<PAGE>
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Goldman Sachs
1 New York Plaza
New York, NY 10004
Trustees
Ashok N. Bakhru, Chairman
David B. Ford
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
Officers
Douglas C. Grip, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Goldman Sachs
Investment Adviser, Administrator,
Distributor and Transfer Agent
Goldman Sachs
Money Market Trust
Financial Square
Funds
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Annual Report
December 31, 1996
Prime Obligations Fund
Money Market Fund
Treasury Obligations Fund
Government Fund
Tax-Free Money Market Fund
- -------------
Goldman
Sachs
- -------------
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================================================================================
<PAGE>
================================================================================
================================================================================
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Letter to Shareholders
- --------------------------------------------------------------------------------
Dear Shareholders:
We welcome this opportunity to provide you with a summary of the trends
and key events that affected the economy and the Goldman Sachs Money Market
Trust/Financial Square Funds in 1996. It was another strong year for the Funds,
during which all of the portfolios outperformed their respective IBC Financial
Data, Inc. averages during the period. Assets in the Financial Square Funds
totaled $12.2 billion as of December 31, 1996, up 34% from last year.
1996 in Review: After Easing Early in the Year, the Fed Remained Neutral Amid
Moderate Growth and Benign Inflation.
Last year began on a weak note, with the economy still in the doldrums as
harsh winter storms and a strike at General Motors continued to restrain growth.
Against that backdrop, the Federal Reserve Board (the "Fed") cut the Federal
funds rate by 25 basis points to 5.25% in January 1996, following an easing of
the same magnitude in December 1995. It soon became evident that the economy had
responded and was somewhat healthier than expected, with first-quarter real
Gross Domestic Product (GDP) at 2.0% annualized. Growth was more dramatic during
the second quarter, as industrial activity and automobile and home sales all
showed significant improvement, pushing real GDP to 4.7%, its highest rate in
two years. That growth caused some to expect the Fed to change direction and
tighten before year-end. However, the economy subsequently moderated
significantly, with third-quarter annualized real GDP retreating to 2.1%,
reflecting lackluster consumer spending and a widening U.S. trade deficit. As
1996 drew to a close, moderate economic growth and contained inflation kept the
Fed in a neutral mode, despite a very robust stock market.
Historical Yield Curve (LIBOR)
[BAR GRAPH APPEARS HERE]
[PLOT POINTS TO COME]
Source: Goldman Sachs Fixed Income Database, reflecting the London Interbank
Offered Rate (LIBOR).
The Federal funds rate began the year at 5.50% and ended at 5.25%. The slope of
the LIBOR yield curve steepened significantly over the course of the year. By
the end of 1996, the spread between one- and 12-month LIBOR moved to plus 28
basis points.
A Nimble Strategy Contributed to Strong Performance
Taxable Sector. Structuring money market portfolios successfully during
1996 as the Fed shifted policy from easing to neutral to a bias to tighten
required strict attention to risk management, as well as to a detailed analysis
of market fundamentals and technicals. Analyzing the implied forward rates and
determining the extent to which the market had priced in too much easing at the
beginning of 1996 or too much tightening by midyear 1996 and then adjusting the
Funds' weighted average maturities and structures were equally important to our
strategy.
During the second and third quarters of 1996, we extended the Financial
Square Funds' weighted average maturities as the yield curve steepened in
anticipation of a Fed tightening that did not materialize. During the early part
of the fourth quarter, market data suggested that growth slowed in the third
quarter. Consequently, the market was priced to a more neutral Fed policy.
However, year-end financing pressures resulted in investment opportunities
maturing in the first quarter of 1997, and the Funds closed the year with
neutral weighted average maturities.
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1
<PAGE>
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Letter to Shareholders (continued)
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Tax-Exempt Sector. With tax reform basically a nonissue in 1996, investor
interest in the sector revived, causing total assets in the tax-exempt money
market fund category to increase by 13%. In contrast, supply was little changed
from 1995 levels, making tax-exempts slightly more expensive in 1996. These
supply/demand technicals coupled with our fundamental view that short-term rates
were likely to rise explains our neutral to short-to-neutral weighted average
maturities during the latter part of the year.
Summary for Financial Square Funds Institutional Shares* as of 12/31/96
<TABLE>
<CAPTION>
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Weighted
SEC 7-Day SEC 7-Day 30-Day Average
Financial Square Current Effective Average Maturity
Funds Yield Yield Yield (days)
=====================================================================
<S> <C> <C> <C> <C>
Prime
Obligations 5.34% 5.48% 5.31% 41
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Money Market 5.38% 5.54% 5.34% 37
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Treasury
Obligations 5.43% 5.56% 5.29% 33
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Government 5.36% 5.52% 5.30% 36
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Tax-Free
Money Market 3.74% 3.81% 3.42% 34
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</TABLE>
* Financial Square Funds offer four separate classes of shares (Institutional,
Preferred, Administration and Service), each of which is subject to different
fees and expenses that affect performance and entitle shareholders to different
services. The Preferred, Administration and Service shares offer financial
institutions the opportunity to receive a fee for providing administrative
support services. The Preferred shares pay 0.10%, Administration shares pay
0.25%, and the Service shares pay 0.50%. More complete information, including
management fees and expenses, is included in the Funds' prospectus or may be
obtained by calling Goldman Sachs Funds at 1-800-621-2550.
Domestic Credit Trends Were Positive, Reflecting a Healthy Economy and a Strong
Market
Credit trends in 1996 were positive on the whole in the U.S., with steady
growth, low inflation, a booming stock market, and technological advances and
globalization transforming many industries. The major story of 1996 was the Dow
Jones Industrial Average climb of 26%, which, following the 33.5% increase in
1995, added up to a 68% growth rate since 1994.
The rising stock market supported record levels of mergers and
acquisitions. Over $650 billion in mergers, acquisitions and spin-offs were
announced in the U.S. in 1996 (up 27% from 1995), with $1.4 trillion announced
globally. This trend was spurred on not only by the stock market, but also by
deregulation in telecommunications, utilities and broadcasting. Unlike the
1980s, mergers this past year were generally equity-financed and aimed at
expanding core businesses, rather than diversifying. Merger and acquisition
activity was also utilized to boost earnings growth, since cost-cutting
opportunities had been largely exhausted during 1995.
Banks, which dominated merger activity in 1995, were busy consolidating
those mergers in 1996. It is likely that large regional domestic banks will
continue making acquisitions in 1997, although this is not expected to affect
their credit quality. At the end of the third quarter 1996, 80% of the banking
sector had a stable rating outlook.
Although consumer confidence was buoyed by low unemployment and mild
inflation, growing household debt levels led to an all-time high in credit card
loan delinquencies and personal bankruptcies. Consequently, financial results in
the consumer products, retail, restaurant and entertainment businesses were
mediocre at best. Almost all other industries, however, had improved credit
quality, with upgrades surpassing downgrades in utilities, energy, healthcare
and financial institutions. Many companies used the strength of the stock market
to substitute debt capital with equity capital, thereby improving their credit
quality.
Credit quality in the tax-exempt market was steady-to-improving during
1996. Market concerns arising from the Orange County bankruptcy abated somewhat,
although various forms of credit enhancement remained popular, even among high-
quality issuers. Reflecting the strong national economy, many states and
localities experienced positive financial results, reducing their regular cash
flow borrowings.
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2
<PAGE>
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The Credit Picture Abroad: Europe Improved, While Asia Was Generally Stable
In Europe, developments were driven by the push towards European Monetary
Union (EMU), while the key factors in Asia were the fragile Japanese recovery
and a sharp downturn in Asian exports. In general, sovereign creditworthiness
improved during 1996. This was particularly the case in Europe, where the
political will to qualify for EMU produced significant improvements in fiscal
policy and debt dynamics, as it sparked more rapid corporate restructuring.
French and Italian banks did require close monitoring this year as their problem
loans continued, but French bank credit quality stabilized after having suffered
broad rating downgrades in 1995. The credit quality of most other European banks
was stable, with a few minor downgrades of German and Swiss banks.
In Asia, creditworthiness was fairly stable. The notable negative
exception was the Japanese financial sector, which remained under pressure from
the ongoing weakness of the real estate markets, sluggish economic growth and
ongoing deregulation. However, Japan's largest banks have strong fundamentals
and will continue to be important and dominant players in the global financial
market. Australian credit quality strengthened through improved macroeconomic
balances, which provided evidence that Australia's recent boom-and-bust cycles
may be over. The weakness of Asian exports did not affect creditworthiness
directly; exports should recover this year, and the scare could prompt salutary
policy adjustments going forward.
In 1996, we continued to apply conservative credit standards to our money
market Funds. The Goldman Sachs Credit Department, which has analysts based in
London, Tokyo, Frankfurt and New York, as well as extensive technological assets
and credit expertise, will continue to vigilantly monitor global developments.
Outlook and Strategies for 1997
Fourth-quarter 1996 GDP was reported at 4.7%, reflecting a stronger
economic picture from several sources: a sharp narrowing of the U.S. trade
deficit, as well as increases in consumer spending and industrial production.
Goldman Sachs' economists expect economic growth to continue at just under 2.0%
for the first quarter of 1997 and at approximately 3.0% for the full year. As a
result, Goldman Sachs currently believes the Fed is likely to raise short-term
interest rates by midyear.
Consequently, the Financial Square Funds will continue to be managed with
short-to-neutral average life targets and short, laddered structures to prepare
for the probability of higher rates ahead.
Extended Trading Hours Improve Service Further
To meet the needs of many institutional investors who receive inflows of
cash late in the day, we extended the trading hours for both purchases and
redemptions in the Financial Square Treasury Obligations Fund until 5:00 p.m.
EST. (The Financial Square Government Fund also provides late-day service.) We
have found many of our clients enjoy the added flexibility of late-day trading
and are increasing their use of this beneficial service.
In closing, we thank you for your support and for making 1996 a successful
year for the Financial Square Funds. We are pleased that many of you have joined
our conference calls following each Federal Open Market Committee meeting
throughout the year. Our goal is to continue to provide you with competitive
performance, as well as a range of value-added services that reflect the breadth
and depth of Goldman Sachs' outstanding resources.
Sincerely,
/s/ Kaysie P. Uniacke
- ---------------------
Kaysie P. Uniacke
Portfolio Manager
February 7, 1997
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3
<PAGE>
Statement of Investments
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Financial Square Prime Obligations Fund
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Commercial Paper and Corporate Obligations--53.0%
Bank Holding Companies
BankAmerica Corp.
$150,000,000 5.27% 03/21/97 $ 148,265,292
Chase Manhattan Corp.
100,000,000 5.28 03/14/97 98,944,000
JP Morgan & Co., Inc.
25,000,000 5.73 05/30/97 24,407,104
NationsBank Corp.
50,000,000 5.40 05/09/97 49,040,000
Business Credit Institutions
General Electric Capital Corp.
50,000,000 5.30 03/26/97 49,381,667
100,000,000 5.44 04/03/97 98,609,778
JC Penney Funding Corp.
50,000,000 5.31 01/31/97 49,778,750
Commercial Banks
CP Trust Certificates Series 1996
85,000,000 5.68/(a)/ 03/28/97 85,000,000
Financial Services
National Rural Utilities Cooperative
34,250,000 5.30 02/11/97 34,043,263
62,000,000 5.28 02/21/97 61,536,240
Life Insurance
Commonwealth Life Insurance Co.
20,000,000 5.64/(b)/ 05/08/97 20,000,000
Pacific Mutual Life Insurance Co.
50,000,000 5.52/(b)/ 02/28/97 50,000,000
Prudential Funding Corp.
50,000,000 6.50 01/02/97 49,990,972
50,000,000 5.43 02/28/97 49,562,583
Motor Vehicles and Equipment
Ford Motor Credit Co.
150,000,000 5.31 02/04/97 149,247,750
Personal Credit Institutions
Associates Corp. of North America
50,000,000 6.30 01/02/97 49,991,250
50,000,000 5.32 01/30/97 49,785,722
50,000,000 5.32 01/31/97 49,778,333
Household Finance Corp.
50,000,000 5.32 03/12/97 49,482,778
Transamerica Finance Corp.
10,000,000 5.52 01/28/97 9,958,600
50,000,000 5.43 02/28/97 49,562,584
21,000,000 5.29 03/13/97 20,780,906
31,308,000 5.29 03/14/97 30,976,761
USAA Capital Corp.
30,000,000 5.34 04/07/97 29,572,800
Receivable/Asset Financings
Beta Finance Inc.
16,000,000 5.58 01/27/97 15,935,520
24,000,000 5.58 02/03/97 23,877,240
15,000,000 5.50 02/04/97 14,922,083
19,000,000 5.35 04/07/97 18,728,933
25,000,000 6.11 06/17/97 25,000,000
Delaware Funding Corp.
30,832,000 5.29 02/20/97 30,605,470
Enterprise Funding Corp.
50,000,000 5.33 01/23/97 49,837,139
International Lease Finance Corp.
60,000,000 5.30 03/17/97 59,337,500
20,000,000 5.29 03/24/97 19,759,011
New Center Asset Trust
25,000,000 5.52 01/28/97 24,896,500
25,000,000 5.37 04/04/97 24,653,188
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
100,000,000 5.30 02/13/97 99,366,945
50,000,000 5.30 02/18/97 49,646,667
C.S. First Boston, Inc.
60,000,000 5.33 01/22/97 59,813,450
Merrill Lynch & Co., Inc.
50,000,000 5.35 02/11/97 49,695,347
25,000,000 5.45 02/19/97 24,814,549
75,000,000 5.33 02/26/97 74,378,167
Morgan Stanley Group, Inc.
40,000,000 5.59 01/28/97 39,832,300
50,000,000 5.41 02/03/97 49,752,042
20,000,000 5.32 02/06/97 19,893,600
40,000,000 5.53 06/27/97 40,000,000
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
4
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Prime Obligations Fund (continued)
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Commercial Paper and Corporate Obligations (continued)
Telecommunications
Ameritech Corp.
$ 70,000,000 5.34% 04/07/97 $ 69,003,200
Tobacco
Philip Morris Co.
70,000,000 6.50 01/02/97 69,987,361
- -------------------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $2,311,433,345
- -------------------------------------------------------------------
Bank Notes--15.6%
Dakota Certificates of Standard Credit Card Master Trust
$ 50,000,000 5.33%(b) 02/07/97 $ 49,726,097
FCC National Bank
40,000,000 5.70 05/22/97 39,953,925
75,000,000 6.00 06/02/97 75,003,030
First Bank FSB
50,000,000 5.62(b) 02/11/97 50,000,000
20,000,000 5.61(b) 04/11/97 19,998,937
First National Bank of Maryland
20,000,000 5.60(b) 09/30/97 19,994,187
Harris Trust & Savings Bank
16,500,000 6.04 06/17/97 16,520,097
Household Bank FSB
50,000,000 5.63(b) 09/23/97 49,997,602
Huntington National Bank
35,000,000 6.05 06/13/97 35,042,420
PNC Bank, N.A.
58,500,000 5.58(b) 04/01/97 58,488,742
100,000,000 5.40(b) 10/01/97 99,941,219
Society National Bank of Cleveland
100,000,000 5.58 05/14/97 99,961,237
SMM Trust 1996
40,000,000 5.69(b) 06/20/97 40,000,000
Southtrust Bank of Alabama, N.A.
25,000,000 5.54(b) 05/15/97 24,995,313
- -------------------------------------------------------------------
Total Bank Notes $ 679,622,806
- -------------------------------------------------------------------
U.S. Government Agency Obligations--7.1%
Federal Farm Credit Bank
32,000,000 5.39 02/24/97 31,741,280
Federal Home Loan Mortgage Corp.
50,000,000 5.40 02/24/97 49,595,000
Federal National Mortgage Association
$200,000,000 5.36% 03/04/97 $ 198,153,778
30,000,000 5.35 03/17/97 29,665,625
- -------------------------------------------------------------------
Total U.S. Government Agency Obligations $ 309,155,683
- -------------------------------------------------------------------
Certificates of Deposit--6.9%
Chase Manhattan Corp.
$ 25,000,000 5.75% 02/03/97 $ 25,000,000
25,000,000 5.42 03/12/97 25,000,000
Mellon Bank, N.A.
50,000,000 5.35 02/19/97 50,000,000
100,000,000 5.50 04/07/97 100,000,000
Morgan Guaranty Trust Co.
50,000,000 5.65 02/03/97 50,000,445
Union Bank of California
50,000,000 5.58 02/28/97 50,000,000
- -------------------------------------------------------------------
Total Certificates of Deposit $ 300,000,445
- -------------------------------------------------------------------
Repurchase Agreements--17.7%
C.S. First Boston Corp., dated 12/31/96, repurchase price
$302,790,000 (FNMA: $308,478,596, 6.00%-6.18%, 02/01/09-04/01/34)
$300,000,000 5.40% 03/03/97 $ 300,000,000
JP Morgan Securities, Inc., dated 12/31/96, repurchase price
$100,036,111 (FNMA: $102,538,618, 5.47%, 12/30/97)
100,000,000 6.50 01/02/97 100,000,000
JP Morgan Securities, Inc., dated 12/31/96, repurchase price
$75,641,250 (FNMA: $78,669,875, 7.50%, 04/01/26)
75,000,000 5.40 02/26/97 75,000,000
Joint Repurchase Agreement Account
297,900,000 6.58 01/02/97 297,900,000
- -------------------------------------------------------------------
Total Repurchase Agreements $ 772,900,000
- -------------------------------------------------------------------
Total Investments $4,373,112,279/(c)/
===================================================================
/(a)/Variable rate security - base index is either U.S. Treasury
Bill, one or three month LIBOR, one month commercial paper,
Federal Funds or Prime lending rate
/(b)/Variable rate master note-base index is Federal Funds.
/(c)/The amount stated also represents aggregate cost for federal
income tax purposes.
Interest rates represent either the stated coupon rate, annualized
yield on date of purchase for discounted notes, or, for floating
rate securities, the current reset rate, which is based upon
current interest rate indices. The percentages shown for each
investment category reflect the value of investments in that
category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------
Financial Square Money Market Fund
December 31, 1996
- --------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
====================================================================
Commercial Paper and Corporate Obligations--45.7%
Commercial Banks
CP Trust Certificates Series 1996
$ 60,000,000 5.68%\(a)\ 03/28/97 $ 60,000,000
Computer Software and Services
First Data Corp.
20,000,000 5.40 02/19/97 19,853,000
Siemens Capital Corp.
25,000,000 5.32 02/13/97 24,841,139
Foreign Banks
ABN Amro N.A.
50,000,000 5.45 02/28/97 49,560,972
Banca Crt Financial Corp.
15,000,000 5.35 01/31/97 14,933,125
22,945,000 5.42 04/01/97 22,634,095
20,000,000 5.47 04/03/97 19,720,422
13,000,000 5.42 04/08/97 12,810,149
BBL North America
125,000,000 6.90 01/02/97 124,976,042
Bex America, Inc.
36,000,000 5.36 01/21/97 35,892,900
Generale Bank
70,000,000 5.35 04/10/97 68,970,125
Nordbanken, N.A.
42,559,000 6.50 01/10/97 42,489,842
Royal Bank of Canada
100,000,000 6.50 01/02/97 99,981,944
San Paolo U.S. Finance Corp.
25,000,000 5.36 01/31/97 24,888,333
Swedbank, Inc.
100,000,000 5.47 02/04/97 99,483,389
Unifunding, Inc.
60,000,000 5.45 01/29/97 59,745,667
50,000,000 5.36 04/07/97 49,285,333
Life Insurance
Sunamerica Life Insurance Co.
50,000,000 5.50\(b)\ 09/02/97 50,000,000
Mortgage Brokers
Countrywide Funding Corp.
28,700,000 5.35 01/23/97 28,606,167
27,000,000 5.35 01/28/97 26,891,663
Countrywide Home Loans
50,000,000 6.65 01/02/97 49,990,764
Motor Vehicles and Equipment
Daimler Benz Corp., N.A.
16,312,000 5.57% 01/14/97 16,279,190
30,000,000 5.60 01/16/97 29,930,000
10,000,000 5.35 03/25/97 9,876,653
55,000,000 5.35 03/26/97 54,313,417
General Motors Acceptance Corp.
20,000,000 5.57 02/04/97 19,894,789
50,000,000 5.47 04/07/97 49,270,667
Security and Commodity Brokers, Dealers and Services
Merrill Lynch & Co., Inc.
25,000,000 5.35 02/11/97 24,847,674
25,000,000 5.45 02/19/97 24,814,549
50,000,000 5.33 02/26/97 49,585,444
Morgan Stanley Group, Inc.
22,900,000 5.53\(a)\ 06/27/97 22,900,000
Nomura Holdings
15,000,000 5.39 01/28/97 14,939,363
50,000,000 5.39 01/30/97 49,782,903
- --------------------------------------------------------------------
Total Commercial Paper and Corporate
Obligations $1,351,989,720
- --------------------------------------------------------------------
Bank Notes--15.1%
Dakota Certificates of Standard Credit Card Master Trust
$ 25,000,000 5.33%\(b)\ 02/07/97 $ 24,863,049
FCC National Bank
25,000,000 5.70 05/22/97 24,971,203
50,000,000 6.00 06/02/97 50,002,020
First Bank FSB
75,000,000 5.61\(b)\ 04/11/97 74,996,012
First National Bank of Maryland
30,000,000 5.61\(b)\ 09/26/97 29,991,409
25,000,000 5.60\(b)\ 09/30/97 24,992,734
Household Bank FSB
25,000,000 5.63\(b)\ 09/23/97 24,998,185
Huntington National Bank
10,000,000 6.05 06/13/97 9,996,458
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
Statement of Investments
- ---------------------------------------------------------------------
Financial Square Money Market Fund (continued)
December 31, 1996
- --------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
====================================================================
Bank Notes (continued)
PNC Bank, N.A.
$ 42,000,000 5.46%(b) 09/03/97 $ 41,977,353
50,000,000 5.40(b) 10/01/97 49,970,608
SMM Trust 1996
40,000,000 5.69(b) 06/20/97 40,000,000
Southtrust Bank of Alabama, N.A.
50,000,000 5.45(b) 07/11/97 49,983,901
- --------------------------------------------------------------------
Total Bank Notes $ 446,742,932
- --------------------------------------------------------------------
Certificates of Deposit--1.2%
Chase Manhattan Corp.
$ 35,000,000 5.75% 02/03/97 $ 35,000,000
- --------------------------------------------------------------------
Total Certificates of Deposit $ 35,000,000
- --------------------------------------------------------------------
Certificates of Deposit - Foreign Eurodollar--7.6%
Norinchukin Bank, London
$125,000,000 5.49% 03/18/97 $ 125,002,592
Sanwa Bank Ltd., London
100,000,000 5.46 03/21/97 100,001,079
- --------------------------------------------------------------------
Total Certificates of Deposit - Foreign Eurodollar $ 225,003,671
- --------------------------------------------------------------------
Certificates of Deposit - Yankeedollar--12.3%
Fuji Bank, Chicago
$100,000,000 5.52% 01/17/97 $ 100,000,441
Industrial Bank of Japan, New York
100,000,000 5.46 03/19/97 100,001,051
Landesbank Hessen Thuer Gir, New York
50,000,000 6.03 06/13/97 50,060,885
Sumitomo Bank, Los Angeles
75,000,000 5.52 02/28/97 74,994,514
Westpac Banking Corp., New York
40,000,000 5.97 06/06/97 40,027,198
- --------------------------------------------------------------------
Total Certificates of Deposit - Yankeedollar $ 365,084,089
- --------------------------------------------------------------------
Time Deposit--2.9%
Bank of Tokyo, Mitsubishi Bank Ltd., London
$ 85,000,000 5.50% 05/16/97 $ 85,000,000
- --------------------------------------------------------------------
Total Time Deposit $ 85,000,000
- --------------------------------------------------------------------
Repurchase Agreements--15.4%
JP Morgan Securities, Inc., dated 12/31/96, repurchase price
$100,036,111 (FNMA: $69,839,000, 5.47%, 12/30/97; FHLMC:
$32,517,875, 7.26%, 09/17/01)
$100,000,000 6.50% 01/02/97 $ 100,000,000
SBC Government Securities, Inc., dated 12/31/96, repurchase price
$150,052,083 (FNMA Stripped Securities: $149,437,500, 01/23/97;
FNMA: $3,650,246, 6.50%, 08/15/97)
150,000,000 6.25 01/02/97 150,000,000
Joint Repurchase Agreement Account
205,200,000 6.58 01/02/97 205,200,000
- --------------------------------------------------------------------
Total Repurchase Agreements $ 455,200,000
- --------------------------------------------------------------------
Total Investments $2,964,020,412(c)
================================================================================
(a) Variable rate security - base index is either U.S. Treasury Bill, one or
three month LIBOR, one month commercial paper, Federal Funds or Prime
lending rate
(b) Variable rate master note-base index is Federal Funds.
(c) The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Treasury Obligations Fund
December 31, 1996
- --------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
=====================================================================
U.S. Treasury Obligations--8.5%
United States Treasury Notes
$ 100,000,000 5.63% 06/30/97 $ 99,831,980
30,000,000 6.00 09/02/97 29,991,342
92,500,000 5.38 12/01/97 92,370,356
40,000,000 5.25 12/31/97 39,901,534
- --------------------------------------------------------------------
Total U.S. Treasury Obligations $ 262,095,212
====================================================================
Repurchase Agreements--91.9%
Bear Stearns Companies, Inc., dated 12/31/96, repurchase price
$125,046,875 (U.S. Treasury Notes: $127,384,047, 5.75%-5.88%,
10/31/98-12/31/98)
$ 125,000,000 6.75% 01/02/97 $ 125,000,000
C.S. First Boston Corp., dated 12/13/96, repurchase price
$101,332,500 (U.S. Treasury Note: $102,491,792, 5.50%,
11/15/98)
100,000,000 5.33 03/13/97 100,000,000
CIBC Wood Gundy Securities, dated 12/31/96, repurchase price
$125,046,528 (U.S. Treasury Bond: $71,136,658, 8.50%,
02/15/20; U.S. Treasury Note: $56,365,266, 7.25%, 08/15/04)
125,000,000 6.70 01/02/97 125,000,000
Daiwa Securities, dated 12/31/96, repurchase price $125,047,917
(U.S. Treasury Bill: $127,500,528, 11/13/97)
125,000,000 6.90 01/02/97 125,000,000
Goldman, Sachs & Co., dated 12/31/96, repurchase price
$125,045,833 (U.S. Treasury Bill: $127,500,296, 12/11/97)
125,000,000 6.60 01/02/97 125,000,000
JP Morgan Securities, dated 12/31/96, repurchase price
$125,045,833 (U.S. Treasury Notes: $127,371,815, 6.88%-7.75%,
12/31/99-11/15/01)
125,000,000 6.60 01/02/97 125,000,000
Lehman Government Securities, Inc., dated 12/31/96, repurchase
price $125,049,306 (U.S. Treasury Stripped Securities:
$127,500,543, 02/15/97-11/15/03)
125,000,000 7.10 01/02/97 125,000,000
Merrill Lynch Government Securities, Inc., dated 12/31/96,
repurchase price $125,044,792 (U.S. Treasury Bills:
$70,594,041, 01/09/97-01/30/97; U.S. Treasury Stripped
Securities: $14,626,460, 08/15/98-11/15/99; U.S. Treasury
Notes: $42,283,899, 7.50%-9.25%, 05/15/97-11/15/01)
125,000,000 6.45 01/02/97 125,000,000
Nomura Securities International, Inc., dated 12/12/96, repurchase
price $101,335,000 ( U.S. Treasury Bill: $9,629,890, 09/18/97;
U.S. Treasury Notes: $92,371,056, 5.00%-8.13%, 05/31/97-05/31/01)
100,000,000 5.34 03/12/97 100,000,000
Repurchase Agreements (continued)
Sanwa Securities, dated 12/31/96, repurchase price $125,046,875
(U.S. Treasury Notes: $85,107,798, 4.75%-5.25%,
08/31/98-04/30/01; U.S. Treasury Bill: $40,971,000, 10/16/97)
$ 125,000,000 6.75% 01/02/97 $ 125,000,000
Smith Barney, Inc., dated 12/11/96, repurchase price $101,335,000
(U.S. Treasury Bill: $1,475,971, 03/13/97; U.S. Treasury
Stripped Security: $ 15,052,048, 02/15/98; U.S. Treasury
Notes: $85,472,470, 4.75%-7.88%, 02/15/97-04/15/98)
100,000,000 5.34 03/11/97 100,000,000
UBS Securities, Inc., dated 12/31/96, repurchase price
$125,047,743 (U.S. Treasury Notes: $127,294,387, 6.13%-7.75%,
05/31/97-11/15/01)
125,000,000 6.88 01/02/97 125,000,000
Joint Repurchase Agreement Account
1,419,100,000 6.58 01/02/97 1,419,100,000
- --------------------------------------------------------------------
Total Repurchase Agreements $2,844,100,000
====================================================================
Total Investments $3,106,195,212/(a)/
====================================================================
/(a)/The amount stated also represents aggregate cost for federal income tax
purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rate indices.
The percentages shown for each investment category reflects the value of the
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
Statement of Investments
- -------------------------------------------------------------------
Financial Square Government Fund
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
U.S. Government Agency Obligations--44.7%
Federal Home Loan Bank
$ 35,000,000 5.40%(a) 04/04/97 $ 34,991,708
15,000,000 5.45 11/12/97 14,986,333
20,000,000 5.42 12/02/97 19,973,237
50,000,000 5.50(a) 12/26/97 49,959,182
Federal National Mortgage Association
72,000,000 5.35 01/21/97 71,786,000
25,000,000 5.35 01/24/97 24,914,549
20,000,000 5.27(a) 04/04/97 19,985,729
75,000,000 4.75(a) 04/21/97 74,974,867
100,000,000 5.43(a) 09/12/97 99,940,710
50,000,000 5.41(a) 09/29/97 49,981,540
12,500,000 5.53 10/29/97 12,495,125
75,000,000 5.40(a) 12/03/97 74,952,900
- -------------------------------------------------------------------
Total U.S. Government Agency Obligations $ 548,941,880
- -------------------------------------------------------------------
U.S. Treasury Obligations--6.5%
United States Treasury Notes
$ 50,000,000 5.63% 06/30/97 $ 49,915,080
30,000,000 6.00 09/02/97 29,990,027
- -------------------------------------------------------------------
Total U.S. Treasury Obligations $ 79,905,107
- -------------------------------------------------------------------
Repurchase Agreements--49.0%
Bear Stearns Companies, Inc., dated 12/31/96, repurchase price
$50,018,889 (FNMA: $51,422,558, 7.00%, 12/01/11-04/01/24)
$ 50,000,000 6.80% 01/02/97 $ 50,000,000
C.S. First Boston Corp., dated 12/11/96, repurchase price
$50,671,875 (FHLMC: $52,596,865, 7.00%, 11/01/26)
50,000,000 5.38 03/11/97 50,000,000
Goldman, Sachs & Co., dated 12/11/96, repurchase price
$50,671,875 (FNMA: $51,607,046, 6.12%, 10/01/32)
50,000,000 5.38 03/11/97 50,000,000
JP Morgan Securities, Inc., dated 12/12/96, repurchase price
$50,671,875 (FNMA: $52,512,714, 7.50%, 06/01/26)
50,000,000 5.38 03/12/97 50,000,000
Nomura Securities International, Inc., dated 12/31/96, repurchase
price $50,020,833 (FNMA: $34,860,373, 6.50%, 07/01/24; FHLMC:
$16,396,948, 7.00%-8.00%, 12/01/22-12/01/26)
50,000,000 7.50 01/02/97 50,000,000
Joint Repurchase Agreement Account
351,600,000 6.58 01/02/97 351,600,000
- -------------------------------------------------------------------
Total Repurchase Agreements $ 601,600,000
- -------------------------------------------------------------------
Total Investments $1,230,446,987/(b)/
===================================================================
/(a)/Variable rate security-base index is either Federal Funds, Prime
lending rate or one month LIBOR.
/(b)/The amount stated also represents aggregate cost for federal
income tax purposes.
Interest rates represent either the stated coupon rate, annualized
yield on date of purchase for discounted notes, or, for floating
rate securities, the current reset rate, which is based upon
current interest rate indices.
The percentages shown for each investment category reflect the value
of investments in that category as a percentage of total net assets.
- -------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
Statement of Investments
- -------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Alabama--4.8%
Columbia IDB PCRB for Alabama Power Co. Series 1995 (A-1/VMIG1)
$ 1,500,000 5.00% 01/01/97 $ 1,500,000
Jefferson County MF Hsg. Refunding RB for Hickory Knolls Project
Series 1994 (Amsouth Bank LOC)(P-1)
4,040,000 4.25 01/07/97 4,040,000
Jefferson County Sewer Revenue Warrants Series 1995 A (Bayerische
Landesbank Girozentrale LOC)(A-1+/VMIG1)
18,200,000 4.25 01/07/97 18,200,000
Parrish IDB PCRB for Alabama Power Co. Series 1994 A(A-1+/VMIG1)
2,150,000 5.00 01/01/97 2,150,000
- -------------------------------------------------------------------
$25,890,000
- -------------------------------------------------------------------
Arizona--1.4%
Maricopa County PCRB for Southern California Edison Co.
Series 1985 C(A-1/P-1)
$ 6,450,000 3.60% 03/12/97 $ 6,450,000
Phoenix IDA MF Hsg. VRDN for Del Mar Terrace Apartments (Bank of
America LOC)(MIG1)
1,300,000 4.15 01/07/97 1,300,000
- -------------------------------------------------------------------
$ 7,750,000
- -------------------------------------------------------------------
Arkansas--0.8%
Crossett City PCRB for Georgia Pacific Corp. Series 1991(Suntrust
Bank LOC)(A-1/P-1)
$ 4,500,000 4.15% 01/07/97 $ 4,500,000
- -------------------------------------------------------------------
California--5.0%
California RANS Index Series 1996-97 B(SP-1+/MIG1)
$16,000,000 3.47% 01/31/97 $16,000,000
California RANS VRDN Series 1996-97(SP-1+/VMIG1)
4,300,000 4.00 01/07/97 4,300,000
California School Cash Reserve Program Authority Series 1996
(MBIA)(MIG1)
4,500,000 4.50 12/19/97 4,537,690
Los Angeles County TRANS Series 1996-97 A(Credit Suisse/Morgan
Guaranty/Westdeutsche Landesbank Girozentrale/Bank of America/
Union Bank of Switzerland LOC)(SP-1/MIG1)
2,080,000 4.50 01/07/97 2,087,107
- -------------------------------------------------------------------
$26,924,797
- -------------------------------------------------------------------
Colorado--1.0%
Colorado Health Facilities Authority Series 1992 C(A-1+/VMIG1)
$ 5,500,000 4.15% 01/07/97 $ 5,500,000
- -------------------------------------------------------------------
District of Columbia--1.1%
District of Columbia VRDN ACES Series 1988 C (Bayerische
Landesbank Girozentrale LOC)(A-1/VMIG1)
$ 6,100,000 4.10% 01/07/97 $ 6,100,000
- -------------------------------------------------------------------
Florida--4.6%
Dade County Water & Sewer RB Series 1994 (FGIC)(A-1/VMIG1)
$ 3,700,000 4.00% 01/07/97 $ 3,700,000
Florida Local Government Pooled CP Notes (First Union National
Bank of Florida LOC)(A-1/P-1)
11,617,735 3.70 01/30/97 11,617,735
Jacksonville PCRB for Florida Power & Light Co. Series 1995
(A-1+/VMIG1)
600,000 5.25 01/01/97 600,000
Putnam County Development Authority for Seminole Electric Series
1984 H VRDN (CFC)(A-1+/P-1)
9,100,000 4.15 01/07/97 9,100,000
- -------------------------------------------------------------------
$25,017,735
- -------------------------------------------------------------------
Georgia--6.8%
Bartow County PCRB for Georgia Power Co. Series 1996(VMIG1)
$ 5,800,000 5.25% 01/01/97 $ 5,800,000
Burke County PCRB for Georgia Power Co. Second Series 1995
(A-1/VMIG1)
800,000 5.00 01/01/97 800,000
Burke County PCRB for Georgia Power Co. Series 1994(VMIG1)
3,800,000 5.00 01/01/97 3,800,000
Burke County PCRB for Georgia Power Co. Series 1995(A+/VMIG1)
3,400,000 5.00 01/01/97 3,400,000
6,300,000 5.25 01/01/97 6,300,000
Floyd County PCRB for Georgia Power Co. Series 1996(A-1/VMIG1)
3,000,000 5.00 01/01/97 3,000,000
Monroe County Development Authority for Georgia Power Scherer
Project Series 1995(A-1/VMIG1)
3,300,000 5.00 01/01/97 3,300,000
Municipal Electric Authority of Georgia Subordinate General
Resolution Series 1985 B(Credit Suisse/Morgan
Guaranty/Bayerische Landesbank Girozentrale LOC)(A-1+/VMIG1)
4,575,000 3.55 03/06/97 4,575,000
6,000,000 3.55 04/10/97 6,000,000
- -------------------------------------------------------------------
$36,975,000
- -------------------------------------------------------------------
Hawaii--0.7%
Hawaii Housing Finance and Development Authority MF Hsg.VRDN
Series 1985 A(FHLB LOC)(A-1+)
$ 4,000,000 3.00% 01/07/97 $ 4,000,000
- -------------------------------------------------------------------
- -------------------------------------------------------------------
The accompanying notes are an integral part of these financial
statements.
10
<PAGE>
Statement of Investments
- ---------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Illinois--8.3%
Illinois Health Facilities Authority VRDN for Elmhurst Memorial
Hospital Series 1993 B(VMIG1)
$ 8,900,000 5.30% 01/01/97 $ 8,900,000
Illinois Health Facilities Authority VRDN for Evangelical
Hospitals Corp. Series 1985 A (First National Bank of Chicago
LOC)(VMIG1)
2,600,000 4.10 01/07/97 2,600,000
Illinois Health Facilities Authority VRDN for Healthcorp
Affiliates Projects Series 1985 A (Northern Trust Company
LOC)(VMIG1)
2,700,000 4.15 01/07/97 2,700,000
Illinois Health Facilities Authority VRDN RB for Northwest
Community Hospital Series 1995 (A-1+/VMIG1)
5,000,000 4.20 01/01/97 5,000,000
Illinois Health Facilities Authority VRDN for Resurrection
Healthcare(VMIG1)
6,000,000 5.00 01/01/97 6,000,000
Illinois Health Facilities Authority VRDN Series 1985 C and D
Revolving Fund Pooled Finance Program (First National Bank of
Chicago LOC)(A-1/VMIG1)
16,700,000 4.15 01/07/97 16,700,000
Sauget PCRB VRDN for Monsanto Series 1992(P-1)
1,000,000 4.20 01/07/97 1,000,000
Sauget PCRB VRDN for Monsanto Series 1993(P-1)
1,900,000 4.20 01/07/97 1,900,000
- -------------------------------------------------------------------
$44,800,000
- -------------------------------------------------------------------
Indiana--5.1%
Fort Wayne Hospital Authority VRDN for Parkview Memorial Hospital
Series 1985 B (Bank of America LOC)(VMIG1)
$ 8,100,000 4.15% 01/07/97 $ 8,100,000
Indiana Hospital Equipment Financing Authority VRDN Series 1985 A
(MBIA)(A-1/VMIG1)
2,500,000 4.20 01/07/97 2,500,000
Jasper County PCRB for Nipsco Series 1994 A and C(A-1+/VMIG1)
9,300,000 5.10 01/01/97 9,300,000
Warrick County PCRB for Aluminum Company of America Series
1992(A-1)
7,475,000 4.15% 01/07/97 7,475,000
- -------------------------------------------------------------------
$27,375,000
- -------------------------------------------------------------------
Iowa--2.0%
Chillicothe PCRB for Midwest Power Systems Series 1993 A
(A-1/VMIG1)
$ 3,700,000 4.15% 01/07/97 $ 3,700,000
Muscatine County VRDN for Monsanto Corp. Series 1992(P-1)
7,200,000 4.20 01/07/97 7,200,000
- -------------------------------------------------------------------
$10,900,000
- -------------------------------------------------------------------
Kentucky--0.6%
Calvert PCRB for Air Products and Chemicals, Inc. Project Series
1993 A(A-1)
$ 3,000,000 4.20% 01/07/97 $ 3,000,000
- -------------------------------------------------------------------
Maryland--2.1%
Anne Arundel County RB for Baltimore Gas & Electric Series 1985
(A-1/VMIG1)
$ 1,000,000 3.65% 03/10/97 $ 1,000,000
5,380,000 3.60 03/13/97 5,380,000
Baltimore County PCRB for Baltimore Gas & Electric Series 1985
(A-1/VMIG1)
5,000,000 3.70 01/15/97 5,000,000
- -------------------------------------------------------------------
$11,380,000
- -------------------------------------------------------------------
Massachusetts--0.7%
Massachusetts Bay Transportation Authority Series 1996 A Notes
(SP-1/MIG2)
$ 4,000,000 3.75% 02/28/97 $ 4,002,951
- -------------------------------------------------------------------
Michigan--1.0%
Michigan Job Development Authority VRDN for Mazda Motor
Manufacturing Series 1985 (Sumitomo Bank)(VMIG1)
$ 1,400,000 4.25% 01/07/97 $ 1,400,000
Michigan State Strategic Fund Ltd. RB for Dow Chemical Series 1994
(A-1/P-1)
4,200,000 5.10 01/01/97 4,200,000
- -------------------------------------------------------------------
$ 5,600,000
- -------------------------------------------------------------------
Minnesota--1.9%
Minnesota State Higher Education Facility VRDN for Carleton
College Series 3-L2(VMIG1)
$ 6,000,000 4.11% 01/07/97 $ 6,000,000
Port Authority of St. Paul VRDN for Weyerhauser Project Series 1993
(A-1)
4,000,000 4.21 01/07/97 4,000,000
- -------------------------------------------------------------------
$10,000,000
- -------------------------------------------------------------------
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Mississippi--0.6%
Grenada County Refunding RB VRDN for Georgia Pacific Corp. Series
1994 (Sumitomo Bank LOC)(A1/P-1)
$ 1,000,000 4.30% 01/07/97 $ 1,000,000
Jackson County PCRB for Chevron USA, Inc. Series 1992(VMIG1)
2,000,000 5.00 01/01/97 2,000,000
- -------------------------------------------------------------------
$ 3,000,000
- -------------------------------------------------------------------
Missouri--1.1%
Missouri Health & Educational Facility Authority VRDN for SSM
Health Care Series 1995 B (MBIA)(AAA)
$ 4,500,000 4.10% 01/07/97 $ 4,500,000
Missouri State Environmental Improvement & Energy Resources
Authority VRDN for Monsanto Corp. Series 1993(P-1)
1,500,000 4.20 01/07/97 1,500,000
- -------------------------------------------------------------------
$ 6,000,000
- -------------------------------------------------------------------
New Jersey--3.1%
State of New Jersey TRANS Series 1997 A(A-1+/P-1)
$17,000,000 3.50% 03/11/97 $17,000,000
- -------------------------------------------------------------------
New Mexico--0.9%
Albuquerque RB for Sisters of Charity Series 1992(A-1+/VMIG1)
$ 5,000,000 4.15% 01/07/97 $ 5,000,000
- -------------------------------------------------------------------
New York--9.5%
Great Neck North Water Authority Water System RB Series 1993 A
(FGIC)(A-1+/VMIG1)
$ 3,400,000 4.00% 01/07/97 $ 3,400,000
New York City GO Series 1994 B (Morgan Guaranty LOC)(A-1/VMIG1)
2,800,000 4.50 01/01/97 2,800,000
New York City GO RANS Series 1997 A(SP-1+/VMIG1)
26,000,000 4.50 04/15/97 26,060,135
New York City Municipal Water Finance Authority CP Notes Series 3
(Toronto Dominion Bank/Bank of Nova Scotia LOC)(A-1+/P-1)
7,500,000 3.50 03/11/97 7,500,000
New York City Municipal Water Finance Authority RB Series 1995 A
(FGIC)(A-1+/VMIG1)
2,900,000 4.70 01/01/97 2,900,000
New York State Local Government VRDN Series 1995 C (Landesbank
Hessen-Thueringen Girozentrale LOC)(A-1+/VMIG1)
3,900,000 4.00 01/07/97 3,900,000
New York State Local Government VRDN Series 1995 G (National
Westminster Bank LOC)(A-1+/MIG1)
4,550,000 3.85 01/07/97 4,550,000
- -------------------------------------------------------------------
$51,110,135
- -------------------------------------------------------------------
North Carolina--6.8%
Rockingham County PCRB for Philip Morris Company Series
1992(A-1/P-1)
$ 7,700,000 4.15% 01/07/97 $ 7,700,000
Wake County PCRB for Carolina Power & Light Series 1990 A (Fuji
Bank LOC)(A-2/P-1)
18,870,000 3.55 02/10/97 18,870,000
Wake County PCRB for Carolina Power & Light Series 1990 B (Fuji
Bank LOC)(A-2/P-1)
10,000,000 3.75 02/13/97 10,000,000
- -------------------------------------------------------------------
$36,570,000
- -------------------------------------------------------------------
Ohio--2.2%
Columbus Electric System RB Series 1984 (Union Bank of Switzerland
LOC)(VMIG1)
$12,000,000 3.35% 01/31/97 $12,000,000
- -------------------------------------------------------------------
Oregon--1.7%
Portland Public Grain Elevator RB for Columbia Grain, Inc. Series
1984 (Fuji Bank/Bank of Tokyo LOC)(VMIG1)
$ 9,450,000 4.25% 01/07/97 $ 9,450,000
- -------------------------------------------------------------------
Pennsylvania--0.8%
Philadelphia TRANS Series 1996-7 A(SP-1/MIG1)
$ 4,500,000 4.50% 06/30/97 $ 4,511,725
- -------------------------------------------------------------------
Puerto Rico--2.3%
Commonwealth of Puerto Rico TRANS Series 1997 A(SP-1+/MIG1)
$12,500,000 4.00% 07/30/97 $12,540,250
- -------------------------------------------------------------------
South Carolina--1.1%
York County Floating/Fixed Rate PCRB Pooled Series 1984 N, North
Carolina Electric Membership Corp. (CFC)(A-1+/MIG1)
$ 5,775,000 4.15% 01/07/97 $ 5,775,000
- -------------------------------------------------------------------
Tennessee--0.6%
Blount County PCRB for Aluminum Company of America Series 1992
(A-1)
$ 2,450,000 4.15% 01/07/97 $ 2,450,000
Bradley County VRDN for Olin Corp. Series 1993 C (Wachovia Bank of
North Carolina LOC)(A-1+)
600,000 5.25 01/01/97 600,000
- -------------------------------------------------------------------
$ 3,050,000
- -------------------------------------------------------------------
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
Statement of Investments
- -------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1996
- -------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
===================================================================
Texas--10.5%
Gulf Coast Waste Disposal Authority PCRB for Monsanto Corp. Series
1996(P-1)
$ 5,300,000 4.20% 01/07/97 $ 5,300,000
Harris County Hospital RB for Children's Hospital Series 1989
B-2(VMIG1)
10,000,000 4.10 01/07/97 10,000,000
Harris County Toll Road Adjustable/Fixed Rate Series 1994 C
(A-1+/VMIG1)
1,500,000 4.05 01/07/97 1,500,000
Houston GO Series A(A-1+/P-1)
5,000,000 3.50 03/12/97 5,000,000
Lower Colorado River Authority CP Notes Series C(A-1/P-1)
7,000,000 3.50 03/13/97 7,000,000
San Antonio Electric & Gas Systems CP Notes Series A(A-1+/P-1)
17,700,000 5.00 01/02/97 17,700,000
State of Texas TRANS Series 1996(SP-1+/MIG1)
10,000,000 4.75 08/29/97 10,050,571
- -------------------------------------------------------------------
$56,550,571
- -------------------------------------------------------------------
Virginia--4.6%
Louisa IDA PCRB for Virginia Electric & Power Series 1984(A-1/P-1)
$ 3,900,000 3.65% 01/24/97 $ 3,900,000
1,500,000 3.60 01/29/97 1,500,000
4,000,000 3.60 02/18/97 4,000,000
Roanoke VRDN for Carilion Health Systems Hospital Series A(A-1)
3,500,000 4.10 01/07/97 3,500,000
York County IDA PCRB for Virginia Electric & Power Series 1985
(A-1/A3)
9,000,000 3.70 01/14/97 9,000,000
2,900,000 3.60 02/05/97 2,900,000
- -------------------------------------------------------------------
$24,800,000
- -------------------------------------------------------------------
Washington--4.4%
Washington Healthcare Facility Authority VRDN for Sisters of
Providence Series 1985 B and E(A-1+/VMIG1)
$ 2,900,000 5.00% 01/01/97 $ 2,900,000
Washington Public Power Supply Project Electric RB Series 1993 A-2
(Bank of America LOC)(A-1/VMIG1)
20,880,000 4.10 01/07/97 20,880,000
- -------------------------------------------------------------------
$23,780,000
- -------------------------------------------------------------------
Wisconsin--1.5%
Milwaukee IDRB Multi-Modal for Pharmacia & Upjohn, Inc. Series
1994(P-1)
$ 8,000,000 4.60% 01/07/97 $ 8,000,000
- -------------------------------------------------------------------
Wyoming--0.3%
Converse County PCRB for Pacificorp. Series 1994(AMBAC)
(A-1/VMIG1)
$ 1,700,000 5.00% 01/01/97 $ 1,700,000
- -------------------------------------------------------------------
Total Investments $540,553,164/(a)/
===================================================================
/(a)/ The amount stated also represents aggregate cost for federal
income tax purposes.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate, which is based upon current interest rates indices.
Maturity dates represent either the stated date on the security, the next
interest reset date for floating rate securities, or the prerefunded date for
those types of securities.
Security ratings are unaudited.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1996
================================================================================
Investment Abbreviations:
ACES --Adjustable Convertible Extendible
Securities
AMBAC --Insured by American Municipal Bond
Assurance Corp.
CFC --Unconditionally guaranteed by CFC, Cooperative Finance Corp.
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
FHLB --Federal Home Loan Bank
GO --General Obligation
IDA --Industrial Development Authority
IDB --Industrial Development Bond
IDRB --Industrial Development Revenue Bond
LOC --Letter of Credit
MBIA --Insured by Municipal Bond Investors
Assurance
MF Hsg. --Multi-Family Housing
PCRB --Pollution Control Revenue Bond
RANS --Revenue Anticipation Notes
RB --Revenue Bond
TRANS --Tax Revenue Anticipation Notes
VRDN --Variable Rate Demand Note
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Prime Treasury Tax-Free
Obligations Money Market Obligations Government Money Market
Fund Fund Fund Fund Fund
=======================================================================================
<S> <C> <C> <C> <C> <C>
Assets:
Investments in securities, at value
based on amortized cost $4,373,112,279 $2,964,020,412 $ 3,106,195,212 $1,230,446,987 $540,553,164
Interest receivable 11,583,246 11,328,488 2,442,834 3,375,926 2,193,518
Cash 88,907 53,776 72,630 25,740 160,336
Deferred organization expenses, net -- 21,473 -- -- 39,662
Other assets 107,980 65,537 181,145 117,177 14,269
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets 4,384,892,412 2,975,489,686 3,108,891,821 1,233,965,830 542,960,949
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Dividends payable 23,926,806 16,502,413 12,829,625 5,834,710 1,711,051
Accrued expenses and other liabilities 989,400 969,498 919,263 588,231 164,840
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities 24,916,206 17,471,911 13,748,888 6,422,941 1,875,891
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid in capital 4,359,975,116 2,958,016,821 3,095,062,895 1,227,516,405 541,097,917
Accumulated undistributed net realized
gain (loss) on investments 1,090 954 80,038 26,484 (12,859)
===================================================================================================================================
Net assets $4,359,976,206 $2,958,017,775 $3,095,142,933 $ 1,227,542,889 $541,085,058
===================================================================================================================================
Net asset value, offering and redemption
price per share (net assets/shares
outstanding) $1.00 $1.00 $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Outstanding:
FST shares 3,901,792,070 2,540,361,007 2,290,967,452 858,743,905 440,850,118
FST Administration shares 215,900,253 165,764,727 536,903,385 145,103,169 51,661,795
FST Service shares 115,154,059 234,380,537 220,555,465 223,556,901 19,855,446
FST Preferred shares 127,128,734 17,510,550 46,636,593 112,430 28,730,558
- -----------------------------------------------------------------------------------------------------------------------------------
Total shares of beneficial interest
outstanding, $0.01 par value
(unlimited number of shares
authorized) 4,359,975,116 2,958,016,821 3,095,062,895 1,227,516,405 541,097,917
===================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1996
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Prime Treasury Tax-Free
Obligations Money Market Obligations Government Money Market
Fund Fund Fund Fund Fund
==================================================================================
<S> <C> <C> <C> <C> <C>
Investment income:
Interest income $273,607,363 $168,464,120 $ 130,875,226 $69,659,598 $19,750,787
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment adviser fees 3,751,933 2,295,135 1,818,328 961,337 420,548
Account administration fees 6,503,286 3,978,642 3,152,251 1,667,071 728,870
Custodian fees 591,036 401,612 349,064 224,733 31,788
Registration fees 143,509 118,595 229,757 143,620 24,284
Trustee fees 78,242 51,602 31,550 16,933 9,385
Amortization of deferred organization expenses -- 9,065 -- -- 15,626
Other 325,076 181,947 184,245 95,419 59,633
- ---------------------------------------------------------------------------------------------------------------------------------
Total expenses 11,393,082 7,036,598 5,765,195 3,109,113 1,290,134
Less--Expenses reimbursable and fees
waived by Goldman Sachs (2,388,496) (1,598,929) (1,400,520) (800,866) (302,339)
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses 9,004,586 5,437,669 4,364,675 2,308,247 987,795
Administration share fees 527,357 474,043 1,100,814 250,618 128,721
Service share fees 541,076 271,936 849,624 1,258,434 91,599
Preferred share fees 42,963 2,874 15,097 395 13,155
- ---------------------------------------------------------------------------------------------------------------------------------
Net expenses and share fees 10,115,982 6,186,522 6,330,210 3,817,694 1,221,270
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income 263,491,381 162,277,598 124,545,016 65,841,904 18,529,517
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investment
transactions 105,304 189,110 587,091 136,538 (5,995)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from
operations $263,596,685 $162,466,708 $125,132,107 $65,978,442 $18,523,522
==================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Prime Treasury Tax-Free
Obligations Money Market Obligations Government Money Market
Fund Fund Fund Fund Fund
=========================================================================================
<S> <C> <C> <C> <C> <C>
From Operations:
Net investment income $ 263,491,381 $ 162,277,598 $ 124,545,016 $ 65,841,904 $ 18,529,517
Net realized gain (loss) on
investment transactions 105,304 189,110 587,091 136,538 (5,995)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 263,596,685 162,466,708 125,132,107 65,978,442 18,523,522
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income
FST shares (245,389,523) (149,928,272) (93,857,124) (48,867,861) (15,981,710)
FST Administration shares (10,697,750) (9,558,151) (21,870,105) (5,023,737) (1,593,538)
FST Service shares (5,164,431) (2,628,897) (8,020,699) (11,930,553) (522,532)
FST Preferred shares (2,239,677) (162,278) (797,088) (19,753) (431,737)
Net realized gain on investment transactions
FST shares (128,847) (173,838) (385,734) (81,682) --
FST Administration shares (5,617) (11,082) (89,882) (8,397) --
FST Service shares (2,712) (3,048) (32,963) (19,942) --
FST Preferred shares (1,177) (188) (3,276) (33) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (263,629,734) (162,465,754) (125,056,871) (65,951,958) (18,529,517)
- ------------------------------------------------------------------------------------------------------------------------------------
From share transactions (at $1.00 per share):
Proceeds from sales of shares 48,481,127,400 44,257,102,764 20,383,057,696 14,111,648,633 4,669,259,507
Reinvestment of dividends and
distributions 126,514,648 91,077,089 45,060,831 21,912,928 6,495,873
Cost of shares repurchased (47,756,596,271) (43,600,991,427) (19,343,068,853) (13,746,823,336) (4,623,830,243)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
resulting from share
transactions 851,045,777 747,188,426 1,085,049,674 386,738,225 51,925,137
- ------------------------------------------------------------------------------------------------------------------------------------
Total increase 851,012,728 747,189,380 1,085,124,910 386,764,709 51,919,142
Net Assets:
Beginning of year 3,508,963,478 2,210,828,395 2,010,018,023 840,778,180 489,165,916
- ------------------------------------------------------------------------------------------------------------------------------------
End of year $ 4,359,976,206 $2,958,017,775 $ 3,095,142,933 $1,227,542,889 $ 541,085,058
====================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Prime Treasury Tax-Free
Obligations Money Market Obligations Government Money Market
Fund Fund Fund Fund Fund
=========================================================================================
<S> <C> <C> <C> <C> <C>
From Operations:
Net investment income $ 247,196,840 $ 136,963,014 $ 79,821,378 $ 38,042,394 $ 13,622,900
Net realized gain (loss) on
investment transactions 95,511 7,374 781,869 65,308 (6,864)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 247,292,351 136,970,388 80,603,247 38,107,702 13,616,036
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income
FST shares (236,894,656) (130,522,374) (63,729,881) (34,713,840) (12,702,550)
FST Administration shares (7,108,569) (6,351,769) (9,995,927) (2,917,098) (455,025)
FST Service shares (3,193,615) (88,871) (6,095,570) (411,456) (465,325)
Net realized gain on investment transactions
FST shares (55,079) (9,474) (612,499) (59,324) --
FST Administration shares (4,463) (504) (99,062) (5,878) --
FST Service shares (1,830) -- (62,143) (106) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (247,258,212) (136,972,992) (80,595,082) (38,107,702) (13,622,900)
- ------------------------------------------------------------------------------------------------------------------------------------
From share transactions (at $1.00 per share):
Proceeds from sales of shares 35,913,627,249 33,159,975,346 12,055,344,504 8,904,113,596 3,459,116,162
Reinvestment of dividends and
distributions 88,104,801 69,894,471 14,492,584 15,345,902 3,954,598
Cost of shares repurchased (35,375,137,049) (31,948,570,256) (11,181,309,002) (8,391,284,391) (3,161,776,879)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
resulting from share transactions 626,595,001 1,281,299,561 888,528,086 528,175,107 301,293,881
- ------------------------------------------------------------------------------------------------------------------------------------
Total increase 626,629,140 1,281,296,957 888,536,251 528,175,107 301,287,017
Net Assets:
Beginning of year 2,882,334,338 929,531,438 1,121,481,772 312,603,073 187,878,899
- ------------------------------------------------------------------------------------------------------------------------------------
End of year $ 3,508,963,478 $ 2,210,828,395 $ 2,010,018,023 $ 840,778,180 $ 489,165,916
====================================================================================================================================
Summary of Share Transactions (at $1.00 per share):
FST Shares:
Shares sold 34,469,057,699 31,539,337,948 8,859,672,375 8,279,786,329 3,135,487,639
Reinvestment of dividends and
distributions 85,898,572 66,409,325 11,189,134 14,336,357 3,262,842
Shares repurchased (34,034,050,903) (30,399,518,678) (8,241,356,158) (7,808,586,957) (2,873,945,734)
- ------------------------------------------------------------------------------------------------------------------------------------
520,905,368 1,206,228,595 629,505,351 485,535,729 264,804,747
- ------------------------------------------------------------------------------------------------------------------------------------
FST Administration shares:
Shares sold 721,501,944 1,608,362,145 1,309,118,844 331,435,289 110,334,205
Reinvestment of dividends and
distributions 761,953 3,443,404 845,389 785,525 320,945
Shares repurchased (640,480,667) (1,540,953,481) (1,108,896,222) (304,089,584) (91,758,941)
- ------------------------------------------------------------------------------------------------------------------------------------
81,783,230 70,852,068 201,068,011 28,131,230 18,896,209
- ------------------------------------------------------------------------------------------------------------------------------------
FST Service shares:
Shares sold 723,067,606 12,275,253 1,886,553,285 292,891,978 213,294,318
Reinvestment of dividends and
distributions 1,444,276 41,742 2,458,061 224,020 370,811
Shares repurchased (700,605,479) (8,098,097) (1,831,056,622) (278,607,850) (196,072,204)
- ------------------------------------------------------------------------------------------------------------------------------------
23,906,403 4,218,898 57,954,724 14,508,148 17,592,925
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in shares 626,595,001 1,281,299,561 888,528,086 528,175,107 301,293,881
====================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1996
- --------------------------------------------------------------------------------
1. Organization
Goldman Sachs Money Market Trust (the "Trust"), a business trust organized under
the laws of the Commonwealth of Massachusetts on December 6, 1978, includes the
Financial Square Funds, collectively "the Funds" or individually a "Fund". The
Trust is registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company. Financial Square consists of seven
diversified funds: Prime Obligations, Money Market, Treasury Obligations,
Government, Tax-Free Money Market , Municipal Money Market (inactive) and Money
Market Plus (inactive). The Financial Square Funds offer four classes of shares:
FST shares, FST Administration shares, FST Service shares and FST Preferred
shares. The investment objective of the Funds is to maximize current income to
the extent consistent with the preservation of capital and maintenance of
liquidity.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Funds. The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that may affect the reported amounts.
A. Investment Valuation--
- --------------------------
Each Fund uses the amortized-cost method for valuing portfolio securities which
approximates market value. Under this method, all investments purchased at a
discount or premium are valued by amortizing the difference between the original
purchase price and maturity value of the issue over the period to maturity.
B. Interest Income--
- ---------------------
Interest income is determined on the basis of interest accrued, premium
amortized and discount earned.
C. Federal Taxes--
- -------------------
It is each Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute each year
substantially all investment company taxable and tax-exempt income to
shareholders. Accordingly, no federal tax provisions are required.
The characterization of distributions to shareholders for financial
reporting purposes is determined in accordance with federal income tax rules.
Therefore, the source of the Funds' distributions may be shown in the
accompanying financial statements as either from or in excess of net investment
income or net realized gain on investment transactions, or from paid-in capital,
depending on the type of book/tax differences that may exist.
At December 31, 1996, the Funds' tax year end, the Tax-Free Money Market
Fund had approximately $13,000 of capital loss carryforward for U.S. Federal tax
purposes. This capital loss carryforward expires in the year 2004.
D. Deferred Organization Expenses--
- ------------------------------------
Organization-related costs are being amortized on a straight-line basis over a
period of five years.
E. Expenses--
- --------------
Expenses incurred by the Funds that do not specifically relate to an individual
fund are allocated to the Funds based on each Fund's relative average net assets
for the period.
Shareholders of FST Administration, FST Service and FST Preferred shares
bear all expenses and fees paid to service organizations for their services with
respect to such shares as well as other expenses (subject to expense
limitations) that are directly attributable to such shares.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), serves as investment adviser pursuant to
an Investment Advisory Agreement. Under the Investment Advisory Agreement, GSAM,
subject to general
- --------------------------------------------------------------------------------
19
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1996
- --------------------------------------------------------------------------------
supervision of the Trust's Board of Trustees, manages the portfolios of the
Funds. As compensation for the services rendered under the Investment Advisory
Agreement and the assumption of the expenses related thereto, GSAM is entitled
to a fee, computed daily and payable monthly, at an annual rate equal to .075%
of each Fund's average daily net assets. These amounts are included in "Accrued
expenses and other liabilities" in the accompanying Statements of Assets and
Liabilities.
Until further notice, GSAM has voluntarily agreed to limit certain of each
of the Fund's expenses (excluding advisory fees, account administration fees,
service organization fees, taxes, interest, brokerage commissions and
extraordinary expenses) to the extent that such expenses exceed .01% per annum
of that Fund's average daily net assets. These amounts are included in "Other
assets" in the accompanying Statements of Assets and Liabilities.
GSAM also serves as administrator pursuant to an Administration Agreement.
Under the Administration Agreement, GSAM administers each Fund's business
affairs, including providing facilities and transfer agency services. As
compensation for the services rendered under the Administration Agreement, GSAM
is entitled to a fee, computed daily and payable monthly, at an annual rate
equal to .13% of each Fund's average daily net assets. These amounts are
included in "Accrued expenses and other liabilities" in the accompanying
Statements of Assets and Liabilities.
Goldman Sachs serves as the Distributor of shares of the Funds pursuant to a
Distribution Agreement and receives no fee. The following chart outlines the
waivers and reimbursements for the year ended December 31, 1996 and amounts owed
to affiliates and due from GSAM at December 31, 1996 (in thousands):
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
Adviser Expense Amounts Amounts
Fee Reimburs- due to due from
Fund Waived ements Total GSAM GSAM
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Prime
Obligations
Fund $1,751 $637 $2,388 $777 $108
- ---------------------------------------------------------------------
Money
Market
Fund 1,142 457 1,599 552 65
- ---------------------------------------------------------------------
Treasury
Obligations
Fund 848 553 1,401 419 155
- ---------------------------------------------------------------------
Government
Fund 449 352 801 197 117
- ---------------------------------------------------------------------
Tax-Free
Money
Market
Fund 217 85 302 86 13
- ---------------------------------------------------------------------
</TABLE>
4. Administration, Service and Preferred Plans
The Funds have adopted Administration, Service and Preferred Plans to compensate
service organizations for providing varying levels of account administration and
shareholder liaison services to their customers who are beneficial owners of
such shares. The Administration, Service and Preferred Plans provide for
compensation to the service organizations in an amount up to .25% , .50% and
.10% (on an annualized basis), respectively, of the average daily net asset
value of the respective shares.
5. Line of Credit Facility
The Funds participate in a $250,000,000 uncommitted, unsecured revolving line of
credit facility to be used solely for temporary or emergency purposes. Under the
most restrictive arrangement, each Fund must own securities having a market
value in excess of 300% of the total bank borrowings. The interest rate on the
borrowings is based on the Federal Funds rate. During the year ended December
31, 1996, the Funds did not have any borrowings under this facility.
- --------------------------------------------------------------------------------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. Repurchase Agreements
During the term of a repurchase agreement, the value of the underlying
securities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping at the Fund's custodian.
7. Joint Repurchase Agreement Accounts
The Funds, together with other registered investment companies having advisory
agreements with GSAM or its affiliates, transfer uninvested cash balances into
joint accounts, the daily aggregate balances of which are invested in one or
more repurchase agreements. The underlying securities for the repurchase
agreements are U.S. Treasury obligations.
At December 31, 1996, the Prime Obligations, Money Market, Treasury
Obligations and Government Funds had undivided interests in the repurchase
agreements in the following joint account, which equaled $297,900,000,
$205,200,000, $1,419,100,000 and $351,600,000 in principal amount, respectively.
At December 31, 1996, the repurchase agreements in this joint account, along
with the corresponding underlying securities (including the type of security,
market value, interest rate and maturity date), were as follows:
- --------------------------------------------------------------------------
Principal Interest Maturity Amortized
Amount Rate Date Cost
- --------------------------------------------------------------------------
Repurchase Agreements
BT Securities Corp., dated 12/31/96, repurchase price $200,061,111 (U.S.
Treasury Notes: $154,133,720, 5.75%-6.38%, 08/31/97-04/30/01; U.S.
Treasury Bills: $48,126,398, 06/12/97)
$ 200,000,000 5.50% 01/02/97 $ 200,000,000
Chase Securities, Inc., dated 12/31/96, repurchase price $1,000,369,444
(U.S. Treasury Notes: $1,020,003,399, 5.00%-9.13%, 11/15/97-5/31/99)
1,000,000,000 6.65 01/02/97 1,000,000,000
Citicorp. Securities, Inc., dated 12/31/96, repurchase price $100,034,722
(U.S. Treasury Notes: $101,974,154, 5.88%-7.50%, 03/31/98-11/15/01)
100,000,000 6.25 01/02/97 100,000,000
Morgan Stanley & Co., dated 12/31/96, repurchase price $1,200,450,000
(U.S. Treasury Notes: $954,150,236, 6.00%-6.25%, 07/31/98-09/30/98;
U.S. Treasury Bills: $270,396,330, 01/23/97-10/16/97)
1,200,000,000 6.75 01/02/97 1,200,000,000
Swiss Bank Corp., dated 12/31/96, repurchase price $140,846,933 (U.S.
Treasury Notes: $129,531,177, 4.75%-8.88%, 01/15/97-08/15/03; U.S.
Treasury Bills: $14,639,156, 01/30/97-06/26/97)
140,800,000 6.00 01/02/97 140,800,000
Swiss Bank Corp., dated 12/31/96, repurchase price $400,150,000 (U.S.
Treasury Notes: $367,986,300, 4.75%-8.88%, 01/15/97-08/15/03; U.S.
Treasury Bills: $41,588,512, 01/30/97-06/26/97)
400,000,000 6.75 01/02/97 400,000,000
- --------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $3,040,800,000
==========================================================================
8. Other Matters
Pursuant to an SEC exemptive order, each taxable Fund may enter into certain
principal transactions, including repurchase agreements, with Goldman, Sachs &
Co. subject to certain limitations as follows: 25% of eligible security
transactions, as defined, and 10% of repurchase agreement transactions.
21
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1996
- --------------------------------------------------------------------------------
9. Summary of Share Transactions
Share activity for the year ended December 31, 1996 is as follows:
<TABLE>
<CAPTION>
Tax-Free
Prime Obligations Money Market Treasury Government Money Market
Fund Fund Obligations Fund Fund Fund
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FST Shares:
Shares sold 44,941,258,260 41,611,799,874 15,303,462,361 11,674,849,553 4,186,677,890
Reinvestment of dividends and
distributions 120,569,689 84,724,371 33,617,264 19,640,980 4,879,667
Shares repurchased (44,455,790,432) (41,225,360,339) (14,633,812,470) (11,579,631,835) (4,199,081,918)
------------------------------------------------------------------------------------------------
606,037,517 471,163,906 703,267,155 114,858,698 (7,524,361)
FST Administration Shares:
Shares sold 1,718,885,581 2,097,089,351 2,868,056,191 1,074,614,378 177,906,627
Reinvestment of dividends and
distributions 2,721,453 5,879,304 4,640,302 1,055,828 844,377
Shares repurchased (1,653,602,695) (2,074,616,324) (2,618,986,546) (1,012,951,862) (148,027,716)
------------------------------------------------------------------------------------------------
68,004,339 28,352,331 253,709,947 62,718,344 30,723,288
FST Service Shares:
Shares sold 1,442,987,405 470,852,368 2,117,230,142 1,353,982,373 239,131,409
Reinvestment of dividends and
distributions 3,217,249 397,187 6,330,034 1,208,640 449,321
Shares repurchased (1,396,329,467) (241,087,916) (2,042,124,197) (1,146,142,260) (239,585,078)
------------------------------------------------------------------------------------------------
49,875,187 230,161,639 81,435,979 209,048,753 (4,348)
FST Preferred Shares:
Shares sold 377,996,154 77,361,171 94,309,002 8,202,329 65,543,581
Reinvestment of dividends and
distributions 6,257 76,227 473,231 7,480 322,508
Shares repurchased (250,873,677) (59,926,848) (48,145,640) (8,097,379) (37,135,531)
------------------------------------------------------------------------------------------------
127,128,734 17,510,550 46,636,593 112,430 28,730,558
------------------------------------------------------------------------------------------------
Net increase in shares 851,045,777 747,188,426 1,085,049,674 386,738,225 51,925,137
================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
22
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Prime Obligations Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
--------------------------------------
Ratio of net
Net asset Net realized Total Net asset expenses to
value at Net gain income from Distributions value at average
beginning investment on investment investment to end Total net
of period income transactions operations shareholders of period return(a) assets
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. $1.00 $0.0529 $-- $0.0529 $(0.0529) $1.00 5.41% 0.18%
1996-FST Preferred shares/(c)/... 1.00 0.0346 -- 0.0346 (0.0346) 1.00 5.28/(b)/ 0.28/(b)/
1996-FST Administration shares .. 1.00 0.0506 -- 0.0506 (0.0506) 1.00 5.14 0.43
1996-FST Service shares ......... 1.00 0.0478 -- 0.0478 (0.0478) 1.00 4.88 0.68
1995-FST shares ................. 1.00 0.0586 -- 0.0586 (0.0586) 1.00 6.02 0.18
1995-FST Administration shares .. 1.00 0.0559 -- 0.0559 (0.0559) 1.00 5.75 0.43
1995-FST Service shares ......... 1.00 0.0533 -- 0.0533 (0.0533) 1.00 5.49 0.68
For the Period Ended December 31,
- ---------------------------------
1994-FST shares/(d)/............. 1.00 0.0401 -- 0.0401 (0.0401) 1.00 4.38/(b)/ 0.18/(b)/
1994-FST Administration shares/(d)/ 1.00 0.0383 -- 0.0383 (0.0383) 1.00 4.12/(b)/ 0.43/(b)/
1994-FST Service shares/(d)/..... 1.00 0.0364 -- 0.0364 (0.0364) 1.00 3.86/(b)/ 0.68/(b)/
For the Years Ended January 31,
- -------------------------------
1994-FST shares ................. 1.00 0.0311 0.0002 0.0313 (0.0313) 1.00 3.18 0.17
1994-FST Administration shares .. 1.00 0.0286 0.0002 0.0288 (0.0288) 1.00 2.92 0.42
1994-FST Service shares ......... 1.00 0.0261 0.0002 0.0263 (0.0263) 1.00 2.66 0.67
1993-FST shares ................. 1.00 0.0360 0.0007 0.0367 (0.0367) 1.00 3.75 0.18
1993-FST Administration shares/(e)/ 1.00 0.0068 0.0001 0.0069 (0.0069) 1.00 3.02/(b)/ 0.44/(b)/
1993-FST Service shares ......... 1.00 0.0301 0.0007 0.0308 (0.0308) 1.00 3.23 0.68
1992-FST shares ................. 1.00 0.0572 0.0002 0.0574 (0.0574) 1.00 5.99 0.18
1992-FST Service shares (e)...... 1.00 0.0027 -- 0.0027 (0.0027) 1.00 4.10/(b)/ 0.66/(b)/
For the Period March 8, 1990 (f)
- --------------------------------
through January 31,
- -------------------
1991-FST shares ................. 1.00 0.0727 -- 0.0727 (0.0727) 1.00 8.27/(b)/ 0.18/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Net Ratio of net
assets at Ratio of investment
end expenses to income to
of period average net average net
(in 000's) assets assets
----------------------------------------
<S> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. $3,901,797 0.23% 5.24%
1996-FST Preferred shares/(c)/... 127,126 0.33/(b)/ 5.14/(b)/
1996-FST Administration shares .. 215,898 0.48 5.01
1996-FST Service shares ......... 115,154 0.73 4.73
1995-FST shares ................. 3,295,791 0.22 5.82
1995-FST Administration shares .. 147,894 0.47 5.55
1995-FST Service shares ......... 65,278 0.72 5.29
For the Period Ended December 31,
- ---------------------------------
1994-FST shares/(d)/............. 2,774,849 0.24/(b)/ 4.32/(b)/
1994-FST Administration shares/(d)/ 66,113 0.49/(b)/ 4.12/(b)/
1994-FST Service shares/(d)/..... 41,372 0.74/(b)/ 3.92/(b)/
For the Years Ended January 31,
- -------------------------------
1994-FST shares ................. 1,831,413 0.25 3.03
1994-FST Administration shares .. 35,250 0.50 2.78
1994-FST Service shares ......... 14,001 0.75 2.53
1993-FST shares ................. 813,126 0.25 3.53
1993-FST Administration shares/(e)/ 1,124 0.52/(b)/ 2.88/(b)/
1993-FST Service shares ......... 336 0.75 2.94
1992-FST shares ................. 917,073 0.27 5.63
1992-FST Service shares/(e)/..... 118 0.74/(b)/ 4.02/(b)/
For the Period March 8, 1990/(f)/
- ---------------------------------
through January 31,
- -------------------
1991-FST shares ................. 578,495 0.28/(b)/ 7.94/(b)/
</TABLE>
- ---------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/FST Preferred share activity commenced on May 1, 1996.
/(d)/The information presented reflects eleven months of operations due to a
change in fiscal year end. This change was caused by the reorganization of
the funds as a series of Goldman Sachs Money Market Trust.
/(e)/FST Administration share and FST Service share activity commenced during
November of 1992 and January of 1992, respectively.
/(f)/Commencement of operations.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Money Market Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
=================================
Net Asset Net realized Total Net asset
value at Net gain income from Distributions value at
beginning investment on investment investment to end
of period income transactions operations shareholders of period
=========================================================================================
For the Year Ended December 31,
===============================
<S> <C> <C> <C> <C> <C> <C>
1996-FST shares ................. $1.00 $0.0533 $0.0001 $0.0534 $(0.0534) $1.00
1996-FST Preferred shares/(c)/... 1.00 0.0348 -- 0.0348 (0.0348) 1.00
1996-FST Administration shares .. 1.00 0.0504 0.0001 0.0505 (0.0505) 1.00
1996-FST Service shares ......... 1.00 0.0484 -- 0.0484 (0.0484) 1.00
1995-FST shares ................. 1.00 0.0589 -- 0.0589 (0.0589) 1.00
1995-FST Administration shares .. 1.00 0.0561 -- 0.0561 (0.0561) 1.00
1995-FST Service shares/(d)/..... 1.00 0.0231 -- 0.0231 (0.0231) 1.00
For the Period Ended December 31,
=================================
1994-FST shares/(d)/............. 1.00 0.0305 -- 0.0305 (0.0305) 1.00
1994-FST Administration shares
/(d)/......................... 1.00 0.0298 -- 0.0298 (0.0298) 1.00
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of investment
expenses to income to end expenses to income to
Total average net average net of period average net average net
return/(a)/ assets assets (in 000's) assets assets
==========================================================================================
For the Year Ended December 31,
===============================
<S> <C> <C> <C> <C> <C> <C>
1996-FST shares.................. 5.45% 0.18% 5.33% $2,540,366 0.23% 5.28%
1996-FST Preferred shares/(c)/... 5.31/(b)/ 0.28/(b)/ 5.23/(b)/ 17,510 0.33/(b)/ 5.18/(b)/
1996-FST Administration shares... 5.19 0.43 5.04 165,766 0.48 4.99
1996-FST Service shares.......... 4.93 0.68 4.84 234,376 0.73 4.79
1995-FST shares................. 6.07 0.15 5.89 2,069,197 0.23 5.81
1995-FST Adminstration shares.... 5.80 0.40 5.61 137,412 0.48 5.53
1995-FST Services shares/(d)/.... 5.41/(b)/ 0.65/(b)/ 4.93/(b)/ 4,219 0.73/(b)/ 4.85/(b)/
For the Period Ended December 31,
=================================
1994-FST shares/(d)/............. 4.91/(b)/ 0.11/(b)/ 4.88/(b)/ 862,971 0.25/(b)/ 4.74/(b)/
1994-FST Adminstration shares/(d)/ 4.65/(b)/ 0.36/(b)/ 4.82/(b)/ 66,560 0.50/(b)/ 4.68/(b)/
</TABLE>
- ------------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/FST Preferred share activity commenced on May 1, 1996.
/(d)/FST, FST Adminstration and FST Service share activity commenced May 18,
1994, May 20, 1994 and July 14, 1995, respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Treasury Obligations Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-------------------------------------
Net Net Total
asset realized income Net asset
value at Net gain (loss) from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations unitholders period return /(a)/
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. $1.00 $0.0522 $0.0003 $0.0525 $(0.0524) $1.00 5.35%
1996-FST Preferred shares/(c)/... 1.00 0.0342 0.0001 0.0343 (0.0343) 1.00 5.24/(b)/
1996-FST Administration shares .. 1.00 0.0497 0.0002 0.0499 (0.0498) 1.00 5.09
1996-FST Service shares ......... 1.00 0.0472 0.0002 0.0474 (0.0474) 1.00 4.83
1995-FST shares ................. 1.00 0.0573 0.0005 0.0578 (0.0578) 1.00 5.96
1995-FST Administration shares .. 1.00 0.0547 0.0005 0.0552 (0.0552) 1.00 5.69
1995-FST Service shares ......... 1.00 0.0521 0.0005 0.0526 (0.0526) 1.00 5.43
For the Year Ended December 31,
- -------------------------------
1994-FST shares/(d)/............. 1.00 0.0379 (0.0001) 0.0378 (0.0378) 1.00 4.23/(b)/
1994-FST Administration shares
/(d)/.......................... 1.00 0.0388 (0.0001) 0.0387 (0.0387) 1.00 3.97/(b)/
1994-FST Service shares/(d)/..... 1.00 0.0349 (0.0001) 0.0348 (0.0348) 1.00 3.71/(b)/
For the Year Ended December 31,
- -------------------------------
1994-FST shares ................. 1.00 0.0301 0.0007 0.0308 (0.0307) 1.00 3.11
1994-FST Administration shares .. 1.00 0.0276 0.0006 0.0282 (0.0281) 1.00 2.85
1994-FST Service shares ......... 1.00 0.0251 0.0008 0.0259 (0.0256) 1.00 2.60
1993-FST shares ................. 1.00 0.0342 0.0012 0.0354 (0.0355) 1.00 3.69
1993-FST Administration shares
/(e)/.......................... 1.00 0.0009 -- 0.0009 (0.0009) 1.00 2.83/(b)/
1993-FST Service shares ......... 1.00 0.0296 0.0016 0.0312 (0.0309) 1.00 3.17
1992-FST shares ................. 1.00 0.0549 0.0015 0.0564 (0.0561) 1.00 5.84
1992-FST Service shares/(e)/..... 1.00 0.0113 0.0006 0.0119 (0.0116) 1.00 4.47/(b)/
For the Period March 8, 1990/(f)/through January 31,
- -------------------------------------------
1991-FST shares ................. 1.00 0.0600 0.0006 0.0606 (0.0605) 1.00 8.06/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net period of average net average net
assets assets (in 000's) assets assets
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. 0.18% 5.22% $2,291,051 0.24% 5.16%
1996-FST Preferred shares/(c)/... 0.28/(b)/ 5.11/(b)/ 46,637 0.34/(b)/ 5.05/(b)/
1996-FST Administration shares .. 0.43 4.97 536,895 0.49 4.91
1996-FST Service shares ......... 0.68 4.72 220,560 0.74 4.66
1995-FST shares ................. 0.18 5.73 1,587,715 0.23 5.68
1995-FST Administration shares .. 0.43 5.47 283,186 0.48 5.42
1995-FST Service shares ......... 0.68 5.21 139,117 0.73 5.16
For the Period Ended December 31,
- -------------------------------
1994-FST shares/(d)/............. 0.18/(b)/ 4.13/(b)/ 958,196 0.25/(b)/ 4.06/(b)/
1994-FST Administration shares
/(d)/.......................... 0.43/(b)/ 4.24/(b)/ 82,124 0.50/(b)/ 4.17/(b)/
1994-FST Service shares/(d)/..... 0.68/(b)/ 3.82/(b)/ 81,162 0.75/(b)/ 3.75/(b)/
For the Years Ended January 31,
- -------------------------------
1994-FST shares ................. 0.17 3.01 812,420 0.24 2.94
1994-FST Administration shares .. 0.42 2.76 24,485 0.49 2.69
1994-FST Service shares ......... 0.67 2.51 35,656 0.74 2.44
1993-FST shares ................. 0.18 3.42 776,181 0.26 3.34
1993-FST Administration shares
/(e)/.......................... 0.43/(b)/ 2.83/(b)/ 1 0.51/(b)/ 2.75/(b)/
1993-FST Service shares ......... 0.68 2.96 5,155 0.76 2.88
1992-FST shares ................. 0.18 5.49 413,171 0.28 5.39
1992-FST Service shares/(e)/..... 0.68/(b)/ 3.77/(b)/ 3,634 0.78/(b)/ 3.67/(b)/
For the Period March 8, 1990/(f)/through January 31,
- -----------------------------------
1991-FST shares ................. 0.21/(b)/ 7.74/(b)/ 229,988 0.34/(b)/ 7.61/(b)/
- ----------------
</TABLE>
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/FST Preferred share activity commenced on May 1, 1996.
/(d)/The information presented reflects eleven months of operations due to a
change in fiscal year end. This change was caused by the reorganization of
the funds as a series of Goldman Sachs Money Market Trust.
/(e)/FST Administration and FST Service share activity commenced during January
of 1993 and October of 1991, respectively.
/(f)/Commencement of operations.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Government Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
-------------------------------------
Net Net Total
asset realized income Net asset
value at Net gain on from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations unitholders period return /(a)/
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. $1.00 $0.0525 $0.0001 $0.0526 $(0.0526) $1.00 5.38%
1996-FST Preferred shares/(c)/... 1.00 0.0344 0.0001 0.0345 (0.0345) 1.00 5.26/(b)/
1996-FST Administration shares .. 1.00 0.0501 0.0001 0.0502 (0.0502) 1.00 5.12
1996-FST Service shares ......... 1.00 0.0474 0.0001 0.0475 (0.0475) 1.00 4.86
1995-FST shares ................. 1.00 0.0581 0.0001 0.0582 (0.0582) 1.00 6.00
1995-FST Administration shares .. 1.00 0.0554 0.0001 0.0555 (0.0555) 1.00 5.74
1995-FST Service shares/(d)/..... 1.00 0.0320 -- 0.0320 (0.0320) 1.00 5.40/(b)/
For the Period Ended December 31,
- ---------------------------------
1994-FST shares/(e)/............. 1.00 0.0424 -- 0.0424 (0.0424) 1.00 4.36/(b)/
1994-FST Administration shares
/(e)/.......................... 1.00 0.0426 -- 0.0426 (0.0426) 1.00 4.10/(b)/
For the Period Ended January 31,
- -------------------------------
1993-FST shares/(d)/............. 1.00 0.0256 0.0001 0.0257 (0.0257) 1.00 3.14/(b)/
1993-FST Administration shares
/(d)/.......................... 1.00 0.0120 0.0001 0.0121 (0.0121) 1.00 2.87/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
----------------------------
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of net investment
expenses to income to end expenses to income to
average net average net period of average net average net
assets assets (in 000's) assets assets
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Year Ended December 31,
- -------------------------------
1996-FST shares ................. 0.18% 5.25% $858,769 0.24% 5.19%
1996-FST Preferred shares/(c)/... 0.28/(b)/ 5.14/(b)/ 112 0.34/(b)/ 5.08/(b)/
1996-FST Administration shares .. 0.43 5.01 145,108 0.49 4.95
1996-FST Service shares ......... 0.68 4.74 223,554 0.74 4.68
1995-FST shares ................. 0.18 5.81 743,884 0.24 5.75
1995-FST Administration shares .. 0.43 5.54 82,386 0.49 5.48
1995-FST Service shares/(d)/..... 0.68/(b)/ 5.08/(b)/ 14,508 0.74/(b)/ 5.02/(b)/
For the Period Ended December 31,
- -------------------------------
1994-FST shares/(e)/............. 0.15/(b)/ 4.64/(b)/ 258,350 0.25/(b)/ 4.54/(b)/
1994-FST Administration shares
/(e)/.......................... 0.40/(b)/ 4.67/(b)/ 54,253 0.50/(b)/ 4.57/(b)/
For the Period Ended January 31,
- -------------------------------
1993-FST shares/(d)/............. 0.08/(b)/ 3.10/(b)/ 44,697 0.59/(b)/ 2.59/(b)/
1993-FST Administration shares
/(d)/.......................... 0.35/(b)/ 2.85/(b)/ 14,126 0.76/(b)/ 2.44/(b)/
- ---------------
</TABLE>
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/FST Preferred share activity commenced on May 1, 1996.
/(d)/FST share, FST Administration share and FST Service share activity
commenced April 6, 1993, September 1, 1993 and May 16, 1995, respectively.
/(e)/The information presented reflects eleven months of operations due to a
change in fiscal year end. This change was caused by the reorganization of
the funds as a series of Goldman Sachs Money Market Trust.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
Goldman Sachs Money Market Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Tax-Free Money Market Fund
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from investment operations
=====================================
Net Net Total
asset realized income Net asset
value at Net gain on from Distributions value at
beginning investment investment investment to end of Total
of period income transactions operations shareholders period return /(a)/
===========================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
For the Year Ended December 31,
===============================
1996-FST shares ...................... $1.00 $0.0335 -- $0.0335 $(0.0335) $1.00 3.39%
1996-FST Preferred shares /(c)/....... 1.00 0.0218 -- 0.0218 (0.0218) 1.00 3.30/(b)/
1996-FST Administration shares ....... 1.00 0.0310 -- 0.0310 (0.0310) 1.00 3.13
1996-FST Service shares .............. 1.00 0.0285 -- 0.0285 (0.0285) 1.00 2.88
1995-FST shares ...................... 1.00 0.0381 -- 0.0381 (0.0381) 1.00 3.89
1995-FST Administration shares ....... 1.00 0.0354 -- 0.0354 (0.0354) 1.00 3.63
1995-FST Service shares .............. 1.00 0.0332 -- 0.0332 (0.0332) 1.00 3.38
For the Period Ended December 31,
=================================
1994-FST shares /(d)/................. 1.00 0.0156 -- 0.0156 (0.0156) 1.00 3.41/(b)/
1994-FST Administration shares /(d)/.. 1.00 0.0136 -- 0.0136 (0.0136) 1.00 3.19/(b)/
1994-FST Service shares /(d)/......... 1.00 0.0091 -- 0.0091 (0.0091) 1.00 3.11/(b)/
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
============================
Ratio of net Net Ratio of net
Ratio of net investment assets at Ratio of investment
expenses to income to end of expenses to income to
average net average net period average net average net
assets assets (in 000's) assets assets
===========================================================================
<S> <C> <C> <C> <C> <C>
For the Year Ended December 31,
===============================
1996-FST shares ...................... 0.18% 3.35% $440,838 0.23% 3.30%
1996-FST Preferred shares /(c)/....... 0.28/(b)/ 3.26/(b)/ 28,731 0.33/(b)/ 3.21/(b)/
1996-FST Administration shares ....... 0.43 3.10 51,661 0.48 3.05
1996-FST Service shares .............. 0.68 2.85 19,855 0.73 2.80
1995-FST shares ...................... 0.14 3.81 448,367 0.24 3.71
1995-FST Administration shares ....... 0.39 3.54 20,939 0.49 3.44
1995-FST Service shares .............. 0.64 3.32 19,860 0.74 3.22
For the Period Ended December 31,
=================================
1994-FST shares /(d)/................. 0.07/(b)/ 3.42/(b)/ 183,570 0.31/(b)/ 3.18/(b)/
1994-FST Administration shares /(d)/.. 0.32/(b)/ 3.25/(b)/ 2,042 0.56/(b)/ 3.01/(b)/
1994-FST Service shares /(d)/......... 0.57/(b)/ 3.32/(b)/ 2,267 0.81/(b)/ 3.08/(b)/
</TABLE>
- ---------------
/(a)/Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period.
/(b)/Annualized.
/(c)/FST Preferred share activity commenced on May 1, 1996.
/(d)/FST share, FST Administration share and FST Service share activity
commenced July 19, 1994, August 1, 1994 and September 23, 1994,
respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of the Goldman Sachs Money Market
Trust--Financial Square Funds:
We have audited the accompanying statements of assets and liabilities of the
Goldman Sachs Money Market Trust--Financial Square Funds (a Massachusetts
business trust comprising the Prime Obligations, Money Market, Treasury
Obligations, Government and Tax-Free Money Market Funds), including the
statements of investments, as of December 31, 1996, and the related statements
of operations, and the statements of changes in net assets and the financial
highlights for each of the periods presented. These financial statements and the
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and the financial highlights
referred to above present fairly, in all material respects, the financial
position of each of the respective portfolios constituting Goldman Sachs Money
Market Trust--Financial Square Funds as of December 31, 1996, the results of
their operations and the changes in their net assets and the financial
highlights for the periods presented, in conformity with generally accepted
accounting principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts
February 10, 1997
- ------------------------------------- ---------------------------------------
28
<PAGE>
- --------------------------------------------------------------------------------
- -------------------------------------- ----------------------------------------
[This page intentionally left blank]
- -------------------------------------- ----------------------------------------
29
<PAGE>
- --------------------------------------------------------------------------------
- -------------------------------------- ----------------------------------------
[This page intentionally left blank]
- -------------------------------------- ----------------------------------------
30
<PAGE>
- --------------------------------------------------------------------------------
- ------------------------------------- -----------------------------------------
- --------------------------------------------------------------------------------
This Annual Report is authorized for distribution to prospective investors only
when preceded or accompanied by a Goldman Sachs Money Market Trust--Financial
Square Funds Prospectus which contains facts concerning each Fund's objectives
and policies, management, expenses and other information.
- --------------------------------------------------------------------------------
31
