Semi-Annual Report February 28, 2017

Transcription

1 Goldman Sachs Funds Semi-Annual Report February 28, 2017 Financial Square Funds SM Federal Instruments Government Money Market Prime Obligations Tax-Exempt Money Market Treasury Instruments Treasury Obligations Treasury Solutions

2 Goldman Sachs Financial Square Funds FEDERAL INSTRUMENTS FUND GOVERNMENT FUND MONEY MARKET FUND PRIME OBLIGATIONS FUND TAX-EXEMPT MONEY MARKET FUND TREASURY INSTRUMENTS FUND TREASURY OBLIGATIONS FUND TREASURY SOLUTIONS FUND TABLE OF CONTENTS Portfolio Management Discussion and Analysis 1 Fund Basics 5 Yield Summary 7 Sector Allocations 8 Schedules of Investments 11 Financial Statements 38 Financial Highlights 46 Notes to Financial Statements 62 Other Information 77 NOT FDIC-INSURED May Lose Value No Bank Guarantee

3 PORTFOLIO RESULTS Goldman Sachs Financial Square Funds Portfolio Management Discussion and Analysis Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Goldman Sachs Financial Square Funds (the Funds ) performance and positioning for the six-month period ended February 28, 2017 (the Reporting Period ). Q What economic and market factors most influenced the money markets as a whole during the Reporting Period? A During the Reporting Period, U.S. money market fund reform and the U.S. presidential election were among the most significant events influencing the front, or short-term, end of the taxable and tax-exempt money market yield curves. Yield curve is a spectrum of maturities. When the Reporting Period began in September 2016, credit spreads (the difference in yields between government and taxable bonds of comparable maturity) widened in advance of money market fund reform, with final implementation taking effect in October Meanwhile, the agency floater curve steepened, as LIBOR widened and interest in shorter floaters amongst market participants increased. (LIBOR, or the London Inter-Bank Offered, is the interest rate that banks charge each other for short-term loans.) The BofA Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Index spiked to its highest level since the 2008 financial crisis. However, unlike in 2008, funding costs for banks did not increase due to market stress. Instead, spreads widened because of declining demand, as prime money market funds had been a key source of short-term bank funding. (Prime money market funds primarily invest in corporate debt securities.) Most of the flows went into government money market funds that invest in agencies and may offer higher yields benchmarked to LIBOR benefiting government yields and reducing pressure on U.S. Treasury yields. During September and October 2016, prime money market funds lost approximately $440 billion in assets, while government money market funds gained $410 billion in assets.* After money market fund reform was implemented on October 14, 2016, credit spreads gradually tightened to end the Reporting Period at widths seen at the beginning of Money market fund reform also impacted tax-exempt money market funds, with investment outflows reducing demand for one-day to seven-day maturities. In tandem with the outflows, the Securities Industry and Financial Markets Association ( SIFMA ) Municipal Swap Index, representing seven-day tax-exempt variable rate demand obligations, rose. *Source: imoneynet. In November 2016, Donald Trump s victory in the U.S. presidential election was widely viewed as a potential regime change in monetary and fiscal policy. The U.S. Treasury yield curve steepened as the markets began pricing in higher inflation due to greater anticipated government fiscal spending. In December 2016, in a move widely expected by the markets, the Federal Reserve (the Fed ) raised interest rates for the second time since the 2008 global financial crisis. Fed policymakers also raised their interest rate projections on the back of continued improvement in the U.S. labor market, rising wages and the potential of fiscal policy initiatives by the Trump administration. After the December 2016 policy meeting, market expectations increased for additional Fed rate hikes in 2017, and money market yields generally moved higher. Q What key factors were responsible for the performance of the Funds during the Reporting Period? A The taxable and tax-exempt Funds yields rose during the Reporting Period, driven by the increase in money market yields, which was due primarily to the economic and market factors discussed above. Yields along the taxable money market yield curve rose, but the difference in yields between those on the shorter-term end of the curve and those on the longer-term end of the curve ended the Reporting Period near where it started. The tax-exempt money market yield curve steepened during the Reporting Period. The interest rate and market environment did not provide bountiful opportunities to pick up additional yield. However, in keeping with our investment approach, we sought to position the Funds to take advantage of changes in the interest rate environment, and throughout the Reporting Period, we found pockets of opportunity to add extra yield. That said, it should be noted that regardless of interest rate conditions, we seek to manage the Funds consistently. Our investment approach has always been tri-fold to seek preservation of capital, daily liquidity and maximization of yield potential. We manage interest and credit risk daily. Whether interest rates are historically low, high or in-between, we intend to 1

4 PORTFOLIO RESULTS 2 continue to use our actively managed approach to seek to provide the best possible return within the framework of the Funds guidelines and objectives. Q How did you manage the taxable Funds during the Reporting Period? A Collectively, the taxable Funds had investments in commercial paper, asset-backed commercial paper, U.S. Treasury securities, government agency securities, repurchase agreements ( repos ), government guaranteed paper, time deposits, certificates of deposit, variable rate demand notes and municipal securities during the Reporting Period. In our taxable commercial paper strategies (i.e., the Goldman Sachs Financial Square Money Market Fund and the Goldman Sachs Financial Square Prime Obligations Fund), we maintained an especially low weighted average maturity of less than 10 days, along with high levels of liquidity, as the implementation of money market fund reform approached and amid uncertainty about investment flows from prime money market funds to government money market funds. Following the implementation of money market fund reform, investment flows into prime money market funds stabilized, and we gradually extended the weighted average maturity of our taxable commercial paper strategies. Toward the end of January 2017, as credit spreads normalized and we sought to add yield, we meaningfully extended the weighted average maturity of our taxable commercial paper strategies to a range of between 30 days and 40 days. Because we were skeptical about chances of a Fed interest rate hike in September 2016, we extended the weighted average maturity of our taxable government repo strategies (i.e., the Goldman Sachs Financial Square Government Fund, the Goldman Sachs Financial Square Treasury Obligations Fund and the Goldman Sachs Financial Square Treasury Solutions Fund) and our taxable government non-repo strategies (i.e., the Goldman Sachs Financial Square Federal Instruments Fund and the Goldman Sachs Financial Square Treasury Instruments Fund). We focused Fund purchases on LIBOR floaters. As already mentioned, LIBOR widened heading into U.S. money market fund reform, and interest in shorter floaters among market participants increased. During the period when the floater curve was steep, we focused on longer, i.e. 12- to 18-month final, three-month LIBOR floaters. As that curve began to flatten in the late summer of 2016, we adjusted and expressed this view via shorter, i.e. six-month final, three-month LIBOR floaters. In November 2016, we extended the weighted average maturity of our taxable government repo strategies and our taxable government non-repo strategies to take advantage of an increase in yields. We also added positions that we thought would perform well even if the Fed raised interest rates more aggressively than the market expected. Toward the end of the Reporting Period, we reduced the weighted average maturity of our taxable government repo and non-repo strategies in anticipation of the March 2017 federal debt ceiling deadline. (In 2015, Congress and the White House agreed to suspend the federal debt limit until March 15, After that date, the government cannot continue to borrow money to pay its obligations.) Q How did you manage the tax-exempt Fund during the Reporting Period? A During the Reporting Period, the tax-exempt Fund (i.e., the Goldman Sachs Financial Square Tax-Exempt Money Market Fund) had investments in variable rate demand notes ( VRDNs ), tax-exempt commercial paper and municipal put bonds. We maintained a particularly low weighted average maturity and a high level of liquidity in the tax-exempt Fund in response to money market fund reform, which reduced demand for short-term money market securities. Tax-exempt mutual funds overall lost more than $78 billion in assets during the summer of 2016 and had regained only $3 billion in assets by the end of the Reporting Period.* In November 2016, we extended the weighted average maturity of the taxexempt Fund, maintaining it in a range of between 23 days and 35 days for the rest of the Reporting Period. We focused on securities scheduled to mature in late June 2017, as they generally offered higher yields than shorter maturities and also offered, in our view, some protection should the Fed raise interest rates multiple times in Q Did you make any changes to the Funds portfolios during the Reporting Period? A During the Reporting Period, we made adjustments to the Funds weighted average maturities and their allocations to specific investments based on then-current market conditions, our near-term view and anticipated and actual Fed monetary policy statements. Q What is the Funds tactical view and strategy for the months ahead? A At the end of the Reporting Period, we expected U.S. economic growth to accelerate in the near term, driven by *Source: imoneynet.

5 PORTFOLIO RESULTS strong domestic demand and fiscal policy easing. The U.S. economy was already strengthening, in our view, prior to the November 2016 election, and we believe proposed fiscal stimulus and the potential loosening of regulations could provide additional support. We see U.S. economic growth picking up to 2.3% in 2017, with consumption underpinned in the near term by rising wages amid a labor market near full employment. (Full employment means the highest amount of skilled and unskilled labor that can be employed within an economy at any given time.) We also see scope for marginal improvements in business investment. That said, we remain alert to potential policy changes and geopolitical tensions, largely related to a more protectionist stance on trade, that might be associated with the Trump administration. Regarding Fed policy, we expect a gradual pace of interest rate hikes perhaps three in 2017 as the most likely scenario, largely due to the possibility of a fiscal stimulus package and the consensus anticipation of continued improvement in the labor market along with rising wages. In our taxable commercial paper strategies, we expect to maintain a targeted weighted average maturity in a range of between 30 days and 35 days as we seek to add yield and add yield and to position the Funds for the potential of continued spread tightening. In our taxable government repo strategies and taxable government non-repo strategies, we plan to maintain positions at the shorter end of our targeted weighted average maturity range. We anticipate a pickup in U.S. Treasury bill issuance ahead of the debt ceiling deadline in mid-march 2017 and as we head into the April 2017 tax season. In our tax-exempt Fund, we plan to maintain positions at the shorter end of our weighted average maturity range because we anticipate three Fed rate hikes during 2017 and because we expect tax-exempt money market yields to rise due to tax-related investment outflows in April Overall, we expect to keep all the Funds conservatively positioned as we continue to focus on preservation of capital and daily liquidity. We do not believe there is value in sacrificing liquidity in exchange for opportunities that only modestly increase yield potential. We will continue to use our actively managed approach to seek the best possible return within the framework of our Funds investment guidelines and objectives. In addition, we will continue to manage interest, liquidity and credit risk daily. We will also continue to closely monitor economic data, Fed policy and any shifts in the money market yield curves, as we strive to navigate the interest rate environment. 3

6 PORTFOLIO RESULTS GOVERNMENT MONEY MARKET FUNDS You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. INSTITUTIONAL PRIME MONEY MARKET FUNDS You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. RETAIL MONEY MARKET FUNDS You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. 4

7 FUND BASICS Financial Square Funds as of February 28, 2017 FEDERAL INSTRUMENTS PERFORMANCE REVIEW 1 Assets Under Management September 1, 2016 February 28, 2017 Fund Total Return (based on NAV) 2 Institutional Shares imoneynet Institutional Average 3 $767.4 Million NASDAQ Symbol (Institutional) FIRXX GOVERNMENT Assets Under Management $101.6 Billion NASDAQ Symbol (Institutional) FGTXX MONEY MARKET Assets Under Management $1.6 Billion NASDAQ Symbol (Institutional) FSMXX Federal Instruments 0.17% 0.21% 4 Government Money Market Prime Obligations Tax-Exempt Money Market Treasury Instruments Treasury Obligations Treasury Solutions The returns represent past performance. Past performance does not guarantee future results. The Funds investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 1 Each of the Prime Obligations, Treasury Obligations, Money Market, Treasury Instruments and Treasury Solutions Funds offers nine separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier and Resource), the Tax-Exempt Money Market Fund offers seven separate share classes (Institutional, Select, Preferred, Capital, Administration, Service and Resource), the Federal Instruments Fund offers eight separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management and Premier), and the Government Fund offers twelve separate classes of shares (Institutional, Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class R6, Class A and Class C), each of which is subject to different fees and expenses that affect performance and entitles shareholders to different services. The Institutional and Class R6 Shares do not have distribution and/or service (12b-1), administration or service (non-12b-1) fees. The Select, Preferred, Capital, Administration, Service, Cash Management, Premier, Resource, Class A and Class C Shares offer financial institutions the opportunity to receive fees for providing certain distribution (12b-1), administrative support and/or shareholder services (as applicable). As an annualized percentage of average daily net assets, these share classes pay combined distribution and/or service (12b-1), administration and/or service (non-12b-1) fees (as applicable) at the following contractual rates: the Select Shares pay 0.03%, Preferred Shares pay 0.10%, Capital Shares pay 0.15%, Administration Shares pay 0.25%, Service Shares pay 0.50%, Cash Management Shares pay 0.80%, Premier Shares pay 0.35%, Resource Shares pay 0.65%, Class A Shares pay 0.25% and Class C Shares pay 1.00%. If these fees were reflected in the above performance, performance would have been reduced. In addition, the Fund s performance does not reflect the deduction of any applicable sales charges. 2 The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. A Fund s total return reflects the reinvestment of dividends and other distributions. 3 Source: imoneynet, Inc. February Government & Agencies Institutional Category includes the most broadly based of the government institutional funds. These funds may invest in U.S. treasuries, U.S. agencies, repurchase agreements, or government-backed floating rate notes. 5 First Tier Institutional Category includes only non-government institutional funds that also are not holding any second tier securities. Portfolio holdings of First Tier funds include U.S. Treasury, U.S. other, repurchase agreements, time deposits, domestic bank obligations, foreign bank obligations, first tier commercial paper, floating rate notes, and asset-backed commercial paper. 6 Tax-Free National Institutional Category includes all institutional national and state tax-free and institutional municipal money funds. Portfolio holdings of tax-free funds include rated and unrated demand notes, rated and unrated general market notes, commercial paper, put bonds 6 months & less, put bonds over 6 months, alternative minimum tax paper and other tax-free holdings. Consists of funds in the National Tax-Free Institutional and State-Specific Institutional categories. 7 Treasury Institutional Category includes only institutional government funds that hold 100 percent in U.S. Treasuries. 8 Treasury & Repo Institutional Category includes only institutional government funds that hold U.S. Treasuries and repurchase agreements backed by the U.S. Treasury. 5

8 FUND BASICS PRIME OBLIGATIONS Assets Under Management $824.7 Million STANDARDIZED TOTAL RETURNS 1,9 For the period ended December 31, 2016 SEC 7-Day Current Yield 10 One Year Five Years Ten Years Since Inception Inception Date NASDAQ Symbol (Institutional) FPOXX TAX-EXEMPT MONEY MARKET Assets Under Management $7.0 Million NASDAQ Symbol (Institutional) FGFXX Federal Instruments 0.40% 0.25% N/A N/A 0.22% 10/30/15 Government % 0.83% /6/93 Money Market /18/94 Prime Obligations /8/90 Tax-Exempt Money Market 0.49 N/A N/A N/A /31/16 Treasury Instruments /3/97 Treasury Obligations /25/90 Treasury Solutions /28/97 9 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) of Institutional Shares as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. The SEC 7-Day Current Yield is not a Standardized Total Return. Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The yields and returns represent past performance. Past performance does not guarantee future results. The Funds investment yield and return will fluctuate as market conditions change. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 10 The SEC 7-Day Current Yield figures are as of 12/31/16 and are calculated in accordance with securities industry regulations and do not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of a given Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects a Fund s current earnings than do the Standardized Total Return figures. TREASURY INSTRUMENTS Assets Under Management $47.6 Billion NASDAQ Symbol (Institutional) FTIXX 6

9 YIELD SUMMARY TREASURY OBLIGATIONS SUMMARY OF THE INSTITUTIONAL SHARES 1 AS OF 2/28/17 Assets Under Management $18.5 Million Funds 7-Day Dist. Yield 11 SEC 7-Day Effective Yield Day Average Yield 13 Weighted Avg. (days) 14 Weighted Avg. Life (days) 15 NASDAQ Symbol (Institutional) FTOXX TREASURY SOLUTIONS Assets Under Management $9.5 Billion NASDAQ Symbol (Institutional) FEDXX Federal Instruments 0.43% 0.42% 0.43% Government Money Market Prime Obligations Tax-Exempt Money Market Treasury Instruments Treasury Obligations Treasury Solutions The Yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above. Yields reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund. Please visit our Web site at to obtain the most recent month-end performance. 11 The 7-Day Distribution Yield is the average total return over the previous seven days. It is a Fund s total income net of expenses, divided by the total number of outstanding shares. This yield can include capital gain/loss distribution, if any. This is not a SEC Yield. 12 The SEC 7-Day Effective Yield of a Fund is calculated in accordance with securities industry regulations and do not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. 13 The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. 14 A Fund s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a A Fund s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. 7

10 SECTOR ALLOCATIONS TAXABLE FUNDS 16 As of February 28, 2017 Security Type (Percentage of Net Assets) Federal Money Instruments Government Market Prime Obligations Treasury Instruments Treasury Treasury Obligations Solutions Certificates of Deposit 1.0% 1.3% Certificates of Deposit - Yankeedollar Commercial Paper & Corporate Obligations Fixed Municipal Debt Obligations Repurchase Agreements 48.4% % 49.3% Time Deposits U.S. Government Agency Obligations 39.7% U.S. Treasury Obligations % Variable Municipal Debt Obligations Variable Obligations Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. 8

11 SECTOR ALLOCATIONS TAXABLE FUNDS 16 As of August 31, 2016 Security Type (Percentage of Net Assets) Federal Money Instruments Government Market Prime Obligations Treasury Instruments Treasury Treasury Obligations Solutions Certificates of Deposit - Yankeedollar 7.4% 7.5% Commercial Paper & Corporate Obligations Fixed Municipal Debt Obligations Repurchase Agreements 56.6% % 51.3% Time Deposits U.S. Government Agency Obligations 68.4% U.S. Treasury Obligations % Variable Municipal Debt Obligations Each Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. TAX-EXEMPT MONEY MARKET FUND 17 As of February 28, 2017 Security Type Percentage of Net Assets Bond Anticipation Notes 2.2% Commercial Paper 8.4 General Obligation Bonds 7.2 Revenue Anticipation Notes 2.9 Revenue Bonds 2.9 Tax and Revenue Anticipation Notes 6.5 Variable Obligations 70.7 As of August 31, 2016 Commercial Paper 6.9% Variable Obligations The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities. 9

12 PORTFOLIO RESULTS Index Definitions The BofA Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Index is based on the assumed purchase of a synthetic instrument having three months to maturity and with a coupon equal to the closing quote for three-month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing three-month LIBOR rate) and is rolled into a new three-month instrument. The index, therefore, will always have a constant maturity equal to exactly three months. The Securities Industry and Financial Markets Association ( SIFMA ) Municipal Swap Index is a seven-day high-grade market index comprised of tax-exempt variable rate demand obligations with certain characteristics. The Index is calculated and published by Bloomberg. The Index is overseen by SIFMA s municipal swap index committee. 10

13 FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND Schedule of Investments February 28, 2017 (Unaudited) Date Amortized Cost Date Amortized Cost U.S. Government Agency Obligations 39.7% Federal Farm Credit Bank (a) $ 1,100, % 04/07/17 $ 1,099,996 1,000, /25/17 1,000, , /13/17 200, , /15/17 650,000 3,500, /30/17 3,499,953 25,000, /13/17 25,000,072 1,250, /01/17 1,249, , /15/17 699,981 Federal Home Loan Bank (a) 6,500, /03/17 6,500,000 4,000, /13/17 4,000,000 4,000, /16/17 4,000,000 6,600, /21/17 6,600,000 20,000, /23/17 20,000,087 7,500, /29/17 7,500,000 4,000, /03/17 4,000,000 6,350, /05/17 6,350,000 7,000, /07/17 6,999,969 4,450, /13/17 4,450,000 3,500, /18/17 3,500,000 17,500, /21/17 17,500,000 25,000, /25/17 25,000,000 1,600, /13/17 1,599,964 1,600, /13/17 1,600,000 1,600, /13/17 1,600,000 3,300, /15/17 3,300,000 24,000, /16/17 24,000,000 1,300, /12/17 1,300, , /14/17 200,000 7,000, /25/17 7,000,000 3,750, /25/17 3,750, , /21/17 500,000 4,000, /22/17 4,000,000 4,000, /28/17 3,999,801 1,500, /01/17 1,500,000 1,600, /12/17 1,600,000 2,500, /19/17 2,500,000 2,300, /27/17 2,300,000 2,410, /15/18 2,410,000 2,410, /16/18 2,409,874 7,000, /01/18 7,000,000 4,800, /19/18 4,800,000 3,270, /28/18 3,270, , /09/18 699,950 1,100, /12/18 1,099,924 Federal Home Loan Bank Discount Notes 48,000, /23/17 47,986,800 24,600, /29/17 24,590,529 TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $304,816,711 U.S. Treasury Obligations 60.2% United States Cash Management Bill $52,700, % 03/15/17 $ 52,689,241 U.S. Treasury Obligations (continued) United States Treasury Bills $ 500, % 03/02/17 $ 499,994 7,500, /02/17 7,499,913 3,100, /02/17 3,099,963 1,500, /02/17 1,499,981 5,100, (b) 03/16/17 5,099,150 2,800, /16/17 2,799,516 5,000, /16/17 4,998,958 37,000, /16/17 36,992,060 40,000, /06/17 39,979,380 35,000, /06/17 34,981, , /06/17 99,947 20,950, /13/17 20,937, , /20/17 99, , /04/17 899, , /04/17 499,569 2,400, /04/17 2,397, , /04/17 399, , /04/17 699, , /04/17 99, , /04/17 99, , /04/17 99,908 50, /04/17 49,948 4,450, /18/17 4,443, , /25/17 923, , /25/17 524, , /25/17 99, , /25/17 139,792 1,000, /13/17 997, , /20/17 99, , /20/17 598,602 30, /20/17 29, , /24/17 99, , (b) 08/31/17 99,661 United States Treasury Floating Notes (a) 113,300, /30/17 113,315,281 2,900, /31/17 2,900, , /31/17 200,173 United States Treasury Notes 6,800, /15/17 6,800,616 7,400, /31/17 7,400,000 16,000, /31/17 16,006,347 7,150, /31/17 7,166, , /15/17 100, , /30/17 699, , /30/17 301, , /15/17 210,140 5,850, /15/17 5,896, , /31/17 300,062 8,950, /31/17 8,998,228 5,500, /15/17 5,504,030 1,270, /30/17 1,270,162 2,300, /30/17 2,300,898 6,600, /30/17 6,641,015 8,900, /15/17 8,908,592 11,500, /15/17 11,510,558 The accompanying notes are an integral part of these financial statements. 11

14 FINANCIAL SQUARE FEDERAL INSTRUMENTS FUND Schedule of Investments (continued) February 28, 2017 (Unaudited) Date Amortized Cost U.S. Treasury Obligations (continued) United States Treasury Notes (continued) $ 5,300, % 08/15/17 $ 5,398,862 2,900, /31/17 2,898,000 4,400, /31/17 4,425,942 2,900, /15/17 2,903,195 3,300, /30/17 3,296,177 1,100, /30/17 1,106,857 2,350, /15/17 2,350,527 2,100, /31/17 2,098,225 2,950, /31/17 2,970,395 3,000, /15/17 3,071, , /30/17 199, , /30/17 404,268 TOTAL U.S. TREASURY OBLIGATIONS $462,133,779 TOTAL INVESTMENTS 99.9% $766,950,490 OTHER ASSETS IN EXCESS OF LIABILITIES 0.1% 426,640 NET ASSETS 100.0% $767,377,130 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. (a) Variable or floating rate security. rate disclosed is that which is in effect at February 28, (b) All or a portion represents a forward commitment. rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices. dates represent either the final legal maturity date on the security, the demand date for puttable securities, or the prerefunded date for those types of securities. 12 The accompanying notes are an integral part of these financial statements.

15 FINANCIAL SQUARE GOVERNMENT FUND Schedule of Investments February 28, 2017 (Unaudited) Date Amortized Cost Date Amortized Cost U.S. Government Agency Obligations 33.2% Federal Farm Credit Bank (a) $ 73,400, % 04/07/17 $ 73,399, ,300, /25/17 131,300, ,000, /27/17 149,999, ,000, /15/17 199,999, ,000, /23/17 490,000,000 13,450, /13/17 13,454,670 49,000, /15/17 49,000, ,000, /26/17 274,998, ,500, /30/17 294,496,053 75,000, /13/17 75,000,215 65,000, /21/17 64,999,961 6,500, /01/17 6,498,661 64,000, /15/17 63,998,249 Federal Home Loan Bank 1,460,500, (a) 03/03/17 1,460,500, ,000, (a) 03/03/17 748,000, ,000, (a) 03/03/17 725,000, ,500, (a) 03/13/17 244,500, ,500, (a) 03/16/17 244,500, ,500, (a) 03/21/17 247,500, ,000, (a) 03/29/17 739,000, ,000, (a) 04/03/17 493,000, ,500, (a) 04/05/17 490,500, ,500, (a) 04/06/17 484,500, ,500, (a) 04/07/17 496,500, ,000, (a) 04/07/17 985,995, ,500, (a) 04/11/17 248,500, ,000, (a) 04/11/17 250,000, ,100, (a) 04/13/17 238,100, ,000, (a) 04/18/17 195,000, ,700, /19/17 516,359, ,000, (a) 04/21/17 475,000, ,200, (a) 04/25/17 396,200, ,000, (a) 05/02/17 249,995,750 1,468,000, (a) 06/09/17 1,468,000, ,000, (a) 06/13/17 246,994, ,050, (a) 06/13/17 247,050, ,050, (a) 06/13/17 247,050, ,000, (a) 06/15/17 494,000, ,500, (a) 06/15/17 198,500, ,000, (a) 06/27/17 497,000, ,000, (a) 07/10/17 500,000, ,500, (a) 07/10/17 397,500, ,850, (a) 07/11/17 484,850, ,700, (a) 07/12/17 182,700, ,700, (a) 07/14/17 198,700, ,500, (a) 07/25/17 952,500,000 1,493,500, (a) 07/25/17 1,493,500,000 79,000, (a) 08/21/17 79,000, ,000, (a) 08/22/17 245,000, ,500, (a) 08/28/17 152,492, ,900, (a) 09/01/17 581,900, ,000, (a) 09/06/17 348,000, ,050, (a) 09/12/17 247,050, ,500, (a) 10/02/17 497,500, ,000, (a) 10/02/17 497,000,000 U.S. Government Agency Obligations (continued) Federal Home Loan Bank (continued) $ 148,500, % (a) 11/08/17 $ 148,500, ,000, (a) 12/19/17 246,000, ,000, (a) 12/26/17 247,000, ,300, (a) 12/27/17 246,300, ,000, (a) 02/05/18 248,000, ,000, (a) 02/15/18 133,000, ,000, (a) 02/22/18 497,000, ,060, (a) 03/15/18 238,060, ,060, (a) 03/16/18 238,047, ,000, (a) 03/23/18 496,000, ,000, (a) 06/01/18 993,000, ,200, (a) 06/19/18 741,200, ,020, (a) 06/28/18 494,020,000 98,700, (a) 07/09/18 98,693, ,100, (a) 07/12/18 148,089, ,200, (a) 07/13/18 497,200,000 Federal Home Loan Mortgage Corporation 300,000, (a) 04/20/17 299,993, ,000, (a) 04/26/17 754,988, ,000, /12/17 102,114,888 27,300, /29/17 27,336, ,000, (a) 07/21/17 499,979,989 1,992,500, (a) 12/20/17 1,992,500, ,000, (a) 01/08/18 997,000, ,000, (a) 01/12/18 249,000,000 Federal National Mortgage Association 26,400, /20/17 26,403, ,000, /11/17 152,241,682 14,900, /01/17 14,877,280 87,550, /12/17 88,711, ,175, (a) 07/20/17 143,141,566 Overseas Private Investment Corp. (USA) (a)(b) 51,600, /07/17 51,600, ,814, /07/17 203,814,120 60,368, /07/17 60,368, ,280, /07/17 228,280,848 TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS $ 33,674,545,838 U.S. Treasury Obligations 18.3% United States Treasury Bills $ 29,900, % 03/02/17 $ 29,899, ,000, /04/17 160,858, ,800, /11/17 251,534, ,000, /11/17 127,861, ,585, /18/17 935,316,709 10,000, /25/17 9,988, ,025, /25/17 194,787, ,850, /25/17 322,453, ,725, /25/17 277,380, ,300, /25/17 162,096, ,790, /25/17 453,141, ,900, /25/17 252,535, ,500, /25/17 130,310,503 The accompanying notes are an integral part of these financial statements. 13

16 FINANCIAL SQUARE GOVERNMENT FUND Schedule of Investments (continued) February 28, 2017 (Unaudited) Date Amortized Cost Date Amortized Cost U.S. Treasury Obligations (continued) United States Treasury Bills (continued) $ 110,700, % (c) 06/01/17 $ 110,555,890 98,400, /13/17 98,180,240 20,600, /20/17 20,552,397 52,800, /20/17 52,676,954 44,100, /20/17 43,996,365 19,500, /20/17 19,453,793 35,000, /20/17 34,916,379 63,000, /20/17 62,848, ,400, /27/17 655,791,927 25,500, /10/17 25,428,855 32,500, /10/17 32,407,131 47,600, (c) 08/24/17 47,448,738 60,500, (c) 08/24/17 60,301,829 12,000, (c) 08/24/17 11,960,400 95,200, (c) 08/31/17 94,877,536 United States Treasury Notes 4,800, /31/17 4,801,847 44,600, /31/17 44,697,730 40,300, /30/17 40,295,798 48,800, /30/17 49,007, ,300, /15/17 446,846, ,700, /31/17 202,700, ,850, /31/17 853,402,560 1,811,650, /15/17 1,812,959, ,432, /30/17 310,472, ,500, /30/17 499,698, ,050, /30/17 682,235, ,500, /15/17 233,656, , /31/17 99, ,822, /15/17 417,160,067 1,253,011, /15/17 1,276,272, ,100, /31/17 899,607,858 1,703,200, /31/17 1,713,152, ,400, /15/17 513,951, ,000, /30/17 937,927, ,400, /30/17 293,262, ,450, /15/17 760,598, ,800, /31/17 348,547, ,900, /31/17 535,498, ,200, /15/17 708,656,096 33,600, /30/17 33,528, ,000, /30/17 162,950, ,000, /30/17 124,312,409 TOTAL U.S. TREASURY OBLIGATIONS $18,585,862,262 TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS $52,260,408,100 Repurchase Agreements (d) 48.4% Bank of Montreal $ 500,000, % 03/01/17 $ 500,000,000 Value: $500,007,222 Collateralized by U.S. Treasury Notes, 1.000% to 2.625%, due 10/31/17 to 02/15/26. The aggregate market value of the collateral, including accrued interest, was $510,000, ,000, /01/17 250,000,000 Value: $250,003,681 Collateralized by Federal National Mortgage Association, 3.000% to 4.000%, due 09/01/26 to 05/01/46 and Government National Mortgage Association, 5.500%, due 12/20/41. The aggregate market value of the collateral, including accrued interest, was $257,500,000. Bank of Nova Scotia (The) 500,000, (a)(b) 03/07/17 500,000,000 Value: $500,700,002 Settlement Date: 01/06/17 Collateralized by Federal Home Loan Mortgage Corp., 3.500% to 4.000%, due 09/01/26 to 01/01/47, Federal National Mortgage Association, 3.000% to 7.000%, due 03/01/27 to 02/01/47, Government National Mortgage Association, 5.000%, due 05/20/45 and a U.S. Treasury Note, 2.750% to 11/15/23. The aggregate market value of the collateral, including accrued interest, was $515,418,719. Barclays Capital, Inc. 200,000, /01/17 200,000,000 Value: $200,002,889 Collateralized by a U.S. Treasury Bond, 3.500%, due 02/15/39 and U.S. Treasury Notes, 1.625% to 1.750%, due 07/31/20 to 05/15/23. The aggregate market value of the collateral, including accrued interest, was $204,000, ,000, /01/17 400,000,000 Value: $400,005,778 Collateralized by U.S. Treasury Bonds, 2.875% to 8.750%, due 05/15/20 to 11/15/44 and U.S. Treasury Notes, 0.625% to 4.000%, due 08/31/17 to 08/15/25. The aggregate market value of the collateral, including accrued interest, was $408,000,087. BNP Paribas 65,000, /01/17 65,000,000 Value: $65,000,903 Collateralized by a U.S. Treasury -Only Stripped Security, 0.000%, due 11/15/44 and a U.S. Treasury Note, 1.250%, due 07/31/23. The aggregate market value of the collateral, including accrued interest, was $66,300, ,000, /01/17 30,000,000 Value: $30,000,433 Collateralized by a U.S. Treasury Floating Note, 0.656%, due 01/31/19. The market value of the collateral, including accrued interest, was $30,600, The accompanying notes are an integral part of these financial statements.

17 FINANCIAL SQUARE GOVERNMENT FUND Date Amortized Cost Date Amortized Cost Repurchase Agreements (d) (continued) BNP Paribas (continued) $ 500,000, % (a)(b) 03/01/17 $ 500,000,000 Value: $502,956,254 Settlement Date: 02/23/16 Collateralized by Federal Home Loan Mortgage Corp., 2.500% to 7.500%, due 05/01/21 to 11/01/46, Federal National Mortgage Association, 2.125% to 7.500%, due 01/01/19 to 01/01/47, Government National Mortgage Association, 2.500% to 7.500%, due 09/15/27 to 02/20/47, a U.S. Treasury Bill, 0.000% due 05/18/17, a U.S. Treasury Bond, 8.875%, due 02/15/19, a U.S. Treasury Inflation-Indexed Note, 0.125%, due 04/15/18, U.S. Treasury -Only Stripped Securities, 0.000%, due 05/15/23 to 08/15/42, U.S. Treasury Notes, 1.000% to 4.000%, due 09/30/17 to 05/15/22 and a U.S. Treasury -Only Stripped Security, 0.000%, due 08/15/21. The aggregate market value of the collateral, including accrued interest, was $512,836, ,000, (a)(b) 03/01/17 550,000,000 Value: $553,193,060 Settlement Date: 02/23/16 Collateralized by Federal Home Loan Mortgage Corp., 2.500% to 9.000%, due 11/01/24 to 02/01/47, Federal National Mortgage Association, 3.000% to 8.000%, due 01/01/18 to 03/01/47, Government National Mortgage Association, 3.000% to %, due 02/15/18 to 02/20/47, a U.S. Treasury Bill, 0.000% due 12/07/17, U.S. Treasury Bonds, 4.750% to 8.750%, due 08/15/20 to 02/15/37, a U.S. Treasury Floating Note, 0.656%, due 01/31/19, a U.S. Treasury Inflation- Indexed Bond, 2.375%, due 01/15/27, U.S. Treasury Inflation- Indexed Notes, 0.125% to 0.625%, due 04/15/17 to 07/15/26, U.S. Treasury -Only Stripped Securities, 0.000%, due 02/15/37 to 02/15/44 and U.S. Treasury Notes, 0.750% to 3.125%, due 10/31/17 to 08/15/25. The aggregate market value of the collateral, including accrued interest, was $564,454,607. 1,000,000, (a)(b) 03/06/17 1,000,000,000 Value: $1,000,947,224 Settlement Date: 01/03/17 Collateralized by Federal Home Loan Mortgage Corp., 2.500% to 7.500%, due 08/01/22 to 02/01/47, Federal National Mortgage Association, 2.500% to 7.500%, due 03/01/19 to 08/01/55, Government National Mortgage Association, 2.000% to %, due 07/15/17 to 10/20/46, U.S. Treasury Bills, 0.000% due 05/25/17 to 02/01/18, a U.S. Treasury Bond, 8.750%, due 08/15/20, a U.S. Treasury -Only Stripped Security, 0.000%, due 11/15/19 and U.S. Treasury Notes, 0.750% to 2.625%, due 03/15/17 to 02/15/22. The aggregate market value of the collateral, including accrued interest, was $1,028,453,195. Repurchase Agreements (d) (continued) BNP Paribas (continued) $1,750,000, % (a)(b) 03/07/17 $ 1,750,000,000 Value: $1,750,989,238 Settlement Date: 02/07/17 Collateralized by Federal Home Loan Mortgage Corp., 3.000% to 7.000%, due 05/01/25 to 01/01/47, Federal National Mortgage Association, 2.500% to 7.500%, due 09/01/18 to 08/01/48, Government National Mortgage Association, 1.500% to 8.000%, due 12/15/25 to 01/20/47, a U.S. Treasury Floating Note, 0.788%, due 01/31/18, a U.S. Treasury Inflation- Indexed Note, 0.125%, due 04/15/18 and U.S. Treasury Notes, 0.625% to 2.625%, due 04/30/18 to 09/30/22. The aggregate market value of the collateral, including accrued interest, was $1,799,718,122. 1,000,000, (a)(b) 03/07/17 1,000,000,000 Value: $1,001,524,996 Settlement Date: 01/19/17 Collateralized by Federal Home Loan Mortgage Corp., 2.500% to 7.000%, due 10/01/23 to 03/01/47, Federal National Mortgage Association, 2.500% to 8.000%, due 09/01/18 to 08/01/55, Government National Mortgage Association, 3.000% to 7.000%, due 01/20/33 to 10/20/46, a U.S. Treasury Bill, 0.000% due 06/22/17, U.S. Treasury Bonds, 2.750% to 3.125%, due 11/15/42 to 11/15/44, a U.S. Treasury Inflation- Indexed Note, 0.125%, due 04/15/18, U.S. Treasury - Only Stripped Securities, 0.000%, due 05/15/23 to 05/15/38 and U.S. Treasury Notes, 0.750% to 3.125%, due 04/30/18 to 08/15/23. The aggregate market value of the collateral, including accrued interest, was $1,029,948,245. BNP Paribas Securities Corp. 114,200, /01/17 114,200,000 Value: $114,201,681 Collateralized by Federal Home Loan Mortgage Corp., 3.000% to 6.000%, due 04/01/26 to 01/01/47, Federal National Mortgage Association, 3.000% to 7.000%, due 07/01/17 to 02/01/47, Government National Mortgage Association, 4.000%, due 09/20/45 to 07/20/46, a U.S. Treasury Inflation-Indexed Note, 0.250%, due 01/15/25 and U.S. Treasury Notes, 1.375% to 3.500%, due 02/15/18 to 03/31/20. The aggregate market value of the collateral, including accrued interest, was $116,484,004. Citibank N.A. 1,000,000, /01/17 1,000,000,000 Value: $1,000,103,056 Settlement Date: 02/22/17 Collateralized by Federal Home Loan Mortgage Corp., 1.000% to 8.500%, due 07/01/17 to 07/01/47, Federal National Mortgage Association, 1.300% to 7.000%, due 05/11/17 to 05/01/46, Government National Mortgage Association, 4.000% to 6.000%, due 03/20/43 to 08/20/43, Tennessee Valley Authority, 2.875% to 5.980%, due 09/15/24 to 12/15/42, a U.S. Treasury Floating Note, 0.686%, due 10/31/18, U.S. Treasury Inflation-Indexed Bonds, 1.375% to 3.875%, due 01/15/25 to 02/15/44, U.S. Treasury Inflation-Indexed Notes, 0.125% to 1.125%, due 01/15/21 to 07/15/26 and U.S. Treasury Notes, 0.750% to 3.750%, due 05/31/17 to 07/31/23. The aggregate market value of the collateral, including accrued interest, was $1,020,000,006. The accompanying notes are an integral part of these financial statements. 15

18 FINANCIAL SQUARE GOVERNMENT FUND Schedule of Investments (continued) February 28, 2017 (Unaudited) Date Amortized Cost Date Amortized Cost Repurchase Agreements (d) (continued) Citibank N.A. (continued) $ 250,000, % 03/01/17 $ 250,000,000 Value: $250,003,750 Collateralized by Federal Home Loan Mortgage Corp., 3.000% to 4.500%, due 02/01/26 to 02/01/46 and Federal National Mortgage Association, 3.000% to 4.000%, due 06/01/27 to 02/01/44. The aggregate market value of the collateral, including accrued interest, was $255,000,000. Citigroup Global Markets, Inc. 114,000, /01/17 114,000,000 Value: $114,001,710 Collateralized by U.S. Treasury Notes, 1.375% to 1.750%, due 08/31/20 to 02/28/22. The aggregate market value of the collateral, including accrued interest, was $116,280,038. Credit Agricole Corporate and Investment Bank 100,000, /01/17 100,000,000 Value: $100,001,444 Collateralized by U.S. Treasury Notes, 0.875% to 2.000%, due 08/31/18 to 09/30/22 and a U.S. Treasury -Only Stripped Security, 0.000%, due 02/15/44. The aggregate market value of the collateral, including accrued interest, was $102,000,072. 1,500,000, /01/17 1,500,000,000 Value: $1,500,022,083 Collateralized by Federal Farm Credit Bank, 0.980% to 2.640%, due 07/13/18 to 11/05/24, Federal Home Loan Bank, 0.00% to 5.250%, due 03/07/17 to 10/20/26, Federal Home Loan Mortgage Corp., 0.800% to 6.000%, due 12/28/17 to 03/01/47, Federal National Mortgage Association, 0.875% to 6.210%, due 04/27/17 to 03/01/47, Government National Mortgage Association, 3.000% to 7.000%, due 12/15/30 to 02/20/47, U.S. Treasury Bonds, 2.500% to 4.500%, due 02/15/36 to 05/15/46, a U.S. Treasury Inflation-Indexed Note, 0.125%, due 04/15/21, a U.S. Treasury -Only Stripped Security, 0.000%, due 08/15/33 and U.S. Treasury Notes, 0.625% to 3.250%, due 03/15/17 to 05/15/26. The aggregate market value of the collateral, including accrued interest, was $1,540,429, ,000, /02/17 150,000,000 Value: $150,015,167 Settlement Date: 02/23/17 Collateralized by a U.S. Treasury Bond, 3.750%, due 11/15/43, a U.S. Treasury Inflation-Indexed Bond, 1.375%, due 02/15/44, U.S. Treasury Inflation-Indexed Notes, 0.125% to 0.375%, due 04/15/21 to 07/15/23, U.S. Treasury Notes, 1.750% to 2.000%, due 07/31/20 to 05/15/23 and a U.S. Treasury -Only Stripped Security, 0.000%, due 11/15/41. The aggregate market value of the collateral, including accrued interest, was $153,000, ,000, /07/17 300,000,000 Value: $300,030,333 Collateralized by U.S. Treasury Bonds, 4.750% to 6.875%, due 08/15/25 to 02/15/37, a U.S. Treasury Inflation-Indexed Bond, 1.000%, due 02/15/46 and U.S. Treasury Notes, 0.750% to 0.875%, due 03/15/17 to 09/30/18. The aggregate market value of the collateral, including accrued interest, was $306,000,025. Repurchase Agreements (d) (continued) Credit Suisse Securities (USA) LLC $ 400,000, % 03/01/17 $ 400,000,000 Value: $400,005,667 Collateralized by a U.S. Treasury Bond, 2.750%, due 08/15/42 and U.S. Treasury Notes, 0.625% to 3.125%, due 11/30/17 to 08/15/24. The aggregate market value of the collateral, including accrued interest, was $408,001,968. Deutsche Bank Securities, Inc. 750,000, /01/17 750,000,000 Value: $750,011,042 Collateralized by a U.S. Treasury -Only Stripped Security, 0.000%, due 05/15/25, a U.S. Treasury -Only Stripped Security, 0.000%, due 02/15/19 and U.S. Treasury Notes, 0.875% to 2.250%, due 03/31/18 to 12/31/23. The aggregate market value of the collateral, including accrued interest, was $765,000, ,000, /01/17 375,000,000 Value: $375,005,625 Collateralized by Federal Home Loan Bank, 0.00%, due 03/01/17 to 08/02/17, Federal Home Loan Mortgage Corp., 1.000% to 1.250%, due 09/29/17 to 10/02/19 and Federal National Mortgage Association, 1.125% to 5.355%, due 11/24/17 to 08/24/20. The aggregate market value of the collateral, including accrued interest, was $382,500,844. Federal Reserve Bank of New York 6,100,000, /01/17 6,100,000,000 Value: $6,100,084,722 Collateralized by U.S. Treasury Bonds, 3.125% to 6.125%, due 11/15/27 to 02/15/43 and U.S. Treasury Notes, 1.375% to 2.000%, due 01/31/20 to 02/15/23. The aggregate market value of the collateral, including accrued interest, was $6,100,084,832. HSBC Securities (USA), LLC 200,000, /01/17 200,000,000 Value: $200,002,778 Collateralized by a U.S. Treasury Inflation-Indexed Note, 0.125%, due 04/15/21. The market value of the collateral, including accrued interest, was $204,002, ,000, /01/17 200,000,000 Value: $200,002,833 Collateralized by U.S. Treasury Inflation-Indexed Notes, 0.125% to 0.250%, due 04/15/21 to 01/15/25. The aggregate market value of the collateral, including accrued interest, was $204,004, ,000, /01/17 600,000,000 Value: $600,008,500 Collateralized by Federal National Mortgage Association, 3.500% to 5.550%, due 11/01/42 to 08/01/48. The aggregate market value of the collateral, including accrued interest, was $612,004, The accompanying notes are an integral part of these financial statements.