” Share Class USD 5 March 2001 1.10% 1.60% 1.60% “B” Share Class USD 5 March 2001 1.10% 2.60% 2.60% “I” Share Class USD 27 April 2001 0.60% 0.86% 0.76% “E” Accumulation Share Class EUR 14 November 2005 1.10% 1.60% 1.60% “IO” Share Class USD 20 June 2006 — 0.26% 0.12% “I” Accumulation Share Class USD 13 September 2007 0.60% 0.86% 0.72% “I” Accumulation Share Class (EUR Hedged Class) EUR 26 October 2007 0.60% 0.86% 0.74% “IO” Accumulation Share Class USD 26 September 2007 — 0.26% 0.12% “I” Accumulation Share Class (GBP Hedged Class) GBP 25 October 2007 0.60% 0.86% 0.72% “IO” Accumulation Share Class (GBP Hedged Class) GBP 30 April 2008 — 0.26% 0.13% “IO” Accumulation Share Class (EUR Hedged Class) EUR 10 December 2007 — 0.26% 0.12% “IO” Share Class (GBP Hedged Class) GBP 19 June 2008 — 0.26% 0.12% Specialised Fixed Income Portfolio(b) “P” Share Class EUR 7 November 2007 0.40% 0.60% 0.60% “P” Accumulation Share Class EUR 7 November 2007 0.40% 0.60% 0.60% Sterling Broad Fixed Income Portfolio Base Currency Share Class GBP 10 December 2001 1.00% 1.25% 1.25% Base Accumulation Share Class GBP 14 November 2005 1.00% 1.25% 1.25% “I” Share Class GBP 10 December 2001 0.50% 0.71% 0.65% “IO” Accumulation Share Class(c) GBP 24 March 2009 — 0.21% 0.21% “P” Share Class(c) GBP 29 May 2009 0.40% 0.65% 0.65% Sterling Credit Portfolio “P” Share Class(c) GBP 18 December 2008 0.50% 0.75% 0.69% “ID” Share Class(c) GBP 18 December 2008 0.40% 0.61% 0.61% Base Currency Share Class(c) GBP 18 December 2008 0.80% 1.05% 1.05% “I” Share Class(c) GBP 18 December 2008 0.40% 0.61% 0.61%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER %. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

349 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

US Fixed Income Portfolio(b) Base Currency Share Class USD 27 July 1998 1.00% 1.25% 1.25% Base Accumulation Share Class USD 14 November 2005 1.00% 1.25% 1.25% “A” Share Class USD 5 March 2001 1.00% 1.50% 1.50% “B” Share Class USD 5 March 2001 1.00% 2.50% 2.50% “I” Share Class USD 13 November 2001 0.50% 0.71% 0.71% “I” Accumulation Share Class USD 15 February 2007 0.50% 0.71% 0.71% “E” Accumulation Share Class EUR 14 November 2005 1.00% 1.50% 1.50% “P” Share Class(c) EUR 29 May 2009 0.45% 0.70% 0.70% “P” Accumulation Share Class(c) EUR 29 May 2009 0.45% 0.70% 0.70% US Mortgage Backed Securities Portfolio Base Currency Share Class USD 30 September 2002 0.80% 1.05% 1.05% Base Accumulation Share Class USD 14 November 2005 0.80% 1.05% 1.05% “A” Share Class USD 19 February 2003 0.80% 1.30% 1.30% “I” Share Class USD 30 September 2002 0.30% 0.46% 0.42% “IO” Share Class USD 30 June 2006 — 0.16% 0.13% “I” Accumulation Share Class (GBP Hedged Class)(c) GBP 20 May 2009 0.30% 0.46% 0.42% “I” Accumulation Share Class (EUR Hedged Class) EUR 31 October 2007 0.30% 0.46% 0.45% “P” Share Class(c) USD 29 May 2009 0.45% 0.70% 0.70% “P” Accumulation Share Class(c) USD 29 May 2009 0.45% 0.70% 0.70% Specialist Portfolios Commodities Enhanced Index Portfolio(b) Other Accumulation Snap Share Class (EUR Hedged Class) EUR 9 December 2005 0.50% 0.75% 0.75% Base Snap Currency Share Class USD 9 December 2005 0.50% 0.75% 0.75% Base Snap Accumulation Share Class USD 9 December 2005 0.50% 0.75% 0.75% “A” Snap Share Class USD 9 December 2005 0.50% 1.05% 1.05% “I” Accumulation Snap Share Class USD 26 September 2007 0.40% 0.61% 0.61% “I” Accumulation Snap Share Class (CAD Hedged Class)(c) CAD 14 August 2008 0.40% 0.61% 0.15% “IO” Accumulation Snap Share Class (GBP Hedged Class) GBP 18 August 2008 — 0.21% 0.21% Euro Fixed Income Plus Portfolio(b) Base Currency Share Class EUR 24 January 2006 1.00% 1.25% 1.25% Base Accumulation Share Class EUR 24 January 2006 1.00% 1.25% 1.25% “A” Share Class EUR 24 January 2006 1.00% 1.50% 1.50% “I” Accumulation Share Class EUR 31 October 2007 0.75% 0.96% 0.96% “P” Accumulation Share Class EUR 11 June 2007 0.80% 1.05% 1.05% “E” Accumulation Share Class EUR 28 September 2007 1.00% 1.50% 1.50% “IO” Accumulation Share Class EUR 25 September 2008 — 0.21% 0.21% Europe CORESM Flex Portfolio(b) Base Currency Share Class EUR 31 August 2006 1.80% 2.05% 2.05% Base Accumulation Share Class EUR 31 August 2006 1.80% 2.05% 2.05% “A” Share Class USD 17 January 2007 1.80% 2.55% 2.55% “I” Accumulation Share Class EUR 31 August 2006 0.90% 1.11% 1.11% “I” Share Class EUR 31 August 2006 0.90% 1.11% 1.11% “P” Accumulation Share Class EUR 20 November 2006 1.10% 1.35% 1.35% “P” Share Class EUR 20 November 2006 1.10% 1.35% 1.35% “E” Accumulation Share Class EUR 4 December 2007 1.80% 2.55% 2.55% Global Currency Portfolio(b) Base Currency Share Class USD 6 December 2005 1.20% 1.45% 1.45% Base Accumulation Share Class USD 6 December 2005 1.20% 1.45% 1.45% Other Currency Share Class (EUR Hedged Class) EUR 18 September 2006 1.20% 1.45% 1.45% Other Currency Accumulation Share Class (EUR Hedged Class) EUR 6 December 2005 1.20% 1.45% 1.45% Other Currency Share Class (GBP Hedged Class) GBP 7 February 2006 1.20% 1.45% 1.45% “A” Share Class USD 6 December 2005 1.20% 1.85% 1.85% “A” Accumulation Share Class (EUR Hedged Class) EUR 7 June 2006 1.20% 1.85% 1.85% “I” Share Class USD 22 May 2006 1.00% 1.21% 1.21% “I” Share Class (GBP Hedged Class) GBP 22 May 2006 1.00% 1.21% 1.21% “I” Accumulation Share Class (EUR Hedged Class) EUR 22 May 2006 1.00% 1.21% 1.21% “IO” Accumulation Share Class EUR 30 November 2007 — 0.21% 0.21% “IO” Accumulation Share Class (EUR Hedged Class) EUR 10 December 2007 — 0.21% 0.21% “IO” Accumulation Share Class (GBP Hedged Class) GBP 19 August 2008 — 0.21% 0.21% Global Currency Plus Portfolio(b) Base Accumulation Share Class USD 2 September 2008 2.00% 2.40% 2.40% Base Currency Share Class USD 2 September 2008 2.00% 2.40% 2.40% Other Currency Accumulation Share Class (EUR Hedged Class) EUR 2 September 2008 2.00% 2.40% 2.40% “I” Accumulation Share Class (GBP Hedged Class) GBP 14 November 2008 1.00% 1.36% 1.36% “IO” Accumulation Share Class (GBP Hedged Class) GBP 2 September 2008 — 0.36% 0.36% “P” Share Class USD 2 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class USD 2 September 2008 1.25% 1.65% 1.65% “P” Accumulation Share Class (EUR Hedged Class)(c) EUR 12 February 2009 1.25% 1.65% 1.65%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER%. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

350 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Global Fixed Income Plus Portfolio (Hedged)(b) Base Currency Share Class EUR 25 January 2006 1.00% 1.25% 1.25% Base Accumulation Share Class EUR 25 January 2006 1.00% 1.25% 1.25% Other Currency Share Class (USD Hedged Class) USD 18 September 2006 1.00% 1.25% 1.25% Other Currency Accumulation Share Class (USD Hedged Class) USD 21 November 2006 1.00% 1.25% 1.25% “A” Share Class EUR 25 January 2006 1.00% 1.50% 1.50% “A” Share Class (USD Hedged Class) USD 31 October 2006 1.00% 1.50% 1.50% “I” Accumulation Share Class (USD Hedged Class) USD 31 October 2007 0.75% 0.96% 0.96% “I” Accumulation Share Class EUR 26 October 2007 0.75% 0.96% 0.96% “P” Accumulation Share Class EUR 11 June 2007 0.80% 1.05% 1.05% “P” Share Class (GBP Hedged Class) GBP 11 June 2007 0.80% 1.05% 1.05% “P” Accumulation Share Class (USD Hedged Class) USD 11 June 2007 0.80% 1.05% 1.05% “E” Accumulation Share Class EUR 28 September 2007 1.00% 1.50% 1.50% “IO” Accumulation Share Class (USD Hedged Class) USD 30 November 2007 — 0.21% 0.21% “IO” Accumulation Share Class EUR 10 December 2007 — 0.21% 0.21% “IO” Accumulation Share Class (GBP Hedged Class) GBP 19 August 2008 — 0.21% 0.21% Global Libor Plus I Portfolio(b)(e) Base Currency Share Class USD 28 June 2006 0.60% 0.85% 0.85% Base Accumulation Share Class USD 28 June 2006 0.60% 0.85% 0.85% Other Currency Share Class (EUR Hedged Class) EUR 28 June 2006 0.60% 0.85% 0.85% Other Accumulation Share Class (EUR Hedged Class) EUR 28 June 2006 0.60% 0.85% 0.85% Other Currency Share Class (GBP Hedged Class) GBP 18 September 2006 0.60% 0.85% 0.85% “A” Share Class USD 30 March 2007 0.60% 1.10% 1.10% “I” Accumulation Share Class USD 16 July 2007 0.35% 0.50% 0.49% “I” Share Class (EUR Hedged Class) EUR 5 September 2006 0.35% 0.50% 0.49% “I” Accumulation Share Class (EUR Hedged Class) EUR 23 November 2007 0.35% 0.50% 0.49% “IO” Accumulation Share Class (GBP Hedged Class) GBP 16 July 2007 — 0.15% 0.14% “IO” Accumulation Share Class (HKD Hedged Class) HKD 27 June 2007 — 0.15% 0.14% “IO” Accumulation Share Class (EUR Hedged Class)(c) EUR 25 June 2008 — 0.15% 0.07% “E” Accumulation Share Class (EUR Hedged Class) EUR 16 July 2007 0.60% 1.10% 1.10% Global Libor Plus II Portfolio(b)(e) Base Currency Share Class USD 28 June 2006 1.00% 1.25% 1.25% Base Accumulation Share Class USD 28 June 2006 1.00% 1.25% 1.25% Other Currency Share Class (EUR Hedged Class) EUR 28 June 2006 1.00% 1.25% 1.25% Other Accumulation Share Class (EUR Hedged Class) EUR 28 June 2006 1.00% 1.25% 1.25% Other Currency Share Class (GBP Hedged Class) GBP 17 July 2006 1.00% 1.25% 1.25% “A” Share Class USD 30 March 2007 1.00% 1.50% 1.50% “I” Accumulation Share Class USD 31 October 2006 0.55% 0.70% 0.70% “I” Accumulation Share Class (EUR Hedged Class) EUR 20 November 2006 0.55% 0.70% 0.70% “IO” Accumulation Share Class (HKD Hedged Class) HKD 27 June 2007 — 0.15% 0.15% “E” Accumulation Share Class (EUR Hedged Class) EUR 16 July 2007 1.00% 1.75% 1.75% “I” Share Class (GBP Hedged Class)(c) GBP 16 November 2007 0.55% 0.70% 0.70% “IO” Accumulation Share Class (EUR Hedged Class)(c) EUR 24 June 2008 — 0.15% 0.15% “IO” Share Class (GBP Hedged Class) GBP 26 November 2008 — 0.15% 0.15% “IO” Accumulation Share Class (GBP Hedged Class) GBP 12 September 2008 — 0.15% 0.15% Global Property Securities Portfolio(b) Base Currency Share Class(c) USD 27 February 2007 1.50% 1.90% 1.90% Base Accumulation Share Class(c) USD 27 February 2007 1.50% 1.90% 1.90% “A” Share Class(c) USD 26 March 2007 1.50% 2.40% 2.40% “A” Accumulation Share Class(c) USD 27 February 2007 1.50% 2.40% 2.40% “P” Accumulation Share Class(c) USD 27 February 2007 1.10% 1.50% 1.50% “I” Share Class(c) USD 27 February 2007 1.00% 1.36% 1.36% “I” Accumulation Share Class(c) USD 27 February 2007 1.00% 1.36% 1.36% “E” Accumulation Share Class(c) EUR 27 February 2007 1.50% 2.65% 2.65% “I” Accumulation Share Class (EUR Hedged Class)(c) EUR 23 November 2007 1.00% 1.36% 1.36% Japan CORESM Flex Portfolio(b) Close Base Currency Share Class JPY 27 February 2007 1.80% 2.05% 2.05% Close Base Accumulation Share Class JPY 27 February 2007 1.80% 2.05% 2.05% Close “A” Share Class USD 30 March 2007 1.80% 2.55% 2.55% Close “I” Share Class JPY 27 February 2007 0.90% 1.11% 1.11% Close “I” Accumulation Share Class JPY 27 February 2007 0.90% 1.11% 1.11% Close “P” Accumulation Share Class JPY 27 February 2007 1.10% 1.35% 1.35% Close “P” Share Class JPY 27 February 2007 1.10% 1.35% 1.35% Close “E” Accumulation Share Class EUR 27 February 2007 1.80% 2.55% 2.55% Close“IO” Share Class JPY 3 September 2007 — 0.21% 0.21%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER%. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

351 Goldman Sachs Funds Appendix I As at 31 May 2009

Inception Advisory Fee Expense Total Net Currency Date Rate Cap Expense Ratio(a)

Sterling Broad Fixed Income Plus Portfolio(b) Base Currency Share Class GBP 23 January 2006 1.00% 1.25% 1.25% Base Accumulation Share Class GBP 23 January 2006 1.00% 1.25% 1.25% “A” Share Class GBP 23 January 2006 1.00% 1.50% 1.50% “I” Accumulation Share Class GBP 30 June 2006 0.75% 0.96% 0.89% “IO” Accumulation Share Class GBP 25 June 2008 — 0.21% 0.14% “P” Accumulation Share Class GBP 11 June 2007 0.80% 1.05% 0.98% US CORESM Flex Portfolio(b) Base Accumulation Snap Share Class USD 31 August 2006 1.80% 2.05% 2.05% Base Currency Close Share Class USD 31 August 2006 1.80% 2.05% 2.05% Base Accumulation Close Share Class USD 31 August 2006 1.80% 2.05% 2.02% “I” Close Share Class USD 31 August 2006 0.90% 1.11% 1.11% “I” Accumulation Close Share Class USD 31 August 2006 0.90% 1.11% 1.11% “A” Snap Share Class USD 6 December 2006 1.80% 2.55% 2.55% “I” Accumulation Snap Share Class EUR 31 October 2007 0.90% 1.11% 1.11% “P” Accumulation Snap Share Class USD 20 November 2006 1.10% 1.35% 1.35% “P” Snap Share Class USD 20 November 2006 1.10% 1.35% 1.35% “E” Accumulation Snap Share Class EUR 17 January 2007 1.80% 2.55% 2.55%

(a) This ratio expresses the sum of all costs and commissions (excluding dealing commissions and market costs) charged on an ongoing basis to the portfolios’ assets (operating net expenses) taken retrospectively as a percentage of the portfolios’ assets, and is calculated using the following formula: Total operating net expenses in CU** /Average portfolios’ assets in CU** x 100 = TER%. The TER is calculated for the Period from 1 December 2008 to 31 May 2009. TER’s are annualised for Funds operating less than one year. ** CU = Currency units in the fund’s accounting currency. (b) These portfolios are waiving fees where the TER is below the cap due to the expenses being over the cap on certain dates during the reporting period. (c) Refer to Appendix II. (d) The expense cap does not include fees paid to external Sub-Investment Advisors. (e) The expense cap does not include performance fees.

352 Goldman Sachs Funds Appendix II As at 31 May 2009

During the year, the following Portfolio was launched:

Portfolio Currency Launch Date

Sterling Credit Portfolio GBP 18 December 2008

During the period, the following Portfolios were liquidated:

Portfolio Currency Liquidation Date

GMS Alpha + Europe Equity Portfolio EUR 2 March 2009

GMS Alpha + US Equity Portfolio USD 3 March 2009

UK CORESM Equity Portfolio GBP 23 January 2009

During the year, the following Portfolios were closed and merged:

Portfolio Merged into Currency Merging Date

US Growth Opportunities Portfolio US Growth Equity Portfolio USD 24 April 2009

US Premier Equity Portfolio US Equity Portfolio USD 24 April 2009

Global Financial Services Portfolio Global Equity Partners Portfolio USD 17 April 2009

Global Technology Portfolio Global Equity Partners Portfolio CHF 17 April 2009

Global Property Securities Portfolio Global Equity Partners Portfolio USD 17 April 2009

During the year, the following share classes were launched:

Currency of the Portfolios Classes Share Class Launch Date

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

Global Equity Partners Portfolio “A” Share Class USD 17 April 2009

Global Equity Partners Portfolio “A” Accumulation Share Class USD 17 April 2009

Global Equity Partners Portfolio “I” Accumulation Share Class USD 17 April 2009

Global Equity Partners Portfolio “E” Accumulation Share Class EUR 17 April 2009

Global Equity Partners Portfolio “P” Share Class USD 17 April 2009

Global Equity Partners Portfolio “P” Accumulation Share Class USD 17 April 2009

Regional CORE Equity Portfolios

Global CORESM Equity Portfolio “P” Snap Share Class USD 3 April 2009

GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Euro Fixed Income Portfolio “P” Share Class EUR 29 May 2009

Euro Fixed Income Portfolio “P” Accumulation Share Class EUR 29 May 2009

Global Credit Portfolio (Hedged) “E” Accumulation Share Class (EUR Hedged Class) EUR 19 February 2009

Global Credit Portfolio (Hedged) “I” Accumulation Share Class (GBP Hedged Class) GBP 20 May 2009

Global Emerging Markets Debt Local Portfolio “P” Share Class USD 29 May 2009

Global Emerging Markets Debt Local Portfolio “P” Accumulation Share Class USD 29 May 2009

Global Fixed Income Portfolio “P” Share Class USD 29 May 2009

353 Goldman Sachs Funds Appendix II As at 31 May 2009

Currency of the Portfolios Classes Share Class Launch Date

Global Fixed Income Portfolio “P” Accumulation Share Class USD 29 May 2009

Global Fixed Income Portfolio (Hedged) “P” Share Class EUR 29 May 2009

Global Fixed Income Portfolio (Hedged) “P” Accumulation Share Class EUR 29 May 2009

Global High Yield Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 18 December 2008

Sterling Broad Fixed Income Portfolio “IO” Accumulation Share Class GBP 24 March 2009

Sterling Broad Fixed Income Portfolio “P” Share Class GBP 29 May 2009

Sterling Credit Portfolio “P” Share Class GBP 18 December 2008

Sterling Credit Portfolio “ID” Share Class GBP 18 December 2008

Sterling Credit Portfolio Base Currency Share Class GBP 18 December 2008

Sterling Credit Portfolio “I” Share Class GBP 18 December 2008

US Fixed Income Portfolio “P” Share Class USD 29 May 2009

US Fixed Income Portfolio “P” Accumulation Share Class USD 29 May 2009

US Mortgage Backed Securities Portfolio “I” Accumulation Share Class (GBP Hedged Class) GBP 20 May 2009

US Mortgage Backed Securities Portfolio “P” Share Class USD 29 May 2009

US Mortgage Backed Securities Portfolio “P” Accumulation Share Class USD 29 May 2009

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Global Currency Plus Portfolio “P” Accumulation Share Class (EUR Hedged Class) EUR 12 February 2009

During the year, the following share classes were closed:

Currency of the Portfolios Classes Share Class Close Date

GOLDMAN SACHS EQUITY PORTFOLIOS

Regional Equity Portfolios

GMS Alpha+ Europe Equity Portfolio Base Currency Share Class EUR 2 March 2009

GMS Alpha+ Europe Equity Portfolio Base Accumulation Share Class EUR 2 March 2009

GMS Alpha+ US Equity Portfolio Base Currency Share Class USD 3 March 2009

GMS Alpha+ US Equity Portfolio Base Accumulation Share Class USD 3 March 2009

US Equity Portfolio “IO” Accumulation Share Class EUR 22 December 2008

US Growth Opportunities Portfolio Base Currency Share Class USD 24 April 2009

US Growth Opportunities Portfolio Base Accumulation Share Class USD 24 April 2009

US Growth Opportunities Portfolio “A” Share Class USD 24 April 2009

US Growth Opportunities Portfolio “B” Share Class USD 24 April 2009

US Growth Opportunities Portfolio “I” Share Class USD 18 March 2009

US Growth Opportunities Portfolio “E” Accumulation Share Class EUR 24 April 2009

US Growth Opportunities Portfolio “I” Accumulation Share Class USD 27 March 2009

US Growth Opportunities Portfolio “P” Share Class USD 24 April 2009

US Growth Opportunities Portfolio “P” Accumulation Share Class USD 24 April 2009

US Premier Equity Portfolio Base Currency Share Class USD 24 April 2009

354 Goldman Sachs Funds Appendix II As at 31 May 2009

Currency of the Portfolios Classes Share Class Close Date

US Premier Equity Portfolio Base Accumulation Share Class USD 24 April 2009

US Premier Equity Portfolio “A” Share Class USD 24 April 2009

US Premier Equity Portfolio “E” Accumulation Share Class EUR 24 April 2009

US Premier Equity Portfolio “I” Accumulation Share Class USD 18 March 2009

US Premier Equity Portfolio “P” Share Class USD 24 April 2009

US Premier Equity Portfolio “P” Accumulation Share Class USD 18 March 2009

Regional CORE Equity Portfolios

UK CORESM Equity Portfolio Base Currency Share Class GBP 23 January 2009

UK CORESM Equity Portfolio Base Accumulation Share Class GBP 23 January 2009

UK CORESM Equity Portfolio “A” Share Class USD 23 January 2009

UK CORESM Equity Portfolio “I” Share Class GBP 23 January 2009

UK CORESM Equity Portfolio “E” Accumulation Share Class EUR 23 January 2009

US CORESM Equity Portfolio “I” Accumulation Close Share Class USD 10 March 2009

Sector Equity Portfolios

Global Financial Services Portfolio Base Currency Share Class USD 17 April 2009

Global Financial Services Portfolio Base Accumulation Share Class USD 17 April 2009

Global Financial Services Portfolio “A” Share Class USD 17 April 2009

Global Financial Services Portfolio “B” Share Class USD 17 April 2009

Global Financial Services Portfolio “E” Accumulation Share Class EUR 17 April 2009

Global Financial Services Portfolio “I” Accumulation Share Class USD 18 March 2009

Global Financial Services Portfolio “P” Share Class USD 30 March 2009

Global Financial Services Portfolio “P” Accumulation Share Class USD 18 March 2009

Global Technology Portfolio Base Currency Share Class CHF 17 April 2009

Global Technology Portfolio Other Currency Accumulation Share USD 17 April 2009

Global Technology Portfolio Other Currency Share Class USD 17 April 2009

Global Technology Portfolio Other Currency Share Class GBP 17 April 2009

Global Technology Portfolio “A” Share Class USD 17 April 2009

Global Technology Portfolio “B” Share Class USD 18 March 2009

Global Technology Portfolio “E” Accumulation Share Class EUR 17 April 2009

Global Technology Portfolio “I” Accumulation Share Class USD 18 March 2009

Global Technology Portfolio “P” Share Class USD 17 April 2009

Global Technology Portfolio “P” Accumulation Share Class USD 17 April 2009

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Commodities Enhanced Index Portfolio “I” Accumulation Snap Share Class (CAD Hedged Class) CAD 8 January 2009

Global Libor Plus I Portfolio “IO” Accumulation Share Class (EUR Hedged Class) EUR 20 January 2009

Global Libor Plus II Portfolio “I” Share Class (GBP Hedged Class) GBP 15 April 2009

Global Libor Plus II Portfolio “IO” Accumulation Share Class (EUR Hedged Class) EUR 6 January 2009

Global Property Securities Portfolio Base Currency Share Class USD 18 March 2009

355 Goldman Sachs Funds Appendix II As at 31 May 2009

Currency of the Portfolios Classes Share Class Close Date

Global Property Securities Portfolio Base Accumulation Share Class USD 18 March 2009

Global Property Securities Portfolio “A” Share Class USD 17 April 2009

Global Property Securities Portfolio “A” Accumulation Share Class USD 17 April 2009

Global Property Securities Portfolio “P” Accumulation Share Class USD 17 April 2009

Global Property Securities Portfolio “I” Share Class USD 18 March 2009

Global Property Securities Portfolio “I” Accumulation Share Class USD 17 April 2009

Global Property Securities Portfolio “E” Accumulation Share Class EUR 17 April 2009

Global Property Securities Portfolio “I” Accumulation Share Class (EUR Hedged Class) EUR 18 March 2009

356 Goldman Sachs Funds Additional Information

Shares of the Goldman Sachs Portfolios are issued on the basis of information set out in the current Offering Circular of Goldman Sachs Funds, SICAV, which is available free of charge at the Fund’s registered office. Prospective investors should review the Offering Circular carefully and consult their financial advisor before investing to determine that an investment in the Fund would be suitable for them. Past performance is not a guide to future performance and the value of investments and the income derived from them can go down as well as up. Future returns are not guaranteed and a loss of principal may occur. Investing in the Portfolios involves risks, including those arising from stock and bond markets, and currency exchange rate and interest rate volatility. Because the return and principal value of an investment in the Portfolios will fluctuate with changes in market conditions, an investor’s Shares, when redeemed, may be worth more or less than their original cost. Investors may also incur a sales charge when purchasing Shares, as a result of which, in the absence of investment returns, investors will not get back the amount invested.

If the Portfolios are denominated in a currency other than that in which the majority of the investor’s assets are held, the investor should be aware that changes in rates of exchange may affect the value of their investment independently of the value of the Portfolios’ underlying assets.

Shares of the Portfolios have not been registered under the US Securities Act of 1933, as amended (the “act”), or any state securities laws. Consequently,Shares of the Portfolios may not be offered or sold to or for the benefit of any United States person. Further, if you have requested information regarding the Portfolios while you are in the United States, you represent that (1) you are either a “Qualified Institutional Buyer” (as defined in Rule 144A under the Act) or (2) an “Accredited Investor” (as defined in Rule 501(a) under the Act). Furthermore, you agree that you will not transfer Shares of the Portfolios except in compliance with applicable securities law, including the Act, and in compliance with the applicable restrictions in the Fund’s governing documents.

The Goldman Sachs Funds, domiciled in Luxembourg, are collective investment schemes recognised under section 264 of the United Kingdom Financial Services and Markets Act 2000. Pursuant to this recognition, the Portfolios may be promoted to the public in the United Kingdom by persons authorised to conduct investment business. This document has been communicated outside of the United States by Goldman Sachs International, Peterborough Court, 133 Fleet Street, London, EC4A 2BB, authorised and regulated by the Financial Services Authority, and is approved for use in the United States by Goldman Sachs & Co.

Readers of this report should be informed that with regard to third parties, and in particular towards each Portfolio’s creditors, the Fund may be considered as one single legal entity.Despite the fact that legislation has been introduced in Luxembourg which the Fund has availed itself of, which is intended to eliminate the risk of cross contamination between the Portfolios, until this legislation has been tested in the competent forums, investors should consider the Fund as a whole may be responsible for all obligations, whichever Portfolio such liabilities are attributable to, except in cases where other terms have been agreed upon with specific creditors.

No subscriptions can be received on the basis of financial reports alone. Subscriptions are only valid if made on the basis of the current Prospectus supplemented by the most recent Annual Report and the latest Semi-Annual Report if published thereafter.

This document does not constitute a solicitation in any jurisdiction in which such a solicitation is unlawful to any person to whom it is unlawful. Moreover, this document neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to the document by

357 Goldman Sachs Funds Additional Information

making an offer to enter into an investment agreement. Opinions expressed are current opinions as of the date appearing in this material only.

References to market or composite indices, benchmarks or other measures of relative market perfor- mance over a specified period of time (each, an “index”) are provided for your information only.Reference to an index does not imply that the Portfolio will achieve returns, volatility or other results similar to the index. The composition of the index may not reflect the manner in which a Portfolio is constructed in relation to expected or achieved returns, Portfolio guidelines, restrictions, sectors, correlations, concen- trations, volatility or tracking error targets, all of which are subject to change over time.

The securities of emerging markets may be less liquid and more volatile and are subject to a number of additional risks, including but not limited to currency fluctuations and political instability.

High-yield lower-rated securities involve greater price volatility and present greater risks than higher-rated fixed income securities. At times, the Portfolio may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Portfolio risk management process includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk.

The currency market affords investors a substantial degree of leverage. This leverage presents the potential for substantial profits but also entails a high degree of risk including the risk that losses may be similarly substantial. Such transactions are considered suitable only for investors who are experienced in transactions of that kind. Currency fluctuations will also affect the value of an investment.

The strategy may include the use of derivatives. Derivatives often involve a high degree of financial risk because a relatively small movement in the price of the underlying security or benchmark may result in a disproportionately large movement in the price of the derivative and are not suitable for all investors. No representation regarding the suitability of these instruments and strategies for a particular investor is made.

Indices are unmanaged. The figures for the index reflect the reinvestment of dividends but do not reflect the deduction of any fees or expenses which would reduce returns. Investors cannot invest directly in indices.

Targets are subject to change and are current as of the date of this document. Targets are objectives and do not provide any assurance as to future results.

No part of this material may, without Goldman Sachs Asset Management’s prior written consent, be i) copied, photocopied or duplicated in any form, by any means, or ii) distributed to any person that is not an employee, officer, director or authorised agent of the recipient.

CORESM is a registered service mark of Goldman, Sachs & Co.

Copyright· 2009 Goldman, Sachs & Co. All rights reserved.

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