<PAGE>
Goldman Sachs Trust
Financial Square Funds
> Prime Obligations Fund
> Money Market Fund
> Premium Money Market Fund
> Treasury Obligations Fund
> Treasury Instruments Fund
> Government Fund
> Federal Fund
> Tax-Free Money Market Fund
[LOGO OF GOLDMAN SACHS]
ANNUAL REPORT
December 31, 1999
<PAGE>
- --------------------------------------------------------------------------------
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 Trust-Financial Square
Funds in 1999. It was another strong year for the funds, during which all of
them outperformed their respective IBC Financial Data, Inc. averages. Assets in
the Financial Square Funds totaled $36 billion as of December 31, 1999.
The Economy In Review
Early in the year, economic data pointed to a stable U.S. economy. As a result,
market pundits assumed the view that any easing by the Federal Reserve Board
(the "Fed") would come later, rather than sooner. Consensus opinion was
confirmed when the Fed decided to leave rates unchanged at its February 2, 1999
meeting.
Consistently benign reports in the ensuing months prompted the Fed to maintain
a neutral stance. By May, though, economic indicators that are critical in
determining the Federal Open Market Committee's ("FOMC") position on monetary
policy came in higher than expected. The Fed officially assumed a tightening
bias in their May Federal Open Market Committee meeting. On June 30, interest
rates were raised by 25 basis points, to 5.00%. Because the move was expected,
it had little impact on the bond market as a whole. Rather, the Fed's adoption
of a post-rate hike neutral stance prompted a market rally.
Prior to Chairman Alan Greenspan's July 22nd Humphrey Hawkins testimony, the
market had assumed that upcoming economic data would remain fairly benign and
forestall any future tightening. However, Chairman Greenspan's bearish tone
triggered a market sell-off which left investors on alert for signs of
continued growth in the U.S. economy. In fact, the July non-farm payroll number
indicated that the U.S. growth trend had not weakened materially, and instead
suggested that prices could accelerate. A 25 basis point tightening followed in
August when signs continued to suggest that the U.S. economy was growing.
Following August's tightening, a measure of economic stability followed that
was interpreted by the market to mean that the Fed would maintain rates in the
near term. However, signals to this effect sparked a powerful rally in U.S.
financial markets which, in turn, undid some of the restraint on which
expectations of slower growth were based. Thus, the Fed, for the third and
final time in 1999, raised short-term interest rates by 25 basis points.
Despite continued signs of very strong GDP growth following this tightening,
the Fed left rates unchanged at its December meeting, while maintaining a
neutral bias going forward. The decision not to tighten further was due in part
to a desire to avoid pre-Y2K market disruptions. However, the committee's
neutral bias indicates a willingness to consider tightening at the February 2,
2000 FOMC meeting.
Credit Year 1999: A Run for the Money
The U.S. remained in robust health in 1999, this time without the distraction
of the Asian crisis. Corporates and financial institutions rode bullish markets
to strong profitability for the year. Fears about the possible fragility of the
U.S. expansion were put to rest as the economy digested without incident the
Fed's modest rate hikes, which restored interest rates to their pre-Asian-
crisis levels. Meanwhile, merger and acquisition activity and IPOs continued to
set new records, with the technology sector in particular providing enormous
returns.
The international environment benefited from the strong American performance
and an accelerating recovery in Asia. The decidedly positive note on which 1998
closed set the stage for a notable upturn around the globe. Euroland began to
recover from what turned out to be a shallow recession, although the euro
disappointed optimists by its steady weakening, finally reaching parity with
the U.S. dollar. Financial markets in Europe
- --------------------------------------- ---------------------------------------
1
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
continued their post-euro flurry of activity, with M&A and bond and equity
issuance expanding significantly. Asia contributed its share to the global
upswing, posting an impressive performance as growth and exports turned around
smartly. Debt and equity markets returned to, or even exceeded, pre-crisis
levels. Sentiment was further strengthened by the landmark deal between the
U.S. and China late in the year for China's accession to the World Trade
Organization. Even Japan started to look somewhat better--a stabilized economy
and banking sector prompted investors to turn bullish on the yen and equities,
while interest rates remained at historic lows.
The outlook for 2000 remains bullish, though investors are increasingly nervous
about possible further interest rate hikes in the U.S. and the potential
consequences for both the equity markets and corporate earnings. The Goldman
Sachs Credit Department, with analysts based in London, Tokyo, Frankfurt and
New York, will continue to anticipate and monitor global developments and apply
its conservative credit standards to the money market portfolios.
Strategy
Taxable--Early in the year, we took advantage of a steepening yield curve as
the Fed shifted towards its neutral bias. During the second quarter, when the
yield curve flattened, we extended the Funds as the highly technical April-May
period approached, while managing liquidity throughout the volatile tax season.
When a Fed tightening became imminent, we shortened the Funds' weighted average
maturities ("WAMs"), then extended them following the tightening to take
advantage of any steepening in the yield curve. As the year drew to a close, we
maintained neutral WAMs. This left us well positioned for liquidity management
and allowed us to take advantage of Y2K technical pressure that was priced into
the market over year end. Throughout the year, we maintained a barbelled
structure.
Tax-Exempt--Early in the year, inflows of cash into tax-exempt funds--the
result of seasonal reinvestment of maturity proceeds coupled with a scarcity of
issuance-- caused a drop in yields. We anticipated this, and had already
extended the Funds' WAMs to a neutral range. In March, we shortened the Funds'
WAMs to the 30- to 35-day range, seeking to build liquidity as the April 15th
tax deadline approached. This helped us to fund tax-time redemptions. In May,
tax-exempt money market supply picked up. However, the steepening that occurred
in the Treasury yield curve in anticipation of a Fed tightening was not seen in
the tax-exempt market. Since we believed that yields in the municipal market
did not adequately reflect this tightening risk, we shortened the Funds' WAMs.
During the month of August, the tax-exempt market saw considerable new issuance
come to market. This supply, coupled with Fed tightening, resulted in an
increase in municipal rates not experienced in over a year. We took advantage
of these higher rates by extending the Funds' WAMs. Shortly thereafter, the
tax-exempt market experienced large inflows, which prompted us to maintain WAMs
in the neutral range. We also focused on building additional liquidity in the
Funds in anticipation of year end.
Summary for Financial Square Funds Institutional Shares* as of 12/31/99
<TABLE>
<CAPTION>
Standardized Standardized 1-Mo.
7-Day 7-Day Simple Weighted Avg.
Current Effective Average Maturity
Financial Square Funds Yield Yield Yield (days)
- ---------------------- ------------ ------------ ------- -------------
<S> <C> <C> <C> <C>
Prime Obligations............... 5.63% 5.79% 5.67% 32
Money Market.................... 5.66 5.82 5.66 29
Premium Money Market............ 5.20 5.33 5.51 14
Treasury Obligations............ 4.72 4.83 5.10 22
Treasury Instruments............ 5.09 5.22 5.10 51
Government...................... 5.30 5.44 5.44 22
Federal......................... 5.56 5.71 5.50 37
Tax-Free Money Market........... 4.40 4.49 3.61 46
</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
- --------------------------------------- ---------------------------------------
2
<PAGE>
- --------------------------------------------------------------------------------
Letter to Shareholders (continued)
- --------------------------------------- ---------------------------------------
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%. If these fees were reflected in the
above performance, performance would be reduced. Past performance is no
guarantee of future results. Yields will vary. An investment in any one of the
Financial Square Funds is neither insured nor guaranteed by the U.S. Government
nor it there any assurance that the Funds will be able to maintain a stable net
asset value of $1.00 per share. 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. Goldman Sachs Financial Square
FundsSM is a servicemark of Goldman, Sachs, & Co.
Outlook and Strategies for 2000
Looking ahead, as consumer sentiment and economic growth remain exceptionally
strong, we are watchful for signs of inflationary pressure which will most
likely trigger a series of Federal Reserve Board ("Fed") tightenings. Economic
indicators such as the December Producer Price Index and Consumer Price Index
reports, released on January 13 and 14, respectively, provided further
justification for the Fed to raise short-term interest rates at the February 2
FOMC meeting.
In closing, we thank you for your support and for making 1999 a year of record
assets for the Financial Square Funds. As in the past, we will continue to look
for additional ways to improve our services, while seeking to provide you with
competitive performance. We welcome your suggestions and questions, and look
forward to another productive year in 2000.
Goldman Sachs Money Market Management Team
January 31, 2000
- --------------------------------------- ---------------------------------------
3
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Prime Obligations Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations--47.1%
Agriculture Services
Cargill, Inc.
$ 70,000,000 5.42% 01/18/2000 $ 69,820,839
25,000,000 5.42 01/25/2000 24,909,667
Asset Backed
Asset Portfolio Funding Corp.
100,000,000 5.43 01/19/2000 99,728,500
45,000,000 5.50 01/20/2000 44,869,375
20,000,000 5.50 01/25/2000 19,926,667
Blue Ridge Asset Funding
40,000,000 5.97 01/18/2000 39,887,233
45,870,000 6.15 01/20/2000 45,721,114
36,617,000 6.07 02/15/2000 36,339,169
80,000,000 6.17 02/22/2000 79,287,022
Centric Capital Corp.
35,412,000 6.70 01/14/2000 35,326,323
35,000,000 5.50 01/31/2000 34,839,583
45,450,000 6.05 01/31/2000 45,220,856
Corporate Receivables Corp.
40,000,000 6.27 01/18/2000 39,881,567
100,000,000 5.93 01/24/2000 99,621,139
50,000,000 5.92 02/23/2000 49,564,222
CXC, Inc.
50,000,000 5.92 01/24/2000 49,810,889
Dakota Certificates of Standard Credit Card Master Trust
50,000,000 5.94 01/24/2000 49,810,250
Delaware Funding Corp.
56,000,000 6.15 02/04/2000 55,674,733
100,000,000 5.77 02/14/2000 99,294,778
Edison Asset Securitization Corp.
23,835,000 5.43 01/18/2000 23,773,883
25,000,000 5.97 02/22/2000 24,784,417
50,000,000 5.80 02/28/2000 49,532,778
75,000,000 5.92 03/07/2000 74,186,000
36,529,000 5.85 04/03/2000 35,976,955
Enterprise Funding Corp.
45,699,000 6.11 01/26/2000 45,505,097
70,993,000 5.85 02/04/2000 70,600,764
62,153,000 5.93 03/01/2000 61,538,721
Falcon Asset Securitization Corp.
34,541,000 6.20 01/20/2000 34,427,974
62,520,000 5.85 02/07/2000 62,144,099
46,950,000 5.87 02/09/2000 46,651,437
68,030,000 5.98 02/14/2000 67,532,776
50,000,000 5.94 02/24/2000 49,554,500
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Asset Backed (continued)
Forrestal Funding
$ 36,971,000 5.90% 01/27/2000 $ 36,813,462
30,000,000 6.10 02/04/2000 29,827,167
25,000,000 5.77 02/23/2000 24,787,632
42,873,000 5.90 02/23/2000 42,500,600
International Securitization Corp.
50,000,000 5.70 01/20/2000 49,849,583
26,405,000 5.95 02/03/2000 26,260,983
19,463,000 6.07 02/07/2000 19,341,578
50,000,000 5.95 02/10/2000 49,669,444
75,000,000 6.00 02/25/2000 74,312,500
Intrepid Funding Notes
100,000,000 6.60 01/14/2000 99,761,667
75,000,000 5.54 01/31/2000 74,653,750
31,396,000 5.81 02/09/2000 31,198,388
25,771,000 5.86 02/09/2000 25,607,397
25,409,000 5.93 03/07/2000 25,132,762
51,782,000 5.85 03/08/2000 51,218,223
Park Avenue Receivables Corp.
89,297,000 6.05 01/27/2000 88,906,822
50,000,000 6.02 02/08/2000 49,682,278
111,612,000 5.90 02/11/2000 110,862,029
Preferred Receivables Funding
80,635,000 6.45 01/18/2000 80,389,399
50,000,000 5.97 01/20/2000 49,842,458
59,480,000 5.97 01/25/2000 59,243,270
33,000,000 5.93 02/18/2000 32,739,080
Receivables Capital Corp.
31,050,000 5.92 01/13/2000 30,988,728
50,000,000 5.95 01/26/2000 49,793,403
50,000,000 6.02 02/09/2000 49,673,916
Riverwoods Funding Corp.
25,000,000 6.10 01/26/2000 24,894,097
25,000,000 6.07 01/27/2000 24,890,403
25,000,000 6.06 02/09/2000 24,835,875
Three River Funding Corp.
30,206,000 6.27 01/18/2000 30,116,565
33,844,000 6.15 01/20/2000 33,734,148
55,000,000 6.05 02/02/2000 54,704,222
50,584,000 6.00 02/14/2000 50,213,051
Variable Funding Capital Corp.
40,000,000 6.03 01/14/2000 39,912,900
25,000,000 5.90 02/17/2000 24,807,431
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
4
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Prime Obligations Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Asset Backed (continued)
WCP Funding Corp.
$ 75,000,000 6.05 02/01/2000 $ 74,609,271
100,000,000 6.00 02/10/2000 99,333,333
50,000,000 5.90 02/29/2000 49,516,528
Business Credit Institutions
CIT Group, Inc.
100,000,000 5.95% 03/15/2000 98,776,944
General Electric Capital Corp.
30,000,000 5.43 01/24/2000 29,895,925
50,000,000 5.85 02/04/2000 49,723,750
Commercial Banks
J.P. Morgan & Co., Inc.
75,000,000 6.04 02/09/2000 74,509,250
50,000,000 5.69 02/14/2000 49,652,278
Wells Fargo Co.
50,000,000 6.03 03/15/2000 49,380,250
Financial Services
General Electric Capital International Funding
50,000,000 5.94 02/28/2000 49,521,500
Insurance Carriers
General Electric Financial Assurances Holdings
50,000,000 6.00 02/17/2000 49,608,333
Prudential Funding Corp.
50,000,000 6.08 01/20/2000 49,839,556
Personal Credit
Associates Corp. of North America
75,000,000 5.93 03/08/2000 74,172,271
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
45,000,000 6.10 01/20/2000 44,855,125
Merrill Lynch & Co., Inc.
75,000,000 5.70 01/19/2000 74,786,250
50,000,000 5.92 02/29/2000 49,514,889
25,000,000 5.90 03/15/2000 24,696,805
Morgan Stanley Dean Witter & Co.
75,000,000 5.43 01/26/2000 74,717,188
Salomon Smith Barney Holdings, Inc.
50,000,000 5.68 02/07/2000 49,708,111
25,000,000 5.77 02/11/2000 24,835,715
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Transportation Equipment
Ford Motor Credit Co.
$250,000,000 5.94 03/02/2000 $ 247,483,750
General Motors Acceptance Corp.
100,000,000 5.84 02/09/2000 99,367,333
- ----------------------------------------------------------------------------------------------
Total Commercial Paper and
Corporate Obligations $ 4,725,412,893
- ----------------------------------------------------------------------------------------------
Bank and Medium-Term Notes--6.6%
FCC National Bank
$ 50,000,000 5.86% 02/23/2000 $ 50,000,000
First National Bank of Maryland
$ 70,000,000 5.09% 01/13/2000 69,999,556
First Union National Bank
25,000,000 5.84 02/15/2000 25,000,000
50,000,000 5.25 02/28/2000 50,000,000
Greenwood Trust Co.
75,000,000 6.30 01/20/2000 75,000,000
75,000,000 6.10 01/27/2000 75,000,000
Huntington National Bank
55,000,000 4.98 01/11/2000 54,999,709
45,000,000 5.05 02/09/2000 44,998,146
J.P. Morgan & Co., Inc.
60,000,000 5.03 02/07/2000 60,000,000
Keybank, N.A.
20,000,000 5.65 06/26/2000 19,993,496
Morgan Stanley Dean Witter & Co.
18,650,000 5.89 03/20/2000 18,672,770
National City Bank
45,000,000 5.08 02/11/2000 44,998,059
NationsBank, N.A.
50,000,000 5.00 01/05/2000 49,999,894
Salomon, Inc.
25,000,000 6.50 03/01/2000 25,058,135
- ----------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 663,719,765
- ----------------------------------------------------------------------------------------------
Certificates of Deposit--1.4%
First National Bank of Maryland
$ 75,000,000 4.99% 01/25/2000 $ 74,998,573
40,000,000 5.11 02/23/2000 39,998,042
Regions Bank
30,000,000 5.15 02/18/2000 30,000,000
- ----------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 144,996,615
- ----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
5
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Time Deposits--8.9%
Chase Manhattan Bank
$240,000,000 5.00% 01/03/2000 $ 240,000,000
Comerica Bank
150,000,000 5.00 01/03/2000 150,000,000
Fifth Third Bank
200,000,000 4.50 01/03/2000 200,000,000
Republic National Bank of New York
100,000,000 6.19 01/03/2000 100,000,000
Southtrust Bank, N.A.
200,000,000 5.00 01/03/2000 200,000,000
- ----------------------------------------------------------------------------------------------
Total Time Deposits $ 890,000,000
- ----------------------------------------------------------------------------------------------
U.S. Government Agency Obligations--1.3%
Federal Home Loan Bank
$ 20,000,000 5.10% 05/17/2000 $ 19,993,517
Federal Home Loan Mortgage Corp.
50,000,000 5.48 02/07/2000 49,718,389
Federal National Mortgage Association
34,000,000 5.00 05/05/2000 33,986,530
22,000,000 5.56 07/24/2000 21,994,647
- ----------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $ 125,693,083
- ----------------------------------------------------------------------------------------------
Variable Rate Obligations#--25.8%
American Express Centurion Bank
$ 25,000,000 6.43% 01/12/2000 $ 25,000,000
Amsouth Bank
50,000,000 6.46 02/16/2000 49,973,187
Associates Corp. of North America
100,000,000 6.34 01/20/2000 99,983,985
BankAmerica Corp.
25,000,000 6.13 03/15/2000 25,000,045
Bank of America, N.A.
50,000,000 5.75 01/03/2000 50,000,000
50,000,000 5.03 03/24/2000 49,995,776
Bank One Corp.
90,000,000 6.12 01/05/2000 89,966,572
50,000,000 6.18 03/08/2000 50,010,212
100,000,000 6.18 03/13/2000 99,971,748
Chase Manhattan Bank, N.A.
75,000,000 6.39 01/25/2000 74,980,894
Citicorp
85,000,000 6.51 01/03/2000 85,000,000
Comerica Bank Detroit
50,000,000 6.42 01/03/2000 49,998,709
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Variable Rate Obligations (continued)
CP Trust Certificate Series 1996-2
$ 72,250,000 5.06 03/30/2000 $ 72,250,000
First Union National Bank
25,000,000 5.75 01/03/2000 25,000,000
50,000,000 6.02 02/06/2000 50,000,000
75,000,000 6.14 02/17/2000 75,029,739
25,000,000 6.16 03/15/2000 25,010,057
Fleet National Bank
35,000,000 5.04 01/03/2000 34,995,752
50,000,000 5.05 01/03/2000 49,997,031
33,000,000 6.34 01/26/2000 33,017,416
General Electric Capital Corp.
60,000,000 6.13 01/12/2000 60,000,000
60,000,000 6.11 02/03/2000 59,979,678
J.P. Morgan & Co., Inc.
40,000,000 6.03% 01/03/2000 40,000,317
40,000,000 6.07 03/02/2000 40,000,492
Keybank, N.A.
50,000,000 6.46 01/10/2000 49,974,426
65,000,000 6.17 01/13/2000 65,009,135
25,000,000 6.19 01/28/2000 24,997,764
70,000,000 6.20 01/31/2000 70,001,007
25,000,000 6.15 03/07/2000 25,007,217
Merrill Lynch & Co., Inc.
25,000,000 6.51 01/03/2000 25,000,000
25,000,000 6.43 01/24/2000 24,999,644
40,000,000 6.20 01/28/2000 39,997,686
Monumental Life Insurance
55,000,000 6.65 02/01/2000 55,000,000
Morgan Stanley Dean Witter & Co.
25,000,000 6.16 02/23/2000 25,003,667
15,500,000 6.49 03/01/2000 15,510,547
35,000,000 6.50 03/15/2000 35,034,723
National City Bank
100,000,000 6.45 01/04/2000 99,916,748
100,000,000 5.71 02/29/2000 99,960,328
New York Life Insurance Co.
40,000,000 6.14 03/01/2000 40,000,000
25,000,000 6.14 03/23/2000 25,000,000
Pacific Mutual Life Insurance Co.
50,000,000 6.48 02/01/2000 50,000,000
PNC Bank, N.A.
30,000,000 6.41 01/12/2000 29,993,750
Seattle Washington Taxable Series 1994
25,000,000 6.51 02/01/2000 25,000,000
Southtrust Bank of Alabama, N.A.
75,000,000 6.39 01/10/2000 74,994,433
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
6
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Prime Obligations Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------
Variable Rate Obligations (continued)
SunAmerica Life Insurance Co.
$100,000,000 6.25 02/01/2000 $ 100,000,000
Texas State Veterans Taxable Series 1996-A
14,255,000 6.51 02/01/2000 14,255,000
U.S. Bank, N.A.
50,000,000 6.51 01/19/2000 50,013,194
U.S. Central Credit Union
50,000,000 6.41 01/14/2000 50,000,000
Wells Fargo Co.
60,000,000 6.01 03/10/2000 59,993,890
100,000,000 6.06 03/29/2000 99,979,500
- ----------------------------------------------------------------------------------------------
Total Variable Rate Obligations $ 2,589,804,269
- ----------------------------------------------------------------------------------------------
Repurchase Agreements--8.7%
Joint Repurchase Agreement Account
$522,500,000 2.59% 01/03/2000 $ 522,500,000
Joint Repurchase Agreement Account II
350,000,000 3.16 01/03/2000 350,000,000
- ----------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 872,500,000
- ----------------------------------------------------------------------------------------------
Total Investments $10,012,126,625
- ----------------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is either Federal Funds, LIBOR or Prime
lending rate.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indicies.
Maturity dates represent either the stated date on the security or the next
interest reset rate for floating rate securities.
The percentage shown for each investment category reflects 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 Money Market Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations--36.6%
Agriculture Services
Cargill Global Funding PLC
$ 60,000,000 5.42% 01/20/2000 $ 59,828,367
20,805,000 5.41 01/21/2000 20,742,469
75,000,000 5.42 01/25/2000 74,729,000
Asset Backed
Asset Portfolio Funding Corp.
50,000,000 5.50 01/20/2000 49,854,861
Atlantis One Funding Corp.
45,000,000 5.43 01/18/2000 44,884,612
18,550,000 5.42 01/20/2000 18,496,937
25,000,000 5.75 02/10/2000 24,840,278
Bavaria TRR Corp.
25,000,000 5.45 01/24/2000 24,912,951
25,000,000 5.45 01/26/2000 24,905,382
27,000,000 5.43 01/28/2000 26,890,042
25,000,000 5.75 02/11/2000 24,836,285
Blue Ridge Asset Funding
50,000,000 6.12 03/21/2000 49,320,000
Centric Capital Corp.
50,000,000 5.98 01/11/2000 49,916,944
31,000,000 6.50 01/26/2000 30,860,069
35,000,000 5.50 01/31/2000 34,839,584
25,000,000 6.05 01/31/2000 24,873,958
22,500,000 5.85 02/04/2000 22,375,688
33,800,000 6.05 03/09/2000 33,413,741
30,000,000 6.12 03/17/2000 29,612,400
Corporate Receivables Corp.
50,000,000 6.27 01/18/2000 49,851,958
50,000,000 5.93 01/24/2000 49,810,570
CXC, Inc.
90,000,000 6.27 01/18/2000 89,733,525
Delaware Funding Corp.
58,590,000 6.00 01/18/2000 58,423,995
60,000,000 6.15 02/04/2000 59,651,500
Edison Asset Securitization Corp.
25,000,000 5.97 02/22/2000 24,784,417
50,000,000 5.92 03/07/2000 49,457,333
Enterprise Funding Corp.
50,668,000 5.93 01/28/2000 50,442,653
Eureka Securities PLC
50,000,000 6.00 01/14/2000 49,891,666
50,000,000 5.85 02/09/2000 49,683,125
50,000,000 5.90 02/29/2000 49,516,528
Falcon Asset Securitization Corp.
50,735,000 6.37 01/24/2000 50,528,522
25,000,000 5.97 01/25/2000 24,900,500
50,000,000 5.97 01/27/2000 49,784,417
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Asset Backed (continued)
Fidex PLC
$ 50,620,000 5.92% 02/23/2000 $ 50,178,819
Forrestal Funding
35,000,000 6.10 02/04/2000 34,798,361
25,000,000 5.77 02/23/2000 24,787,632
50,000,000 5.86 03/22/2000 49,340,750
28,600,000 6.00 03/24/2000 28,204,367
Grand Funding Corp.
40,000,000 5.43 01/10/2000 39,945,700
75,000,000 5.43 01/12/2000 74,875,562
25,000,000 5.42 01/14/2000 24,951,069
25,055,000 5.43 01/20/2000 24,983,197
50,000,000 5.55 01/26/2000 49,807,292
54,000,000 6.25 01/28/2000 53,746,875
International Securitization Corp.
50,000,000 6.40 01/25/2000 49,786,667
Park Avenue Receivables Corp.
43,194,000 6.18 02/09/2000 42,904,816
Prefco, Inc.
50,000,000 5.97 01/18/2000 49,859,042
67,800,000 5.43 01/25/2000 67,554,564
40,000,000 5.92 02/28/2000 39,618,489
Receivables Capital Corp.
29,527,000 5.95 01/26/2000 29,404,996
Riverwoods Funding Corp.
25,000,000 6.07 01/27/2000 24,890,403
Rose One Plus
40,000,000 6.14 01/28/2000 39,815,800
25,000,000 5.92 02/28/2000 24,761,556
Sheffield Receivables Corp.
33,250,000 6.05 02/02/2000 33,071,189
Three River Funding Corp.
21,000,000 6.10 02/02/2000 20,886,133
Variable Funding Capital Corp.
40,000,000 6.70 01/20/2000 39,858,556
Windmill Funding Corp.
15,000,000 5.43 01/20/2000 14,957,012
Business Credit Institutions
CIT Group, Inc.
30,000,000 5.95 03/15/2000 29,633,084
General Electric Capital Corp.
50,000,000 5.85 02/04/2000 49,723,750
Commercial Banks
BankAmerica Corp.
50,000,000 6.03 03/22/2000 49,321,625
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
8
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Money Market Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Commercial Banks (continued)
Banque Et Caisse D'Epargne et de Credit
$ 50,000,000 6.00% 01/27/2000 $ 49,783,333
BCI Funding Corp.
25,000,000 5.94 03/06/2000 24,731,875
C.S. First Boston Corp.
22,000,000 5.41 01/27/2000 21,914,041
45,000,000 5.43 02/01/2000 44,789,588
50,000,000 5.68 02/09/2000 49,692,333
Nordbanken North America, Inc.
100,000,000 5.53 02/03/2000 99,493,084
Wells Fargo Co.
25,000,000 6.03 03/15/2000 24,690,125
Electronics, Electrical Equipment Company
Alcatel Alsthom, Inc.
35,000,000 5.69 02/22/2000 34,712,339
Financial Services
General Electric Capital International Funding
35,000,000 5.94 02/28/2000 34,665,050
Insurance Carriers
General Electric Financial Assurances Corp.
50,000,000 5.96 03/15/2000 49,387,444
Prudential Funding Corp.
25,000,000 6.08 01/20/2000 24,919,778
Mortgage Bank
Nationwide Building Society
50,000,000 5.90 03/01/2000 49,508,333
Personal Credit
Associates Corp. of North America
25,000,000 5.93 03/08/2000 24,724,090
Savings Institutions
Northern Rock PLC
50,000,000 5.54 02/03/2000 49,746,083
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
45,000,000 6.10 01/20/2000 44,855,125
Merrill Lynch & Co., Inc.
75,000,000 5.70 01/19/2000 74,786,250
50,000,000 5.92 02/29/2000 49,514,889
25,000,000 5.90 03/15/2000 24,696,805
Salomon Smith Barney Holdings, Inc.
50,000,000 5.54 01/24/2000 49,823,028
30,000,000 5.68 02/07/2000 29,824,867
25,000,000 5.77 02/11/2000 24,835,715
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Commercial Paper and Corporate Obligations (continued)
Transportation Equipment
DaimlerChrysler, N.A. Corp.
$ 60,000,000 5.91% 02/29/2000 $ 59,418,850
50,000,000 6.01 03/15/2000 49,382,306
Ford Motor Credit Co.
25,000,000 5.94 03/02/2000 24,748,375
General Motors Acceptance Corp.
100,000,000 5.84 02/09/2000 99,367,333
- ---------------------------------------------------------------------------------------------
Total Commercial Paper and
Corporate Obligations $3,552,272,622
- ---------------------------------------------------------------------------------------------
Bank and Medium-Term Notes--1.8%
C.S. First Boston Corp.
$ 55,000,000 5.15% 02/17/2000 $ 55,000,000
Greenwood Trust Co.
100,000,000 6.05 01/27/2000 100,000,000
Keybank, N.A.
25,000,000 5.65 06/26/2000 24,991,870
- ---------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 179,991,870
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--0.6%
First National Bank of Maryland
$ 60,000,000 4.99% 01/25/2000 $ 59,998,858
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit $ 59,998,858
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--Eurodollar--0.3%
Halifax PLC
$ 25,000,000 6.28% 01/14/2000 $ 25,004,050
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit--Eurodollar $ 25,004,050
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--Yankeedollar--3.8%
Commerzbank, New York
$ 20,000,000 5.01% 01/10/2000 $ 19,999,715
65,000,000 5.00 02/02/2000 64,998,901
50,000,000 5.05 02/08/2000 49,998,494
30,000,000 5.06 02/09/2000 29,997,038
Deutsche Bank, New York
25,000,000 5.02 01/12/2000 24,999,782
35,000,000 5.25 05/18/2000 34,993,635
Royal Bank of Canada
45,000,000 5.70 07/03/2000 44,989,138
Toronto Dominion Bank, New York
45,000,000 5.18 02/29/2000 44,996,500
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
9
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Certificates of Deposit--Yankeedollar (continued)
UBS AG, Stamford
$ 50,000,000 5.20% 02/29/2000 $ 49,997,666
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit--Yankeedollar $ 364,970,869
- ---------------------------------------------------------------------------------------------
Taxable Municipal Note--0.3%
Illinois Health & Education Facilities Authority for Elmhurst Memorial
Series 1998-B
$ 29,400,000 6.60% 01/06/2000 $ 29,400,000
- ---------------------------------------------------------------------------------------------
Total Taxable Municipal Note $ 29,400,000
- ---------------------------------------------------------------------------------------------
Time Deposits--6.0%
BankOne, N.A.
$ 80,000,000 5.75% 01/04/2000 $ 80,000,000
Chase Manhattan Bank
200,000,000 4.50 01/03/2000 200,000,000
Den Danske Bank
100,000,000 5.00 01/03/2000 100,000,000
Republic National Bank of New York
100,000,000 6.06 01/03/2000 100,000,000
100,000,000 6.19 01/03/2000 100,000,000
- ---------------------------------------------------------------------------------------------
Total Time Deposits $ 580,000,000
- ---------------------------------------------------------------------------------------------
U.S. Government Agency Obligations--1.6%
Federal Home Loan Bank
$ 20,000,000 5.10% 05/17/2000 $ 19,993,517
Federal Home Loan Mortgage Corp.
62,008,000 5.48 02/07/2000 61,658,757
Federal National Mortgage Association
50,000,000 5.00 05/05/2000 49,980,191
22,000,000 5.56 07/24/2000 21,994,647
- ---------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $ 153,627,112
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations#--38.7%
Asset Securitization Corp.
$175,000,000 6.52% 01/10/2000 $ 174,996,200
100,000,000 6.59 01/28/2000 99,996,813
Associates Corp. of North America
100,000,000 6.34 01/20/2000 99,983,985
AT&T Corp.
100,000,000 6.53 01/06/2000 100,000,000
Bayerische Hypo-Vereins
75,000,000 6.38 01/13/2000 74,990,629
50,000,000 6.38 01/18/2000 49,990,878
100,000,000 6.40 01/25/2000 99,984,500
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations (continued)
Bayerische Landesbank, New York
$ 75,000,000 5.75% 01/03/2000 $ 74,978,442
50,000,000 6.36 01/10/2000 49,990,463
100,000,000 6.00 03/15/2000 99,904,645
Chase Manhattan Bank, N.A.
85,000,000 6.39 01/25/2000 84,978,347
Chase Manhattan Corp.
45,000,000 5.71 01/03/2000 44,999,577
Ciesco L.P.
25,000,000 6.45 01/06/2000 25,000,000
Citicorp
50,000,000 6.51 01/03/2000 50,000,000
Comerica Bank Detroit
55,000,000 6.42 01/03/2000 54,998,580
100,000,000 6.41 01/13/2000 99,973,821
50,000,000 6.45 12/20/2000 49,973,886
CP Trust Certificate Series 1996-1
51,000,000 5.06 03/30/2000 51,000,000
Credit Agricole Indosuez, New York
40,000,000 6.45 12/31/2000 39,974,525
DaimlerChrysler, N.A. Corp.
100,000,000 6.36 01/06/2000 99,938,443
Den Danske Bank Corp.
35,000,000 6.41 01/21/2000 34,990,471
50,000,000 6.41 01/25/2000 49,996,986
Eureka Securities PLC
75,000,000 6.55 01/24/2000 74,998,938
First Chicago Corp.
30,000,000 6.15 03/13/2000 30,004,337
First Union National Bank
75,000,000 5.75 01/03/2000 75,000,000
75,000,000 6.45 01/03/2000 75,000,000
80,000,000 6.02 02/16/2000 80,000,000
50,000,000 6.14 02/16/2000 50,000,000
Fleet National Bank
40,000,000 5.04 01/03/2000 39,995,145
50,000,000 5.05 01/03/2000 49,997,031
Ford Motor Credit Co.
100,000,000 6.04 02/18/2000 99,949,086
General Electric Capital Corp.
80,000,000 6.13 01/12/2000 80,000,000
J.P. Morgan & Co., Inc.
40,000,000 6.03 01/03/2000 40,000,317
50,000,000 6.07 03/02/2000 50,000,615
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Money Market Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Variable Rate Obligations (continued)
Keybank, N.A.
$ 31,000,000 5.70% 01/03/2000 $ 30,989,253
50,000,000 6.20 01/31/2000 50,000,689
55,000,000 6.46 12/10/2000 54,971,869
Merrill Lynch & Co., Inc.
115,000,000 6.51 01/03/2000 115,000,000
25,000,000 6.29 01/24/2000 25,001,437
25,000,000 6.43 01/24/2000 24,999,644
25,000,000 6.47 01/28/2000 24,999,815
Morgan Stanley Dean Witter & Co.
150,000,000 6.20 03/30/2000 149,987,844
National Rural Utilities Corp.
135,000,000 6.48 01/03/2000 134,984,213
New York Life Insurance Co.
25,000,000 6.14 03/23/2000 25,000,000
40,000,000 6.14 12/01/2000 40,000,000
Northern Rock PLC
100,000,000 6.45 03/14/2000 100,000,000
PNC Bank, N.A.
100,000,000 6.41 01/12/2000 99,979,165
Societe Generale, New York
100,000,000 6.41 01/03/2000 99,988,281
40,000,000 6.48 12/04/2000 39,979,783
Southtrust Bank of Alabama, N.A.
20,000,000 5.64 01/03/2000 19,992,811
50,000,000 6.39 01/10/2000 49,996,288
60,000,000 6.43 01/24/2000 59,984,918
50,000,000 6.45 12/20/2000 49,973,891
SunAmerica Life Insurance Co.
50,000,000 6.53 01/03/2000 50,000,000
U.S. Bank, N.A.
50,000,000 6.34 03/19/2000 49,988,217
Wells Fargo Co.
100,000,000 6.01 03/10/2000 99,989,817
- ---------------------------------------------------------------------------------------------
Total Variable Rate Obligations $3,751,394,595
- ---------------------------------------------------------------------------------------------
Repurchase Agreements--10.1%
Joint Repurchase Agreement Account
$678,200,000 2.59% 01/03/2000 $ 678,200,000
Joint Repurchase Agreement Account II
300,000,000 3.16 01/03/2000 300,000,000
- ---------------------------------------------------------------------------------------------
Total Repurchase Agreements $ 978,200,000
- ---------------------------------------------------------------------------------------------
Total Investments $9,674,859,976
- ---------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
# Variable rate security-based index is either Federal Funds, LIBOR, or Prime
lending rate.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security or the next
interest reset date for floating rate securities.
The percentage shown for each investment category reflects 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.
11
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Premium Money Market Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Commercial Paper and Corporate Obligations--51.1%
Asset Backed
Centric Capital Corp.
$ 12,450,000 6.17% 01/28/2000 $ 12,392,388
Corporate Receivables Corp.
10,000,000 6.27 01/18/2000 9,970,392
CXC, Inc.
10,000,000 6.27 01/18/2000 9,970,392
Enterprise Funding Corp.
12,000,000 6.15 01/20/2000 11,961,050
Forrestal Funding
7,421,000 6.12 01/25/2000 7,390,722
Grand Funding Corp.
10,821,000 6.25 01/28/2000 10,770,277
Receivables Capital Corp.
12,201,000 6.04 02/02/2000 12,135,494
Rose One Plus
8,962,000 6.00 02/28/2000 8,875,367
Three River Funding Corp.
10,000,000 6.05 02/02/2000 9,946,222
Windmill Funding Corp.
11,000,000 6.12 01/18/2000 10,968,210
Commercial Banks
Abbey National North America
15,000,000 6.04 01/19/2000 14,954,700
Caisse D'Epargne et de Credit
15,000,000 6.05 01/19/2000 14,954,625
J.P. Morgan & Co., Inc.
15,000,000 6.02 01/19/2000 14,954,850
Nordbanken North America, Inc.
15,000,000 6.06 01/19/2000 14,954,550
Mortgage Bank
Halifax PLC
15,000,000 5.98 02/04/2000 14,915,283
Security and Commodity Brokers, Dealers and Services
Bear Stearns Companies, Inc.
10,000,000 6.10 01/20/2000 9,967,805
Morgan Stanley Dean Witter & Co.
15,000,000 6.07 01/19/2000 14,954,475
- ------------------------------------------------------------------------------------------------
Total Commercial Paper and
Corporate Obligations $204,036,802
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bank and Medium-Term Notes--5.0%
CIT Group, Inc.
$ 5,000,000 6.40% 01/28/2000 $ 5,004,648
First National Bank of Maryland
10,000,000 5.09 01/13/2000 9,999,937
Huntington National Bank
5,000,000 4.98 01/11/2000 4,999,974
- ------------------------------------------------------------------------------------------------
Total Bank and Medium-Term Notes $ 20,004,559
- ------------------------------------------------------------------------------------------------
Variable Rate Obligations#--3.8%
Comerica Bank Detroit
$ 5,000,000 6.42% 01/03/2000 $ 4,999,871
Fleet National Bank
10,000,000 5.05 01/03/2000 9,999,406
- ------------------------------------------------------------------------------------------------
Total Variable Rate Obligations $ 14,999,277
- ------------------------------------------------------------------------------------------------
Repurchase Agreements--40.1%
Joint Repurchase Agreement Account
$110,300,000 2.59% 01/03/2000 $110,300,000
Joint Repurchase Agreement Account II
50,000,000 3.16 01/03/2000 50,000,000
- ------------------------------------------------------------------------------------------------
Total Repurchase Agreements $160,300,000
- ------------------------------------------------------------------------------------------------
Total Investments $399,340,638
- ------------------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is either Federal Funds, LIBOR or Prime
lending rate.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security or the next
interest reset date for floating rate securities.
The percentage shown for each investment category reflects 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.
12
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Treasury Obligations Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--29.8%
United States Treasury Bills
$ 100,000,000 5.44% 01/13/2000 $ 99,818,833
450,000,000 5.45 01/13/2000 449,182,753
United States Treasury Notes
254,000,000 6.38 01/15/2000 254,158,699
100,000,000 5.38 01/31/2000 100,050,795
52,000,000 7.75 01/31/2000 52,124,381
43,000,000 5.88 02/15/2000 43,052,056
60,000,000 8.50 02/15/2000 60,275,757
40,000,000 7.13 02/29/2000 40,143,669
25,000,000 5.50 05/31/2000 25,053,691
52,000,000 6.13 07/31/2000 52,204,683
50,000,000 6.25 08/31/2000 50,218,862
20,000,000 4.50 10/02/2000 19,846,619
25,000,000 4.00 10/31/2000 24,659,604
25,000,000 5.75 11/15/2000 25,000,000
- -----------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $1,295,790,402
- -----------------------------------------------------------------------------------------------
Repurchase Agreements--69.9%
ABN/AMRO, Inc.
$ 193,000,000 2.70% 01/03/2000 $ 193,000,000
Barclays Bank
82,000,000 5.33 01/19/2000 82,000,000
85,000,000 5.33 01/25/2000 85,000,000
Bear Stearns Companies, Inc.
138,000,000 2.70 01/03/2000 138,000,000
50,000,000 5.48 01/24/2000 50,000,000
Chase Manhattan Corp.
193,000,000 2.00 01/03/2000 193,000,000
C.S. First Boston Corp.
160,000,000 5.30 01/31/2000 160,000,000
Donaldson, Lufkin & Jenrette, Inc.
100,000,000 5.47 01/31/2000 100,000,000
Goldman, Sachs & Co.
200,000,000 5.32 01/10/2000 200,000,000
J.P. Morgan Securities, Inc.
190,000,000 1.00 01/03/2000 190,000,000
Joint Repurchase Agreement Account
1,091,600,000 2.59 01/03/2000 1,091,600,000
Merrill Lynch & Co., Inc.
90,000,000 2.75 01/03/2000 90,000,000
100,000,000 5.50 01/10/2000 100,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Repurchase Agreements (continued)
Morgan Stanley Dean Witter & Co.
$ 176,000,000 5.20% 01/03/2000 $ 176,000,000
Salomon Smith Barney, Inc.
188,000,000 2.00 01/03/2000 188,000,000
- -----------------------------------------------------------------------------------------------
Total Repurchase Agreements $3,036,600,000
- -----------------------------------------------------------------------------------------------
Total Investments $4,332,390,402
- -----------------------------------------------------------------------------------------------
</TABLE>
At December 31, 1999, these agreements were fully collateralized by U.S.
Treasury obligations.
The percentage shown for each investment category reflects 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 Treasury Instruments Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations--99.0%
United States Treasury Bills
$ 9,600,000 4.50% 01/13/2000 $ 9,585,600
14,800,000 4.88 01/13/2000 14,775,925
23,300,000 4.99 01/13/2000 23,261,283
30,200,000 5.16 01/13/2000 30,148,106
16,100,000 5.21 01/13/2000 16,072,067
4,500,000 4.98 01/20/2000 4,488,173
31,600,000 5.14 01/20/2000 31,514,276
50,000,000 4.89 02/17/2000 49,680,792
40,000,000 5.15 03/30/2000 39,491,216
United States Treasury Notes
60,000,000 5.38 01/31/2000 59,996,598
25,000,000 5.50 02/29/2000 25,003,201
178,500,000 7.13 02/29/2000 178,991,377
50,000,000 6.88 03/31/2000 50,171,155
- ------------------------------------------------------------------------------------------------
Total U.S. Treasury Obligations $533,179,769
- ------------------------------------------------------------------------------------------------
Total Investments $533,179,769
- ------------------------------------------------------------------------------------------------
</TABLE>
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
The percentage shown for each investment category reflects 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.
14
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Government Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--65.9%
Federal Farm Credit Bank
$ 50,000,000 6.28%# 01/10/2000 $ 49,995,381
70,000,000 6.30# 01/11/2000 69,998,459
48,000,000 4.76 01/18/2000 47,996,071
Federal Home Loan Bank
175,000,000 6.31# 01/01/2000 174,997,087
70,000,000 4.93# 01/03/2000 69,990,055
30,000,000 5.62# 01/03/2000 29,992,567
150,000,000 5.96# 01/11/2000 149,996,802
30,000,000 4.90 01/14/2000 29,999,833
50,000,000 4.80 01/26/2000 49,996,473
7,000,000 4.70 01/28/2000 6,975,325
50,000,000 5.30 01/28/2000 49,801,250
38,000,000 4.79 02/04/2000 37,996,018
75,000,000 5.84# 02/14/2000 74,977,008
150,000,000 5.54 02/16/2000 148,938,167
17,000,000 5.04 02/25/2000 16,998,386
50,000,000 5.63 03/01/2000 49,530,833
25,000,000 5.02 05/12/2000 24,984,176
32,000,000 5.52 08/02/2000 31,980,255
Federal Home Loan Mortgage Corp.
100,000,000 6.27# 01/18/2000 99,969,836
50,000,000 6.26# 01/20/2000 49,991,389
50,000,000 6.29# 01/22/2000 49,990,672
50,000,000 5.48 02/07/2000 49,718,389
25,000,000 5.54 02/25/2000 24,788,403
100,000,000 5.82+ 01/10/2001 99,905,000
Federal National Mortgage Association
85,000,000 5.54# 01/03/2000 84,983,292
125,000,000 6.28# 01/15/2000 124,985,594
50,000,000 6.30# 01/22/2000 49,965,295
35,790,000 5.51 01/28/2000 35,642,098
41,015,000 5.51 02/03/2000 40,807,840
80,000,000 5.98# 02/04/2000 79,970,126
50,000,000 5.52 02/08/2000 49,708,667
22,141,000 5.50 02/09/2000 22,009,077
25,000,000 5.86# 02/10/2000 24,994,672
50,000,000 5.82# 02/13/2000 49,952,925
20,500,000 5.00 05/05/2000 20,491,878
40,000,000 5.05 05/12/2000 39,983,987
31,160,000 5.56 07/24/2000 31,153,709
21,690,000 5.93# 09/06/2000 21,679,654
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations (continued)
Student Loan Marketing Association
$ 40,000,000 4.91%# 01/03/2000 $ 39,995,412
30,000,000 6.05# 01/04/2000 29,984,392
- ---------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $2,235,816,453
- ---------------------------------------------------------------------------------------------
Repurchase Agreements/\--36.9%
ABN/AMRO, Inc.
$100,000,000 5.70% 01/10/2000 $ 100,000,000
Chase Manhattan Corp.
150,000,000 5.20 01/10/2000 150,000,000
Joint Repurchase Agreement Account
604,200,000 2.59 01/03/2000 604,200,000
Joint Repurchase Agreement Account II
400,000,000 3.16 01/03/2000 400,000,000
- ---------------------------------------------------------------------------------------------
Total Repurchase Agreements $1,254,200,000
- ---------------------------------------------------------------------------------------------
Total Investments $3,490,016,453
- ---------------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is either Federal Funds, LIBOR, U.S.
Treasury Bill, or Prime lending rate.
+ Forward commitment.
/\ At December 31, 1999, these agreements were fully collateralized by U.S.
Treasury and Federal Agency obligations.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security or the next
interest reset date for floating rate securities.
The percentage shown for each investment category reflects 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.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Federal Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Amortized Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--99.7%
Federal Farm Credit Bank
$ 40,000,000 4.90%# 01/03/2000 $ 39,995,540
75,000,000 6.28# 01/10/2000 74,993,072
58,000,000 4.76 01/18/2000 57,997,435
25,000,000 5.57 01/18/2000 24,934,243
26,000,000 5.57 01/19/2000 25,927,590
12,400,000 5.70 01/20/2000 12,362,697
50,000,000 6.30# 01/20/2000 49,980,386
25,000,000 6.55# 01/23/2000 24,997,255
20,000,000 5.47 01/24/2000 19,930,106
15,000,000 5.56 01/27/2000 14,939,767
14,664,000 5.59 01/27/2000 14,604,798
12,100,000 5.70 01/28/2000 12,048,272
20,000,000 5.72 01/28/2000 19,914,200
527,300,000 5.50 02/01/2000 527,300,000
35,000,000 5.81# 02/01/2000 34,995,666
54,000,000 6.29# 02/01/2000 53,994,054
100,000,000 6.30# 02/01/2000 99,965,553
75,000,000 6.31# 02/01/2000 74,972,226
25,000,000 5.56 02/02/2000 24,876,444
17,000,000 5.62 02/04/2000 16,909,768
24,750,000 5.54 02/09/2000 24,601,459
15,000,000 5.54 02/10/2000 14,907,667
11,000,000 5.70 02/10/2000 10,930,333
43,639,000 5.69 02/15/2000 43,328,618
30,000,000 5.48 02/29/2000 29,730,567
10,800,000 5.61 02/29/2000 10,700,703
25,000,000 5.57 03/02/2000 24,764,049
40,000,000 5.59 03/03/2000 39,614,911
20,000,000 5.72 03/15/2000 19,764,844
19,000,000 5.77 03/22/2000 18,753,332
4,700,000 5.76 03/27/2000 4,635,328
Federal Home Loan Bank
50,000,000 4.93# 01/03/2000 49,992,896
85,000,000 5.62# 01/03/2000 84,980,028
150,000,000 5.92# 01/04/2000 149,921,929
125,000,000 5.92# 01/05/2000 124,987,080
125,000,000 5.96# 01/11/2000 124,997,637
79,000,000 6.31# 01/12/2000 78,980,840
25,000,000 4.90 01/14/2000 24,999,861
75,000,000 6.26# 01/15/2000 74,927,759
17,000,000 5.63 01/20/2000 16,949,486
75,000,000 5.53 01/21/2000 74,769,583
92,000,000 6.32# 01/21/2000 91,980,397
65,000,000 4.80 01/26/2000 64,995,414
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
$ 46,000,000 4.95% 01/26/2000 $ 45,841,875
7,490,000 5.43 01/26/2000 7,461,757
23,000,000 5.30 01/28/2000 22,908,575
41,326,000 5.43 01/28/2000 41,157,700
5,000,000 5.57 01/28/2000 4,979,113
27,100,000 5.58 01/28/2000 26,986,586
40,000,000 5.50 02/02/2000 39,804,445
104,051,000 5.52 02/02/2000 103,540,456
150,000,000 5.53 02/02/2000 149,262,667
21,225,000 5.52 02/03/2000 21,117,602
75,000,000 4.79 02/04/2000 74,992,141
185,000,000 5.48 02/04/2000 184,042,522
110,000,000 5.48 02/09/2000 109,346,967
3,700,000 5.68 02/11/2000 3,676,065
27,000,000 5.47 02/16/2000 26,811,285
35,000,000 4.95 02/17/2000 34,997,589
30,640,000 5.59 02/18/2000 30,411,630
51,761,000 5.60 02/18/2000 51,374,518
24,500,000 5.48 02/23/2000 24,302,339
160,880,000 5.60 02/23/2000 159,553,634
79,910,000 5.50 02/25/2000 79,238,534
125,000,000 5.56 02/25/2000 123,938,194
150,000,000 5.53 03/01/2000 148,617,500
34,250,000 5.63 03/01/2000 33,928,621
50,000,000 5.53 03/03/2000 49,523,805
13,200,000 5.61 03/03/2000 13,072,466
60,000,000 5.62 03/03/2000 59,419,267
40,000,000 5.64 03/03/2000 39,611,467
25,000,000 5.15 03/08/2000 24,998,238
20,000,000 5.53 03/08/2000 19,794,161
38,000,000 5.54 03/08/2000 37,608,199
22,000,000 5.60 03/08/2000 21,770,711
12,200,000 5.82 03/08/2000 12,067,854
30,508,000 5.68 03/10/2000 30,175,870
75,000,000 5.69 03/10/2000 74,182,062
21,200,000 5.58 04/07/2000 20,881,258
45,000,000 5.10 05/17/2000 44,988,651
25,000,000 5.26 05/26/2000 24,998,075
25,000,000 5.56 07/14/2000 24,998,002
20,000,000 5.50 07/19/2000 19,993,224
20,000,000 5.52 08/02/2000 19,987,659
50,000,000 6.05 11/03/2000 49,979,030
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
16
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Federal Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations (continued)
Student Loan Marketing Association
$ 60,000,000 4.91%# 01/03/2000 $ 59,993,118
50,000,000 6.06# 01/03/2000 50,013,177
111,200,000 6.05# 01/04/2000 111,161,849
65,000,000 6.11# 01/04/2000 64,999,127
Tennessee Valley Authority
100,000,000 5.55 01/18/2000 99,737,917
125,000,000 5.52 01/19/2000 124,655,000
65,000,000 5.67 01/24/2000 64,764,537
12,800,000 5.51 01/27/2000 12,749,063
40,500,000 5.46 01/28/2000 40,334,152
184,600,000 5.51 02/01/2000 183,724,124
50,000,000 5.53 02/03/2000 49,746,542
40,000,000 5.46 02/11/2000 39,751,267
11,100,000 5.57 02/18/2000 11,017,564
49,750,000 5.53 02/22/2000 49,352,608
21,018,000 5.53 02/24/2000 20,843,656
30,000,000 5.63 02/28/2000 29,727,883
63,000,000 5.57 02/29/2000 62,425,414
- ---------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations $5,641,193,105
- ---------------------------------------------------------------------------------------------
Total Investments $5,641,193,105
- ---------------------------------------------------------------------------------------------
</TABLE>
# Variable rate security-based index is either U.S. Treasury Bill, Federal
Funds, LIBOR or Prime lending rate.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security or the next
interest reset date for floating rate securities.
The percentage shown for each investment category reflects 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.
17
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Alabama--3.3%
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Series 1995 A (A-
1/VMIG1)
$ 5,500,000 4.80% 01/03/2000 $ 5,500,000
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Series 1996 A (A-
1/VMIG1)
19,000,000 4.80 01/03/2000 19,000,000
Columbia IDB VRDN PCRB Refunding for Alabama Power Co. Series 1999 A (A-
1/VMIG1)
8,600,000 4.80 01/03/2000 8,600,000
Columbia IDRB VRDN PCRB Refunding for Alabama Power Co. Series 1995 B (A-
1/VMIG1)
5,900,000 4.80 01/03/2000 5,900,000
Eutaw City IDB VRDN PCRB Refunding for Alabama Power Co. Series 1998 (A-
1/VMIG1)
7,700,000 4.80 01/03/2000 7,700,000
Jefferson County MF Hsg. VRDN RB for Hickory Knolls Project Series 1994
(Amsouth Bank LOC) (P-1)
3,625,000 5.50 01/06/2000 3,625,000
Mobile City IDRB VRDN PCRB for Alabama Power Co. Series 1993 A (A-1/VMIG1)
5,100,000 4.85 01/06/2000 5,100,000
Montgomery City Special Care Facilities VRDN RB for Baptist Medical Centre
Series 1994 A (VMIG1)
11,765,000 5.50 01/06/2000 11,765,000
- -------------------------------------------------------------------------------------------------
$ 67,190,000
- -------------------------------------------------------------------------------------------------
Alaska--2.2%
Valdez Marine Terminal VRDN RB Refunding for Arco Transportation Alaska,
Inc. Series 1994 B (A-1/VMIG1)
$43,350,000 5.65% 01/05/2000 $ 43,350,000
- -------------------------------------------------------------------------------------------------
Arizona--0.2%
Mesa IDA VRDN RB for Discovery Health Systems Series 1999 B (MBIA) (A-
1+/VMIGI)
$ 3,500,000 5.60% 01/05/2000 $ 3,500,000
- -------------------------------------------------------------------------------------------------
California--3.3%
California School Cash Reserve Program Authority Pool Bonds Series 1999 A
(AMBAC) (SP-1+/MIG1)
$10,000,000 4.00% 07/03/2000 $ 10,023,673
California Statewide Communities Development Authority TRANS Series 1999 C-1
(FSA) (SP-1+/MIG1)
20,000,000 4.00 06/30/2000 20,054,572
California Statewide Communities Development Authority TRANS Series 1999 C-2
(FSA) (SP-1+/MIG1)
16,000,000 4.00 09/29/2000 16,015,343
Los Angeles County TRANS Series 1999-2000 (SP-1+/MIG1)
5,000,000 4.00 06/30/2000 5,016,265
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
California (continued)
Los Angeles County Schools for Pooled Transportation Series 1999-2000 A COPS
(FSA) (SP-1+)
$10,000,000 4.00% 06/30/2000 $ 10,022,153
Los Angeles County Schools TRANS Series 1999 B (FSA) (SP-1+)
5,000,000 4.00 09/29/2000 5,004,057
- -------------------------------------------------------------------------------------------------
$ 66,136,063
- -------------------------------------------------------------------------------------------------
Colorado--1.9%
Jefferson County School District TANS for School District No. R-001 Series
1999 (SP-1+/MIG1)
$32,500,000 4.50% 06/30/2000 $ 32,603,209
Platte River Power Authority Electric RB Series 1993 S-1 (Morgan Guaranty
Trust SPA) (A-1/VMIG1)
5,000,000 3.70 04/10/2000 5,000,000
- -------------------------------------------------------------------------------------------------
$ 37,603,209
- -------------------------------------------------------------------------------------------------
Florida--2.7%
Broward County MF Hsg. VRDN RB for Sanctuary Apartments Project Series 1985
(VMIG1)
$10,000,000 4.70% 01/06/2000 $ 10,000,000
Florida Local Government Financing Commission Pooled CP Notes Series A
(First Union National Bank) (A-1/P-1)
22,000,000 3.80 05/04/2000 22,000,000
Orange County Educational Facilities Authority VRDN RB for Rollins College
Project Series 1999 (Bank of America N.A. LOC) (VMIG1)
10,900,000 5.55 01/05/2000 10,900,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-1 (NRU LOC) (A-1+/P-1)
3,500,000 5.55 01/05/2000 3,500,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
H-2 (NRU LOC) (A-1+/P-1)
6,380,000 5.55 01/05/2000 6,380,000
Putnam County IDA Floating/Fixed Rate PCRB for Seminole Electric Series 1984
S (NRU LOC) (A-1+/P-1)
2,555,000 5.55 01/05/2000 2,555,000
- -------------------------------------------------------------------------------------------------
$ 55,335,000
- -------------------------------------------------------------------------------------------------
Georgia--9.1%
Bartow County IDA VRDN PCRB for Georgia Power Co. First Series 1997 (A-
1/VMIG1)
$31,800,000 4.80% 01/03/2000 $ 31,800,000
Burke County IDA PCRB for Georgia Power Co. Ninth Series 1994 (A-1/VMIG1)
5,600,000 5.05 01/03/2000 5,600,000
Burke County IDA PCRB for Georgia Power Co. Third Series 1995 (A-1/VMIG1)
25,000,000 3.70 05/01/2000 25,000,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
18
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Georgia (continued)
Burke County IDA PCRB for Oglethorpe Power Corp. Series 1994 A (FGIC) (A-
1+/VMIG1)
$50,125,000 5.65% 01/05/2000 $ 50,125,000
Dekalb County Hospital Authority Anticipation Certificates for Dekalb
Medical Center, Inc. Series 1993 B (Suntrust Bank LOC) (VMIG1)
1,880,000 5.55 01/05/2000 1,880,000
Dekalb Private Hospital Authority VRDN RB Anticipation Certificates for
Childrens Health Care System Project Series 1998 B (Suntrust Bank LOC)
(VMIG1)
11,000,000 5.20 01/05/2000 11,000,000
Fulco Hospital Authority VRDN Revenue Anticipation Certificates for Peidmont
Hospital Project Series 1999 (Suntrust Bank LOC) (A-1+/VMIG1)
12,000,000 5.50 01/05/2000 12,000,000
Municipal Electric Authority of Georgia VRDN RB General Series 1985 C
(Bayerische Landesbank Girozentrale) (A-1+/VMIG1)
3,200,000 5.80 01/05/2000 3,200,000
Municipal Electric Authority of Georgia VRDN RB Project One Series 1994 B
(ABN/AMRO Bank LOC) (A-1+/VMIG1)
9,700,000 5.50 01/05/2000 9,700,000
Municipal Electric Authority of Georgia VRDN RB Project One Series 1994 D
(ABN/AMRO Bank LOC) (A-1+/VMIG1)
3,000,000 5.65 01/05/2000 3,000,000
Municipal Electric Authority of Georgia VRDN RB Series 1985 B (A-1+/VMIG1)
29,000,000 5.50 01/05/2000 29,000,000
- -------------------------------------------------------------------------------------------------
$ 182,305,000
- -------------------------------------------------------------------------------------------------
Idaho--1.7%
State of Idaho TANS Series 1999 (SP-1+/MIG1)
$33,250,000 4.25% 06/30/2000 $ 33,308,846
- -------------------------------------------------------------------------------------------------
Illinois--12.5%
Chicago City RB for Chicago Midway Airport Series 1997 Societe Generale
Trustor Floating Rate Receipts (A-1+)
$ 7,540,000 5.56% 01/06/2000 $ 7,540,000
Chicago Park District Tax Anticipation Warrants Series 1999 (SP-1+/MIG1)
5,500,000 4.38 09/15/2000 5,528,123
City of Chicago Water RB Series 2000 (Bank One, N.A. LOC) (A-1/VMIG1)
7,300,000 5.40 01/05/2000 7,300,000
Cook County GO VRDN Series 1996 (A-1+/VMIG1)
26,100,000 5.80 01/05/2000 26,100,000
Illinois Development Finance Authority VRDN RB for Olin Corp. Project Series
1993 D (Wachovia Bank LOC) (A-1+)
5,000,000 5.05 01/03/2000 5,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Illinois (continued)
Illinois Health Facilities Authority VRDN RB for Evanston Northwestern Corp.
Series 1998 (A-1+/VMIG1)
$15,000,000 3.25% 05/31/2000 $ 15,000,000
Illinois Health Facilities Authority VRDN RB for Northwest Community
Hospital Series 1995 (A-1+/VMIG1)
40,000,000 5.50 01/06/2000 40,000,000
Illinois Health Facilities Authority VRDN for Central Dupage Healthcorp
Project Series 1990 (VMIG1)
1,035,000 4.75 01/03/2000 1,035,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Health
Series 1998 A (VMIG1)
23,685,000 4.80 01/03/2000 23,685,000
Illinois Health Facilities Authority VRDN for Elmhurst Memorial Hospital
Series 1993 B (VMIG1)
26,500,000 4.80 01/03/2000 26,500,000
Illinois Health Facilities Authority VRDN for Northwest Community Hospital
Series 1997 (A-1+/VMIG1)
9,300,000 5.50 01/06/2000 9,300,000
Illinois Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 C (Bank One, N.A. LOC) (A-1+/VMIG1)
25,225,000 5.30 01/05/2000 25,225,000
Illinois Health Facilities Authority VRDN for The Revolving Fund Pooled
Finance Program Series 1985 D (Bank One, N.A. LOC) (A-1+/VMIG1)
7,800,000 5.30 01/05/2000 7,800,000
Illinois Ohare International Airport RB Series 1983 B (Royal Bank of Canada
LOC) (P-1)
5,000,000 4.80 01/03/2000 5,000,000
Illinois State GO Eagle Tax-Exempt Trust Series 96C 1305 Class A COPS (FGIC)
(A-1)
14,850,000 5.56 01/06/2000 14,850,000
Illinois State Toll Highway Authority VRDN RB Series 1998 B (Landesbank SPA)
(FSA) (AAA)
18,000,000 5.45 01/06/2000 18,000,000
Illinois State Toll Highway Priority Series 1993 B (Societe Generale LOC)
(MBIA) (A-1+/VMIG1)>
10,000,000 5.15 01/05/2000 10,000,000
Village of Sauget VRDN PCRB for Monsanto Co. Project Series 1992 (P-1)
1,000,000 5.65 01/05/2000 1,000,000
Village of Sauget VRDN PCRB for Monsanto Co. Project Series 1993 (P-1)
1,900,000 5.65 01/05/2000 1,900,000
- -------------------------------------------------------------------------------------------------
$ 250,763,123
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
19
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Indiana--1.2%
Fort Wayne City Hospital Authority VRDN RB for Parkview Memorial Hospital
Series 1985 B (Bank of America LOC) (VMIG1)
$ 1,600,000 5.55% 01/05/2000 $ 1,600,000
Fort Wayne City Hospital Authority VRDN RB for Parkview Memorial Hospital
Series 1989 B (Bank of America LOC) (VMIG1)
15,700,000 5.40 01/06/2000 15,700,000
Warrick County VRDN PCRB for ALCOA Project Series 1992 (A-1)
7,475,000 5.60 01/06/2000 7,475,000
- -------------------------------------------------------------------------------------------------
$ 24,775,000
- -------------------------------------------------------------------------------------------------
Iowa--0.7%
Chillicothe City VRDN PCRB for Midamerican Energy Co./Midwest Power Systems
Series 1993 A (A-1/VMIG1)
$ 2,400,000 5.45% 01/05/2000 $ 2,400,000
Salix City VRDN PCRB for Midwest Power Systems, Inc. Project Series 1993 (A-
1/VMIG1)
10,900,000 5.45 01/05/2000 10,900,000
- -------------------------------------------------------------------------------------------------
$ 13,300,000
- -------------------------------------------------------------------------------------------------
Kentucky--2.6%
Kentucky Asset/Liability Commission TRANS Series 1999 A (SP-1+/MIG1)
$25,000,000 4.25% 06/28/2000 $ 25,103,430
Kentucky Economic Development Financing Authority Hospital Facilities VRDN
RB for The Health Alliance of Greater Cincinnati Series 1997 D (MBIA) (A-
1+/VMIG1)
16,108,000 5.35 01/05/2000 16,108,000
Trimble County VRDN PCRB for Louisville Gas and Electric Co. Series 1996 A
(A-1/VMIG1)
4,000,000 3.75 04/06/2000 4,000,000
6,500,000 3.80 05/04/2000 6,500,000
- -------------------------------------------------------------------------------------------------
$ 51,711,430
- -------------------------------------------------------------------------------------------------
Louisiana--1.3%
New Orleans Aviation Board RB Refunding Series 1993 B (MBIA) (A-1+/VMIG1)
$12,500,000 5.40% 01/05/2000 $ 12,500,000
Saint James Parish Louisiana VRDN PCRB Refunding for Occidental Petroleum
Series 1996 (Wachovia Bank of Georgia LOC) (P-1)
14,000,000 5.55 01/05/2000 14,000,000
- -------------------------------------------------------------------------------------------------
$ 26,500,000
- -------------------------------------------------------------------------------------------------
Maine--0.3%
Maine State GO Series 2000 (AA+/Aa2)
$ 5,855,000 4.50% 06/15/2000 $ 5,874,279
- -------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Maryland--0.5%
Washington Suburban Sanitary District GO VRDN BANS Series 1998 (A-1+/VMIG1)
$10,300,000 5.35% 01/05/2000 $ 10,300,000
- -------------------------------------------------------------------------------------------------
Massachusetts--6.1%
Commonwealth of Massachusetts GO VRDN Refunding Bonds Series 1998 A (A-
1+/VMIG1)
$31,000,000 5.50% 01/06/2000 $ 31,000,000
Massachusetts VRDN Series 1998 B (A-1+/VMIG1)
31,950,000 5.50 01/06/2000 31,950,000
Massachusetts Health & Education Facility Authority for Harvard University
Series A Eagle Tax-Exempt Trust Series 972104 Class A COPS (A-1+(c))
10,000,000 5.56 01/06/2000 10,000,000
Massachusetts Health & Education Facility Authority VRDN RB Options for
Harvard University Series I (A-1+/VMIG1)
23,700,000 5.40 01/06/2000 23,700,000
19,975,000 5.40 01/06/2000 19,975,000
Massachusetts Water Resources Authority RB Refunding for Multi-Modal General
Series 1998 D (FGIC) (A-1+/VMIG1)
5,400,000 5.50 01/05/2000 5,400,000
- -------------------------------------------------------------------------------------------------
$ 122,025,000
- -------------------------------------------------------------------------------------------------
Michigan--0.6%
Michigan State Trunk Line Fund Series 1998 A-Eagle Tax-Exempt Trust Series
982202 Class A Certificates (A-1+)
$12,165,000 5.56% 01/06/2000 $ 12,165,000
- -------------------------------------------------------------------------------------------------
Minnesota--1.6%
Becker VRDN PCRB for Northern State Power Co. Series 1992 A (A-1+/VMIG1)
$ 5,000,000 3.75% 04/11/2000 $ 5,000,000
Becker VRDN PCRB for Northern State Power Co. Series 1993 A (A-1+/VMIG1)
5,000,000 3.80 04/13/2000 5,000,000
Port Authority of St. Paul VRDN for Weyerhaeuser Co. Project Series 1993 (A-
1)
4,000,000 5.40 01/06/2000 4,000,000
University of Minnesota VRDN Series 1999 A (A-1+/MIG1)
17,500,000 5.50 01/05/2000 17,500,000
- -------------------------------------------------------------------------------------------------
$ 31,500,000
- -------------------------------------------------------------------------------------------------
Missouri--0.1%
Missouri Environmental Improvement & Energy VRDN PCRB Refunding for Monsanto
Co. Series 1993 (P-1)
$ 1,500,000 5.50% 01/05/2000 $ 1,500,000
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
20
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Nevada--2.3%
Clark County VRDN RB for Nevada Airport Improvement Series 1993 A (MBIA) (A-
1+/VMIG1)
$45,860,000 5.20% 01/05/2000 $ 45,860,000
- -------------------------------------------------------------------------------------------------
New Mexico--1.9%
New Mexico Highway Commission VRDN RB Series 1996 (FSA) (A-1+/VMIG1)
$15,000,000 5.35% 01/05/2000 $ 15,000,000
New Mexico TRANS 1999-2000 Series 1999 (SP-1+/MIG1)
22,500,000 4.00 06/30/2000 22,556,958
- -------------------------------------------------------------------------------------------------
$ 37,556,958
- -------------------------------------------------------------------------------------------------
New York--6.8%
Long Island Power Authority Electric System VRDN RB Series 1 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
$54,300,000 5.75% 01/05/2000 $ 54,300,000
Long Island Power Authority Electric System VRDN RB Series 2 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
8,100,000 5.50 01/05/2000 8,100,000
Long Island Power Authority Electric System VRDN RB Series 3 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
12,000,000 3.70 03/06/2000 12,000,000
Long Island Power Authority Electric System VRDN RB Series 4 (Bayerische
Landesbank Girozentrale/Westdeutsche Landesbank Girozentrale) (A-1+/VMIG1)
14,000,000 3.75 04/11/2000 14,000,000
4,200,000 3.80 04/12/2000 4,200,000
4,700,000 3.80 04/13/2000 4,700,000
New York City GO Series 1994 A-10 (Morgan Guaranty Trust Company of New York
LOC) (A-1+/VMIG1)
1,800,000 4.50 01/03/2000 1,800,000
New York City GO VRDN Adjustable Series 1994 E-3 (Morgan Guaranty Trust
Company of New York LOC) (A-1+/VMIG1)
4,100,000 4.75 01/03/2000 4,100,000
New York City GO VRDN Series 1993 B (FGIC) (A-1+/VMIG1)
700,000 4.50 01/03/2000 700,000
New York City GO VRDN Series 1994 C (Morgan Guaranty Trust Company of New
York LOC) (A-1+/VMIG1)
2,960,000 4.50 01/03/2000 2,960,000
New York City GO VRDN Series 1994 E-5 (Morgan Guaranty Trust Company of New
York LOC) (A-1+/VMIG1)
3,000,000 4.75 01/03/2000 3,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
New York (continued)
New York City Transitional Finance Authority Future Tax Secured Bonds Series
1999 A-1 (A-1+/VMIG1)
$ 700,000 5.50% 01/05/2000 $ 700,000
New York City Trust for Resources for American Museum of National History
Series 1999 B (AMBAC) (Aaa)
10,000,000 3.70 07/01/2000 10,000,000
New York State Energy Research & Development Authority PCRB CP for New York
State Electric & Gas Corp. Series 1994 B (Mellon Bank LOC) (A-1+/VMIG1)
4,800,000 5.05 01/03/2000 4,800,000
New York State Environmental Facilities Corp. RB Eagle Tax-Exempt Trust
Series 1996 C3204 COPS (A-1+(c))
10,400,000 5.53 01/06/2000 10,400,000
- -------------------------------------------------------------------------------------------------
$ 135,760,000
- -------------------------------------------------------------------------------------------------
North Carolina--2.4%
Charlotte Airport VRDN RB Refunding Series 1993 A (MBIA) (A-1+/VMIG1)
$ 5,415,000 5.15% 01/05/2000 $ 5,415,000
City of Greensboro COPS VRDN for Municipal Property Acquisition Project
Series 1998 (A-1+/VMIG1)
10,000,000 5.50 01/06/2000 10,000,000
North Carolina Health Care Facilities VRDN RB Series 1999 (Wachovia Bank
N.A. LOC) (A-1+/Aa)
24,565,000 5.45 01/06/2000 24,565,000
Rockingham County Adjustable VRDN PCRB Refunding for Philip Morris, Inc.
Series 1992 (A-1/P-1)
7,700,000 5.65 01/05/2000 7,700,000
Wake County Industrial Facilities VRDN PCRB Refunding Series 1990 B (Bank of
New York LOC) (A-1+/VMIG1)
500,000 4.50 01/03/2000 500,000
- -------------------------------------------------------------------------------------------------
$ 48,180,000
- -------------------------------------------------------------------------------------------------
Ohio--2.1%
Columbus Electric System VRDN RB Series 1984 (Union Bank of Switzerland LOC)
(VMIG1)
$10,400,000 3.65% 01/03/2000 $ 10,400,000
Cuyahoga County Hospital VRDN RB for University Hospitals Health Systems,
Inc. Series 1999 C (AMBAC) (A-1+/VMIG1)
6,400,000 5.65 01/06/2000 6,400,000
Hamilton County Hospital Facilities RB for The Drake Center, Inc. Series
1999 A (FIRSTAR Bank N.A. LOC) (VMIG1)
5,000,000 5.50 01/06/2000 5,000,000
Hamilton County Hospital Facilities RB for The Health Alliance of Greater
Cincinnati Series 1997 B (A-1+/VMIG1)
20,100,000 5.35 01/05/2000 20,100,000
- -------------------------------------------------------------------------------------------------
$ 41,900,000
- -------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
21
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Oklahoma--0.2%
Southeastern IDA Solid Waste Disposal RB for Weyerhaeuser Co. Series 1993 PJ
(A-1)
$ 3,300,000 5.40% 01/06/2000 $ 3,300,000
- -------------------------------------------------------------------------------------------------
Oregon--1.9%
Oregon State GO VRDN Series 73-G (A-1+/VMIG1)
$13,300,000 5.80% 01/05/2000 $ 13,300,000
Oregon State GO VRDN Series 73-H (A-1+/VMIG1)
24,500,000 5.80 01/05/2000 24,500,000
- -------------------------------------------------------------------------------------------------
$ 37,800,000
- -------------------------------------------------------------------------------------------------
Pennsylvania--2.0%
Commonwealth of Pennsylvania GO Bonds First Series 1994 Eagle Tax-Exempt
Trust 943804 Class A COPS (AMBAC) (A-1(c))
$15,030,000 5.56% 01/06/2000 $ 15,030,000
Lancaster County Hospital Authority VRDN RB for Health Center Masonic Homes
Series 1999 (AMBAC) (A-1/VMIG1)
3,500,000 5.35 01/05/2000 3,500,000
Philadelphia GO TRANS Series A 1999-2000 (SP-1+/MIG1)
22,700,000 4.25 06/30/2000 22,760,031
- -------------------------------------------------------------------------------------------------
$ 41,290,031
- -------------------------------------------------------------------------------------------------
South Carolina--0.4%
York County PCRB for North Carolina Electric Project Series 1984 N-2 (NRU)
(AA-/Aa2)
$ 8,125,000 5.55% 01/05/2000 $ 8,125,000
- -------------------------------------------------------------------------------------------------
Tennessee--1.5%
Blount County IDB VRDN PCRB Refunding for ALCOA Series 1992 (A-1)
$ 2,450,000 5.60% 01/06/2000 $ 2,450,000
Bradley County IDB VRDN RB Refunding for Olin Corp. (Wachovia Bank LOC) (A-
1+)
6,000,000 5.05 01/03/2000 6,000,000
Sevier County Public Building Authority RB for Local Government Improvement
Series 1999 F (AMBAC) (VMIG1)
21,500,000 5.50 01/06/2000 21,500,000
- -------------------------------------------------------------------------------------------------
$ 29,950,000
- -------------------------------------------------------------------------------------------------
Texas--13.0%
City of San Antonio Electric & Gas System Series 1997 SG 105 (A-1+(c))
$20,200,000 5.56% 01/06/2000 $ 20,200,000
Coastal Bend Health Facilities Development Corp. Incarnate Word Health
System RB Series 1998 B (AMBAC) (F-1+/VMIG1)
10,100,000 5.60 01/05/2000 10,100,000
Gulf Coast Waste Disposal Authority PCRB Variable Refunding for Monsanto Co.
Series 1996 (P-1)
5,300,000 5.65 01/05/2000 5,300,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Texas (continued)
Harris County GO VRDN RB Toll Road Series 1994 B (A-1+/VMIG1)
$29,100,000 5.00% 01/05/2000 $ 29,100,000
Harris County GO VRDN RB Toll Road Series 1994 C (A-1+/VMIG1)
8,000,000 5.00 01/05/2000 8,000,000
Harris County GO VRDN RB Toll Road Series 1994 E (A-1+/VMIG1)
17,900,000 5.00 01/05/2000 17,900,000
Harris County GO VRDN RB Toll Road Series 1994 F (A-1+/VMIG1)
30,800,000 5.00 01/05/2000 30,800,000
Harris County Health Facilities Development Corp. RB for Memorial Hospital
System Series 1997 B (MBIA) (A-1+/VMIG1)
8,400,000 3.70 03/01/2000 8,400,000
Harris County Health Facilities Development Corp. RB for Methodist Hospital
Series 1994 (Morgan Guaranty Trust SPA) (A-1+)
9,800,000 4.80 01/03/2000 9,800,000
Harris County Health Facilities Development Corp. RB for St. Luke's
Episcopal Hospital Series 1997 A (A-1+)
2,880,000 4.80 01/03/2000 2,880,000
Harris County Health Facilities Development Corp. RB for St. Luke's
Episcopal Hospital Series 1997 B (A-1+)
11,290,000 4.80 01/03/2000 11,290,000
Houston Texas Series B (A-1+/P-1)
8,400,000 3.70 04/06/2000 8,400,000
San Antonio Electric & Gas System CP Notes Series A (A-1+/P-1)
10,200,000 3.80 04/13/2000 10,200,000
State of Texas TRANS Series 1999 A (SP-1+/MIG1)
69,700,000 4.50 08/31/2000 70,023,432
Texas Public Finance Authority Series 1993 A (A-1+)
9,250,000 3.45 02/08/2000 9,250,000
10,000,000 3.80 04/10/2000 10,000,000
- -------------------------------------------------------------------------------------------------
$ 261,643,432
- -------------------------------------------------------------------------------------------------
Utah--6.4%
Central Water Conservancy District GO VRDN Refunding for Tender Option
Series 1998 E (AMBAC) (A-1+/VMIG1)
$ 5,400,000 5.50% 01/05/2000 $ 5,400,000
Central Water Conservancy District GO VRDN Tender Option Bonds Series 1998 F
(AMBAC) (A-1+/VMIG1)
15,510,000 5.50 01/05/2000 15,510,000
Intermountain Power Agency Power Supply Refunding VRDN RB Series 1985 E
(AMBAC) (A-1+/VMIG1)
16,500,000 3.45 01/28/2000 16,500,000
7,500,000 3.80 04/06/2000 7,500,000
10,000,000 3.80 04/10/2000 10,000,000
State of Utah GO Highway Bonds Series 1999 D (A-1+/VMIG1)
47,500,000 5.35 01/06/2000 47,500,000
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
22
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Financial Square Tax-Free Money Market Fund (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Utah (continued)
State of Utah Highway Bonds Series 1999 C (SPA) (A-1+/VMIG1)
$10,000,000 5.35% 01/06/2000 $ 10,000,000
University of Utah Regents VRDN RB for Auxiliary & Campus Facilities Series
1997 A (A-1/VMIG1)
16,480,000 5.50 01/05/2000 16,480,000
- -------------------------------------------------------------------------------------------------
$ 128,890,000
- -------------------------------------------------------------------------------------------------
Virginia--2.2%
Chesterfield County IDA VRDN PCRB Refunding for Philip Morris Companies,
Inc. Series 1992 (A-1/P-1)
$14,700,000 5.65% 01/05/2000 $ 14,700,000
Roanoke IDA Hospital RB for Roanoke Memorial Hospitals Series 1995 A (A-
1/VMIG1)
7,254,000 4.80 01/03/2000 7,254,000
Roanoke IDA RB for Roanoke Memorial Hospitals Series 1995 B (A-1/VMIG1)
18,500,000 4.80 01/03/2000 18,500,000
Virginia College Building Authority Educational Facilities VRDN RB for The
University of Richmond Project Series 1999 (VMIG1)
3,000,000 5.35 01/05/2000 3,000,000
- -------------------------------------------------------------------------------------------------
$ 43,454,000
- -------------------------------------------------------------------------------------------------
Washington--1.8%
King County Limited Tax GO Bonds Series 1994 A Eagle Tax-Exempt Trust Series
97C 4701 (A-1+(c))
$ 5,410,000 5.56% 01/06/2000 $ 5,410,000
King County Sewer RB CP Series A (A-1/P-1)
10,000,000 3.75 04/12/2000 10,000,000
11,900,000 3.75 04/17/2000 11,900,000
Washington Public Power Supply System Nuclear Project No. 1 Series 1993 1A-2
(Bank of America LOC) (A-1+/VMIG1)
5,400,000 5.20 01/05/2000 5,400,000
Washington State Health Care Facilities VRDN RB for Fred Hutchinson Cancer
Series 1991 A (Morgan Guaranty Trust LOC) (VMIG1)
4,200,000 4.50 01/03/2000 4,200,000
- -------------------------------------------------------------------------------------------------
$ 36,910,000
- -------------------------------------------------------------------------------------------------
Wisconsin--2.0%
Milwaukee IDRB Multi-Modal Refunding for Pharmacia Biotech, Inc. Series 1994
(P-1)
$ 8,000,000 5.95% 01/05/2000 $ 8,000,000
Milwaukee Metropolitan Sewage District GO Capital Purpose Bonds Series 1992
A Eagle Tax-Exempt Trust Series 944905 (A-1)
10,300,000 5.56 01/06/2000 10,300,000
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
<S> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority VRDN RB for Wheaton
Franciscan Services Series 1997 (Toronto Domion Bank LOC) (A-1+/VMIG1)
$16,675,000 5.50% 01/06/2000 $ 16,675,000
Wisconsin Health Facilities Authority VRDN RB for Franciscan Health Care,
Inc. Series 1985 A-1 (Toronto Dominion Bank LOC) (A-1+/VMIG1)
6,000,000 5.55 01/05/2000 6,000,000
- -------------------------------------------------------------------------------------------------
$ 40,975,000
- -------------------------------------------------------------------------------------------------
Wyoming--1.2%
Sweetwater County PCRB for Pacificorp Project Series 1990 A (VMIG1)
$23,500,000 5.15% 01/05/2000 $ 23,500,000
- -------------------------------------------------------------------------------------------------
Total Investments $2,004,236,371
- -------------------------------------------------------------------------------------------------
</TABLE>
> Forward commitment.
Interest rates represent either the stated coupon rate, annualized discounted
yield on date of purchase for discounted securities, or, for floating rate
securities, the current reset rate, which is based upon current interest rate
indices.
Maturity dates represent either the stated date on the security or the next
interest reset date for floating rate securities.
Security ratings are unaudited.
The percentage shown for each investment category reflects 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.
23
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
Investment Abbreviations:
<TABLE>
<C> <S>
AMBAC --Insured by American Municipal Bond Assurance Corp.
BANS --Bond Anticipation Notes
COPS --Certificates of Participation
CP --Commercial Paper
FGIC --Insured by Financial Guaranty Insurance Co.
FSA --Insured by Financial Security Assistance Co.
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
NRU --National Rural Utilities Cooperation Finance Corp.
PCRB --Pollution Control Revenue Bond
RANS --Revenue Anticipation Notes
RB --Revenue Bond
SPA --Stand-by Purchase Agreement
TANS --Tax Anticipation Notes
TRANS --Tax Revenue Anticipation Notes
VRDN --Variable Rate Demand Note
- -------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
24
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Premium
Obligations Money Market Money Market
Fund Fund Fund
---------------------------------
<S> <C> <C> <C>
Assets:
Investment in securities, at
value based on amortized cost $10,012,126,625 $9,674,859,976 $399,340,638
Cash -- 34,812 15,948
Receivables:
Interest 46,896,679 41,252,781 945,920
Fund shares sold 69,551 -- --
Reimbursement from adviser 496,521 571,930 24,511
Other assets 21,293 12,510 12,132
- -----------------------------------------------------------------------------
Total assets 10,059,610,669 9,716,732,009 400,339,149
- -----------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased -- -- --
Income distribution 32,053,269 15,574,099 887,480
Fund shares repurchased -- -- --
Management fee 1,470,267 1,387,115 66,085
Accrued expenses and other
liabilities 1,255,134 1,156,486 49,091
- -----------------------------------------------------------------------------
Total liabilities 34,778,670 18,117,700 1,002,656
- -----------------------------------------------------------------------------
Net Assets:
Paid-in capital 10,024,831,999 9,698,614,309 399,336,493
Accumulated undistributed net
investment income -- -- --
Accumulated net realized loss on
investment transactions -- -- --
- -----------------------------------------------------------------------------
Net assets $10,024,831,999 $9,698,614,309 $399,336,493
- -----------------------------------------------------------------------------
Net asset value, offering and
redemption price per share
(net assets/shares outstanding) $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------
Shares outstanding:
FST shares 8,062,549,440 8,747,861,497 312,507,170
FST Preferred shares 219,711,045 241,179,233 50,847,345
FST Administration shares 1,051,830,626 403,601,564 18,670,401
FST Service shares 690,740,888 305,972,015 17,311,577
- -----------------------------------------------------------------------------
Total shares outstanding, $.001
par value (unlimited number of
shares authorized) 10,024,831,999 9,698,614,309 399,336,493
- -----------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
25
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$4,332,390,402 $533,179,769 $3,490,016,453 $5,641,193,105 $2,004,236,371
30,383 29,481 7,986 58,221 3,292,986
24,583,830 6,985,292 15,424,974 22,678,717 13,867,764
-- -- -- 8,243,755 --
50,571 43,278 -- 353,338 --
25,283 -- 10,047 14,427 3,697
- --------------------------------------------------------------------------
4,357,080,469 540,237,820 3,505,459,460 5,672,541,563 2,021,400,818
- --------------------------------------------------------------------------
-- -- 99,905,000 -- 10,002,814
9,595,725 1,295,547 8,507,183 10,005,212 2,850,409
-- -- 300,000 -- 4,040,994
543,970 73,589 419,595 783,101 299,809
616,999 85,413 439,328 880,033 88,966
- --------------------------------------------------------------------------
10,756,694 1,454,549 109,571,106 11,668,346 17,282,992
- --------------------------------------------------------------------------
4,346,323,775 538,783,271 3,395,888,354 5,660,873,217 2,004,133,118
-- -- -- -- --
-- -- -- -- (15,292)
- --------------------------------------------------------------------------
$4,346,323,775 $538,783,271 $3,395,888,354 $5,660,873,217 $2,004,117,826
- --------------------------------------------------------------------------
$1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------
2,320,580,781 428,732,495 2,260,274,673 4,206,118,600 1,775,341,438
297,924,730 207,940 181,155,906 186,590,206 31,359,256
1,157,825,256 67,747,500 519,266,156 789,529,112 127,967,136
569,993,008 42,095,336 435,191,619 478,635,299 69,465,288
- --------------------------------------------------------------------------
4,346,323,775 538,783,271 3,395,888,354 5,660,873,217 2,004,133,118
- --------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
26
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Operations
For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Premium
Obligations Money Market Money Market
Fund Fund Fund
----------------------------------------
<S> <C> <C> <C>
Investment Income:
Interest income $404,691,925 $415,732,682 $30,712,327
- -------------------------------------------------------------------------------
Expenses:
Management fees 15,733,139 16,208,975 1,225,929
Custodian fees 761,610 842,543 118,450
Registration fees 691,631 678,618 13,675
Professional fees 43,028 42,923 42,375
Trustee fees 7,115 7,086 7,115
Amortization of deferred organization
expenses -- 3,394 --
Service share fees 2,388,719 1,792,922 125,634
Administration share fees 1,608,204 1,171,166 42,743
Preferred share fees 271,735 182,474 95,934
Other 190,671 104,136 19,934
- -------------------------------------------------------------------------------
Total expenses 21,695,852 21,034,237 1,691,789
Less--expenses reimbursed and fees
waived (3,305,743) (3,339,178) (327,131)
- -------------------------------------------------------------------------------
Net expenses 18,390,109 17,695,059 1,364,658
- -------------------------------------------------------------------------------
Net investment income 386,301,816 398,037,623 29,347,669
- -------------------------------------------------------------------------------
Net realized gain (loss) on
investment transactions 27,505 14,080 2,040
- -------------------------------------------------------------------------------
Net increase in net assets resulting
from operations $386,329,321 $398,051,703 $29,349,709
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
27
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$207,465,738 $20,317,333 $151,849,905 $209,967,731 $57,332,033
- ----------------------------------------------------------------------------
8,600,531 887,891 6,128,383 8,368,477 3,570,544
599,425 58,446 392,690 414,872 62,524
181,677 8,633 25,439 420,587 36,826
52,560 42,373 43,028 43,286 42,917
7,106 7,076 7,106 7,085 7,086
-- -- -- -- 8,495
2,620,099 91,522 3,617,320 1,981,259 275,997
2,716,747 138,125 1,241,755 1,541,602 352,368
282,021 92 193,925 74,134 45,428
129,554 47,123 79,024 78,727 33,917
- ----------------------------------------------------------------------------
15,189,720 1,281,281 11,728,670 12,930,029 4,436,102
(1,851,351) (254,623) (1,177,030) (1,821,735) (609,445)
- ----------------------------------------------------------------------------
13,338,369 1,026,658 10,551,640 11,108,294 3,826,657
- ----------------------------------------------------------------------------
194,127,369 19,290,675 141,298,265 198,859,437 53,505,376
- ----------------------------------------------------------------------------
7,186 51,713 7,180 46,182 (1,673)
- ----------------------------------------------------------------------------
$194,134,555 $19,342,388 $141,305,445 $198,905,619 $53,503,703
- ----------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
28
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Premium
Obligations Money Market Money Market
Fund Fund Fund
<S> <C> <C> <C>
---------------------------------------------------
From operations:
Net investment income $ 386,301,816 $ 398,037,623 $ 29,347,669
Net realized gain (loss)
on investment
transactions 27,505 14,080 2,040
- --------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 386,329,321 398,051,703 29,349,709
- --------------------------------------------------------------------------------
Distribution to
shareholders:
From net investment income
FST shares (319,734,377) (350,173,540) (22,796,106)
FST Preferred shares (13,245,261) (9,102,769) (4,619,730)
FST Administration
shares (31,384,131) (22,518,305) (817,718)
FST Service shares (21,965,552) (16,257,089) (1,116,155)
- --------------------------------------------------------------------------------
Total distributions to
shareholders (386,329,321) (398,051,703) (29,349,709)
- --------------------------------------------------------------------------------
From share transactions
(at $1.00 per share):
Proceeds from sales of
shares 79,579,532,778 78,515,803,235 8,717,491,247
Reinvestment of dividends
and distributions 151,750,248 264,541,691 16,768,178
Cost of shares repurchased (76,338,183,110) (75,066,724,370) (8,955,673,189)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from share transactions 3,393,099,916 3,713,620,556 (221,413,764)
- --------------------------------------------------------------------------------
Total increase
(decrease) 3,393,099,916 3,713,620,556 (221,413,764)
Net assets:
Beginning of year 6,631,732,083 5,984,993,753 620,750,257
- --------------------------------------------------------------------------------
End of year $ 10,024,831,999 $ 9,698,614,309 $ 399,336,493
- --------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- --------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements.
29
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 194,127,369 $ 19,290,675 $ 141,298,265 $ 198,859,437 $ 53,505,376
7,186 51,713 7,180 46,182 (1,673)
- -----------------------------------------------------------------------------------------
194,134,555 19,342,388 141,305,445 198,905,619 53,503,703
- -----------------------------------------------------------------------------------------
(109,297,057) (16,226,463) (77,286,766) (148,425,766) (46,739,196)
(13,167,759) (4,200) (9,320,232) (3,744,402) (1,359,653)
(49,244,678) (2,371,266) (23,202,438) (29,061,008) (3,963,701)
(22,425,061) (745,112) (31,496,009) (17,674,951) (1,442,826)
- -----------------------------------------------------------------------------------------
(194,134,555) (19,347,041) (141,305,445) (198,906,127) (53,505,376)
- -----------------------------------------------------------------------------------------
41,201,456,868 3,987,971,816 26,420,363,747 28,097,430,341 13,621,514,785
83,752,356 11,588,203 48,048,760 132,421,372 28,266,083
(42,327,587,736) (4,323,784,819) (25,988,871,304) (25,953,163,766) (13,320,335,659)
- -----------------------------------------------------------------------------------------
(1,042,378,512) (324,224,800) 479,541,203 2,276,687,947 329,445,209
- -----------------------------------------------------------------------------------------
(1,042,378,512) (324,229,453) 479,541,203 2,276,687,439 329,443,536
5,388,702,287 863,012,724 2,916,347,151 3,384,185,778 1,674,674,290
- -----------------------------------------------------------------------------------------
$ 4,346,323,775 $ 538,783,271 $ 3,395,888,354 $ 5,660,873,217 $ 2,004,117,826
- -----------------------------------------------------------------------------------------
-- -- -- -- --
- -----------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
30
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Year Ended December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prime Money Premium
Obligations Market Money Market
Fund Fund Fund
<S> <C> <C> <C>
---------------------------------------------------
From operations:
Net investment income $ 305,811,261 $ 324,028,066 $ 21,956,146
Net realized gain on
investment transactions 78,008 66,176 16,410
- ---------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 305,889,269 324,094,242 21,972,556
- ---------------------------------------------------------------------------------
Distributions to
shareholders:
From net investment income
FST shares (269,081,520) (276,370,684) (15,650,407)
FST Preferred shares (8,232,389) (4,076,565) (5,432,663)
FST Administration shares (17,131,415) (19,556,691) (410,201)
FST Service shares (11,435,814) (24,091,684) (479,285)
- ---------------------------------------------------------------------------------
Total distributions to
shareholders (305,881,138) (324,095,624) (21,972,556)
- ---------------------------------------------------------------------------------
From share transactions (at
$1.00 per share):
Proceeds from sales of
shares 57,969,401,996 69,898,690,078 5,229,951,088
Reinvestment of dividends
and distributions 93,909,532 166,197,933 14,446,374
Cost of shares repurchased (55,869,833,965) (68,984,229,619) (4,844,668,494)
- ---------------------------------------------------------------------------------
Net increase in net assets
resulting from share
transactions 2,193,477,563 1,080,658,392 399,728,968
- ---------------------------------------------------------------------------------
Total increase 2,193,485,694 1,080,657,010 399,728,968
Net assets:
Beginning of year 4,438,246,389 4,904,336,743 221,021,289
- ---------------------------------------------------------------------------------
End of year $ 6,631,732,083 $ 5,984,993,753 $ 620,750,257
- ---------------------------------------------------------------------------------
Accumulated undistributed
net investment income -- -- --
- ---------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
The accompanying notes are an integral
part of these financial statements
31
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$ 238,595,463 $ 20,343,941 $ 141,201,262 $ 130,484,575 $ 45,674,271
1,450,576 174,690 -- 31,979 1,321
- ----------------------------------------------------------------------------------------
240,046,039 20,518,631 141,201,262 130,516,554 45,675,592
- ----------------------------------------------------------------------------------------
(157,673,844) (18,729,601) (87,893,105) (92,448,326) (36,931,756)
(47,202,665) (78) (4,985,314) (6,428,582) (2,953,491)
(19,083,866) (927,699) (17,131,280) (19,097,019) (4,375,262)
(16,085,664) (857,978) (31,191,563) (12,542,759) (1,413,762)
- ----------------------------------------------------------------------------------------
(240,046,039) (20,515,356) (141,201,262) (130,516,686) (45,674,271)
- ----------------------------------------------------------------------------------------
53,000,555,348 3,317,001,578 29,790,708,579 14,894,751,480 9,696,660,958
91,114,922 8,446,401 37,971,285 64,289,412 19,443,237
(51,218,122,026) (2,983,195,546) (29,278,022,826) (13,748,692,419) (9,161,617,389)
- ----------------------------------------------------------------------------------------
1,873,548,244 342,252,433 550,657,038 1,210,348,473 554,486,806
- ----------------------------------------------------------------------------------------
1,873,548,244 342,255,708 550,657,038 1,210,348,341 554,488,127
3,515,154,043 520,757,016 2,365,690,113 2,173,837,437 1,120,186,163
- ----------------------------------------------------------------------------------------
$ 5,388,702,287 $ 863,012,724 $ 2,916,347,151 $ 3,384,185,778 $ 1,674,674,290
- ----------------------------------------------------------------------------------------
-- -- -- -- --
- ----------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
32
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1999
- --------------------------------------- ---------------------------------------
1. Organization
The Goldman Sachs Trust (the "Trust") is a Delaware business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end,
management investment company. The Trust includes the Financial Square Funds,
collectively, "the Funds", or individually, a "Fund". Financial Square consists
of nine diversified funds: Prime Obligations, Money Market, Premium Money
Market, Treasury Obligations, Treasury Instruments, Government, Federal, Tax-
Free Money Market and Municipal Money Market (inactive as of December 31,
1999). On or about March 31, 2000, Premium Money Market will be terminated. The
Funds offer four classes of shares--FST shares, FST Preferred shares, FST
Administration shares and FST Service shares. On January 31, 2000, the Funds
began offering a new share class, FST Select shares, except for Premium Money
Market. The investment objective of the Funds is to maximize current income to
the extent consistent with the preservation of capital and maintenance of
liquidity by investing exclusively in high quality money market instruments.
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. Actual results
could differ from those estimates.
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 recorded 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 of its investment company tax-exempt and taxable
income to its shareholders. Accordingly, no federal tax provisions are
required.
The characterization of distributions to shareholders for financial reporting
purposes is determined in accordance with 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, 1999 (tax year-end), the following Fund had a capital loss
carryforward for U.S. federal tax purposes of approximately:
<TABLE>
<CAPTION>
Years of
Fund Amount Expiration
---- ------- ----------
<S> <C> <C>
Tax-Free Money Market....................................... $13,619 2005-2007
</TABLE>
This amount is available to be carried forward to offset future capital gains
to the extent permitted by applicable laws or regulations.
The amortized cost for each Fund stated in the accompanying Statements of
Assets and Liabilities also represents aggregate cost for federal income tax
purposes.
D. Deferred Organization Expenses--
Organization-related costs are amortized on a straight-line basis over a period
of five years. The organizational costs for each Fund are fully amortized.
E. Expenses--
Expenses incurred by the Funds which do not specifically relate to an
individual Fund are allocated to the Funds on a straight-line or pro rata basis
depending upon the nature of the expense.
Shareholders of FST Preferred, FST Administration and FST Service shares bear
all expenses and fees paid to service organizations.
- --------------------------------------- ---------------------------------------
33
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
F. Segregation Transactions--
The Funds may enter into forward commitments. These transactions involve a
commitment by the Funds to purchase or sell securities for a predetermined
price or yield, with payment and delivery taking place beyond a customary
settlement. As a result of entering into these transactions, the Funds are
required to segregate liquid assets on the accounting records equal to or
greater than the market value of the corresponding transactions.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a unit of the Investment Management
Division of Goldman, Sachs & Co. ("Goldman Sachs"), acts as investment adviser
(the "Adviser"), pursuant to an Investment Management Agreement (the
"Agreement"). Under the Agreement, GSAM, subject to the general supervision of
the Trust's Board of Trustees, manages the Funds' portfolios. As compensation
for the services rendered pursuant to the Agreement and the assumption of the
expenses related thereto and administering the Funds' business affairs,
including providing facilities, GSAM is entitled to a fee, computed daily and
payable monthly, at an annual rate equal to .205% of each Fund's average daily
net assets. For the year ended December 31, 1999, GSAM has voluntarily agreed
to waive a portion of its management fee equal annually to .035% of the average
daily net assets of each Fund.
GSAM has voluntarily agreed to limit "Other Expenses" of each Fund (excluding
management fees, service organization fees, taxes, interest, brokerage
commissions, litigation, indemnification, and other extraordinary expenses) to
the extent such expenses exceed, on an annual basis, .01% of the average daily
net assets of each Fund.
Goldman Sachs serves as Transfer Agent and Distributor of shares of the Funds
pursuant to Transfer Agent and Distribution Agreements and receives no separate
fee.
For the year ended December 31, 1999, the Adviser has voluntarily agreed to
waive certain fees and reimburse other expenses as follows (in thousands):
<TABLE>
<CAPTION>
Management Expenses
Fees Reimbursed
Fund Waived by Adviser Total
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Prime Obligations $2,686 $620 $3,306
- -------------------------------------------------------------------------------------------
Money Market 2,767 572 3,339
- -------------------------------------------------------------------------------------------
Premium Money Market 209 118 327
- -------------------------------------------------------------------------------------------
Treasury Obligations 1,468 383 1,851
- -------------------------------------------------------------------------------------------
Treasury Instruments 152 103 255
- -------------------------------------------------------------------------------------------
Government 1,048 129 1,177
- -------------------------------------------------------------------------------------------
Federal 1,429 393 1,822
- -------------------------------------------------------------------------------------------
Tax-Free Money Market 609 -- 609
</TABLE>
- --------------------------------------- ---------------------------------------
34
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------- ---------------------------------------
4. Preferred, Administration and Service Plans
The Funds have adopted Preferred, Administration and Service 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 Preferred, Administration and Service
Plans provide for compensation to the service organizations in an amount up to,
on an annual basis, .10%, .25% and .50%, respectively, of the average daily net
asset value of each share class.
5.Line of Credit Facility
The Funds participated in a $250,000,000 uncommitted, unsecured revolving line
of credit facility. Under the most restrictive arrangement, each Fund must have
owned securities having a market value in excess of 300% of the total bank
borrowings. Effective April 30, 1999, under the most restrictive arrangement,
each Fund must own securities having a market value in excess of 400% of the
total bank borrowings. Additionally, Prime Obligations, Premium Money Market,
Treasury Obligations, and Government Funds participated in a $250,000,000
committed, unsecured revolving line of credit facility. Effective November 30,
1999, the remaining Funds were also added to the $250,000,000 committed
facility. These facilities are to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the Federal Funds rate.
The committed facility also requires a fee to be paid by the Funds based on the
amount of the commitment which has not been utilized. During the year ended
December 31, 1999, the Funds did not have any borrowings under any of these
facilities.
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 Funds' custodian.
7.Joint Repurchase Agreement Accounts
The Funds, together with other registered investment companies having
management agreements with GSAM or its affiliates, may transfer uninvested cash
balances into joint accounts, the daily aggregate balances of which are
invested in one or more repurchase agreements.
At December 31, 1999, the Prime Obligations, Money Market, Premium Money
Market, Treasury Obligations and Government Funds had undivided interests in
the following joint repurchase agreement account, which equaled $522,500,000,
$678,200,000, $110,300,000, $1,091,600,000 and $604,200,000 in principal
amount, respectively. At December 31, 1999, the repurchase agreements held in
this joint account were fully collateralized by U.S. Treasury obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Barclays Capital PLC
$ 150,000,000 5.50% 01/03/2000 $ 150,000,000
Barclays Capital PLC
713,200,000 2.75 01/03/2000 713,200,000
Donaldson, Lufkin & Jenrette, Inc.
1,500,000,000 2.50 01/03/2000 1,500,000,000
Goldman, Sachs & Co.
500,000,000 2.00 01/03/2000 500,000,000
SBC Warburg Dillon Read Corp.
1,275,000,000 2.50 01/03/2000 1,275,000,000
- -----------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $4,138,200,000
- -----------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
35
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
At December 31, 1999, the Prime Obligations, Money Market, Premium Money Market
and Government Funds had an undivided interest in the following joint
repurchase agreement account II, which equaled $350,000,000, $300,000,000,
$50,000,000 and $400,000,000 in principal amount. At December 31, 1999, the
repurchase agreements held in this joint account II were fully collateralized
by Federal Agency obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Banc of America Securities
$700,000,000 3.10% 01/03/2000 $ 700,000,000
Chase Manhattan Bank
340,000,000 3.15 01/03/2000 340,000,000
Morgan Stanley & Co.
501,500,000 3.25 01/03/2000 501,500,000
- ---------------------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account II $1,541,500,000
- ---------------------------------------------------------------------------------------------
</TABLE>
8.Other Matters
Pursuant to a Securities and Exchange Commission exemptive order, certain of
the Funds may enter into certain principal transactions, including repurchase
agreements, with Goldman Sachs subject to certain annual limitations as
follows: 25% of eligible security transactions, as defined, and 10% of
repurchase agreement transactions.
9.Change in Independent Auditors
On October 26, 1999, the Board of Trustees of the Funds, upon the
recommendation of the Board's audit committee, determined not to retain Arthur
Andersen LLP and approved a change of the Funds' independent accountants to
PricewaterhouseCoopers LLP. For the fiscal years ended December 31, 1999 and
December 31, 1998, Arthur Andersen LLP's audit reports contained no adverse
opinion or disclaimer of opinion; nor were their reports qualified or modified
as to uncertainty, audit scope, or accounting principles. Further, there were
no disagreements between the Funds and Arthur Andersen LLP on accounting
principles or practices, financial statement disclosure or audit scope or
procedure, which if not resolved to the satisfaction of Arthur Andersen LLP
would have caused them to make reference to the disagreement in their reports.
- --------------------------------------- ---------------------------------------
36
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
10. Summary of Share Transactions (at $1.00 per share)
Share activity for the year ended December 31, 1999 is as follows:
<TABLE>
<CAPTION>
Prime Premium
Obligations Money Market Money Market
Fund Fund Fund
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
FST shares:
Shares sold 64,383,395,508 70,907,338,993 7,587,630,663
Reinvestment of dividends
and distributions 119,603,587 234,988,734 12,150,091
Shares repurchased (62,272,217,843) (67,390,246,268) (7,767,125,023)
-------------------------------------------------
2,230,781,252 3,752,081,459 (167,344,269)
- -------------------------------------------------------------------------------
FST Preferred shares:
Shares sold 3,347,403,106 2,317,273,791 674,544,518
Reinvestment of dividends
and distributions 8,655,703 7,987,294 3,814,280
Shares repurchased (3,268,909,435) (2,177,300,025) (735,027,475)
------------------------------------------------
87,149,374 147,961,060 (56,668,677)
- -------------------------------------------------------------------------------
FST Administration shares:
Shares sold 6,580,990,548 3,606,115,900 89,156,387
Reinvestment of dividends
and distributions 10,434,546 14,795,343 288,454
Shares repurchased (5,870,792,290) (3,616,780,939) (84,502,269)
------------------------------------------------
720,632,804 4,130,304 4,942,572
- -------------------------------------------------------------------------------
FST Service shares:
Shares sold 5,267,743,616 1,685,074,551 366,159,679
Reinvestment of dividends
and distributions 13,056,412 6,770,320 515,353
Shares repurchased (4,926,263,542) (1,882,397,138) (369,018,422)
------------------------------------------------
354,536,486 (190,552,267) (2,343,390)
- -------------------------------------------------------------------------------
Net increase (decrease) in
shares 3,393,099,916 3,713,620,556 (221,413,764)
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
37
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
23,009,203,473 3,663,990,081 17,578,801,495 18,264,327,905 12,815,993,017
44,674,187 9,299,834 25,486,580 105,168,778 24,551,976
(24,254,629,116) (4,066,763,789) (16,907,884,304) (16,509,631,916) (12,521,218,623)
- -------------------------------------------------------------------------------------
(1,200,751,456) (393,473,874) 696,403,771 1,859,864,767 319,326,370
- -------------------------------------------------------------------------------------
4,027,430,083 204,597 1,803,540,334 1,349,295,944 156,777,353
3,527,064 4,204 6,337,649 2,813,787 491,031
(4,018,277,017) (2,477) (1,874,350,374) (1,192,243,405) (146,791,183)
- -------------------------------------------------------------------------------------
12,680,130 206,324 (64,472,391) 159,866,326 10,477,201
- -------------------------------------------------------------------------------------
8,793,649,044 115,095,488 4,360,433,701 4,962,474,534 340,711,614
16,304,690 2,127,294 12,566,113 16,095,704 2,659,134
(8,732,624,675) (73,148,918) (4,261,094,613) (4,879,125,175) (362,204,367)
- -------------------------------------------------------------------------------------
77,329,059 44,073,864 111,905,201 99,445,063 (18,833,619)
- -------------------------------------------------------------------------------------
5,371,174,268 208,681,650 2,677,588,217 3,521,331,958 308,032,801
19,246,415 156,871 3,658,418 8,343,103 563,942
(5,322,056,928) (183,869,635) (2,945,542,013) (3,372,163,270) (290,121,486)
- -------------------------------------------------------------------------------------
68,363,755 24,968,886 (264,295,378) 157,511,791 18,475,257
- -------------------------------------------------------------------------------------
(1,042,378,512) (324,224,800) 479,541,203 2,276,687,947 329,445,209
- -------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
38
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
10. Summary of Share Transactions (at $1.00 per share) (continued)
Share activity for the year ended December 31, 1998 is as follows:
<TABLE>
<CAPTION>
Prime Premium
Obligations Money Market Money Market
Fund Fund Fund
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
FST shares:
Shares sold 50,577,781,681 64,642,205,884 4,885,235,788
Reinvestment of dividends
and distributions 81,013,084 145,091,154 9,694,829
Shares repurchased (48,694,767,051) (64,138,032,706) (4,633,271,570)
------------------------------------------------
1,964,027,714 649,264,332 261,659,047
- -------------------------------------------------------------------------------
FST Preferred shares:
Shares sold 1,635,375,108 587,335,211 212,622,508
Reinvestment of dividends
and distributions 1,663,959 3,560,753 4,477,152
Shares repurchased (1,657,247,424) (517,936,393) (110,141,465)
------------------------------------------------
(20,208,357) 72,959,571 106,958,195
- -------------------------------------------------------------------------------
FST Administration shares:
Shares sold 2,386,485,745 2,258,106,370 37,942,427
Reinvestment of dividends
and distributions 5,232,944 13,668,515 128,617
Shares repurchased (2,302,131,386) (2,093,556,998) (25,799,913)
------------------------------------------------
89,587,303 178,217,887 12,271,131
- -------------------------------------------------------------------------------
FST Service shares:
Shares sold 3,369,759,462 2,411,042,613 94,150,365
Reinvestment of dividends
and distributions 5,999,545 3,877,511 145,776
Shares repurchased (3,215,688,104) (2,234,703,522) (75,455,546)
------------------------------------------------
160,070,903 180,216,602 18,840,595
- -------------------------------------------------------------------------------
Net increase in shares 2,193,477,563 1,080,658,392 399,728,968
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
39
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Treasury Tax-Free
Obligations Instruments Government Federal Money Market
Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
38,811,128,138 3,155,786,943 19,929,403,199 10,287,288,538 8,343,229,377
53,825,326 7,667,006 28,357,386 45,213,214 17,430,024
(37,561,525,035) (2,837,666,325) (19,872,424,728) (9,111,928,825) (7,844,065,473)
- -----------------------------------------------------------------------------------
1,303,428,429 325,787,624 85,335,857 1,220,572,927 516,593,928
- -----------------------------------------------------------------------------------
2,747,117,320 -- 1,063,864,036 138,883,456 451,367,441
6,885,153 77 2,648,231 7,188,094 155,091
(2,714,118,870) -- (828,030,762) (313,722,647) (465,792,140)
- -----------------------------------------------------------------------------------
39,883,603 77 238,481,505 (167,651,097) (14,269,608)
- -----------------------------------------------------------------------------------
5,954,832,820 69,117,817 5,103,623,628 2,165,279,603 557,825,919
16,115,116 770,968 4,155,641 6,022,375 1,389,127
(5,629,346,838) (50,374,164) (5,000,220,220) (2,106,551,874) (515,464,054)
- -----------------------------------------------------------------------------------
341,601,098 19,514,621 107,559,049 64,750,104 43,750,992
- -----------------------------------------------------------------------------------
5,487,477,070 92,096,818 3,693,817,716 2,303,299,883 344,238,221
14,289,327 8,350 2,810,027 5,865,729 468,995
(5,313,131,283) (95,155,057) (3,577,347,116) (2,216,489,073) (336,295,722)
- -----------------------------------------------------------------------------------
188,635,114 (3,049,889) 119,280,627 92,676,539 8,411,494
- -----------------------------------------------------------------------------------
1,873,548,244 342,252,433 550,657,038 1,210,348,473 554,486,806
- -----------------------------------------------------------------------------------
</TABLE>
- --------------------------------------- ---------------------------------------
40
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Prime Obligations Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 5.18% $8,062,549 0.18% 5.09%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.07 219,711 0.28 4.87
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.91 1,051,831 0.43 4.88
1999-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.65 690,741 0.68 4.60
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.55 5,831,773 0.18 5.39
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.45 132,558 0.28 5.26
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.29 331,196 0.43 5.14
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.03 336,205 0.68 4.89
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.60 3,867,739 0.18 5.46
1997-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.50 152,767 0.28 5.38
1997-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.34 241,607 0.43 5.22
1997-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.08 176,133 0.68 4.97
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.41 3,901,797 0.18 5.29
1996-FST Pre-
ferred Shares
(commenced
May 1).......... 1.00 0.03 (0.03) 1.00 5.28(c) 127,126 0.28(c) 5.19(c)
1996-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.14 215,898 0.43 5.06
1996-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.88 115,114 0.68 4.78
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 1.00 0.06 (0.06) 1.00 6.02 3,295,791 0.18 5.86
1995-FST Admin-
istration
shares.......... 1.00 0.06 (0.06) 1.00 5.75 147,894 0.43 5.59
1995-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.49 65,278 0.68 5.33
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.23% 5.04%
1999-FST Pre-
ferred shares... 0.33 4.82
1999-FST Admin-
istration
shares.......... 0.48 4.83
1999-FST Service
shares.......... 0.73 4.55
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.24 5.33
1998-FST Pre-
ferred shares... 0.34 5.20
1998-FST Admin-
istration
shares.......... 0.49 5.08
1998-FST Service
shares.......... 0.74 4.83
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 0.23 5.41
1997-FST Pre-
ferred shares... 0.33 5.33
1997-FST Admin-
istration
shares.......... 0.48 5.17
1997-FST Service
shares.......... 0.73 4.92
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 0.23 5.24
1996-FST Pre-
ferred Shares
(commenced
May 1).......... 0.33(c) 5.14(c)
1996-FST Admin-
istration
shares.......... 0.48 5.01
1996-FST Service
shares.......... 0.73 4.73
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 0.22 5.82
1995-FST Admin-
istration
shares.......... 0.47 5.55
1995-FST Service
shares.......... 0.72 5.29
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
41
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Money Market Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 5.18% $8,747,861 0.18% 5.08%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.07 241,179 0.28 4.99
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.92 403,602 0.43 4.81
1999-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.66 305,972 0.68 4.53
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.55 4,995,782 0.18 5.40
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.45 93,218 0.28 5.30
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.29 399,474 0.43 5.16
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.03 496,520 0.68 4.86
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 1.00 0.06 (0.06) 1.00 5.63 4,346,519 0.18 5.50
1997-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.53 20,258 0.28 5.44
1997-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.37 221,256 0.43 5.26
1997-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.11 316,304 0.68 4.99
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.45 2,540,366 0.18 5.33
1996-FST Pre-
ferred shares
(commenced
May 1).......... 1.00 0.03 (0.03) 1.00 5.31(c) 17,510 0.28(c) 5.23(c)
1996-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.19 165,766 0.43 5.04
1996-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.93 234,376 0.68 4.84
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 1.00 0.06 (0.06) 1.00 6.07 2,069,197 0.15 5.89
1995-FST Admin-
istration
shares.......... 1.00 0.06 (0.06) 1.00 5.80 137,412 0.40 5.61
1995-FST Service
shares (com-
menced
July 14)........ 1.00 0.02 (0.02) 1.00 5.41(c) 4,219 0.65(c) 4.93(c)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.22% 5.04%
1999-FST Pre-
ferred shares... 0.32 4.95
1999-FST Admin-
istration
shares.......... 0.47 4.77
1999-FST Service
shares.......... 0.72 4.49
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.23 5.35
1998-FST Pre-
ferred shares... 0.33 5.25
1998-FST Admin-
istration
shares.......... 0.48 5.11
1998-FST Service
shares.......... 0.73 4.81
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 0.23 5.45
1997-FST Pre-
ferred shares... 0.33 5.39
1997-FST Admin-
istration
shares.......... 0.48 5.21
1997-FST Service
shares.......... 0.73 4.94
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 0.23 5.28
1996-FST Pre-
ferred shares
(commenced
May 1).......... 0.33(c) 5.18(c)
1996-FST Admin-
istration
shares.......... 0.48 4.99
1996-FST Service
shares.......... 0.73 4.79
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 0.23 5.81
1995-FST Admin-
istration
shares.......... 0.48 5.53
1995-FST Service
shares (com-
menced
July 14)........ 0.73(c) 4.85(c)
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
42
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Premium Money Market Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net
assets at Ratio of net
Net asset Net asset end Ratio of net investment
value at Net Distributions value at of period expenses to income to
beginning investment to end Total (in average net average net
of period income(a) shareholders of period return(b) 000's) assets assets
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 5.10% $312,507 0.18% 4.96%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.00 50,847 0.28 4.82
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.84 18,670 0.43 4.78
1999-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.58 17,312 0.68 4.44
- ------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.55 479,851 0.16 5.38
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.45 107,517 0.26 5.29
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.29 13,728 0.41 5.08
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.03 19,655 0.66 4.79
- ------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST shares
(commenced
August 1)....... 1.00 0.02 (0.02) 1.00 5.73(c) 218,192 0.08(c) 5.59(c)
1997-FST
Preferred shares
(commenced
August 1)....... 1.00 0.02 (0.02) 1.00 5.62(c) 558 0.18(c) 5.50(c)
1997-FST
Administration
shares
(commenced
August 1)....... 1.00 0.02 (0.02) 1.00 5.47(c) 1,457 0.33(c) 5.33(c)
1997-FST Service
shares
(commenced
August 1)....... 1.00 0.02 (0.02) 1.00 5.20(c) 814 0.58(c) 5.17(c)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
-----------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.23% 4.91%
1999-FST Pre-
ferred shares... 0.33 4.77
1999-FST Admin-
istration
shares.......... 0.48 4.73
1999-FST Service
shares.......... 0.73 4.39
- ------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.29 5.25
1998-FST Pre-
ferred shares... 0.39 5.16
1998-FST Admin-
istration
shares.......... 0.54 4.95
1998-FST Service
shares.......... 0.79 4.66
- ------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST shares
(commenced
August 1)....... 0.43(c) 5.24(c)
1997-FST
Preferred shares
(commenced
August 1)....... 0.53(c) 5.15(c)
1997-FST
Administration
shares
(commenced
August 1)....... 0.68(c) 4.98(c)
1997-FST Service
shares
(commenced
August 1)....... 0.93(c) 4.82(c)
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
43
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Treasury Obligations Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 4.88% $2,320,581 0.18% 4.75%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 4.78 297,925 0.28 4.67
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.62 1,157,825 0.43 4.53
1999-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.36 569,993 0.68 4.28
- ---------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.40 3,521,389 0.18 5.22
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.29 285,240 0.28 5.20
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.14 1,080,454 0.43 4.94
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.87 501,619 0.68 4.69
- ---------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.50 2,217,943 0.18 5.36
1997-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.40 245,355 0.28 5.32
1997-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.24 738,865 0.43 5.12
1997-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.98 312,991 0.68 4.87
- ---------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.35 2,291,051 0.18 5.22
1996-FST Pre-
ferred
shares (commenced
May 1).......... 1.00 0.03 (0.03) 1.00 5.24(c) 46,637 0.28(c) 5.11(c)
1996-FST Admin-
istration shares
................ 1.00 0.05 (0.05) 1.00 5.09 536,895 0.43 4.97
1996-FST Service
shares ......... 1.00 0.05 (0.05) 1.00 4.83 220,560 0.68 4.72
- ---------------------------------------------------------------------------------------------------------------
1995-FST shares
................ 1.00 0.06 (0.06) 1.00 5.96 1,587,715 0.18 5.73
1995-FST Admin-
istration shares
................ 1.00 0.06 (0.06) 1.00 5.69 283,186 0.43 5.47
1995-FST Service
shares ......... 1.00 0.05 (0.05) 1.00 5.43 139,117 0.68 5.21
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.23% 4.70%
1999-FST Pre-
ferred shares... 0.33 4.62
1999-FST Admin-
istration
shares.......... 0.48 4.48
1999-FST Service
shares.......... 0.73 4.23
- ---------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.23 5.17
1998-FST Pre-
ferred shares... 0.33 5.15
1998-FST Admin-
istration
shares.......... 0.48 4.89
1998-FST Service
shares.......... 0.73 4.64
- ---------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 0.23 5.31
1997-FST Pre-
ferred shares... 0.33 5.27
1997-FST Admin-
istration
shares.......... 0.48 5.07
1997-FST Service
shares.......... 0.73 4.82
- ---------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 0.24 5.16
1996-FST Pre-
ferred
shares (commenced
May 1).......... 0.34(c) 5.05(c)
1996-FST Admin-
istration shares
................ 0.49 4.91
1996-FST Service
shares ......... 0.74 4.66
- ---------------------------------------------------------------------------------------------------------------
1995-FST shares
................ 0.23 5.68
1995-FST Admin-
istration shares
................ 0.48 5.42
1995-FST Service
shares ......... 0.73 5.16
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
44
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Treasury Instruments Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net
assets at Ratio of net
Net asset Net asset end Ratio of net investment
value at Net Distributions value at of period expenses to income to
beginning investment to end Total (in average net average net
of period income(a) shareholders of period return(b) 000's) assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 4.60% $428,732 0.18% 4.51%
1999-FST Pre-
ferred shares... 1.00 0.04 (0.04) 1.00 4.49 208 0.28 4.53
1999-FST Admin-
istration
shares.......... 1.00 0.04 (0.04) 1.00 4.34 67,748 0.43 4.29
1999-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.08 42,095 0.68 4.07
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.05 822,207 0.18 4.74
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 4.94 2 0.28 4.68
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.79 23,676 0.43 4.62
1998-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.53 17,128 0.68 4.37
- --------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST
shares (commenced
March 3)........ 1.00 0.04 (0.04) 1.00 5.25(c) 496,419 0.18(c) 5.09(c)
1997-FST Pre-
ferred shares
(commenced
May 30)......... 1.00 0.03 (0.03) 1.00 5.13(c) 2 0.28(c) 5.00(c)
1997-FST Admin-
istration shares
(commenced
April 1)........ 1.00 0.04 (0.04) 1.00 4.99(c) 4,159 0.43(c) 4.84(c)
1997-FST Service
shares (com-
menced
March 5)........ 1.00 0.04 (0.04) 1.00 4.71(c) 20,177 0.68(c) 4.62(c)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.24% 4.45%
1999-FST Pre-
ferred shares... 0.34 4.47
1999-FST Admin-
istration
shares.......... 0.49 4.23
1999-FST Service
shares.......... 0.74 4.01
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.29 4.63
1998-FST Pre-
ferred shares... 0.39 4.57
1998-FST Admin-
istration
shares.......... 0.54 4.51
1998-FST Service
shares.......... 0.79 4.26
- --------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST
shares (commenced
March 3)........ 0.29(c) 4.98(c)
1997-FST Pre-
ferred shares
(commenced
May 30)......... 0.39(c) 4.89(c)
1997-FST Admin-
istration shares
(commenced
April 1)........ 0.54(c) 4.73(c)
1997-FST Service
shares (com-
menced
March 5)........ 0.79(c) 4.51(c)
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
45
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Government Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 5.03% $2,260,275 0.18% 4.91%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 4.93 181,155 0.28 4.81
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.77 519,266 0.43 4.67
1999-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.51 435,192 0.68 4.35
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.46 1,563,875 0.18 5.32
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.36 245,628 0.28 5.15
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.20 407,363 0.43 5.06
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.94 699,481 0.68 4.83
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.54 1,478,539 0.18 5.41
1997-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.43 7,147 0.28 5.34
1997-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.28 299,804 0.43 5.15
1997-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 5.02 580,200 0.68 4.91
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.38 858,769 0.18 5.25
1996-FST Pre-
ferred shares
(commenced May
1).............. 1.00 0.03 (0.03) 1.00 5.26(c) 112 0.28(c) 5.14(c)
1996-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.12 145,108 0.43 5.01
1996-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.86 223,554 0.68 4.74
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 1.00 0.06 (0.06) 1.00 6.00 743,884 0.18 5.81
1995-FST Admin-
istration
shares.......... 1.00 0.06 (0.06) 1.00 5.74 82,386 0.43 5.54
1995-FST Service
shares (com-
menced May 16).. 1.00 0.03 (0.03) 1.00 5.40(c) 14,508 0.68(c) 5.08(c)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
---------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.22% 4.87%
1999-FST Pre-
ferred shares... 0.32 4.77
1999-FST Admin-
istration
shares.......... 0.47 4.63
1999-FST Service
shares.......... 0.72 4.31
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.23 5.27
1998-FST Pre-
ferred shares... 0.33 5.10
1998-FST Admin-
istration
shares.......... 0.48 5.01
1998-FST Service
shares.......... 0.73 4.78
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 0.24 5.35
1997-FST Pre-
ferred shares... 0.34 5.28
1997-FST Admin-
istration
shares.......... 0.49 5.09
1997-FST Service
shares.......... 0.74 4.85
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 0.24 5.19
1996-FST Pre-
ferred shares
(commenced May
1).............. 0.34(c) 5.08(c)
1996-FST Admin-
istration
shares.......... 0.49 4.95
1996-FST Service
shares.......... 0.74 4.68
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 0.24 5.75
1995-FST Admin-
istration
shares.......... 0.49 5.48
1995-FST Service
shares (com-
menced May 16).. 0.74(c) 5.02(c)
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions and complete redemption of the
investment at the net asset value at the end of the period.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
46
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Federal Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net Asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.05 $(0.05) $1.00 5.05% $4,206,119 0.18% 4.96%
1999-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 4.94 186,590 0.28 5.05
1999-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 4.79 789,529 0.43 4.71
1999-FST Service
shares.......... 1.00 0.04 (0.04) 1.00 4.53 478,635 0.68 4.46
- -------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.05 (0.05) 1.00 5.41 2,346,254 0.18 5.24
1998-FST Pre-
ferred shares... 1.00 0.05 (0.05) 1.00 5.31 26,724 0.28 5.20
1998-FST Admin-
istration
shares.......... 1.00 0.05 (0.05) 1.00 5.15 690,084 0.43 5.02
1998-FST Service
shares.......... 1.00 0.05 (0.05) 1.00 4.89 321,124 0.68 4.78
- -------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST shares
(commenced Feb-
ruary 28)....... 1.00 0.05 (0.05) 1.00 5.51(c) 1,125,681 0.18(c) 5.39(c)
1997-FST Pre-
ferred shares
(commenced May
30)............. 1.00 0.03 (0.03) 1.00 5.43(c) 194,375 0.28(c) 5.26(c)
1997-FST Admin-
istration shares
(commenced April
1).............. 1.00 0.04 (0.04) 1.00 5.27(c) 625,334 0.43(c) 5.15(c)
1997-FST Service
shares (com-
menced March
25)............. 1.00 0.04 (0.04) 1.00 5.00(c) 228,447 0.68(c) 4.78(c)
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
-------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.23% 4.91%
1999-FST Pre-
ferred shares... 0.33 5.00
1999-FST Admin-
istration
shares.......... 0.48 4.66
1999-FST Service
shares.......... 0.73 4.41
- -------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.24 5.18
1998-FST Pre-
ferred shares... 0.34 5.14
1998-FST Admin-
istration
shares.......... 0.49 4.96
1998-FST Service
shares.......... 0.74 4.72
- -------------------------------------------------------------------------------------------------------------
For the Period Ended December 31,
- ---------------------------------
1997-FST shares
(commenced Feb-
ruary 28)....... 0.27(c) 5.30(c)
1997-FST Pre-
ferred shares
(commenced May
30)............. 0.37(c) 5.17(c)
1997-FST Admin-
istration shares
(commenced April
1).............. 0.52(c) 5.06(c)
1997-FST Service
shares (com-
menced March
25)............. 0.77(c) 4.69(c)
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
47
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Tax-Free Money Market Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Net Ratio of net
Net asset Net asset assets at Ratio of net investment
value at Net Distributions value at end expenses to income to
beginning investment to end Total of period average net average net
of period income(a) shareholders of period return(b) (in 000's) assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... $1.00 $0.03 $(0.03) $1.00 3.13% $1,775,327 0.18% 3.12%
1999-FST Pre-
ferred shares... 1.00 0.03 (0.03) 1.00 3.03 31,359 0.28 2.99
1999-FST Admin-
istration
shares.......... 1.00 0.03 (0.03) 1.00 2.88 127,967 0.43 2.81
1999-FST Service
shares.......... 1.00 0.03 (0.03) 1.00 2.62 69,465 0.68 2.61
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 1.00 0.03 (0.03) 1.00 3.34 1,456,002 0.18 3.28
1998-FST Pre-
ferred shares... 1.00 0.03 (0.03) 1.00 3.24 20,882 0.28 3.17
1998-FST Admin-
istration
shares.......... 1.00 0.03 (0.03) 1.00 3.08 146,800 0.43 3.04
1998-FST Service
shares.......... 1.00 0.03 (0.03) 1.00 2.83 50,990 0.68 2.77
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 1.00 0.04 (0.04) 1.00 3.54 939,407 0.18 3.50
1997-FST Pre-
ferred shares... 1.00 0.03 (0.03) 1.00 3.43 35,152 0.28 3.39
1997-FST Admin-
istration
shares.......... 1.00 0.03 (0.03) 1.00 3.28 103,049 0.43 3.27
1997-FST Service
shares.......... 1.00 0.03 (0.03) 1.00 3.02 42,578 0.68 3.01
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 1.00 0.03 (0.03) 1.00 3.39 440,838 0.18 3.35
1996-FST Pre-
ferred shares
(commenced May
1).............. 1.00 0.02 (0.02) 1.00 3.30(c) 28,731 0.28(c) 3.26(c)
1996-FST Admin-
istration shares
................ 1.00 0.03 (0.03) 1.00 3.13 51,661 0.43 3.10
1996-FST Service
shares.......... 1.00 0.03 (0.03) 1.00 2.88 19,855 0.68 2.85
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 1.00 0.04 (0.04) 1.00 3.89 448,367 0.14 3.81
1995-FST Admin-
istration
shares.......... 1.00 0.04 (0.04) 1.00 3.63 20,939 0.39 3.54
1995-FST Service
shares.......... 1.00 0.03 (0.03) 1.00 3.38 19,860 0.64 3.32
<CAPTION>
Ratios assuming no
waiver of fees and no
expense limitations
------------------------
Ratio of net
Ratio of investment
expenses to income to
average net average net
assets assets
--------------------------------------------------------------------------------------------
<S> <C> <C>
For the Years Ended December 31,
- --------------------------------
1999-FST
shares.......... 0.22% 3.08%
1999-FST Pre-
ferred shares... 0.32 2.95
1999-FST Admin-
istration
shares.......... 0.47 2.77
1999-FST Service
shares.......... 0.72 2.57
- --------------------------------------------------------------------------------------------------------------
1998-FST
shares.......... 0.23 3.23
1998-FST Pre-
ferred shares... 0.33 3.12
1998-FST Admin-
istration
shares.......... 0.48 2.99
1998-FST Service
shares.......... 0.73 2.72
- --------------------------------------------------------------------------------------------------------------
1997-FST
shares.......... 0.24 3.44
1997-FST Pre-
ferred shares... 0.34 3.33
1997-FST Admin-
istration
shares.......... 0.49 3.21
1997-FST Service
shares.......... 0.74 2.95
- --------------------------------------------------------------------------------------------------------------
1996-FST
shares.......... 0.23 3.30
1996-FST Pre-
ferred shares
(commenced May
1).............. 0.33(c) 3.21(c)
1996-FST Admin-
istration shares
................ 0.48 3.05
1996-FST Service
shares.......... 0.73 2.80
- --------------------------------------------------------------------------------------------------------------
1995-FST
shares.......... 0.24 3.71
1995-FST Admin-
istration
shares.......... 0.49 3.44
1995-FST Service
shares.......... 0.74 3.22
</TABLE>
- ----
(a) Calculated based on the average shares outstanding methodology.
(b) 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.
(c) Annualized.
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
48
<PAGE>
Goldman Sachs Trust--Financial Square Funds
- --------------------------------------------------------------------------------
Report of Independent Public Accountants
- --------------------------------------- ---------------------------------------
To the Shareholders and Board of Trustees of
Goldman Sachs Trust--Financial Square Funds:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Trust--Financial Square Funds (a Delaware Business Trust
comprising the Prime Obligations, Money Market, Premium Money Market, Treasury
Obligations, Treasury Instruments, Government, Federal and Tax-Free Money
Market Funds), including the statements of investments, as of December 31,
1999, and the related statements of operations and the statements of changes in
net assets and the financial highlights for the periods presented. These
financial statements and the financial highlights are the responsibility of the
Funds' 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 and financial highlights. Our procedures included confirmation of
securities owned as of December 31, 1999 by correspondence with the custodian
and brokers. 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 financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds constituting Goldman Sachs Trust--Financial Square
Funds as of December 31, 1999, 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 14, 2000
49
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------- ---------------------------------------
- --------------------------------------------------------------------------------
This Annual Report is authorized for distribution to prospective investors only
when preceded or accompanied by a Goldman Sachs Trust-Financial Square Funds
Prospectus which contains facts concerning each Fund's objectives and policies,
management, expenses and other information.
- --------------------------------------------------------------------------------
<PAGE>
TRUSTEES
Ashok N. Bakhru, Chairman
David B. Ford
Douglas C. Grip
John P. McNulty
Mary P. McPherson
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
OFFICERS
Douglas C. Grip, President
Jesse H. Cole, Vice President
James A. Fitzpatrick, Vice President
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Adrien E. Deberghes, Jr., Assistant Treasurer
Philip V. Giuca, Jr., Assistant Treasurer
Michael J. Richman, Secretary
Amy E. Belanger, Assistant Secretary
Howard B. Surloff, Assistant Secretary
Kaysie P. Uniacke, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT
Investment Adviser
[LOGO OF GOLDMAN SACHS]
Goldman Sachs Funds
32 Old Slip
New York, NY 10005
