Investment Europe Fund Selector Forum, · PDF fileInvestment Europe Fund Selector Forum,...

Investment Europe

Fund Selector Forum, Israel

3rd December 2014

FOR DELEGATE USE ONLY - NOT FOR FURTHER DISTRIBUTION

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GS Growth & Emerging Markets Debt Local PortfolioGS Growth & Emerging Markets Corporate Bond PortfolioGS Growth & Emerging Markets Debt Blend Portfolio

1

Table of Contents

I. Market Review & Outlook

II. EMD Valuations & Opportunities

II. Key Positions

III. EMD Benchmark Indices

IV. GSAM Approach to Sovereign EMD

Appendix

GS Growth & Emerging Markets Debt Local Portfolio

GS Growth & Emerging Markets Corporate Bond Portfolio

GS Growth & Emerging Markets Debt Blend Portfolio

I. Market Review & Outlook

3

Market reviewReturn across EMD asset classes

Market Review & Outlook

29.8%

12.2%7.3%

17.4%

-5.3%

9.9%

22.0%15.7%

-1.8%

16.8%

-9.0%

1.6%

34.9%

13.1%

2.3%

15.0%

-0.6%

7.2%

-20%

-10%

0%

10%

20%

30%

40%

2009 2010 2011 2012 2013 2014 YTD

An

n. R

etu

rn

External Debt (JPM EMBI Global Div) Local Debt (JPM GBI-EM Global Div) Corp Debt (JPM CEMBI Broad Div)

EM External Debt Return Decomposition(JPM EMBI Global Diversified Index)

EM Local Debt Return Decomposition(JPM GBI-EM Global Index)

EM Corporate Debt Return Decomposition(JPM CEMBI Broad Diversified Index)

Source: GSAM & JPM calculations, JPM-Morgan Markets, as of 31-Oct-14. Past performance does not guarantee future results, which may vary.

29.8%

12.2% 7.3%17.4%

-5.3%

9.9%

-15%

-5%

5%

15%

25%

35%

45%

2009 2010 2011 2012 2013 2014YTD

An

n.

Retu

rn

US Interest RatesEMD SpreadTotal Return

22.0%

15.7%

-1.8%

16.8%

-9.0%

1.6%

-10%

-5%

0%

5%

10%

15%

20%

25%

2009 2010 2011 2012 2013 2014YTD

An

n.

Retu

rn

RatesCurrenciesTotal Return

34.9%

13.1%2.3%

15.0%

-0.6%

7.2%

-15%

-5%

5%

15%

25%

35%

45%

2009 2010 2011 2012 2013 2014YTD

An

n.

Retu

rn

US Interest Rates

EMD Spread

Total Return

4

Total EM fixed income flows turn positive in 2014


Total EM fixed income flows have stabilised Flows into EM fixed income retail funds remain at low levels

As of 29-Oct-14. Source: LHS : JPM, EPFR. RHS: Barclays, EPFR. LC: Local Currency. HC: Hard Currency. Past performance does not guarantee future results, which may vary.

5

Fund flows have followed performance

Barclays, EPFR, as of 13-Aug-14. LC: Local Currency. HC: Hard Currency. JP Morgan. Past performance does not guarantee future results, which may vary.

Hard currency bond flows follow performance with a smaller lag

Local currency bond flows follow performance

-15%

-10%

-5%

0%

5%

10%

Dec-1

2

Jan

-13

Fe

b-1

3

Ma

r-13

Ap

r-13

Ma

y-13

Jun

-13

Jul-1

3

Au

g-1

3

Se

p-1

3

Oct

-13

Nov-1

3

Dec-1

3

Jan

-14

Fe

b-1

4

Ma

r-14

Ap

r-14

Ma

y-14

Jun

-14

Jul-1

4

Au

g-1

4

LC bond fund flows LC bond returns (advanced 3w fwd)Month chg.

-8%

-6%

-4%

-2%

0%

2%

4%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

Dec-1

2

Jan

-13

Fe

b-1

3

Ma

r-13

Ap

r-13

Ma

y-13

Jun

-13

Jul-1

3

Au

g-1

3

Se

p-1

3

Oct

-13

Nov-1

3

Dec-1

3

Jan

-14

Fe

b-1

4

Ma

r-14

Ap

r-14

Ma

y-14

Jun

-14

Jul-1

4

Au

g-1

4

HC bond fund flows HC bond returns (advanced 1w fwd), RHSMonth chg.


6

Commodities price impact on EM varies by country Lower commodity prices pose a risk to exporting countries, while net importing countries may be set to benefit from this environment

In the current environment, with low commodities prices, countries under pressure are Venezuela, Russia, Argentina, Malaysia,Colombia, while the top winners are countries like South Korea, Czech, Israel, Poland, Turkey, Thailand, as well as some of the Caribbean nations.

Impact on current accounts incorporates the changes in commodity prices in 3Q based on S&P’s indices (-17.8% in agriculture, -13.9% in energy and -2.4% in metals) and each country’s net exports as percentage of GDP of these three categories. Source: CS, GSAM. October 2014.

Commodity price impact of EM current accounts (% of GDP) ... the beneficiaries and countries adversely affected

• Argentina and Venezuela: commodity exports are the main source of dollar inflows for both of these economies, with soybeans for Argentina and oil for Venezuela.

• Russia: some negative impact from lower oil prices expected. However to note that during the financial crisis in 2008-2009 when oil prices fell to <$50/bbl, the current account balance did not turn negative.

• Korea and Thailand: Lower oil and metals prices are likely to add to Korea's already strong current account surplus. Thailand also benefits from the recent fall in oil prices.

Country Food Energy Metals

Net Impact of 3Q

Commodity Price

Shock

Brazil (0.3) 0.0 (0.2) (0.5)

Mexico 0.1 (0.1) 0.0 0.1

Colombia 0.0 (0.9) 0.0 (1.2)

Chile (0.3) 0.6 (1.7) (0.1)

Peru 0.2 0.0 (0.8) 0.1

Argentina (0.8) 0.1 0.0 (1.4)

Venezuela 0.3 (2.1) (0.1) (2.5)

Russia 0.2 (1.7) (0.1) (2.1)

Turkey (0.1) 0.7 0.2 0.9

South Africa 0.0 0.5 (0.8) 0.6

Poland 0.2 0.4 0.0 0.9

Hungary (0.3) 0.6 0.2 0.3

Czech Republic 0.1 0.6 0.2 1.1

Israel 0.2 0.6 0.1 1.1

India (0.1) 0.6 0.1 0.7

Indonesia (0.2) 0.1 0.0 (0.2)

Malaysia (0.3) (0.6) 0.3 (1.3)

S. Korea 0.2 1.0 0.2 1.7

Thailand (0.5) 1.2 0.5 0.9

Current Account Sensitivity to

10% Price Decline


7

Varying levels of impact on EM from lower oilLower commodity prices pose a significant risk to EM exporting countries rates and currencies

Note: Inflation impact calculated using domestic fuel prices. Source: Morgan Stanley; Bloomberg; GSAM. October 2014. Oil (Crude): CL1 Comdty; Copper: LP3 Comdty; Soybeans: SPGSSOTR Index (S&P GSCI Soybeans Index); Wheat: W 1 Comdty.

Big decline in commodity prices since the summer…

Copper

Soybeans and Wheat


Macro Impact from a 10% Fall in Oil Prices….

Oil (Crude)

6400

6900

7400

7900

8400

2012 2013 2014

75

8085

90

95

100105

110

115

2012 2013 2014

250

500

750

1000

3000

4000

5000

6000

2012 2013 2014

Soybeans (LHS)

Wheat (RHS)

USD/bbl.

USD/MT

USD USD/ bu.

8

IMF China Risk AssessmentStill manageable, but vulnerabilities continue to build up

Policy Buffers Risk Factors

Source: IMF. As of Oct-14


1. Government debt still low

– Low relative to other EM countries at around 55% of GDP

– Solvency position looks solid

2. External debt levels are low and domestic savings are high

3. Government control, state-owned banks

4. Adjustment has started

– Fiscal reforms to rebalance revenue sharing

– Municipal bond issuance

– Sale of state assets

Low probability of near-term crisis or sharp slowdown

1. Real estate, credit & shadow banking, LGs, investment

– At 150% of GDP, corporates are the largest and fastest growing borrower group in the financial system

– Shadow banking’s share of GDP has risen 35 percentage points since start of 2009

2. Vulnerabilities interlinked & still growing

– Shadow banking still has close ties to the formal banking system

3. Continued reliance on investment and credit for growth

4. Financial reforms complex, moral hazard

Without reforms, growingmedium-term risk

9

80

85

90

95

100

105

110

115

200

0

200

1

200

2

200

3

200

4

200

5

200

6

200

7

200

8

200

9

201

0

201

1

201

2

201

3

201

4

2

3

4

5

6

7

8

9

10

Jan

-08

Jul-

08

Jan

-09

Jul-

09

Jan

-10

Jul-

10

Jan

-11

Jul-

11

Jan

-12

Jul-

12

Jan

-13

Jul-

13

Jan

-14

Jul-

14

(%)

GBI-EM Global Div Traded Index Yield EM CPI YoY (Composite)

Effects of QE largely priced out, a lot of bad news priced in

Emerging Market (EM) Yields have Increased from spring 2013 levels while Inflation is Stable

EM Yields as of 30-Sep-14, EM CPI YoY as of 30-Sep-14

EM Currencies are much Weaker than their 2011 and 2012 Peaks

Source: Bloomberg, JPMorgan, GSAM. EMLD FX represented by JPM Emerging Market Currency Index. Index constituents have the following static weights: CLP 11.11%, BRL 11.11%, MXN 11.11%, HUF 8.33%, ZAR 8.33%, RUB 8.33%, TRY 8.33%, SGD 11.11%, CNY 11.11%, INR 11.11%.


EMLD FX Performance – October 31, 2014

Current Level

QE 1QE 2 QE 3

BoJLTRO

ECB

II. EMD Valuations & Opportunities

11

EM macro fundamentals A broad picture of health

Government Debt (% of GDP) Fiscal Deficit (% of GDP) Current Account Balance (% of GDP)

Source: IMF 2014 estimates, Data as at Apr-14.

EMD Valuations & Opportunities

Developed Markets Emerging Markets

106%

33%

-4%

-2%

0.5%

0.8%

12

0

100

200

300

400

500

600

700

800

0

20

40

60

80

100

120

140

160

180

200

Ch

ile

Ru

ssia

Pe

ru

Ind

on

esi

a

Tu

rke

y

Co

lom

bia

Ph

ilip

pin

es

Ro

ma

nia

So

uth

Afr

ica

Me

xico

Po

lan

d

Ma

lay

sia

Bra

zil

Slo

ve

nia

Hu

ng

ary

Sp

ain

Ire

lan

d

Po

rtu

ga

l

Ita

ly

Gre

ece

Z-s

pre

ad

(b

ps)

De

bt

to G

DP

(%

)Debt sustainability issues plaguing DM less of a concern for EM


Developed markets are set to pierce debt-to-GDP ratios of 100% whilst those of emerging markets should remain below 40%.

EM countries do not share the same public balance sheet stress as peripheral Europe.

There are very few EM countries with balance sheets as stretched as those of peripheral Europe (Public Sector Debt / GDP)

Source: IMF, Bloomberg, JP Morgan as of 31-Oct-14.

13

EM sovereign spreads look attractive vs US IG and HY

As of 31-Oct-14. Source: GSAM, JP Morgan, Barclays.


EM sovereign index spreads are now closer to US HY than to US IG, currently at the bottom of the range.

While July’s move reverses the cheapening of EM vs. HY, over a long horizon EM remains cheap to HY.

EM sovereign index spreads vs. US IG are now 192 bps apart

-600

-500

-400

-300

-200

-100

0

100

200

300

2009 2010 2011 2012 2013 2014

Difference between JPM EMBI Global Diversified Index and Barclays US IG Corporate Index (bps)

Difference between JPM EMBI Global Diversified Index and Barclays US HY Corporate Index (bps)

14

EMBIG IG and CEMBI spreads have traded in a narrow range in 2014 despite the sell-off in Russia

Source: JP Morgan. As of 31-Oct-14. Past performance does not guarantee future results, which may vary. Please see additional disclosures.


150

200

250

300

350

400

Jan

-14

Fe

b-1

4

Ma

r-1

4

Ap

r-14

Ma

y-1

4

Jun

-14

Jul-

14

Au

g-1

4

Se

p-1

4

Oct-

14

Sp

read

(b

ps)

CEMBI Broad EMBIG IG Russia EMBI GD

15

0

100

200

300

400

500

600

700

800

Fe

b-0

8

Ap

r-08

Jun

-08

Au

g-0

8

Oct

-08

Dec-0

8

Fe

b-0

9

Ap

r-09

Jun

-09

Au

g-0

9

Oct

-09

Dec-0

9

Fe

b-1

0

Ap

r-10

Jun

-10

Au

g-1

0

Oct

-10

Dec-1

0

Fe

b-1

1

Ap

r-11

Jun

-11

Au

g-1

1

Oct

-11

Dec-1

1

Fe

b-1

2

Ap

r-12

Jun

-12

Au

g-1

2

Oct

-12

Dec-1

2

Fe

b-1

3

Ap

r-13

Jun

-13

Au

g-1

3

Oct

-13

Dec-1

3

Fe

b-1

4

Ap

r-14

Jun

-14

Au

g-1

4

Z-s

pre

ad

(b

ps

)

JPM EMBI Global Diversified IG

JPM CEMBI Broad Diversified IG

Barclays U.S. Corporate Investment Grade

The value in EM corporates

IG EM Corporates (with an average rating of A3/BBB+) have a yield pickup of 98 bps relative to IG US Corporates (with an average rating of A2/A3) and a yield pickup of 9 bps over IG EM Sovereigns (with an average rating of Baa2/BBB)

As of 30-Sep-14. Source: GSAM, Barclays, JPMorgan.

210 bps201 bps

112 bps

BarclaysU.S.

Corporate IG

JPM EMBI Global

Diversified IG

JPM CEMBI Broad

Diversified IG

IG EM Corporates vs

IG US Corporates

30-Dec-11 238 275 335 97

31-Dec-12 139 149 243 104

31-Dec-13 114 203 226 112

30-Sep-14 112 201 210 98


16

Emerging market debt within fixed income sectorsMajor EMD assets offer attractive yield and relatively higher credit ratings

*Years to maturity. Source JP Morgan, Barclays, Citi Group, Credit Swiss, GSAM. As of 31-Oct-14.EM IG Corporates USD ：JP Morgan CEMBI Broad Diversified (IG , EM Corporates USD ：JP Morgan CEMBI Broad Diversified, EMD USD ：JP Morgan EMBI Global Diversified, EMD

local ： JP Morgan GBI－EM Global Diversified, Barclays Global Treasury： Barclays Global Treasury ex-Japan, Global IG Corp：Barclays Global Aggregate Corporate Index, US HY Corporate：Barclays US HY Corporate Index, Blended EMD: 50% JPM GBI-EM Global Div. 25% JPM EMBI Global Div. 25% JPM CEMBI Broad Div; Euro IG Corp – Barclays Euro Aggregate Corporate; Euro HighYield Corp – ML Euro High Yield Index. Past performance does not guarantee future results, which may vary.

Euro IG Corp

Barclays Global

Treasury

Barclays Global

AggregateGlobal IGCorporate

EMD Corporate IG (USD)

Euro High Yield Corp

EMD Corporate

(USD)

EMD (Hard

Currency)

US Leveraged

LoanBlended

EMDUS HY

Corporate

EMD(Local

Currency)

Duration (years)

4.80 6.56 6.11 6.28 5.58 3.87 5.26 7.00 5.08* 5.47 4.25 4.81

Sovereign Risk ○ ● ● ○ ○ ○ ○ ● ○ ● ○ ●Credit Risk ● ● ● ● ● ● ○ ● ● ●Currency Risk (vs US Dollar) ● ● ● ● ● ●Average Credit Rating

A- AA AA- A- BBB+ BB- BBB BBB- B+ BBB B BBB+

Significant Exposure●Partial Exposure○ Investment Grade

1.2%1.5%

1.9%2.6%

4.2% 4.2%

4.9%5.2% 5.4%

5.7% 5.8%6.4%


III. Key Positions

18

GSAM Emerging Market Debt ViewsKey active positions

Source: GSAM. As of 31-Oct-14.¹ Underweights exclude funding currencies USD, EUR and JPY positions. The data shown is of a representative account, is for informational purposes only, and is not indicative of future portfolio characteristics/returns. Not all portfolio holdings are shown above. Key positions across GSAM EMD platform. Portfolio holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.

Key Positions

Local Rates

Overweight

Brazil

Indonesia

South Africa

Underweight

South Korea

Malaysia

Chile

Currency

Overweight

India INR

S. Africa ZAR

Mexico MXN

Underweight1

Singapore SGD

China CNY

Brazil BRL

External

Overweight

Croatia

Indonesia

Paraguay

Underweight

China

Philippines

Hungary

Overweight (Industry)

Utilities

Consumer

Industrial

Underweight (Industry)

Financials

Basic Materials

Corporates

IV. EMD Benchmark Indices

20

Local Sovereign

Debt, 100%

JP Morgan GBI-EM Global Diversified IndexLocal EMD

Top level statistics Country of risk breakdown (MV, %)

Sector breakdown (MV,%) Credit rating breakdown (MV, %)

As of 31-Oct-14. Source: GSAM, JP Morgan.

EMD Benchmark Indices

Number of Holdings 200

Number of Countries 16

Average Rating BBB+

Coupon (%) 6.51

Yield to Worst (%) 6.42

Option Adjusted Duration (years) 4.87

Maturity (years) 7.04

10.0% 10.0% 10.0% 10.0% 10.0% 10.0%

7.9% 7.7%6.9%

6.3%

4.9%

2.5%1.9%

1.5%

0.4% 0.1%

0%

2%

4%

6%

8%

10%

12%

AA, 0.1%

A, 40.1%

BBB, 58.0%

BB, 1.9%

21

External Sovereign

Debt, 75.8%

External Quasi-Sovereign

Debt, 24.2%

JP Morgan EMBI Global Diversified IndexExternal EMD



As of 31-Oct-14. Source: GSAM, JP Morgan. ‘Other’ category comprises countries with less than 0.5% market value.




Average Rating BBB-

Coupon (%) 6.24


Option Adjusted Spread Duration (years) 6.76


OAS (bps) 300

AA, 6.0%

A, 16.9%

BBB, 41.6%

BB, 15.7%

B, 14.3%

CCC, 4.6% NR, 0.9%

0%

1%

2%

3%

4%

5%

6%

22

32%

15%14%

10%7% 7%

5% 5% 4%1% 1% 1%

0%

10%

20%

30%

40%

5.4 5.24.8

4.64.2

1.8

1.20.8

0.50.2 0.2 0.2

4.94.5

1.3

0.8 0.6 0.4 0.2 0.2 0.1

5.0

4.23.7

0.70.5 0.3 0.2 0.2

3.0

1.10.7 0.5 0.3 0.3

5.4 5.3 5.2 5.2

4.13.8

2.52.2

1.8

1.10.9

0.1 0.1

0

1

2

3

4

5

6

Me

xic

o

Bra

zil

Colo

mbia

Chile

Pe

ru

Jam

aic

a

Arg

en

tina

Gu

ate

mala

Trin

idad

& T

ob

ago

Pa

rag

ua

y

El S

alv

ad

or

Dom

Re

p

Russia

Tu

rke

y

Ka

zakh

sta

n

Ukra

ine

Po

lan

d

Czech

Rep

Hu

nga

ry

Azerb

aija

n

Cro

atia

UA

E

Qa

tar

Isra

el

Ku

wait

Sa

ud

i A

rab

ia

Ba

hra

in

Om

an

Ira

q

So

uth

Afr

ica

Nig

eri

a

Mo

rocc

o

Gh

ana

Eg

ypt

Za

mb

ia

Hon

g K

on

g

India

Ko

rea

Chin

a

Sin

ga

pore

Th

aila

nd

Ph

ilipp

ines

Indo

nesia

Ma

lays

ia

Ma

cau

Ta

iwan

Mo

ng

olia

Ba

ng

lade

sh

Mark

et

Valu

e (

%)

JP Morgan CEMBI Broad Diversified IndexCorporate EMD

Top level statistics Credit bucket breakdown (MV,%) Industry breakdown (MV,%)

As of 31-Oct-14. Source: JP Morgan, GSAM calculations.


Amount outstanding (US$, bn) 285

Market cap (US$, bn) 295

No of issues/securities 1,141

No of issuers 544

No of countries 50

Average credit rating BBB-

Yield to Maturity (%) 4.90

Spread (bps) 310

Average term remain (years) 8.12

Average Duration 4.93

Europe: 13%Latin America: 29% Middle East: 15% Asia: 38%Africa: 6%

Investment Grade67.1%

High Yield32.9%

23

0123456789

Sector breakdown (MV,%)

JP Morgan CEMBI Broad Diversified IG Ex-Financials IndexCorporate EMD

Top level statistics

As of 29-Oct-14. Source: JP Morgan.



No of issues/securities 474

No of issuers 187

No of countries 25

Average credit rating (Moody’s/S&P) Baa2/BBB


Spread (bps) 199



Central & Eastern Europe: 7%Asia: 35% Latin America: 30% Middle East/Africa: 28%

0

10

20

30


V. GSAM Approach to Sovereign EMD

25

GSAM Fixed Income and Liquidity ManagementEmerging market debt assets account for ~10% of GSAM FI assets

Source: GSAM; AUS data as of September 30, 2014, team data as of same date or later. Assets Under Supervision (AUS) includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Assets may not sum to totals due to figures being rounded down.¹ Alternative Investments includes non-fixed income Hedge Funds, Private Equity, Global Manager Strategies, Quantitative Strategies, Balanced, Multi-Product and other assets (seed capital). ² Includes Quantitative and Fundamental Equities. ³ Includes only funded assets under supervision. Please note that currency AUS is based on notional assets for unfunded accounts and market value for funded mandates. Firmwide currency AUS (including overlays and accounts that utilize currency as part of a wider risk budget) scaled to a common volatility of 4% amount to US$22.4bn.

GSAM Approach to Sovereign EMD

The Goldman Sachs Group, Inc.

Investment Banking SecuritiesGlobal Investment

Research

Investment Management

Over $441 Billion in Fixed Income AUS

Goldman Sachs Asset Management

AUS ($bn)

Sin

gle

-se

cto

rs

trate

gie

sSecuritized $29.7

Municipals 30.9

EMD 37.9

High Yield 23.5

Bank Loans 5.9

Investment Grade Credit 27.0

Long Duration Credit 22.8

Global Currency3 0.2

Commodities 3.2

AUS ($bn)

Mu

lti-

Se

cto

r a

nd

Reg

ion

alS

trate

gie

s Short Duration $62.9

US Intermediate Duration 38.2

US Core 48.2

Europe / UK 19.1

Global Fixed Income 26.1

Long Duration 19.2

LIBOR Plus 37.2

Oth

er

Relative Value $4.4

Opportunistic / Distressed 3.8

Over $999.2 billion in AUS across fixed income, equity and alternatives1

2,000+ professionals in 32 locations globally

Combines the resources of a large firm with the focus of an investment boutique

Equity2

193.4 bn

Fixed Income & Currency 441.2 bn

Money Markets225.5 bn

Alternative Investments1

139.1

26

0

500

1,000

1,500

2,000

2,500

3,000

3,500

1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Long history of managing emerging markets debt at GSAM

EM currency

management

First dedicated EM

Local debt portfolio

(bm agnostic)

EM debt part of

Core Fixed Income

First dedicated EM

Local debt portfolio

(JPM GBI-EM GD)

First dedicated EM

External debt portfolio

Manage EM

corporates within

portfolios

EM Local debt part

of Core FI portfolios

First dedicated EM

Corp portfolio

GSAM EMD Assets Under ManagementTotal Dedicated EMD: $38.6bnIncluding all FI portfolios*: $45.8bn

EMD Market Size(JPM benchmarks)

Total: $3.1tn

GSAM Milestones

Local Sov’nJPM GBI-EM

Broad$1,670 bn

CorporateJPM CEMBI

Broad$802 bn

USD Sov’nJPM EMBI

Global$668 bn

First dynamic

blended EMD fund

First absolute

return EMD

mandate

As of 31-Oct-14. Sources: GSAM, JPMorgan. Total Dedicated EMD assets above includes all assets in funds and accounts, including cash and liquidity fund investments. The USD Sovereign constrained AUM includes accounts with low tracking error targets and constraints due to client specific guidelines. *Includes EMD assets in non-dedicated accounts (including multi-sector, and global portfolios).


Our strategies have developed with the growth of the asset class

$9.1 $3.6 $1.5 $0.2

$2.0

$3.2

$7.7

$11.3

$14.4

0 3 6 9 12 15 18

Corporate

USD Sov'nConstrained

USD Sov'n

Local Sov'n

Blend

USD Sovn Local Sovn USD Corp Absolute Return

27

Global Fixed Income and Liquidity Management

Jonathan Beinner, CIO, Co-Head, Global Fixed Income and Liquidity ManagementAndrew Wilson, Co-Head, Global Fixed Income and Liquidity Management

As of October 6, 2014.1 Fixed Income Strategists report directly to David Coulson who reports directly to Gavin Simms Head of IMD Strategists.


Top-Down Strategy Teams

Tom Teles+6 professionals

22+ yrs avg experience

Anticipates direction of markets and changing shape of yield curve using

fundamental, quantitative and technical analysis

Currency

Cross-Sector

Country

Duration

Kent Wosepka Tom Teles

+3 professionals17+ yrs avg experience

Employs top-down fundamental analysis in allocating capital to bottom-up

strategies

Jonathan Bayliss+7 professionals


Develops individual country views using a “balance

sheet” research approach, using quantitative tools as an overlay to the process

David Bowen +6 professionals


Employs a flexible, economics-based process to determine the relative

attractiveness of currencies

Bottom-Up Strategy Teams

Securitized / Gov’t / Swaps (Tom Teles, Head) Municipals EMD Money Markets

Gov’t / Swaps Securitized

Mark Van Wyk+10 professionals


Duration & curveRelative Value

Issuer / Issue SelectionInterest rate hedging

Ben Barber+15 professionals


Taxable & tax-exempt Tax adjusted return and

incomeRates and curve strategies Municipal credit analysis

Sam Finkelstein+23 professionals


External and local sovereign, quasi-sovereign,

corporate debt and EM currencies

Fundamental research of country balance sheets Long-term orientation

Dave FishmanJames McCarthy+18 professionals

+2 Gao Hua Securities 14+ yrs avg experience

Provide investment solutions for all liquidity tiers

Incorporate liquidity issues with strategic view to determine optimum curve exposure

Global Corporate Credit Team (Kent Wosepka, Head)

Investment GradeBank Loans /

High Yield

Matthew ArmasBen Johnson

+10 professionals12+ yrs avg experience

Fundamentally-driven bottom-up approach global perspective to

uncover relative value opportunities

Lale Topcuoglu15+ yrs avg experience

Fundamentally-driven bottom-up approachGlobal, across the

spectrum of corporate credit for non-benchmark

portfolios

High Yield

Peter Schwab+19 professionals


Credit selection and analysisCoverage across the spectrum of high yield

corporate credit

Multi / Single Sector

Jonathan BeinnerAndrew Wilson

Jonathan BaylissSam Finkelstein

Iain LindsayPhilip MoffittMichael Swell

Tom TelesMark Van Wyk

Stephen WarrenKent Wosepka

Oversees portfolio strategy, key risk positions, investment process, medium to

long-term themes and outlook

Global PortfolioConstruction & Risk

Stephen Warren +5 professionals

Monitors portfolio construction and provide risk oversight

Quantitative Research and Strategists

David Coulson1

+16 professionals

Build proprietary research and analysis platforms to support investment teams

Macro Strategies (Sam Finkelstein, Head)

Investment Grade

Steve Waxman+18 professionals


Credit selection and analysisCoverage across the spectrum of investment grade corporate credit

Corporate Credit Research

Iain LindsayMichael SwellYacov ArnopolinRonald AronsAngus BellHugh BriscoeJeremy Cave Rachel GolderMichael GoosayMatthew KaiserNini LakewAlex Lawson Antonella Manganelli

Portfolio Managers

Global Liquidity Management

Portfolio Managers

Dave FishmanJames McCarthyJason GranetJemma Clee

Insurance

John Melvin+9 professionals

14+ yrs avq experience

Portfolio construction and customized investment solutions for insurance clients

Product Management

Olga Klepov+ 47 professionals

Provides product support across all strategies

Stable Value

Josh Kruk+6 professionals


Customized capital preservation solutions for retirement plans and other investors

FISG11 Investors

23+ Years Average Experience

Scott GilbertBob LeggettJohn OlivoSubash Pillai

Alternatives

Jonathan Xiong +2 professionals

Focus on expanding the hedge fund alternative business, covering Global Ops,

Commodities and Currency hedge fund strategies including FIMS.

Matei MihalcaKozo MitamuraPhilip MoffittSean ReynoldsOwi RuivivarJasper SagooPaul SearyJason SingerBen TrombleyTetsuya UkaiAyumu UrataJonathan XiongWeiliang Zhang

Chris Creed / Chris Hogan+9 professionals


Agency mortgage selection and analysisSecuritized credit selection and analysis

Commodities

Michael Johnson+3 professionals


Alpha strategies: timing, curve shape, relative value, and volatility tradesBeta strategies: seek exposure to

commodities index and manage roll on futures or enhanced swaps

Alternative Corporate Credit

Rachel GolderMichael Goldstein+7 professionals


Fundamentally-driven bottom-up credit approach Global,

diversified portfolio

28

Cross-pollination of ideas between EMD and other Fixed Income teams

As of 31-Oct-14. For illustrative purposes only.


Currency

Global Commodities

Money Markets

SecuritisedCross Sector

Duration

Emerging Market Debt

Global Equity Team

Corporates

EMD Team Floor Plan in New York

US Corporate

Credit (+35)

Emerging Market

Debt (+9)

GlobalCommodities

(+5)

TSY/ MBS (+12)

Risk (+4)

Global Fixed Income Teams

The Emerging Markets team benefits from synergies with other GSAM FI teams

The EMD team in New York is seated between the US Corporate Credit and the Global Commodities teams

Treasury/MBS professionals are close-by to advise on duration and interest rate exposure

29

How do GSAM fixed income teams interact?Scheduled meetings and calls underpin our culture of dialogue and debate



Team Members Frequency Purpose and Impact

Fixed Income Strategy Group(FISG)

CIO + Ten strategy heads (including EMD) Bi-weekly call Quarterly offsite

Discuss market trends and outlook Debate key themes Determine framework for near-term macro

positioning

Cross SectorHeads of the Credit, EMD, Securitized and Risk teams

Twice weekly - sector and outlook Weekly - opportunistic Bi-weekly - model and projections review

Develop top-down views to support / supplement bottom-up strategies

Discuss cross-sector valuations

Fixed Income AlphaAll Fixed Income, led by strategy heads(including EMD team)

Weekly Present key positions across strategies.

Macro ForumCountry, Currency, Commodities, EMD team

WeeklyInternal and external speaker presentations on current themes.

Market Meeting Various sector PMs (including EMD) Weekly Review key developments across sectors.

Emerging Market Debt Team

External Debt EMD team members Weekly via Telepresence Analyze and review fundamental research, country and sector targets, new and existing positions, trade ideas and market trends.Local Debt EMD team members Weekly via Telepresence

Blended Strategy EMD team members Bi-weekly via Telepresence Review blended asset allocation

EM/DM Relative Value Rates EMD + Developed Market Rates Traders Bi-weeklyDebate EM/DM rate curves, find relative value opportunities.

FX Strategy EMD team members Weekly Update on current positioning and FX views.

Corporate Debt EMD Corporate PMs + Analysts Three times weekly via TelepresenceUpdate on current positioning, company and sector views.

Corporate Debt and High Yield EMD Corporate and High Yield PM’s + Analysts Weekly Sector and company positioning review.

Global Corporate CreditEMD + Developed Markets Corporate PMs and Analysts

WeeklyUpdate on industry and sector trends, individual companies and positions.

Culture of continuous discussion / debate and free flow of ideas

30

The GSAM EMD team – Specialists across EMD asset classes


Head of Emerging Markets DebtSam Finkelstein (18)

Responsible for overall portfolio

risk including beta decisions.

Sovereign Economists

Sovereign Analysis

Responsible for sovereign

research and making

recommendations on debt and

currency positioning

Traders

Security Selection

Responsible for trading debt and

currencies managing liquidity and

making security selection

recommendations

EM Corporate Credit

EM Corporate Analysis

Responsible for fundamental

corporate research and portfolio

construction

Portfolio Managers

Portfolio Monitoring

Responsible for setting and

monitoring portfolio risk budgets

& guidelines and communicating

strategy to investors

Owi Ruivivar (17)

Location Key

New York Tokyo

London Bangalore

Singapore Argentina

Sabriyah Denham2 (11)

Sam Zhang (3)

Yacov Arnopolin (15)

The Emerging Markets Debt

team benefits from synergies

with other GSAM teams:

Commodities Team

Global Corporate Credit

Team

Duration and Country Teams

Global Equity Team

Ricardo Penfold (17)

Diego Sasson * (7)

Francesca Fornasari1 (16)

Kozo Mitamura (18)

Vladimir Liberzon (13) External Debt

Michael Jalkut (15) Local Rates

David Bowen1 (21) FX

Neil Squires (13)

Jacqueline Leary (6)

Nick Saunders (13)

Salman Niaz (14)

Hubert Chu (9)

Aakash Thombre (7)

Prashant Bajaj (4)

Krishnan V R (3)

Kunal Singh (8)

Ben Stein (4)

Prakriti Sofat (9)

Pratik Chaudhuri (1)

Numbers in parentheses ( ) indicate years of investment experience, as of 4-Nov-14.* Economist spends his time in New York and Argentina¹ Member of the GSAM Currency team covering EM and G10 currencies. ² Global Fixed Income Trader who trades Emerging Market Asia sovereign and corporate debt as part of her responsibilities in Singapore. In addition GSAM has a local presence in Beijing where the team provide local market analysis

Clearly defined roles and responsibilities

31

Investment approach Target sources of alpha

For illustrative purposes only.


Sovereign Economists Local analysts EM traders EM Corp team

EM Team Portfolio Decisions EM Team Portfolio Decisions

Country selection Country selection – a

research-intensive

process; decisions via

dialogue and debate within

EMD team

Sam Finkelstein acts as

facilitator for the

discussion

Security selection Security selection

and relative value

views

Input on market

technicals, flows

and liquidity

Tactical positioning

GSAM FI Inputs

Currency team Macro teamCountry /

Peripherals teamCommodities team

Portfolio beta positioning influenced by macro views of GSAM FI risk teams

Sam Finkelstein has ultimate responsibility for overall portfolio beta decisions

Optimal portfolio construction

32

Three Pillars of analysing sovereign debt

Source: GSAM. For illustrative use only. Please see additional disclosures.


Three Pillars of analysing sovereign debt

Debt level and its composition

Main drivers of fiscal revenue

Political ability to raise taxes

or cut expenditures

Fiscal1

Structure of the balance

of payment

Capital account and current

account

Destination of the country’s exports and imports

Balance of Payments2

Health of the financial sector

Credit growth outlook

Composition, vulnerability

and leverage of the banking

sector

Monetary/Financial3

What to watch out for – RED FLAGS

Current account deficit as a % of GDP above 5%

Consistently high fiscal deficit above 4%

High external debt relative to exports & GDP

Excessive credit growth

33

Investment processStructured investment process + disciplined sizing & risk management

Source: GSAM. For illustrative use only. Global Risk Factor Model (GRM) is a proprietary risk platform. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. 1 In conjunction with clients for segregated accounts. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Please see additional disclosures.

1. Risk budgeting

2. Bottom-up research

3. Portfolio construction

4. Portfoliomonitoring

Portfolio Manager 1Sovereign Economists/ EM Corporate Analysts

Sam Finkelstein/Portfolio Managers/Traders

Portfolio Managers/ Risk Team

Typical target tracking error

200 – 400 bps

Typical excess return target

150 – 300 bps

Sovereign Credit

Rates

FX

Corporate Credit

Fundamental, bottom-up research based on Three Pillars approach

Focus on sovereign and corporate balance sheets

Form views on individual countries' rates, FX, sovereign and corporate credit markets

Consider high conviction off benchmark positions.

Global Risk Model (GRM)

Monitor TE vs benchmark

P&L

Performance attribution

Debate

Implementation

Risk/return

Liquidity

Position limits

Size to conviction


34

EMD LocalForming rate views

Investment Process Analytical Tools

Source: GSAM. As of August 2014. For illustrative purposes only to demonstrate our investment process on a sample analysis and should not be construed as investment advice or an offer to sell or the solicitation of an offer to buy any GSAM product or service described herein. 5y5y refers to 5 year rate in 5 years’ time. FV: GSAM Fair Value, BOP: Balance of Payments. * Using bonds instead of swaps.


Central Bank Analysis 5y5y Fair Value Framework

Additional Analytical Tools

Curve Shapes Compared to DM

Macro Views on EM Rates

Level of Conviction Fit within Risk Budget

Size of Rates Position

Three Pillars of Sovereign Debt

Macroeconomic FoundationSovereign Economists


CIO

Liquidity Volatility Relative Value

Security Selection Considerations

Traders

CIO + Team

Finding fair value based on trend growth and inflation

Input to determine fair and relative value of various EM curves Influences views on long end of the curve

Analysing Central Banks Formulate outlook on monetary policy Influences views on front end of the curve

LATAM Activity Labor Market Credit Fiscal Inflation Rating

Brazil -1.0 0.0 0.0 1.5 2.0 0.27

Chile -0.5 2.0 0.0 0.0 1.0 0.50

Colombia -0.5 1.0 1.0 0.5 -1.0 0.12

Mexico -0.5 -1.0 -1.0 1.0 0.5 -0.41

Peru -0.5 1.0 1.0 -1.0 1.5 0.52

Rating: 0 on hold, 1 = moderately hawkish and on hold. 2 = hawkish and hike

35

CurrencyForming FX views

Investment Process Analytical Tools

Source: GSAM. For illustrative purposes only to demonstrate our investment process on a sample analysis and should not be construed as investment advice or an offer to sell or the solicitation of an offer to buy any GSAM product or service described herein. BBoP: Basic Balance of Payments. PPP: Purchasing Power Parity. GSDEER refers to GS Dynamic Equilibrium Exchange Rate


Global Factors FX impact changes global PMI FX impact changes global liquidity

(aggregate of change in credit growth) FX impact changes global exports

Market Factors Momentum FX Market FV Carry to Vol Risk demand impact Seasonality Market pricing for change in rates

Local Factors Full breakdown of flows in BBoP Terms of trade FX fair value (PPP & GSDEER) Fiscal balance Unemployment Leading Indicator Growth Surprise Indices Real yields Credit growth Wage growth Export growth Industrial production growth Retail sales growth CPI

FX Scorecard

Additional Analytical Tools

Commodities G10 FX Views

Macro Views on EM FX

Level of Conviction Fit within Risk Budget

Size of EM FX Position


Macroeconomic FoundationSovereign Economists


CIO

Carry to Volatility Momentum Indicators

Technical Considerations

Traders

CIO + Team

FX Scorecard

Each currency’s final score is the sum of each Factor group.

Final scores are used to evaluate relative value opportunities among currencies

36

EMD ExternalForming sovereign credit views


Fair Value Analysis & Scenario Probabilities

Pick anchor country – e.g., Mexico for LatAm region.

Add risk premium/discount vs. anchor country for fundamentals and policy mix using three-pillars approach.

Determine fair value under trend inflation and trend growth scenario – base case, no stress scenario.

Assign probabilities of capital and current account shocks and add the appropriate risk premium.

Determine spread target and compare to current 10 year spreads.



CIO

Premium/discount vs peers for policy mix and fundamentals

Spread under stress test

Fair & Relative Value Framework

Vs. Other spread products Vs. Quasi’s & Vs. Corporates

Macro Views on EM Spreads

Level of Conviction Fit within Risk Budget Determine Target & Exit Level

Size of Position


Macroeconomic Foundation

Liquidity Volatility Relative Value

Security Selection Considerations

Traders

CIO + Team

As of May 8, 2014. Source: GSAM, Bloomberg. * Positive = cheap to target, Negative = rich to target.

Any reference to a specific country or security does not constitute a recommendation to buy, sell, hold or directly invest in the country or its securities. It should not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results

37

Sources of potential excess return

Sovereign External Debt

Cross-country “balance sheet” fundamentals

Country Selection

Do current spread levels

compensate for default risk?

Default risk is based on ability of a country to withstand shocks – Debt level and structure

Fiscal balance- fiscal institutions (stabilizer funds)

Monetary / FX policy- int'l reserves, central bank

Financial sector- pension funds , banking sector, capital markets

Balance of payment

Political climate / Institutional strength

Transparency / governance

Economic growth

Security Selection

Are securities fairly priced?

Evaluate debt structure and debt management fundamentals

Source: GSAM. For illustrative purposes only. Please see additional disclosures.


Local Rates

Cross-country interest rate levels & shape of local market yield curve

Country Selection

Is there value in local debt?

Nominal interest rate

EM sovereign risk

Expected inflation differential

Expected EM exchange rate

Exchange rate risk

Security Selection

Are securities fairly priced?

Evaluate inflation breakeven vs. inflation

Value securities at different parts of the yield curve

Currency

Currency valuation relative to short and medium term fundamentals

Short term factors:

Investor positioning

Sentiment

Risk appetite

Momentum

Medium term factors:

Economic growth

Monetary policy

Fiscal policy

Current account

Capital account

Long term factors:

Purchasing power parity

Productivity

Terms of trade trends

Demographics

Corporates

Fundamental value and jurisdictional environment of corporate

Quantitative Analysis

Cash flow & asset quality

Capitalization & business risk

Technical Review

Corporate & capital structure

Indenture / covenant review

Qualitative Insight

Management quality

Business plan & industry exposure

Sovereign Analysis

Business environment

Potential for political interference

Currency and payment risk

Ability to enforce claims

38

Case study: Indonesia

Economists conduct “deep dive” into Indonesian macro story – country balance sheet, inflation, current and potential growth, balance of payments, fiscal and monetary policy.

For illustrative purposes only to represent our investment process. Performance results vary depending on the client’s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in thecompany or its securities. It should not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document.


Discussion at weekly team meeting.

Traders note Indonesia external bonds trade cheap relative to comparable credits and external paper is attractive.

Team concludes external debt is preferable to local debt.

Traders implement local debt UW, external debt OW; agree on targets to exit

Economists express favorable view of external debt, but are concerned about sticky inflation, loose monetary policy and deteriorating current account balance.

Determine equilibrium interest rate above current base rate - local bonds too rich.

Stage 1

Stage 2

Stage 3 Stage 4

Source: GSAM

Gov Debt/GDP

Year-on-year inflation (%) Indonesia Current Account Balance (% of GDP)

Indo 2021 bonds vs Philippines 2021 bonds

Local versus external debt views driven by sovereign economists

Source: Bloomberg Source: Bloomberg

Source: Bloomberg

39

Global Risk Factor Model (GRM)

Key Advantages of GRM

For illustrative purposes only. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Predicted tracking error are statistical estimates of the divergence between the price behavior of a strategy and the price behavior of its benchmark, derived from statistical models. Actual tracking errors are likely to vary from the predicted tracking error. Please see additional disclosures.


Directly Aligned to Our Investment Process

Risk is measured in the same way in which risk is taken in live portfolios

Decomposes Risk on a More Granular Level

Risk is measured through multiple lenses: Total portfolio level Individual strategy level Individual security level

Utilises Daily Data

Creates One Truly Global Standard for Measuring Risk

Changing market conditions can be captured earlier and the portfolio recalibrated accordingly

All portfolio managers, traders and analysts “speak the same languages” (e.g. view risk the same way across all portfolios and strategies)

Can easily identify the alpha and risk target of each specific portfolio

A top-level summary of each strategy’s current risk level

versus the targetTracking error target of

each strategy

40

GS Growth & Emerging Markets Debt PortfolioPerformance as of 30 September 2014

*Net returns reflect the maximum deductible fees; offshore mutual fund fees are negotiable, based on total mandate size and the level of client servicing required. Base Distribution Share Class: LU0110449138. Past performance does not guarantee future results, which may vary. Fund inception date: 03-May-00. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid. price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


1-year 3-years, pa 5-years, pa Since Inception, pa

GS Growth & Emerging Markets Debt Portfolio (gross), % 10.60 9.97 9.97 12.24

GS Growth & Emerging Markets Debt Portfolio (net), % 8.97 8.33 8.33 10.53

JPM EMBI Global Diversified Index (1 Day Lag), % 9.52 7.89 8.16 10.00

Gross Excess Return, bps 108 208 180 225

Tracking Error (gross), bps 112 141 149 267

Information Ratio (gross) 0.96 1.47 1.21 0.84

GrossExcessReturn (bps)

52 604 268 315 564 556 314 -58 -754 1057 278 45 400 75 51

9.6

16.1 15.7

25.6

17.2 15.913.1

5.4

-19.6

40.4

15.0

7.8

21.5

-4.5

8.88.4

14.2 13.8

23.6

15.3 14.0 11.5

3.9

-20.8

38.4

13.2

7.0

18.9

-6.0

7.59.1 10.0 13.0

22.5

11.6 10.3 10.0 6.0

-12.0

29.9

12.2 7.4

17.5

-5.3

8.2

-30

-20

-10

0

10

20

30

40

50

2000Partial

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014YTD

GS Growth & Emerging Markets Debt Portfolio (gross) GS Growth & Emerging Markets Debt Portfolio (net)* JPM EMBI Global Diversified Index (1-Day Lag)

41

Prior to 01-Jan-2010 the portfolio was not

managed against a benchmark.

GS Growth & Emerging Markets Debt Local Portfolio Performance as of 30 September 2014

* Net returns reflect the maximum deductible fees; offshore mutual fund fees are negotiable, based on total mandate size and the level of client servicing required. Base Distribution Share Class: LU0302282511. Past performance is not indicative of future results, which may vary. Fund inception date: 29-Jun-07. Please note that prior to December 31, 2009, the GS Global Emerging Markets Debt Local Portfolio was managed in a benchmark-agnostic manner, i.e. not managed to a benchmark index. From January 1, 2010 the benchmark of the Portfolio will be the JPMGBI-EM Global Diversified Index. Please note that benchmark information shown on the Monthly Fund Update between March 31,2010 and May 31,2010 reflected the JPM GBI EM Global Diversified Index (Day lag). However the benchmark of the Portfolio is the JPM GBI EM Global Diversified Index. Please note that from June 30, 2010, the benchmark returns reflect the JPM GBI EM Global Diversified Index.

GrossExcess

Return (bps)232 -83 494 10 -39


4.1%

18.0%

-2.6%

21.7%

-8.9%

-0.4%

2.2%

15.9%

-4.4%

19.6%

-10.5%

-1.8%

15.7%

-1.8%

16.8%

-9.0%

0.0%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Since Inceptionto Dec-09

2010 2011 2012 2013 2014 YTD

GS Growth & Emerging Markets Debt Local Portfolio (gross) GS Growth & Emerging Markets Debt Local Portfolio (net)* JPM GBI-EM Global Diversified Index (%)

Since inception to Dec-09, pa

2010 2011 2012 20132014 YTD

Since Inception, pa

Since Benchmark

Adoption, pa

GS Growth & Emerging Markets Debt Local Portfolio (gross), % 4.08 18 -2.58 21.69 -8.88 -0.40 4.78 5.18

GS Growth & Emerging Markets Debt Local Portfolio (net), % 2.18 15.86 -4.4 19.56 -10.53 -1.77 2.87 4.10

JPM GBI-EM Global Diversified, % N/A 15.68 -1.75 16.76 -8.98 -0.01 N/A 4.05

Gross Excess Return, bps 232 -83 494 10 -39 113

Tracking Error (gross), bps 205 202 178 156 192

Information Ratio (gross) 1.13 -0.41 2.76 0.06 0.59

42

GS Growth & Emerging Markets Corporate Bond PortfolioPerformance as of 30 September 2014

Benchmarks: JPM CEMBI Broad Diversified. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns. Our investment advisory fees are described in Part 2 of our Form ADV. See additional disclosures. Past performance does not guarantee future results, which may vary. Performance inception date: 17-May-11. Fund 7621. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


GrossExcess

Return (bps)205 464 116 12

1-year, pa 3-years, pa Since Inception, pa

GS Growth & Emerging Markets Corporate Bond Portfolio (gross), % 9.40 10.43 7.83

GS Growth & Emerging Markets Corporate Bond Portfolio (net), % 7.78 8.80 6.23

JPM CEMBI Broad Diversified Index, % 8.33 8.09 5.53

Gross Excess Return, bps 107 234 230

Tracking Error (gross), bps 142 158 161

Information Ratio (gross) 0.75 1.48 1.43

0.8%

19.6%

0.6%

6.4%

-0.1%

17.8%

-0.9%

5.2%

-1.2%

15.0%

-0.6%

6.2%

-5%

0%

5%

10%

15%

20%

25%

2011 (Partial) 2012 2013 2014 YTD

GS Growth & Emerging Markets Corporate Bond Portfolio (gross) GS Growth & Emerging Markets Corporate Bond Portfolio (net) JPM CEMBI Broad Diversified

43

GS Growth & Emerging Markets Debt Blend PortfolioPerformance as of 30 September 2014

* Benchmark : 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan CEMBI Broad Diversified Index. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns. Our investment advisory fees are described in Part 2 of our Form ADV. See additional disclosures. Past performance does not guarantee future results, which may vary. Performance inception date: 08-May-13. Fund 8436. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


YTD 1-Year Since Inception, pa

GS Growth & Emerging Markets Debt Blend Portfolio (gross), % 3.85 5.71 -3.22

GS Growth & Emerging Markets Debt Blend Portfolio (net), % 2.58 3.99 -4.81

Custom Asset-Weighted Blended Benchmark *, % 3.56 3.67 -3.87


Tracking Error (Gross), bps 120 142

Information Ratio (Gross) 1.70 0.46

GrossExcess

Return (bps)61 29 65

-8.0%

3.8%

-3.2%

-9.0%

2.6%

-4.8%

-8.6%

3.6%

-3.9%

-12%

-7%

-2%

3%

8%

2013 (Partial) 2014 YTD Since Inception, pa

GS Growth & Emerging Markets Debt Blend Portfolio (gross), % GS Growth & Emerging Markets Debt Blend Portfolio (net), % Custom Asset-Weighted Blended Benchmark *

44

Why GSAM for Emerging Market Debt?

Source: GSAM. As of 31-Oct-14. For illustrative purposes only. Diversification does not protect an investor from market risk and does not ensure a profit. Past performance does not guarantee future results, which may vary. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns.


Team

Stable, global EMD team together since inception in 2000.

Leverages Global Fixed Income macro insights into commodities, currency, country, and duration risks.

Culture

Culture of dialogue and debate among economists, traders and analysts – a research-intensive process, in which each team member is accountable for strategy performance.

Constant re-evaluation “where can we be wrong in a quickly changing world?”

Approach

Diversified risk taking in top-down (macro/sovereign) and bottom-up (corporate/real economy) approach, with a focus on relative value (not beta)

Focus on liquidity minimise transaction costs stay nimble, maintain ability to shift portfolio

Risk management at the core of asset management

Ability to customise separately managed portfolio

GS Growth &

Emerging Markets

Debt Portfolio

outperformed

benchmark in

12 out of 14 years

IR of ~0.82 since

inception (gross

returns)

Appendix


47

Local Sovereign

Debt, 100%

JP Morgan GBI-EM Global Diversified IndexLocal EMD



As of 31-Oct-14. Source: GSAM, JP Morgan.




Average Rating BBB+

Coupon (%) 6.51


Option Adjusted Duration (years) 4.87


10.0% 10.0% 10.0% 10.0% 10.0% 10.0%

7.9% 7.7%6.9%

6.3%

4.9%

2.5%1.9%

1.5%

0.4% 0.1%

0%

2%

4%

6%

8%

10%

12%

AA, 0.1%

A, 40.1%

BBB, 58.0%

BB, 1.9%

48

GS Growth & Emerging Markets Debt Local PortfolioInvestment objectives - set within a risk management framework

As of Oct-2014. Source: GSAM. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. There is no guarantee that these objectives will be met.

Portfolio Targets

Base Distribution Share Class: LU0302282511

Gross excess return target of 2-3% per annum

Target tracking error of 2-4% per annum

Benchmark JP Morgan GBI-EM Global Diversified Index

Typical Investments

EM sovereign & quasi-sovereign debt (external or local currency denominated)

EM corporate debt (external or local currency denominated)

Derivatives (includes US Treasury futures, currency forwards, interest rate swaps, credit default swaps, total return swaps, credit-linked notes)

Derivatives are used to access countries where physical bonds are not accessible or high transaction cost and low liquidity exist. Currency forwards are used to optimise our local currency positions.


49

GS Growth & Emerging Markets Debt Local PortfolioPortfolio characteristics

As of 31-Oct-14. Source: GSAM, JPMorgan. Holdings are subject to change and should not be construed as research or investment advice. Portfolio holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.1. Non-Rated (NR) includes holdings of securities not rated by any major rating agency. Unrated securities held in the fund may be of higher, lower, or comparable credit quality to securities that have a credit rating from a Nationally Recognized Statistical Rating Organization (NRSRO). Therefore, investors should not assume that the unrated securities in the fund increase or decrease the fund’s overall credit quality. 2. Cash may include local currency, foreign currency, short-term investment funds, bank acceptances, commercial paper, margin, repurchase agreements, time deposits, variable-rate demand notes, and/or money market mutual funds. The Cash category may show a negative market value percentage as a result of a) the timing of trade date versus settlement date transactions and/or b) the portfolio’s derivative investments, which are collateralized by the portfolio’s available cash and securities. Such securities are AAA rated by an independent rating agency, have durations between -2 and 1 years, and are limited to the following sectors: governments, agencies, supranationals, corporates, and agency-backed adjustable-rate mortgages. These securities are not reclassified under the Cash category; rather, they remain classified under their proper descriptions (e.g., rating, sector, etc.).3. Derivatives may be used for hedging purposes and/or to express outright investment views. The table’s market value percentage total for derivatives reflects aggregated unrealized gains or losses on positions. * This portfolio/fund has not been rated by an independent rating agency. The credit allocation provided above refers to the Fund’s underlying portfolio securities. GSAM may receive credit quality ratings on the Fund’s underlying securities from the three major rating agencies - S&P, Moody’s and Fitch. GSAM develops the credit quality breakdown by taking the highest rating if more than one agency rates a security. GSAM will use a single rating if that is the only one available. Securities that are not rated by all three agencies are reflected as such in the breakdown. GSAM converts all ratings to the equivalent S&P major rating category when illustrating the Fund’s credit rating breakdown. Ratings and portfolio credit quality may change over time. Unrated securities do not necessarily indicate low quality, and for such securities the investment adviser will evaluate the credit quality.

GS Growth & Emerging Markets Debt Local Portfolio vs. JPMorgan GBI-EM Global Diversified index


Portfolio Benchmark Difference Portfolio Benchmark Difference

Market value (MM) 2,500.74 1,052,901.91 AAA 2.96% 0.00% 2.96%

Number of Holdings 225 200 25 AA 0.51% 0.11% 0.41%

Number of Countries 34 16 18 A 39.72% 40.07% -0.34%

Average Credit Quality BBB BBB+ BBB 38.16% 57.97% -19.81%

Coupon (%) 6.51 6.51 0.00 BB 3.39% 1.85% 1.54%

Yield To Maturity (%) 6.65 6.42 0.22 B 1.48% 0.00% 1.48%

Yield To Worst (%) 6.64 6.42 0.22 CCC 0.30% 0.00% 0.30%

Current Yield (%) 5.89 6.26 (0.36) CC 0.00% 0.00% 0.00%

C 0.00% 0.00% 0.00%

Option Adjusted Spread Duration (years) 3.48 4.76 (1.28) D 0.00% 0.00% 0.00%

Convexity 0.03 0.25 (0.22) NR1 11.58% 0.00% 11.58%

Maturity (years) 7.80 7.04 0.76 Cash2 3.08% 0.00% 3.08%

Derivatives3

-1.20% 0.00% -1.20%

Total 100.00% 100.00% 0.00%

Credit Rating Allocation*Top Level Statistics

50

GS Growth & Emerging Markets Debt Local PortfolioSector and currency distribution

As of 31-Oct-14. Source: GSAM, JPMorgan. * Cash includes cash-backed derivatives exposure such as currency forwards and the unrealised profit and loss from those derivatives exposures. Other may include US Treasuries and Treasury Futures. Holdings are subject to change and should not be construed as research or investment advice. Portfolio holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.

Sector Allocation (Market Value, %)


External Sovereign Debt

2.14%

Local Sovereign Debt

88.18%

External Quasi-Sovereign Debt

0.41%

Local Quasi-Sovereign Debt

0.76%

External Corporate Debt

0.14%

Local Corporate Debt

1.34%

Other3.95%

Cash3.08%

Portfolio Benchmark Difference

United States (USD) 2.86% 0.00% 2.86%

India (INR) 1.47% 0.00% 1.47%

South Africa (ZAR) 11.36% 10.00% 1.36%

Dominican Republic (DOP) 1.21% 0.00% 1.21%

Malaysia (MYR) 10.90% 10.00% 0.90%

Mexico (MXN) 10.90% 10.00% 0.90%

Chile (CLP) 0.99% 0.11% 0.88%

Australia (AUD) 0.64% 0.00% 0.64%

Zambia (ZMW) 0.48% 0.00% 0.48%

Hungary (HUF) 5.42% 4.94% 0.48%

Costa Rica (CRC) 0.29% 0.00% 0.29%

Indonesia (IDR) 8.00% 7.74% 0.26%

Romania (RON) 2.52% 2.47% 0.05%

Russia (RUB) 6.30% 6.26% 0.04%

Thailand (THB) 6.92% 6.88% 0.03%

Nigeria (NGN) 1.88% 1.85% 0.03%

Peru (PEN) 1.50% 1.47% 0.03%

Israel (ILS) 0.01% 0.00% 0.01%

United Kingdom (GBP) 0.00% 0.00% 0.00%

Poland (PLN) 9.86% 10.00% -0.14%

Turkey (TRY) 9.79% 10.00% -0.21%

Philippines (PHP) 0.01% 0.41% -0.40%

Colombia (COP) 7.44% 7.86% -0.42%

South Korea (KRW) -0.47% 0.00% -0.47%

Brazil (BRL) 8.91% 10.00% -1.09%

Japan (JPY) -1.26% 0.00% -1.26%

China (CNY) -1.55% 0.00% -1.55%

Singapore (SGD) -2.17% 0.00% -2.17%

Various (EUR) -4.19% 0.00% -4.19%

Total 100.00% 100.00% 0.00%

Active Currency (MV, %) (in descending order)

51

GS Growth & Emerging Markets Debt Local PortfolioCountry distribution

GS Growth & Emerging Markets Debt Local Portfolio vs. JPMorgan GBI-EM Global Diversified Index (market value, %)

As of 31-Oct-14. Source: GSAM, JPMorgan. Holdings are subject to change and should not be construed as research or investment advice. Other may include US Treasuries and Treasury Futures. Portfolio

holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

Un

ited

Sta

tes

India

So

uth

Afr

ica

Do

min

ica

n R

ep

ub

lic

Ma

lays

ia

Me

xico

Ch

ile

Pa

rag

ua

y

Indo

nesi

a

Au

stra

lia

Cro

atia

Za

mb

ia

Hu

nga

ry

Arg

en

tina

Co

sta

Ric

a

Ve

ne

zue

la

Ho

ndu

ras

Ru

ssia

Th

aila

nd

Pe

ru

Isra

el

Po

lan

d

Ph

ilipp

ines

Co

lom

bia

Ro

ma

nia

So

uth

Ko

rea

Nig

eri

a

Bra

zil

Jap

an

Ch

ina

Sin

ga

pore

Tu

rke

y

Eu

rop

ea

n U

nio

n

External Sovereign Debt Local Sovereign Debt External Quasi-Sovereign Debt Local Quasi-Sovereign Debt External Corporate Debt

Local Corporate Debt Currency Forward (FX) Cash Other Benchmark Total

Overweight Underweight

52

GS Growth & Emerging Markets Debt Local PortfolioCountry distribution




GS Growth & Emerging Markets Debt Local Portfolio vs. JPMorgan GBI-EM Global Diversified Index (spread duration, years)

-1.5

-1.0

-0.5

0.0

0.5

1.0

Bra

zil

Indo

nesia

So

uth

Afr

ica

Th

aila

nd

Hu

nga

ry

Pa

rag

ua

y

Do

min

ica

n R

ep

ub

lic

Ru

ssia

Cro

atia

Me

xic

o

Za

mb

ia

Sin

ga

pore

Arg

en

tina

Ve

ne

zue

la

Co

sta

Ric

a

Ho

ndu

ras

Isra

el

Pe

ru

Ro

ma

nia

Ph

ilipp

ines

Po

lan

d

Nig

eri

a

Co

lom

bia

Tu

rke

y

Ch

ile

Ch

ina

Ma

lays

ia

So

uth

Ko

rea

Un

ited

Sta

tes




53

Prior to 01-Jan-2010 the portfolio was not

managed against a benchmark.

GS Growth & Emerging Markets Debt Local Portfolio Performance as of 30 September 2014

* Net returns reflect the maximum deductible fees; offshore mutual fund fees are negotiable, based on total mandate size and the level of client servicing required. Base Distribution Share Class: LU0302282511. Past performance is not indicative of future results, which may vary. Fund inception date: 29-Jun-07. Please note that prior to December 31, 2009, the GS Global Emerging Markets Debt Local Portfolio was managed in a benchmark-agnostic manner, i.e. not managed to a benchmark index. From January 1, 2010 the benchmark of the Portfolio will be the JPMGBI-EM Global Diversified Index. Please note that benchmark information shown on the Monthly Fund Update between March 31,2010 and May 31,2010 reflected the JPM GBI EM Global Diversified Index (Day lag). However the benchmark of the Portfolio is the JPM GBI EM Global Diversified Index. Please note that from June 30, 2010, the benchmark returns reflect the JPM GBI EM Global Diversified Index.

GrossExcess

Return (bps)232 -83 494 10 -39


4.1%

18.0%

-2.6%

21.7%

-8.9%

-0.4%

2.2%

15.9%

-4.4%

19.6%

-10.5%

-1.8%

15.7%

-1.8%

16.8%

-9.0%

0.0%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Since Inceptionto Dec-09

2010 2011 2012 2013 2014 YTD

GS Growth & Emerging Markets Debt Local Portfolio (gross) GS Growth & Emerging Markets Debt Local Portfolio (net)* JPM GBI-EM Global Diversified Index (%)

Since inception to Dec-09, pa

2010 2011 2012 20132014 YTD

Since Inception, pa

Since Benchmark

Adoption, pa

GS Growth & Emerging Markets Debt Local Portfolio (gross), % 4.08 18 -2.58 21.69 -8.88 -0.40 4.78 5.18

GS Growth & Emerging Markets Debt Local Portfolio (net), % 2.18 15.86 -4.4 19.56 -10.53 -1.77 2.87 4.10

JPM GBI-EM Global Diversified, % N/A 15.68 -1.75 16.76 -8.98 -0.01 N/A 4.05

Gross Excess Return, bps 232 -83 494 10 -39 113

Tracking Error (gross), bps 205 202 178 156 192

Information Ratio (gross) 1.13 -0.41 2.76 0.06 0.59

54

RisksGS Growth & Emerging Markets Debt Local Portfolio

Market risk - the value of assets in the Portfolio is typically dictated by a number of factors, including the confidence levels of the market in which they are traded.

Contingent Convertible (“Coco”) Bond Risk - investment in this particular type of bond may result in material losses to the Portfolio based on certain trigger events. The existence of these trigger events creates a different type of risk from traditional bonds and may more likely result in a partial or total loss of value or alternatively they may be converted into shares of the issuing company which may also have suffered a loss in value. Such trigger events may include a reduction in the issuers' capital ratio, determination by a regulator or the injection of capital by a national authority. Investors should be aware that in the event of a financial crisis that action by regulators or the companies themselves may cause concentrations of these trigger events across the Portfolio.

Operational risk - material losses to the Portfolio may arise as a result of human error, system and/or process failures, inadequate procedures or controls.

Liquidity risk - the Portfolio may not always find another party willing to purchase an asset that the Portfolio wants to sell which could impact the Portfolio's ability to meet redemption requests on demand.

Exchange rate risk - changes in exchange rates may reduce or increase the returns an investor might expect to receive independent of the performance of such assets. If applicable, investment techniques used to attempt to reduce the risk of currency movements (hedging), may not be effective. Hedging also involves additional risks associated with derivatives.

Custodian risk - insolvency, breaches of duty of care or misconduct of a custodian or sub-custodian responsible for the safekeeping of the Portfolio's assets can result in loss to the Portfolio.

Interest rate risk - when interest rates rise, bond prices fall, reflecting the ability of investors to obtain a more attractive rate of interest on their money elsewhere. Bond prices are therefore subject to movements in interest rates which may move for a number of reasons, political as well as economic.

Credit risk - The failure of a counterparty or an issuer of a financial asset held within the Portfolio to meet its payment obligations will have a negative impact on the Portfolio.

Derivatives risk - certain derivatives may result in losses greater than the amount originally invested.

Counterparty risk - a party that the Portfolio transacts with may fail to meet its obligations which could cause losses.

Emerging markets risk - emerging markets are likely to bear higher risk due to lower liquidity and possible lack of adequate financial, legal, social, political and economic structures, protection and stability as well as uncertain tax positions.

For full description of risks please refer to the Prospectus.



56

Cross-pollination of ideas between EMD and other Fixed Income teams



Currency

Global Commodities

Money Markets

SecuritisedCross Sector

Duration

Emerging Market Debt

Global Equity Team

Corporates

EMD Team Floor Plan in New York

US Corporate

Credit (+35)

Emerging Market

Debt (+9)

GlobalCommodities

(+5)

TSY/ MBS (+12)

Risk (+4)

Global Fixed Income Teams

The Emerging Markets team benefits from synergies with other GSAM FI teams

The EMD team in New York is seated between the US Corporate Credit and the Global Commodities teams

Treasury/MBS professionals are close-by to advise on duration and interest rate exposure

57

The GSAM EMD team – Specialists across EMD asset classes



Responsible for overall portfolio

risk including beta decisions.


Sovereign Analysis

Responsible for sovereign

research and making

recommendations on debt and

currency positioning

Traders

Security Selection

Responsible for trading debt and

currencies managing liquidity and

making security selection

recommendations

EM Corporate Credit

EM Corporate Analysis

Responsible for fundamental

corporate research and portfolio

construction

Portfolio Managers

Portfolio Monitoring

Responsible for setting and

monitoring portfolio risk budgets

& guidelines and communicating

strategy to investors

Owi Ruivivar (17)

Location Key

New York Tokyo

London Bangalore

Singapore Argentina

Sabriyah Denham2 (11)

Sam Zhang (3)

Yacov Arnopolin (15)

The Emerging Markets Debt

team benefits from synergies

with other GSAM teams:

Commodities Team

Global Corporate Credit

Team

Duration and Country Teams

Global Equity Team


Diego Sasson * (7)


Kozo Mitamura (18)

Vladimir Liberzon (13) External Debt

Michael Jalkut (15) Local Rates

David Bowen1 (21) FX

Neil Squires (13)

Jacqueline Leary (6)

Nick Saunders (13)

Salman Niaz (14)

Hubert Chu (9)

Aakash Thombre (7)

Prashant Bajaj (4)

Krishnan V R (3)

Kunal Singh (8)

Ben Stein (4)

Prakriti Sofat (9)


Numbers in parentheses ( ) indicate years of investment experience, as of 4-Nov-14.* Economist spends his time in New York and Argentina¹ Member of the GSAM Currency team covering EM and G10 currencies. ² Global Fixed Income Trader who trades Emerging Market Asia sovereign and corporate debt as part of her responsibilities in Singapore. In addition GSAM has a local presence in Beijing where the team provide local market analysis

Clearly defined roles and responsibilities

58

EM corporate credit team

Note: As of Oct-14. For illustrative purpose only. Years of experience in parenthesis.


EM Corporate Credit Team leverages broad GSAM platform

Nicholas Saunders (13)

Salman Niaz (14)

Hubert Chu (9)

Aakash Thombre (7)

Prashant Bajaj (4)

Krishnan V R (3)

Kunal Singh (8)

Sam Zhang (3)


EM Corporate Credit Team 4 Professionals

Fundamental analysis on macroeconomics and politics

EM Sovereign Research

7 Professionals

Evaluate global and local markets and identify relative value opportunities

EM Traders

60+ Professionals

Industry expertise and relative value

Corporate credit team

30+ Professionals

Leverage local knowledge of companies, markets, industries, and key individuals

EM Equities Team

7 Professionals

Derive economics-based currency views

Currency Team

4 Professionals

Identify near term trends and longer term structural views

Commodities Team

59

EM corporate investment process

Note: This information is shown for illustrative purposes only to demonstrate our investment process and is not indicative of future portfolio characteristics/returns. Actual results may vary for each client due to specific client guidelines and other factors. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Please see additional disclosures. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.


Client and Portfolio Manager agree on Risk Budget (typically 200-300 bps for EM Corporates).

Risk Budget

ClientPortfolio Manager

EM Corp Analysts follow existing and new issuance.

EM Corp team liaises with Sovereign Economists, Global Corp team, Commodities team.

Nicholas Saunders oversees sector and security selection.

Security Selection

EM Corporate AnalystsNicholas Saunders as Head of EM Corp team

Traders implement recommendations with a view to liquidity and relative value.

Traders and EM Corp team monitors issuer, country, sector concentrations.

Risk Team monitors portfolio using proprietary GRM model.

Implementation &

Risk Management

TradersRisk Team

EM Corp team follows individual companies and sectors.

Sam Finkelstein oversees overall portfolio construction and beta.

Portfolio Manager monitors risk levels across strategies and total portfolio.

Portfolio

Monitoring

EM Corporate AnalystsSam Finkelstein

Portfolio Manager

EMD Corporate Team

Nicholas Saunders

Security Selection

Head of Emerging Markets Debt

Sam Finkelstein

Monitor Portfolio Risk Exposures and Investment Ideas

60

EM corporate selection parameters

Source: GSAM. For illustrative use only

Checklist:

Corporate history

Complexity of corporate

structure

Key shareholder profiles

Related party

transactions?

Auditors/Recent change?

Board of Directors –Turnover?

Management – Tenure?

Equity stake? Conflicts of

Interest?

Disclosure -

Transparency? Regular

updates?

Off balance sheet

transactions?

Contingent Liabilities?

Corporate Governance

EM Corporate Team

Country Fundamentals and

Business Environment

Potential for Political Support

or Interference

Currency & Payment Risk

Ability to enforce claims/

Rule of Law

Sovereign Analysis


Local Analysts

Current Outlook from

Commodities Team

e.g., Base Metals vs Oil

Views from Sector Specialists

on DM Corporate Team

e.g., Auto sector

e.g., Energy sector

Views on Individual Sectors

based on Bottom-up Analysis

of Various Companies

e.g., Chinese

Homebuilders

Industry / Sector Views

DM Corporate Team

Commodities Team

EM Corporate Team

Fundamentals

Quantitative Analysis

– Cash flow & asset

quality

– Capitalisation

versus

business risk

Technical Review

– Corporate & capital

structure

– Indenture /

covenant reviews

Qualitative Insight

– Management

quality,

business plan

Valuation

Vs DM Corporates

Vs EM Sovereigns

Vs EM Competitors

Vs other bonds on curve

Individual Corporate

Views

EM Corporate Team

DM Corporate Team

EM Equities Team


Analysis of issuers in the CEMBI index

Focus on a universe of the most liquid investable securities

Judgment of experienced traders

Issuers we deem less liquid should offer an additional spread which we view as liquidity premium

Liquidity Analysis

EM Corporate Team

61

EM corporate selection parametersCorporate Governance Checklist

Source: GSAM. For illustrative purposes only.The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.


GSAM is focused on corporate governance as a way to minimise risk of fraud and mismanagement.

We have analysed nearly a decade of cases in Emerging and Developed Markets to identify Red Flags.

We seek to identify key risks that could drive mark-to-market losses.

Corporate History How long has the Company carried on its current business lines?How complex is the corporate structure?

Capital Market Actions (CMA) Date & Size of Most Recent CMA, Type & UnderwritersHave underwriters been involved in any failed deals in past?

Onshore Banking Relationships

Description of Onshore Bank relationshipsYear, Size, Drawn/Undrawn Maturity

Shareholders Who are the key shareholders? How long have they held shares?Description and magnitude of any related party transactions.

Auditors Have auditors changed in past five years and, if so, when?List of current and previous Auditors. Why were there any changes?

Board of Directors Number of members (from key shareholders or management?)Longevity and qualifications of the audit committee (AC)

Management What is the tenure and pay of the senior managers - CEO/CFO/HR?Do the senior managers have any investment in the company?

Disclosure How Transparent? Areas of concern?Does the company provide regular updates to the market?

Other Is there any research on the company?Any off balance sheet transactions? Any contingent liabilities?

62

Arriving at an EMD corporate portfolioConsiderations in optimal portfolio construction process


Top-DownMacroViews

FinalPortfolio

Top Names:Based on Valuation / Fundamentals

~150 Names

Liquidity Filter:Remaining Universe

~350 Names

CEMBI Broad Diversified Universe:~540 Names

Source: GSAM. For illustrative purposes only. Performance results vary depending on the client’s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. This example has been chosen as it is representative of our corporate investment process

Final

Portfolio

Valuation and Risk Management:

Risk / Reward

Sizing / Concentration

CEMBI Broad Diversified Universe:

~531 NamesOff-BenchmarkOpportunities:

~50 names

5 Pillar Framework

I. Fundamentals / Valuations

II. Industry III. Country IV. Liquidity V. Governance

63

EM corporate selectionTamale: Research Platform Shared Across Fixed Income and Equities

Source: GSAM . The above screenshots are shown for illustrative purposes only. It is not an offer or solicitation to buy or sell any securities or to invest in any particular company or asset class. GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions

Tamale allows us to bring together our most important credit research onto a single platform.

Research can be stored and retrieved in a variety of ways, including ticker symbol, analyst name, investment theme, source, sector, or country

Search by ticker/company, industry name or subject.

Several ways to filter contributors, including by the entire credit team and the FE team, or individual groups (EM/HY/IG).

Search box defaults to ticker or subject only. You can see all posts by clicking on “All”. “+1” shows you the ticker, plus related entities.

Search for any term (e.g., LBOs, regulation) in a note using this box.

Key data (e.g., recommendation, credit trend, downgrade risk) on a credit shows up here. This feeds into Zephyr as well.


64

EM corporate case studySample EM corporate credit events

Source: GSAM. For illustrative purposes only. Performance results vary depending on the client’s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. This example has been chosen as it is representative of our corporate investment process


Examples Country Sector Credit Event GSAM Rationale for not Holding the Bond

Security 1 South Africa Financial August 2014Subprime lender with poor capitalization ratios and questionable underwriting standards given challenging macro outlook

Security 2 Ukraine Agriculture August 2014Price pressures, difficulty in obtaining working capital facilities and worsening liquidity, high degree of short term debt

Security 3

Latin American countries, incl. Argentina, Brazil, Chile, and Mexico

Telecommunications August 2014Deteriorating market position, inadequate funding to execute high risk strategy, high leverage

Security 4 Brazil Consumer March 2014Negative view on a sector, poor company productivity and cost competitiveness, weak funding position

Security 5 Mexico Oil services February 2014Concern over risk of corruption and politics in contract bidding process, customer concentration risk

Security 6 Mexico Homebuilder April 2013 Weak company and sector fundamentals

Security 7 Brazil Banking September 2012 Weak funding position

Security 8 Brazil Utility February 2012 High leverage and high liquidity risk

Security 9 Indonesia Shipping January 2012 High leverage and challenging industry outlook

Security 10 China Forestry March 2012Concern over corporate governance, especially around limited disclosure of customer base

Security 11 Dom. Rep. Real estate November 2011 Volatile nature of high end real estate sold to foreigners

Security 12 Panama Real estate November 2011 Volatile nature of high end real estate sold to foreigners

Security 13 Dubai Various November 2009 Weak stand-alone fundamentals

Security 14 Ukraine Pipelines September 2009 Weak stand-alone fundamentals

Security 15 China Industrial September 2009 Weak stand-alone fundamentals

Security 16 Mexico Industrial March 2009 High leverage in a cyclical industry

65

-10

-5

0

5

10

15

Jun-10 Jun-11 Jun-12

Case study: Brazil

EM Corporate analysts update local

sector and individual company models to

reflect downward revision in Brazil's

GDP forecast by GSAM EMD

economists.

For illustrative purposes only to represent our investment process. Performance results vary depending on the client’s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in thecompany or its securities. It should not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document.


EM Corporate analysts discuss impact

with food sector specialist on US

Corporate team regarding severity and

duration of sector impact in past cycles.

EM Corporate analysts discuss relative

value, liquidity, and transaction costs with

EMD traders. Jointly develop a trading

strategy (timing, limit levels) and set target

price to sell and price to re-enter the name.

EM Corporate analysts consult with

GSAM Commodities team to discuss

projections for agricultural prices, and

corn in particular. Outlook is for

protracted period of elevated prices

which bodes poorly for companies in

food sector.

Stage 1

Stage 2

Stage 3 Stage 5

Corn and Soybean prices have climbed steadily

Brazil Real GDP YoY (% Change) SA 1995=100 Brazil Industrial Production NSA YoY

EM Corporate analysts identify portfolio companies

most vulnerable to higher crop prices, assess where

spreads do not reflect potential credit impact. Model

lags in pass-through of higher prices based on

experience in global markets and any country- or

company-specific mitigating factors. Assess long-

term structural view as well as near-term risks.

Stage 4

Pre-emptive sale of corporate

10.0

7.5

5.0

2.5

0.0

-2.501 02 03 04 05 06 07 08 09 10 11

1100

1200

1300

1400

1500

1600

1700

450

550

650

750

850

Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12

Corn Futures Dec12 (LHS)

Soybean Future Nov-12 (RHS)

66

32%

15%14%

10%7% 7%

5% 5% 4%1% 1% 1%

0%

10%

20%

30%

40%

5.4 5.24.8

4.64.2

1.8

1.20.8

0.50.2 0.2 0.2

4.94.5

1.3

0.8 0.6 0.4 0.2 0.2 0.1

5.0

4.23.7

0.70.5 0.3 0.2 0.2

3.0

1.10.7 0.5 0.3 0.3

5.4 5.3 5.2 5.2

4.13.8

2.52.2

1.8

1.10.9

0.1 0.1

0

1

2

3

4

5

6

Me

xic

o

Bra

zil

Colo

mbia

Chile

Pe

ru

Jam

aic

a

Arg

en

tina

Gu

ate

mala

Trin

idad

& T

ob

ago

Pa

rag

ua

y

El S

alv

ad

or

Dom

Re

p

Russia

Tu

rke

y

Ka

zakh

sta

n

Ukra

ine

Po

lan

d

Czech

Rep

Hu

nga

ry

Azerb

aija

n

Cro

atia

UA

E

Qa

tar

Isra

el

Ku

wait

Sa

ud

i A

rab

ia

Ba

hra

in

Om

an

Ira

q

So

uth

Afr

ica

Nig

eri

a

Mo

rocc

o

Gh

ana

Eg

ypt

Za

mb

ia

Hon

g K

on

g

India

Ko

rea

Chin

a

Sin

ga

pore

Th

aila

nd

Ph

ilipp

ines

Indo

nesia

Ma

lays

ia

Ma

cau

Ta

iwan

Mo

ng

olia

Ba

ng

lade

sh

Mark

et

Valu

e (

%)

JP Morgan CEMBI Broad Diversified IndexCorporate EMD

Top level statistics Credit bucket breakdown (MV,%) Industry breakdown (MV,%)

As of 31-Oct-14. Source: JP Morgan, GSAM calculations.




No of issues/securities 1,141

No of issuers 544

No of countries 50

Average credit rating BBB-


Spread (bps) 310



Europe: 13%Latin America: 29% Middle East: 15% Asia: 38%Africa: 6%

Investment Grade67.1%

High Yield32.9%

67

GS Growth & Emerging Markets Corporate Bond PortfolioInvestment objectives - set within a risk management framework

As of Oct-2014. Source: GSAM. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. There is no guarantee that these objectives will be met.

Portfolio Targets Gross target excess return 2% per annum

Target tracking error 2.5% per annum

Benchmark JP Morgan CEMBI Broad Diversified Index

Typical Investments



Derivatives (includes US Treasury futures, currency forwards, interest rate swaps, credit default swaps, total return swaps, credit-linked notes)

Derivatives are used to access countries where physical bonds are not accessible or high transaction cost and low liquidity exist. Currency forwards are used to optimise our local currency positions.


68

GS Growth & Emerging Markets Corporate Bond PortfolioPortfolio characteristics



GS Growth & Emerging Markets Corporate Bond Portfolio vs. JPMorgan CEMBI Broad Diversified


Market value (MM) 114.99 295,725.64 AAA 3.87% 0.18% 3.68%

Number of Holdings 176 1,141 (965) AA 1.39% 7.00% -5.60%

Number of Countries 33 50 (17) A 11.57% 21.91% -10.34%

Average Credit Quality BBB- BBB- BBB 40.80% 41.57% -0.77%

Coupon (%) 5.77 5.50 0.27 BB 18.54% 14.96% 3.58%


Yield To Worst (%) 5.15 4.83 0.32 CCC 1.99% 1.93% 0.06%

Current Yield (%) 5.69 5.36 0.32 CC 0.00% 0.03% -0.03%

Option Adjusted Duration (years) 4.02 4.93 (0.91) C 0.00% 0.03% -0.03%


Convexity 0.19 0.34 (0.15) NR1 9.38% 5.12% 4.27%


LIBOR OAS (bps) 346 310 36 Derivatives3

-0.20% 0.00% -0.20%

Total 100.00% 100.00% 0.00%


69

GS Growth & Emerging Markets Corporate Bond PortfolioSector and currency distribution

As of 31-Oct-14. Source: GSAM, JPMorgan. Portfolio holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.Cash may include local currency, foreign currency, short-term investment funds, bank acceptances, commercial paper, margin, repurchase agreements, time deposits, variable-rate demand notes, and/or money market mutual funds. The Cash category may show a negative market value percentage as a result of a) the timing of trade date versus settlement date transactions and/or b) the portfolio’s derivative investments, which are collateralised by the portfolio’s available cash and securities. Such securities are AAA rated by an independent rating agency, have durations between -2 and 1 years, and are limited to the following sectors: governments, agencies, supranationals, corporates, and agency-backed adjustable-rate mortgages. These securities are not reclassified under the Cash category; rather,

they remain classified under their proper descriptions (e.g., rating, sector, etc.). Other may include US Treasuries and Treasury Futures.




3.67%


17.90%Local Quasi-

Sovereign Debt0.55%


66.22%


2.75%

Other4.95%

Cash3.96%


Various (EUR) 0.20% 0.00% 0.20%

Mexico (MXN) 0.04% 0.00% 0.04%

China (CNY) 0.03% 0.00% 0.03%

Brazil (BRL) 0.00% 0.00% 0.00%

Hong Kong (HKD) -0.03% 0.00% -0.03%

United States (USD) 99.76% 100.00% -0.24%

Total 100.00% 100.00% 0.00%


70

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Un

ite

d S

tate

s

Ch

ile

Italy

Pa

rag

ua

y

Ch

ina

Pe

ru

Isra

el

Gu

ate

mala

Ph

ilipp

ines

Ka

zakh

sta

n

Do

min

ica

n R

ep

ub

lic

Arg

en

tina

Jam

aic

a

Vie

tna

m

Ba

ng

lade

sh

Co

lom

bia

Indo

nesia

Luxe

mb

ourg

Ukra

ine

Cro

atia

Mo

ng

olia

Om

an

Vir

gin

Isla

nd

s (b

ritish

)

Azerb

aija

n

Hu

nga

ry

El S

alv

ad

or

Bra

zil

Ca

nad

a

Ba

hra

in

Su

pra

na

tiona

l

Czech

Rep

ublic

Ta

iwa

n

Nig

eri

a

Ma

cau

Ba

rba

do

s

Sa

ud

i A

rab

ia

Po

lan

d

Ru

ssia

Th

aila

nd

Mo

rocc

o

Un

ite

d K

ing

do

m

Ku

wa

it

Un

ite

d A

rab

Em

ira

tes

Eu

rop

ea

n U

nio

n

Me

xic

o

Ma

lays

ia

Tu

rke

y

Sin

ga

pore

Ho

ng K

on

g

Qa

tar

So

uth

Afr

ica

India

So

uth

Ko

rea

Ma

rket

va

ule

(%

)



GS Growth & Emerging Markets Corporate Bond PortfolioCountry distribution

GS Growth & Emerging Markets Corporate Bond Portfolio vs. JPMorgan CEMBI Broad Diversified Index (market value, %)





71

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

Chile

Unite

d A

rab

Em

ira

tes

Pe

ru

Italy

Ph

ilipp

ines

Pa

rag

ua

y

Arg

en

tina

Gu

ate

mala

Vie

tna

m

Dom

inic

an R

ep

ub

lic

Bra

zil

Jam

aic

a

Ba

ng

lade

sh

Luxe

mb

ourg

Ka

zakh

sta

n

Ukra

ine

Eu

rop

ea

n U

nio

n

Russia

Mo

ng

olia

Cro

atia

Vir

gin

Isla

nd

s (b

ritish

)

Om

an

Azerb

aija

n

El S

alv

ad

or

Hun

ga

ry

Nig

eri

a

Su

pra

na

tiona

l

Ba

hra

in

Can

ad

a

Sa

ud

i A

rab

ia

Isra

el

Ba

rba

do

s

Ta

iwan

Indo

nesia

Po

lan

d

Ku

wait

Ma

cau

Unite

d K

ing

do

m

Czech

Rep

ublic

Chin

a

Co

lom

bia

Mo

rocc

o

Ma

lays

ia

Tu

rke

y

Th

aila

nd

So

uth

Afr

ica

Hon

g K

on

g

Sin

ga

pore

India

Me

xic

o

Qa

tar

So

uth

Ko

rea

Unite

d S

tate

s

Sp

read

du

rati

on

(ye

ars

)



GS Growth & Emerging Markets Corporate Bond PortfolioCountry distribution

GS Growth & Emerging Markets Corporate Bond Portfolio vs. JPMorgan CEMBI Broad Diversified Index (spread duration, years)





72


GS Growth & Emerging Markets Corporate Bond Portfolio vs. JPMorgan CEMBI Broad Diversified Index (spread duration, years)

Industry distribution

As of 31-Oct-14. Source: GSAM, JPMorgan. Holdings are subject to change and should not be construed as research or investment advice. Portfolio holdings may not be representative of current or future

investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.


1.17

0.46

0.190.14 0.11

0.00

0.32

0.08

0.78

0.470.530.54

0.01

0.15 0.14 0.12

0.02

0.57

0.37

0.15

0.89

0.63

1.33

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

Sp

rea

d D

ura

tio

n (

ye

ars

)

GS Growth & Emerging Markets Corporate Bond Portfolio Benchmark

73

GS Growth & Emerging Markets Debt PortfolioPerformance as of 30 September 2014

*Net returns reflect the maximum deductible fees; offshore mutual fund fees are negotiable, based on total mandate size and the level of client servicing required. Base Distribution Share Class: LU0110449138. Past performance does not guarantee future results, which may vary. Fund inception date: 03-May-00. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid. price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


1-year 3-years, pa 5-years, pa Since Inception, pa

GS Growth & Emerging Markets Debt Portfolio (gross), % 10.60 9.97 9.97 12.24

GS Growth & Emerging Markets Debt Portfolio (net), % 8.97 8.33 8.33 10.53

JPM EMBI Global Diversified Index (1 Day Lag), % 9.52 7.89 8.16 10.00

Gross Excess Return, bps 108 208 180 225

Tracking Error (gross), bps 112 141 149 267

Information Ratio (gross) 0.96 1.47 1.21 0.84

GrossExcessReturn (bps)

52 604 268 315 564 556 314 -58 -754 1057 278 45 400 75 51

9.6

16.1 15.7

25.6

17.2 15.913.1

5.4

-19.6

40.4

15.0

7.8

21.5

-4.5

8.88.4

14.2 13.8

23.6

15.3 14.0 11.5

3.9

-20.8

38.4

13.2

7.0

18.9

-6.0

7.59.1 10.0 13.0

22.5

11.6 10.3 10.0 6.0

-12.0

29.9

12.2 7.4

17.5

-5.3

8.2

-30

-20

-10

0

10

20

30

40

50

2000Partial

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014YTD

GS Growth & Emerging Markets Debt Portfolio (gross) GS Growth & Emerging Markets Debt Portfolio (net)* JPM EMBI Global Diversified Index (1-Day Lag)

74

GS Growth & Emerging Markets Corporate Bond PortfolioPerformance as of 30 September 2014

Benchmarks: JPM CEMBI Broad Diversified. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns. Our investment advisory fees are described in Part 2 of our Form ADV. See additional disclosures. Past performance does not guarantee future results, which may vary. Performance inception date: 17-May-11. Fund 7621. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


GrossExcess

Return (bps)205 464 116 12


GS Growth & Emerging Markets Corporate Bond Portfolio (gross), % 9.40 10.43 7.83

GS Growth & Emerging Markets Corporate Bond Portfolio (net), % 7.78 8.80 6.23



Tracking Error (gross), bps 142 158 161

Information Ratio (gross) 0.75 1.48 1.43

0.8%

19.6%

0.6%

6.4%

-0.1%

17.8%

-0.9%

5.2%

-1.2%

15.0%

-0.6%

6.2%

-5%

0%

5%

10%

15%

20%

25%

2011 (Partial) 2012 2013 2014 YTD

GS Growth & Emerging Markets Corporate Bond Portfolio (gross) GS Growth & Emerging Markets Corporate Bond Portfolio (net) JPM CEMBI Broad Diversified

75

Carve-out performance: GS Growth & Emerging Markets Corporate Bond Portfolio (ex-active developed markets duration strategy)

Carve-out performance, in USD, as of 31 October 2014

Source: GSAM, JPMorgan. Benchmarks: JPM CEMBI Broad Diversified. Performance in USD. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns. Past performance does not guarantee future results, which may vary. Performance inception date: 17-May-11. The data shown is of a carve-out, is for informational purposes only and is not indicative of future portfolio characteristics/returns. Actual results may vary for each client due to specific client guidelines and

other factors.

GSAM does not currently manage a global corporate emerging market debt ex-duration portfolio that is appropriate to present for the investment strategy being proposed for you. Calculations and assumptions: 1Gross Excess Return= Gross Performance for the GS Growth & Emerging Markets Debt Portfolio - Performance for the JPM CEMBI Broad Diversified Index. Gross Excess Return –Duration has been calculated to illustrate the performance of the GS Growth & Emerging Markets Corporate Bond Portfolio excluding the impact of developed market interest rate movements. We have subtracted the attribution to developed market interest rates for each discrete period given from the performance to show this.

GrossExcessReturn1

ex-Duration (bps)

177 459 87 67


Gross Excess Return for the GS Growth & Emerging Markets Corporate Bond Portfolio (ex-duration), bps

37 197 205


Gross Excess Return1- Duration, bps -93 17 53

Gross Excess Return1- Duration GS Growth & Emerging Markets Corporate Bond Portfolio (ex-duration), bps

130 180 152

-5

0

5

10

15

20

2011 (Partial) 2012 2013 2014 YTD

%

Gross Excess Return - Duration JPM CEMBI Broad Diversified Index


76

RisksGS Growth & Emerging Markets Corporate Bond Portfolio















78

GS Growth & Emerging Markets Debt Blend PortfolioPortfolio characteristics

As of Sep-2014. Source: GSAM. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. There is no guarantee that these objectives will be met. Derivatives are used to access countries where physical bonds are not accessible or high transaction cost and low liquidity exist. Currency forwards are used to optimise our local currency positions.

Portfolio Targets

Gross target excess return 1.50% - 2.50% per annum

Target tracking error 2.50% - 3.00% per annum

Active asset allocation between three sub-sectors

Active US interest rate duration hedging

Benchmark 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan

CEMBI Broad Diversified Index

Typical Investments



Derivatives (includes US Treasury futures, currency forwards, interest rate swaps, credit default swaps, total

return swaps, credit-linked notes)


EM USD Sovn.~20%

EM USD Corp~25%

EM Local Sovn.~55%

EM USD Corp25%

EM USD Sovn.25%

EM Local Sovn.50%

Represented by JPMorgan Benchmarks: Total $3.1 trillion as of September, 2014

Benchmark split for neutral allocation: 50% GBI-EM GD / 25% EMBI GD / 25% CEMBI BD

Investable Universe Benchmark

79

GS Growth & Emerging Markets Debt Blend PortfolioInvestment process

Source: GSAM. For illustrative use only. Global Risk Factor Model (GRM) is a proprietary risk platform. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. 1 In conjunction with clients for segregated accounts. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Please see additional disclosures.

1. Risk budgeting

2. Bottom-up research

3. Asset allocation inputs

4. Portfolio construction and monitoring

Portfolio Manager1 Sovereign Economists/ EM Corporate Analysts

Sam FinkelsteinYacov Arnopolin

Portfolio ManagersSector Specialists

Sam FinkelsteinYacov Arnopolin

Typical tracking error

250-300 bps

Sovereign Credit

(125-175)

Rates

(125-175)

FX

(125-175)

Corporate Credit

(50-100)

Fundamental, bottom-up research based on Three Pillars approach

Focus on sovereign and corporate balance sheets

Form views on individual countries' rates, FX, sovereign and corporate credit markets

Consider high conviction off benchmark positions.

Bottom-up views

Examine high conviction bottom-up views across sectors

Quantitative analysis

Identify factors that drive each sector including; volatility, yields, spreads, PMIs, CPIs, commodities, and metals prices

Evaluate factors in order to determine current fair value for EMD sectors

Macro & Sector Specialist views

Form outlook on economic cycle, prospects for EM economies

Sector Specialists provide assessment on EM rates, FX, sovereign and corporate credit

Portfolio Managers compare sector outlooks with focus on relative value

Portfolio construction

Debate

Implementation

Portfolio monitoring

Risk/return

Liquidity

Position limits

Global Risk Model (GRM)

Deviation vs. benchmark

P&L

Performance attribution

Size to conviction


80

Portfolio MonitoringAsset AllocationViews on Individual Sector

ValuationsSovereign Research & Idea Generation

GS Growth & Emerging Markets Debt Blend PortfolioInvestment team

Numbers in parentheses ( ) indicate years of investment experience, as of 4-Nov-14.¹ Member of the GSAM Currency team covering EM and G10 currencies.



Responsible for overall portfolio risk including beta decisions.

Owi Ruivivar (17)

Location Key

New York

London

Argentina

Singapore


Diego Sasson (7)


Vladimir Liberzon (13)External Debt

Michael Jalkut (15)Local Rates

David Bowen1 (21)FX

Sam Finkelstein (18)CIO & Head of EMD

Yacov Arnopolin (15)Asset Allocation + Portfolio Monitoring

Yacov Arnopolin /GSAM FI Risk Team

Responsible for sovereign research and making recommendations on debt and currency positioning

Responsible for summarizing views on individual sectors

Responsible for asset allocation decisions. Debate all inputs, integrate macro views and determine portfolio allocation

Responsible for setting and monitoring portfolio risk budgets & guidelines and communicating strategy to investors

Nick Saunders (13)EM Corporates

Prakriti Sofat (9)

81



Portfolio positioning (as of October 2014)

Portfolio vs. blended benchmark1

1 Blended benchmark: Local: 50% JPM GBI-EM Global Div, External: 25% JPM EMBI Global Div, EM Corporate: 25% JPM CEMBI Broad Div. The data shown is of a representative account is for informational purposes only and is not indicative of future portfolio characteristics/returns. Local and External duration exposures are beta-adjusted.

FX Management

Local, External, Corporate and US Rates Duration

Neutral Benchmark MV% & Duration (years):

We are overweight EM currencies relative to DM currencies, including biggest OW’s in:

India South Africa Mexico Chile

Portfolio EM FX(MV, %)

Benchmark EM FX(MV, %)

Net Position(MV, %)

53.50% 50.0% 3.50%

Local, 50%

External, 25%

Corporate, 25%

Total duration (years): 5.30

2.38

1.71

1.21

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Duration (yrs)

40%

50%

60%

70%

MV

%

Neutral EM/USD FX Exposure EM FX Exposure

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

-

0.5

1.0

1.5

2.0

Net

Du

rati

on

(years

)

Local External Corporate US Rates

82

EMD offers a source of diversificationCorrelation with other asset classes (last 10 years ending Sep 2014)

Source: Bloomberg , JP Morgan, Barclays. Note: Period Oct 2004 – Sep 2014. GSAM Calculations. For illustrative purposes only. Past correlations are not indicative of future correlations, which may vary.


EM External

Debt

EM Local Debt

EM Corps

Blended EM FI

Global Bonds

Global Sovereign

Debt

US Bonds

US Treasury

US IG Corp

US HY Corp

EU IG (ex-sov)

US Equity

Global Equity

EM Equity

EM Currency

EM External Debt 1.00

EM Local Debt 0.79 1.00

EM Corps 0.90 0.69 1.00

Blended EM FI 0.93 0.95 0.86 1.00

Global Bonds 0.62 0.67 0.54 0.68 1.00

Global Sovereign Debt 0.42 0.49 0.33 0.48 0.96 1.00

US Bonds 0.60 0.34 0.55 0.49 0.69 0.68 1.00

US Treasury 0.22 0.02 0.15 0.12 0.48 0.59 0.85 1.00

US IG Corp 0.79 0.53 0.84 0.71 0.65 0.51 0.81 0.45 1.00

US HY Corp 0.75 0.63 0.77 0.74 0.36 0.14 0.25 -0.23 0.64 1.00

EU IG (ex-sov) 0.62 0.76 0.56 0.74 0.87 0.74 0.38 0.11 0.51 0.47 1.00

US Equity 0.60 0.68 0.60 0.69 0.33 0.12 0.05 -0.29 0.37 0.73 0.53 1.00

Global Equity 0.67 0.78 0.66 0.77 0.43 0.22 0.09 -0.29 0.44 0.77 0.65 0.97 1.00

EM Equity 0.70 0.83 0.66 0.82 0.44 0.23 0.12 -0.24 0.45 0.72 0.62 0.80 0.88 1.00

EM Currency 0.70 0.94 0.63 0.88 0.68 0.50 0.23 -0.08 0.44 0.59 0.84 0.70 0.80 0.83 1.00

Referenced indexJPM EMBI

Global

JPM GBI-EM

Global

JPM CEMBI

BD

25% EMBI

Global, 50%

GBI-EM

Global, 25%

CEMBI BD

BC Global

Aggregate

JPM GBI

Global

BC US

Aggregate

ML US

Treasury:

Current 10 yr

BC US

Corporate

Intermediate

BC US

Corporate

High Yield

ML EMU

Non-

sovereign

Index

(S&P 500)

MSCI World

(developed

equity)

MSCI

Emerging

Market Index

JPM ELMI +

83

GS Growth & Emerging Markets Debt Blend PortfolioPortfolio characteristics

** Benchmark : 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan CEMBI Broad Diversified Index.



GS Growth & Emerging Markets Debt Blend Portfolio vs. Custom Asset-Weighted Blended Benchmark **


Market value (MM) 233.45 1,719,214.28 AAA 0.00% 0.05% -0.05%

Number of Holdings 334 1,794 (1,460) AA 0.85% 3.30% -2.45%

Number of Countries 61 83 (22) A 20.54% 29.74% -9.20%

Average Credit Quality BBB- BBB BBB 48.68% 49.78% -1.10%

Coupon (%) 6.01 6.17 (0.16) BB 13.71% 8.60% 5.11%


Yield To Worst (%) 6.19 5.65 0.54 CCC 1.52% 1.62% -0.10%

Current Yield (%) 5.81 5.91 (0.10) CC 0.00% 0.01% -0.01%

C 0.00% 0.01% -0.01%


Convexity 0.34 0.41 (0.07) NR1 7.68% 1.50% 6.19%


Derivatives3

-1.05% 0.00% -1.05%

Total 100.00% 100.00% 0.00%


84

GS Growth & Emerging Markets Debt Blend PortfolioSector and currency distribution

As of 31-Oct-14. Source: GSAM, JPMorgan. Portfolio holdings may not be representative of current or future investments. The securities discussed do not represent all of the portfolio's holdings and may represent only a small percentage of the strategy’s portfolio holdings. Future portfolio holdings may not be profitable.Cash may include local currency, foreign currency, short-term investment funds, bank acceptances, commercial paper, margin, repurchase agreements, time deposits, variable-rate demand notes, and/or money market mutual funds. The Cash category may show a negative market value percentage as a result of a) the timing of trade date versus settlement date transactions and/or b) the portfolio’s derivative investments, which are collateralised by the portfolio’s available cash and securities. Such securities are AAA rated by an independent rating agency, have durations between -2 and 1 years, and are limited to the following sectors: governments, agencies, supranationals, corporates, and agency-backed adjustable-rate mortgages. These securities are not reclassified under the Cash category; rather,

they remain classified under their proper descriptions (e.g., rating, sector, etc.). Other may include US Treasuries and Treasury Futures.




17.17%

Local Sovereign Debt

44.99%


8.98%

Local Quasi-Sovereign Debt

0.49%


22.37%


1.06%

Supranational0.44%

Other2.01%

Cash2.48%


United States (USD) 52.50% 50.00% 2.50%

India (INR) 1.25% 0.00% 1.25%

South Africa (ZAR) 6.17% 5.00% 1.17%

Mexico (MXN) 5.72% 5.00% 0.72%

Chile (CLP) 0.77% 0.05% 0.72%

Dominican Republic (DOP) 0.69% 0.00% 0.69%

Malaysia (MYR) 5.68% 5.00% 0.68%

Australia (AUD) 0.55% 0.00% 0.55%

Zambia (ZMW) 0.49% 0.00% 0.49%

Hungary (HUF) 2.89% 2.47% 0.42%

Indonesia (IDR) 4.09% 3.87% 0.22%

Russia (RUB) 3.35% 3.13% 0.22%

Israel (ILS) 0.03% 0.00% 0.03%

Peru (PEN) 0.76% 0.74% 0.03%

Nigeria (NGN) 0.95% 0.93% 0.03%

Romania (RON) 1.23% 1.23% 0.00%

Hong Kong (HKD) 0.00% 0.00% 0.00%

Thailand (THB) 3.43% 3.44% -0.02%

Turkey (TRY) 4.95% 5.00% -0.05%

Colombia (COP) 3.59% 3.93% -0.34%

Philippines (PHP) -0.13% 0.21% -0.34%

South Korea (KRW) -0.39% 0.00% -0.39%

Poland (PLN) 4.59% 5.00% -0.41%

Brazil (BRL) 4.11% 5.00% -0.89%

Japan (JPY) -1.04% 0.00% -1.04%

China (CNY) -1.29% 0.00% -1.29%

Singapore (SGD) -1.74% 0.00% -1.74%

Various (EUR) -3.21% 0.00% -3.21%

Total 100.00% 100.00% 0.00%


85

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%)



GS Growth & Emerging Markets Debt Blend PortfolioCountry distribution

GS Growth & Emerging Markets Debt Blend Portfolio vs. Custom Asset-Weighted Blended Benchmark * (Market Value, %)

* Benchmark : 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan CEMBI Broad Diversified Index.





86

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GS Growth & Emerging Markets Debt Blend PortfolioCountry distribution

GS Growth & Emerging Markets Debt Blend Portfolio vs. Custom Asset-Weighted Blended Benchmark *(spread duration, years)

* Benchmark : 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan CEMBI Broad Diversified Index.





87

GS Growth & Emerging Markets Debt Blend PortfolioPerformance as of 30 September 2014

* Benchmark : 50% JP Morgan GBI-EM Global Diversified / 25% JP Morgan EMBI Global Diversified / 25% JP Morgan CEMBI Broad Diversified Index. The returns are gross and do not reflect the deduction of investment advisory fees, which will reduce returns. Our investment advisory fees are described in Part 2 of our Form ADV. See additional disclosures. Past performance does not guarantee future results, which may vary. Performance inception date: 08-May-13. Fund 8436. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.


YTD 1-Year Since Inception, pa

GS Growth & Emerging Markets Debt Blend Portfolio (gross), % 3.85 5.71 -3.22

GS Growth & Emerging Markets Debt Blend Portfolio (net), % 2.58 3.99 -4.81

Custom Asset-Weighted Blended Benchmark *, % 3.56 3.67 -3.87


Tracking Error (Gross), bps 120 142

Information Ratio (Gross) 1.70 0.46

GrossExcess

Return (bps)61 29 65

-8.0%

3.8%

-3.2%

-9.0%

2.6%

-4.8%

-8.6%

3.6%

-3.9%

-12%

-7%

-2%

3%

8%

2013 (Partial) 2014 YTD Since Inception, pa

GS Growth & Emerging Markets Debt Blend Portfolio (gross), % GS Growth & Emerging Markets Debt Blend Portfolio (net), % Custom Asset-Weighted Blended Benchmark *

88

Net returns reflect the maximum deductible fees; offshore mutual fund fees are negotiable, based on total mandate size and the level of client servicing required.1Benchmark is JPM EMBI Global Diversified Index (1 Day Lag),2Benchmark is JP Morgan GBI-EM Global Diversified (1 Day Lag). 3Benchmark is JPM CEMBI Broad Diversified Index.4Inception date: 03-

May-00. 5Since 01-Jan-10, adoption of JPM GBI-EM Global Diversified Benchmark. Portfolio previously was benchmark agnostic, with original inception date 29-Jun-07. For pre 2010 track record including benchmark agnostic period please refer to the appendix. 6Inception date: 17-May-11. Performance shown is for Base share classes. Past performance does not guarantee future results, which may vary. Please note that the fund operates a swing pricing policy. Investors should be aware that from time to time this may result in the fund performing differently compared to the reference benchmark based solely on the effect of swing pricing rather than price developments of underlying instruments. Please note that as of 24-June-2013 the fund has changed its pricing policy from bid basis to mid price. Investors should note that this may have a positive impact on the fund NAV for that day and on its reported performance for any time period that includes that day.

GS EMD portfolio performanceAs of 30 September 2014


YTD 3 Year, paSince

Inception4, pa YTD 3 Year, pa

Since Benchmark

Adoption5, pa YTD 3 Year, paSince

Inception6, pa

Portfolio (gross), % 8.76 9.97 12.24 -0.40 3.80 5.18 6.37 10.43 7.83

Portfolio (net), % 7.54 8.33 10.53 -1.77 1.93 4.10 5.18 8.80 6.23

Benchmark, % 8.24 7.89 10.00 -0.01 2.21 4.05 6.24 8.09 5.53

Gross Excess Return, bps 51 208 225 -39 159 113 12 234 230

Tracking Error (gross), bps 141 267 179 192 158 161

Information Ratio (gross) 1.47 0.84 0.89 0.59 1.48 1.43

GS Growth & Emerging Markets Debt Portfolio1

GS Growth & Emerging Markets Debt Local Portfolio2

GS Growth & Emerging Markets Corporate Bond Portfolio3

8.810.0

-0.4

3.8

6.4

10.4

7.58.3

-1.8

1.9

5.2

8.88.2 7.9

0.0

2.2

6.2

8.1

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

2014 YTD 3-Year, pa 2014 YTD 3-Year, pa 2014 YTD 3-Year, pa

Gross (%)

Net (%)

Benchmark (%)

89

RisksGS Growth & Emerging Markets Debt Blend Portfolio














90

General Disclosures

This material is provided at your request for informational purposes only. It is not an offer or solicitation to buy or sell any securities. THIS MATERIAL DOES NOT CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION WHERE OR TO ANY PERSON TO WHOM IT WOULD BE UNAUTHORIZED OR UNLAWFUL TO DO SO. Prospective investors should inform themselves as to any applicable legal requirements and taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant.

Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.

This marketing material has been issued by Goldman Sachs International authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. This material is provided at your request for informational purposes only and does not constitute a solicitation in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. It only contains selected information with regards to the fund and does not constitute an offer to buy shares in the fund. Prior to an investment, prospective investors should carefully read the latest Key Investor Information Document (KIID) as well as the offering documentation, including but not limited to the fund’s prospectus which contains inter alia a comprehensive disclosure of applicable risks. The relevant articles of association, prospectus, supplement, KIID and latest annual/semi-annual report are available free of charge from the fund’s paying and information agent and/or from your financial adviser.

Shares of the fund may not be registered for public distribution in a number of jurisdictions (including but not limited to any Latin American, African or Asian countries). Therefore, the shares of the fund must not be marketed or offered in or to residents of any such jurisdictions unless such marketing or offering is made in compliance with applicable exemptions for the private placement of collective investment schemes and other applicable jurisdictional rules and regulations.

Financial advisers generally suggest a diversified portfolio of investments. The fund described herein does not represent a diversified investment by itself. An investor should only invest if he/she has the necessary financial resources to bear a complete loss of this investment.

This material must not be construed as investment or tax advice. Prospective investors should consult their financial and tax adviser before investing in order to determine whether an investment would be suitable for them.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

This material has been prepared by GSAM and is not a product of Goldman Sachs Global Investment Research. The views and opinions expressed may differ from those of Goldman Sachs Global Investment Research or other departments or divisions of Goldman Sachs and its affiliates. Investors are urged to consult with their financial advisors before buying or selling any securities. This information may not be current and GSAM has no obligation to provide any updates or changes.

Index Benchmarks

Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors cannot invest directly in indices.

The indices referenced herein have been selected because they are well known, easily recognized by investors, and reflect those indices that the Investment Manager believes, in part based on industry practice, provide a suitable benchmark against which to evaluate the investment or broader market described herein. The exclusion of “failed” or closed hedge funds may mean that each index overstates the performance of hedge funds generally.

References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.

General Disclosures

91

General Disclosures

The currency market affords investors a substantial degree of leverage. This leverage presents the potential for substantial profits but also entails a high degree of risk including the risk that losses may be similarly substantial. Such transactions are considered suitable only for investors who are experienced in transactions of that kind. Currency fluctuations will also affect the value of an investment.

Emerging markets securities may be less liquid and more volatile and are subject to a number of additional risks, including but not limited to currency fluctuations and politicalinstability. The strategy may include the use of derivatives. Derivatives often involve a high degree of financial risk because a relatively small movement in the price of theunderlying security or benchmark may result in a disproportionately large movement in the price of the derivative and are not suitable for all investors. No representation regardingthe suitability of these instruments and strategies for a particular investor is made.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.

Tracking Error (TE) is one possible measurement of the dispersion of a portfolio’s returns from its stated benchmark. More specifically, it is the standard deviation of such excessreturns. TE figures are representations of statistical expectations falling within “normal” distributions of return patterns. Normal statistical distributions of returns suggests thatapproximately two thirds of the time the annual gross returns of the accounts will lie in a range equal to the benchmark return plus or minus the TE if the market behaves in amanner suggested by historical returns. Targeted TE therefore applies statistical probabilities (and the language of uncertainty) and so cannot be predictive of actual results. Inaddition, past tracking error is not indicative of future TE and there can be no assurance that the TE actually reflected in your accounts will be at levels either specified in theinvestment objectives or suggested by our forecasts.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS,THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADINGCOMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITYTRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADINGPROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon andassumed without independent verification, the accuracy and completeness of all information available from public sources.

Confidentiality

No part of this material may, without GSAM’s prior written consent, be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or authorized agent of the recipient.

© 2014 Goldman Sachs. All rights reserved.

146339.OSF.OTU // 146527.OSF.OTU

General Disclosures

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