Gsam citywire emd slides pptx (3)

Goldman Sachs Growth &

Emerging Markets Debt

Local Portfolio

October 2012

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH POOLS AND/OR ACCOUNTS WHOSE PARTICIPANTS ARE

LIMITED TO QUALIFIED ELIGIBLE PERSONS, AN OFFERING MEMORANDUM FOR THIS POOL AND/OR THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO

BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A

POOL AND/OR TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF AN OFFERING MEMORANDUM AND/OR COMMODITY TRADING ADVISOR DISCLOSURE.

CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS OFFERING OR ANY OFFERING MEMORANDUM FOR THIS

POOL AND/OR THIS TRADING PROGRAM OR THIS BROCHURE.

For professional investors only –Not for public distribution

Goldman Sachs Asset Management

Biographies

2

Blair Reid, Global Fixed Income and Currency team,


Blair joined Goldman Sachs Asset Management in 2006 as a member

of the Global Fixed Income and Currency team.

Prior to joining GSAM, Blair spent five years at Barclays Global

Investors.

Blair gained a B.Ec. degree in Economics and Actuarial studies from

Macquarie University, in Sydney. Blair is a Fellow of the Institute of

Actuaries.


The big picture The world's changing economic "centre of gravity", 1980 - 2030

3

Source: Danny Quah, London School of Economic (http://econ.lse.ac.uk/~dquah/).

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or

investment advice. Please see additional disclosures.

Today 1980 2030

http://econ.lse.ac.uk/~dquah/


EM fundamentals show a broad picture of health

4

Source: IMF and Haver, Data as at 01-Jan-2012



Government Debt (% of GDP)

Fiscal Deficit (% of GDP)

Current Account Balance (% of GDP)

108

34

0

20

40

60

80

100

120

DM EM-2.6

-1.1

-3.0

-2.0

-1.0

0.0

DM EM

-0.5

0.7

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

DM EM

DM EM


EM Central Banks are able to pursue counter cyclical

monetary policy

5

Inflation targeting (IT) in EM Inflation in EM

Source: IMF WEO, April 2012.



Countries

IT policy

adopted

Israel 1997

Czech Republic 1998

South korea 1998

Brazil 1999

Poland 1999

Chile 2000

Colombia 2000

South Africa 2000

Thailand 2000

Hungary 2001

Mexico 2001

Peru 2002

Philippines 2002

Guatemala 2005

Indonesia 2005

Romania 2005

Slovak Republic 2005

0

10

20

30

40

50

60

70

80

90

100

19

93

19

94

19

95

19

96

19

97

19

98

19

99

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

Emerging and developing economies

Central and eastern Europe

Commonwealth of Independent States

Developing Asia

Latin America and the Caribbean

Middle East and North Africa

Sub-Saharan Africa


Emerging Market

For illustrative purposes only. Source: Bloomberg, S&P, GSAM. Countries rating reflected is foreign currency long term on Bloomberg. As of Aug 31, 2012.

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research

or investment advice. Please see additional disclosures. Past performance does not guarantee future results, which may vary.

Developed Market

AAA AA

Brazil South Africa

Mexico

Thailand

Poland

Malaysia

Hungary

Spain

Italy

Belgium

US

UK

Netherlands

Japan

Turkey Russia

Indonesia

Germany

France

Canada

A BBB BB B CCC

Brazil

South Africa

Mexico

Thailand

Poland

Malaysia Hungary

Spain

Italy

Belgium

US

UK

Netherlands

Japan

Turkey

Russia

Indonesia

Germany

France Canada

Today

2000

DM & EM Sovereign credit risk profile converging

6

Downgraded since 2000

Upgraded since 2000


Local EMD remains attractive

7

Nominal yield differentials

Source: Bloomberg, as of 31-Jul-12

Source: JP Morgan, Bloomberg. This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not

be construed as research or investment advice. Past performance is not indicative of future results, which may vary. Please see additional disclosures.

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Bo

nd

Yie

lds (

%)

JPM GBI-EM Global Index - YTM JPM GBI Global Index - YTMEM Local Nominal Yield DM Nominal Yield


Reasons to consider Local EMD

8

* From January 2003 to August 2012.

For illustrative purposes only. Diversification does not protect an investor from market risk and does not ensure a profit.

Higher yields and better fundamentals than developed markets

Key driver of global growth

Potential to benefit from currency appreciation

Low correlation to traditional fixed income (~0.4*) and can provide portfolio diversification benefits

A typical portfolio curently yields around 6%, exhibits volatility around 13%, and has exposure to 15-30 countries.

More than ever, we believe that Local EMD

should be a strategic allocation within an overall fixed income portfolio.


Goldman Sachs Growth & Emerging

Markets Debt Local Portfolio


Graph as of September 30, 2012. Sources: GSAM, JPMorgan. * Includes approximately $315mn of assets not directly traded by the EMD desk but that are part of EMD portfolios. .



Long history of managing Emerging Markets Debt at GSAM

10

De

c-9

3

De

c-9

4

De

c-9

5

De

c-9

6

De

c-9

7

De

c-9

8

De

c-9

9

De

c-0

0

De

c-0

1

De

c-0

2

De

c-0

3

De

c-0

4

De

c-0

5

De

c-0

6

De

c-0

7

De

c-0

8

De

c-0

9

De

c-1

0

De

c-1

1

-

500

1,000

1,500

2,000

2,500

3,000

Marke

t Valu

e (U

SD, b

illion

)

EM USD Sovereign Debt (JPM EMBI Global)

EM USD Corporate Debt (JPM CEMBI Broad)

EM Local Sovereign Debt (JPM GBI-EM Broad)

GSAM Milestones

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

De

c-9

3

De

c-9

4

De

c-9

5

De

c-9

6

De

c-9

7

De

c-9

8

De

c-9

9

De

c-0

0

De

c-0

1

De

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2

De

c-0

3

De

c-0

4

De

c-0

5

De

c-0

6

De

c-0

7

De

c-0

8

De

c-0

9

De

c-1

0

De

c-1

1-

500

1,000

1,500

2,000

2,500

3,000

Marke

t Valu

e (U

SD, b

illion

)

EM USD Sovereign Debt (JPM EMBI Global)

EM USD Corporate Debt (JPM CEMBI Broad)

EM Local Sovereign Debt (JPM GBI-EM Broad)

GSAM Milestones

EMD Market Size

(JPM benchmarks, September 2012)

Total: $2.6 trillion

EM External

$555EM Local

$1,530

EM Corp$538

GSAM EMD Assets

Total: $33.4 billion*

Including FI portfolios: $40.1 billion

(As of September 2012)

EMD Hard

$16.3

EMD Hard

(constr.)

$4.9

EMD Local $8.8

EM Corp $3.4


Cross-pollination of ideas between EMD and other FI teams

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

The EMD team is seated between the US Corp Credit group and the Global Commodities team.

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

11

As of July 31, 2012.

Currency

Commodities

Money

markets

Securitised

Cross

sector

Duration

Emerging

market

debt

Global

Equity

Team

Corporates

Emerging Market

Debt (+8) TSY/MBS

(+12) Risk (+4)

Global Commodities

(+4)

US Corporate

Credit (+30)

New York Floor Layout


Fully resourced team – specialists across EMD asset classes

Head of Emerging Markets Debt

Sam Finkelstein (16)

Sovereign Economists

Sovereign Analysis

Ricardo Penfold (15)

Owi Ruivivar (15)

Diego Sasson (5)

Lead Portfolio Managers

Portfolio Monitoring

Yacov Arnopolin (13)

Blair Reid (11)

Traders

Security Selection

Vladimir Liberzon (11)

Michael Jalkut (13)

Jacqueline Leary (4)

Neil Squires (11)

Singapore

New York

London

Bangalore

Singapore

Beijing (3-person team)*

Seoul (5-person team)*

Corporate Analysts

EM Corporate Analysis

Nick Saunders (11)

Salman Niaz (12)

Hubert Chu (6)

Aakash Thombre (5)

Sowmya Srinivasan (<1)

Vikalp Kumar (4)

Prashant Bajaj(<1)

Krishnan V R (<1)

Numbers in parentheses ( ) indicate years of investment experience, as of 1-Oct-2012 *Cities where local teams provide colour. 12


Investment approach

13

Currency team Macro team Country /

Peripherals team Commodities team

Jim O’Neill Growth

Markets Team

Optimal portfolio

construction – allocate

risk to best ideas

Portfolio beta positioning

influenced by macro views of

GSAM FI risk teams.

Sam Finkelstein has ultimate

responsibility for overall

portfolio beta decisions.

GSAM FI Inputs

EM Team Portfolio Decisions

Sovereign Economists Local analysts EM traders EM Corp team

Country selection – a

research-intensive process;

decisions via dialogue and

debate within EMD team.

Sam Finkelstein acts as

arbiter for the discussion.

Country

selection Security selection and

relative value views.

Input on market

technicals, flows and

liquidity.

Security

selection

Tactical

positioning

EM Team Portfolio Decisions


Three pillars of analyzing sovereign debt

Uniform approach to formulating macroeconomic views on individual countries.

Choose best expression of current views – hard currency vs local debt vs FX vs corporates.

Ensure highest conviction ideas are in all portfolios – “best ideas” approach.

14

Source: GSAM

For illustrative use only. Please see additional disclosures. This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political

conditions and should not be construed as research or investment advice. Please see additional disclosures.

What to watch out for - RED FLAGS

Fiscal 1 Balance of Payments 2 Monetary/Financial 3

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

Debt level and its

composition

Main drivers of fiscal

revenue

Political ability to raise

taxes or cut expenditures

Structure of the balance

of payment

Capital account and

current account

Destination of the

country’s exports and

imports

Health of the financial

sector

Credit growth outlook

Composition, vulnerability

and leverage of the

banking sector

Three pillars of analyzing sovereign debt


Example of Local Debt Analysis Overweight Brazil

15

GSAM computations based on Bloomberg and GSAM data. For illustrative purposes only to demonstrate GSAM's analytical process. Any reference to an individual country does not

constitute a recommendation to buy, hold or sell a security of such country.

Analysis:

Analysis supported by our research on the ground in

Sao Paulo

Real yields in Brazil are extremely high compared to

all other emerging market yields

We attempted to model a ‘Reserve Bank Reaction

Function’ which points to the likely behaviour of

central banks around the world (Taylor rule). This

model is a function of growth, output gap & inflation.

Our analysis suggested the Brazil central bank had

scope to cut rates. We believe real interest rates are

going to decrease in the future and converge in line

with other emerging market economies levels.

Positioning:

Overweight Brazil local debt

0

2

4

6

8

10

12

14

16

0 5 10 15 20 25 30

(%)

2006 2008 2010 2011

Brazilian Inflation Linked Yield Curves


Emerging Market Debt Local Goldman Sachs Growth & Emerging Markets Debt Local Portfolio performance

as of September 30, 2012

16

* 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.

Prior to 01-Jan-2010 the portfolio was

not managed against a benchmark.

For reference the JPM GBI-EM Global

Diversified Index is shown.

Gross Excess

Return (bps) 232 -83 372

As Of September 30, 2012 1-year 3-years, pa Since Inception, pa

GS Growth & Emerging Markets Debt Local Portfolio (gross), % 17.27 11.14 7.63

GS Growth & Emerging Markets Debt Local Portfolio (net), % 15.16 9.11 5.66

JP Morgan GBI-EM Global Diversified (1 Day Lag), % 12.62 9.42 9.34

Gross Excess Return, bps 465 172 -171

Tracking Error (gross), bps 198 210 385

Information Ratio (gross) 2.35 0.82 -0.44

4.08

18.00

-2.58

15.84

2.18

15.86

-4.40

14.30

9.48

15.68

-1.75

12.12

-10

-5

0

5

10

15

20

Since Inception to Dec-09 2010 2011 2012 (YTD)

%

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


Goldman Sachs Growth & Emerging Markets Debt Local Portfolio Investment objectives - set within a risk management framework

17

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

Source: GSAM.

* These guidelines refer to our internal principles only and is subject to change without notification. 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. Past performance is not indicative of future results, which may vary.

Permissible Investments

Key Internal Guidelines *

Benchmark JP Morgan GBI-EM Global Diversified Index

Portfolio Targets

Base Distribution Share Class: LU0302282511

Gross excess return target of 2-3% per annum

Target tracking error of 2-4% per annum

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)

Max country exposure: 10% vs. index

Max sector exposure: EM corporates 25%, EM external debt 30%

Max single issuer exposure to EM corporates: 3%, EM quasi-sovereign : 5%

Max total EM local currency exposure: 50% vs. index

Max exposure to non-USD funding currencies:15%


10.0% 10.0%

4.1%

2.3%

0.2%

10.0% 10.0%

9.3%

6.3%

10.0% 10.0% 10.0%

7.3%

0.5%

0%

2%

4%

6%

8%

10%

12%

Bra

zil

Me

xico

Co

lom

bia

Pe

ru

Ch

ile

Turk

ey

Po

lan

d

Ru

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Hu

nga

ry

Sou

th A

fric

a

Mal

aysi

a

Ind

on

esi

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Thai

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d

Ph

ilip

pin

es

JPM

GB

I-EM

Glo

bal

Div

ers

ifie

d I

nd

ex,

%

Investment Universe – EM Local Debt

18

As of September 30, 2012 for benchmark characteristics. Source: JP Morgan, Bloomberg, GSAM. The source of average credit rating is JP Morgan. This information discusses general

market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice. Please see

additional disclosures. Any reference to a specific company or country does not constitute a recommendation to buy, sell, hold or directly invest in the company 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. Past performance is not

indicative of future results, which may vary. JPMorgan Government Bond Index – Emerging Markets Global Diversified Index is an unmanaged index of debt instruments of Emerging

Countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. Duration shown is spread duration.

Latin America: 27%

Middle East /

Africa: 10% Europe: 35% Asia: 28%

JPM GBI-EM Global Diversified Countries Average Credit Rating Yield (%) Duration (yrs)

Index Characteristics: 14 Baa2 (Moody's), BBB+ (S&P) 5.87 4.63


Decomposition of rates vs. currency for the JPM GBI-EM

Global Diversified Index

19

FX (currency) is calculated as the JPM GBI-EM Global USD-unhedged Index minus the JPM GBI-EM Global USD- hedged Index.

As of September 30, 2012. Source: JP Morgan, Bloomberg, GSAM. Cumulative returns. This information discusses general market activity, industry or sector trends, or other broad-based

economic, market or political conditions and should not be construed as research or investment advice. Past performance is not indicative of future results, which may vary. Please see

additional disclosures. Return data are shown since 31-Dec-2002.

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 (YTD)

An

n. R

etu

rn

Rates Currencies

Region

Rates Currency Rates Currency

GBI-EM Global Diversified 6.5% 5.7% 4.5% 9.0%

Asia 6.5% 2.8% 6.7% 4.7%

Europe 4.9% 6.5% 4.6% 13.4%

Latam 9.6% 6.4% 5.3% 9.8%

Middle East/Africa 5.0% 7.2% 6.4% 17.5%

Return (Ann.) Volatility (Ann.)Region Correlation

Rates Currency Rates Currency

GBI-EM Global Diversified 52% 48% 28% 71% 0.51

Asia 69% 31% 62% 38% 0.57

Europe 40% 60% 20% 79% 0.53

Latam 58% 42% 29% 71% 0.35

Middle East/Africa 37% 63% 19% 80% 0.38

Breakdown of Cumulative Return Risk Decomposition


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

Goldman Sachs Growth & Emerging Markets Debt Local Portfolio Portfolio characteristics

20

As of 30 September 2012

Source: GSAM, JPMorgan. Holdings are subject to change and should not be construed as research or investment advice. 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 Swaps 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.

Portfolio Benchmark Difference Portfolio Benchmark Difference

Market value (MM) 2,530.98 937,198.63 AAA 0.00% 0.00% 0.00%

Number of Holdings 278 168 110 AA 0.78% 0.19% 0.59%

Number of Countries 32 14 18 A 46.82% 57.27% -10.45%

Average Credit Quality BBB- BBB+ BBB 28.22% 25.77% 2.45%

Average Country Weight %) 3.13% 7.14% -4.02% BB 2.78% 16.77% -14.00%

Coupon (%) 8.56 6.92 1.64 B 2.33% 0.00% 2.33%

Yield To Maturity (%) 6.10 5.87 0.24 CCC 0.00% 0.00% 0.00%

Yield To Worst (%) 6.03 5.86 0.17 CC 0.00% 0.00% 0.00%

Credit Adjusted Duration (years) 0.01 0.04 (0.04) C 0.00% 0.00% 0.00%

Option Adjusted Duration (years) 4.00 4.15 (0.15) D 0.00% 0.00% 0.00%

Option Adjusted Spread Duration (years) 4.88 4.63 0.25 NR1 14.40% 0.00% 14.40%

Convexity 0.33 0.36 (0.03) Cash2 4.35% 0.00% 4.35%

Maturity (years) 6.41 6.74 (0.33) Interest Rate Swaps3 0.32% 0.00% 0.32%

LIBOR OAS (bps) 40 1 39

Total 100.00% 100.00% 0.00%

Credit Rating Allocation*Top Level Statistics


Sector Allocation (market value, %)


Source: GSAM, JPMorgan. * Cash includes cash-backed derivatives exposure such as currency forwards and the unrealized profit and loss from those derivatives exposures.

Holdings are subject to change and should not be construed as research or investment advice.

Goldman Sachs Growth & Emerging Markets Debt Local Portfolio Sector and currency distribution

21

Active Currency Exposure (market value, %)

External Sovereign Debt,

2.3%

Local Sovereign Debt, 88.0%

External Quasi-Sovereign Debt,

0.2%

Local Quasi-Sovereign Debt,

3.1%

Local Corporate Debt, 2.1%

Cash, 4.4% India (INR), 6.28%

Mexico (MXN), 16.09%

Russia (RUB), 14.81%

Malaysia (MYR), 13.57%

Brazil (BRL), 12.12%

Philippines (PHP), 2.33%

Nigeria (NGN), 1.69%Turkey (TRY),

11.49%

Peru (PEN), 3.80%

Israel (ILS), 1.42%

China (CNY), 0.98%Dominican Republic

(DOP), 0.50%

Colombia (COP), 4.63%

Argentina (ARS), 0.21%

Thailand (THB), 7.32%

Indonesia (IDR), 9.94%

South Africa (ZAR), 9.84%

Singapore (SGD), -1.01%

Various (EUR), -1.13%

Japan (JPY), -1.71%

Czech Republic (CZK), -1.77%

Taiwan (TWD), -1.98%

Hungary (HUF), 4.24%

Poland (PLN), 7.86% Bulgaria (BGN), -2.25%

United States (USD), -19.51%


-30.0%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Ind

ia

Me

xic

o

Ru

ssia

Ma

laysia

Bra

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Ph

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Nig

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nio

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Un

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s

Mark

et

vau

le (

%)

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

Goldman Sachs Growth & Emerging Markets Debt Local Portfolio Country distribution

22

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


Source: GSAM, JPMorgan. The data shown is of a representative account, 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. Holdings are subject to change and should not be construed as research or investment advice. This chart is

intended to show key positions and does not show every position in the portfolio.


Goldman Sachs Growth & Emerging Markets Debt Local Portfolio Country distribution

23

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


Source: GSAM, JPMorgan. The data shown is of a representative account, 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. Holdings are subject to change and should not be construed as research or investment advice. This chart is

intended to show key positions and does not show every position in the portfolio.

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

Bra

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So

uth

Afr

ica

Tu

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Isra

el

Me

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Arg

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Do

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ssia

Un

ite

d S

tate

s

Ma

laysia

Ind

on

esia

So

uth

Ko

rea

Ta

iwa

n

Po

lan

d

Sp

read

du

rati

on

(years

)

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

External Corporate Debt Local Corporate Debt Benchmark Total


GSAM EMD Advantages

24

Global Presence

Risk Managed Approach

Access to Multiple Resources

Sam Finkelstein facilitates GSAM macro strategy discussions

Access to broader GSAM & GS systems & resources

Experienced and Specialist

team

Core of the EMD team together for 10 years

Minimum turnover since inception of the strategy in 2000

Presence on 3 continents and 4 countries

Continuous monitoring of global markets

Risk managed at multiple levels: EMD team, GSAM FI, IMD

Proprietary factor risk model used for risk analysis and budgeting

Enhanced ability to identify

opportunities globally

Minimizes the probability of

taking unintended risk

Robust idea generation

Deep knowledge of emerging

markets

Characteristics Features Potential Benefits

As of 31 July 2012

Past performance is not indicative of future results, which may vary. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low

risk. GSAM leverages the resources of Goldman Sachs & Co. subject to Chinese Wall restrictions.


Appendix


Investment universe - EM external debt

26

As of September 30 2012 for benchmark characteristics. Source: JP Morgan, Bloomberg, GSAM. The source of average credit rating is JP Morgan. This information discusses general market

activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice. Please see additional

disclosures. Any reference to a specific company or country does not constitute a recommendation to buy, sell, hold or directly invest in the company 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. Past performance is not indicative of future

results, which may vary. The J.P. Morgan Emerging Markets Bond Index Global Diversified is an unmanaged market capitalization Index that tracks total returns for U.S. dollar denominated

debt instruments issued by emerging market sovereign and quasi-sovereign issuers. The index does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in

an unmanaged index. Duration shown is spread duration.

Latin America: 38% Europe: 29%

Middle East / Africa: 10%

Asia: 23%

6.4

5.8

4.4 4.3

3.7

2.93.1

2.3

1.9

1.4

0.8

0.40.3 0.2 0.2 0.1

5.9 5.8

3.6

3.1

2.6 2.4

2.0

0.80.6 0.6 0.5 0.5 0.4

3.6

3.2

0.8 0.7 0.6

0.3 0.3 0.2 0.2 0.2 0.2 0.2

6.05.7

2.8

3.2

2.4

1.4

0.60.3

0.2

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Bra

zil

Mex

ico

Colo

mbi

a

Ven

ezu

ela

Peru

Pan

ama

Chile

Uru

guay

Arg

enti

na

El S

alva

dor

Dom

inic

an …

Jam

aic

a

Gua

tem

ala

Ecu

ad

or

Co

sta

Ric

a

Bel

ize

Tu

rke

y

Rus

sia

Pola

nd

Ukr

aine

Lith

ua

nia

Hun

gary

Croa

tia

Rom

ania

Se

rbia

Bel

arus

Latv

ia

Bu

lga

ria

Ge

org

ia

Sou

th A

fric

a

Leba

non

Iraq

Egyp

t

Co

te D

'Ivo

ire

Gab

on

Gh

ana

Jord

an

Nig

eria

Sen

egal

Nam

ibia

Aze

rba

ijan

Ph

ilip

pin

es

Ind

on

esi

a

Ch

ina

Kaza

khst

an

Ma

lays

ia

Sri

La

nka

Vie

tna

m

Pa

kist

an

Mo

ng

olia

JP

M E

MB

I G

lob

al

Div

ers

ifie

d I

nd

ex,

%

JPM EMBI Global Diversified Countries Average Credit Rating Yield (%) Spread (bps) Duration (yrs)

Index Characteristics: 50 Baa3 (Moody's) / BBB- (S&P) 4.23 282 7.09


Investment Grade

Country

Credit

Rating

Sovereign

Spread (bps)

Bulgaria BBB 124

Peru BBB 125

Malaysia A- 131

Colombia BBB- 132

Uruguay BBB- 139

Chile A+ 143

Poland A- 144

Panama BBB 148

Brazil BBB 162

China AA- 171

Mexico BBB 172

South Africa BBB+ 176

Russia BBB 208

Lithuania BBB 209

Latvia BBB- 218

Namibia* BBB- 237

Kazakhstan BBB+ 247

Azerbaijan BBB- 309

Croatia BBB- 349

BB

Country Credit Rating

Sovereign

Spread (bps)

Philippines BB+ 144

Indonesia BB+ 204

Turkey BB 236

Gabon BB- 265

Guatemala BB 273

Vietnam BB- 352

Romania BB+ 362

Mongolia BB- 376

Hungary BB+ 383

Georgia BB- 389

Costa Rica BB+ 393

Jordan BB 405

El Salvador* BB 426

Serbia BB- 523

B

Country

Credit

Rating

Sovereign

Spread (bps)

Nigeria B+ 345

Sri Lanka B+ 352

Ghana B 374

Dom Rep B+ 418

Lebanon B 420

Senegal B+ 421

Egypt B 444

Jamaica B- 662

Ukraine B+ 722

Ecuador B 743

Belarus B- 831

Argentina Bu 897

Venezuela B+ 956

Pakistan B- 976

NR

Country

Credit

Rating

Sovereign

Spread (bps)

Iraq NR 504

Cote D'Ivoire NR 563

Belize SD 2399

JP Morgan EMBI Index – Sovereign Ratings and Spreads

* Denotes Fitch Rating used as country is rated NR by S&P.

S&P Long Term Foreign Currencies rating shown as at 10-Oct-12. Source: Bloomberg

Sovereign spreads are as at 28-Sep-12. Source: JP Morgan


Emerging Market Debt Goldman Sachs Growth & Emerging Markets Debt Portfolio performance as of

September 30, 2012

28

* 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 is not indicative of future results, which may vary. Fund inception date: 03-May-00.

52 604 268 315 564 556 314 -58 -754 1,057 Gross Excess

Return (bps) 278 45 279

As Of September 30, 2012 1-year 3-years, pa 5-years, pa Since Inception, pa

GS Growth & Emerging Markets Debt Portfolio (gross), % 23.30 14.24 10.72 13.66

GS Growth & Emerging Markets Debt Portfolio (net), % 21.45 12.54 9.08 11.91

JPM EMBI Global Diversified Index (1 Day Lag), % 19.04 11.96 10.03 11.22

Gross Excess Return, bps 426 229 69 244

Tracking Error (gross), bps 171 166 377 283

Information Ratio (gross) 2.50 1.38 0.18 0.86

9.6

16.1 15.7

25.6

17.2 15.9

13.1

5.4

-19.6

40.4

15.0

7.8

17.0

8.4

14.2 13.8

23.6

15.3 14.0 11.5

3.9

-20.8

38.4

13.2

7.0

14.9

9.1 10.0 13.0

22.5

11.6 10.3 10.0 6.0

-12.0

29.9

12.2

7.4

14.2

-25%

-10%

5%

20%

35%

50%

2000Partial

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 (YTD)

GS Global Emerging Markets Debt Portfolio (gross) GS Global Emerging Markets Debt Portfolio (net)* JPMorgan EMBI Global Diversified (1-Day Lag)


Correlation across asset classes

29

As of May 31, 2012. Source: GSAM, Bloomberg. This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions

and should not be construed as research or investment advice. Please see additional disclosures.

Last 10 years

Last 5 years

EM External

Debt

EM Local

Debt

EM

Currency EM Equity

Global

Bonds

US HY Corp

Bonds

US IG Corp

Bonds US Equity

Global

Equity Commodities

EM External Debt 1.00

EM Local Debt 0.70 1.00

EM Currency 0.65 0.94 1.00

EM Equity 0.66 0.78 0.80 1.00

Global Bonds 0.54 0.62 0.62 0.33 1.00

US HY Corp Bonds 0.74 0.60 0.57 0.70 0.28 1.00

US IG Corp Bonds 0.74 0.51 0.44 0.38 0.68 0.58 1.00

US Equity 0.60 0.64 0.69 0.82 0.22 0.70 0.28 1.00

Global Equity 0.64 0.72 0.78 0.90 0.31 0.73 0.35 0.97 1.00

Commodities 0.26 0.43 0.50 0.50 0.26 0.33 0.22 0.34 0.43 1.00

EM External

Debt

EM Local

Debt

EM

Currency EM Equity

Global

Bonds

US HY Corp

Bonds

US IG Corp

Bonds US Equity

Global

Equity Commodities

EM External Debt 1.00

EM Local Debt 0.81 1.00

EM Currency 0.72 0.95 1.00

EM Equity 0.75 0.86 0.84 1.00

Global Bonds 0.64 0.70 0.70 0.49 1.00

US HY Corp Bonds 0.80 0.67 0.60 0.77 0.36 1.00

US IG Corp Bonds 0.82 0.60 0.50 0.56 0.66 0.67 1.00

US Equity 0.67 0.76 0.74 0.84 0.40 0.76 0.46 1.00

Global Equity 0.73 0.83 0.82 0.91 0.49 0.79 0.53 0.98 1.00

Commodities 0.45 0.64 0.71 0.72 0.31 0.50 0.29 0.62 0.68 1.00


024681012141618

4

5

6

7

8

9

10

30

/12

/2…

13

/01

/2…

27

/01

/2…

10

/02

/2…

24

/02

/2…

09

/03

/2…

23

/03

/2…

06

/04

/2…

20

/04

/2…

04

/05

/2…

18

/05

/2…

01

/06

/2…

15/0

6/2

…

29/0

6/2

…

13

/07

/2…

Corn (LHS) $/bu Wheat (LHS) $/buSoybeans (RHS) $/bu Rice (RHS) $/cwt

We believe EM inflation will stay contained despite

increase in food price

30

While corn, wheat and soy have climbed, rice prices have been steady. Food represents ~25-30% of EM inflation baskets.

EM import prices never fully baked in the recent drop in agricultural

prices.

The recent upturn in food prices is more likely to curb the recent drop in

EM inflation rather than reversing the 12-month downward trend.

0%

10%

20%

30%

40%

50%

Bra

zil

Chile

Colo

mb

ia

Me

xic

o

Pe

ru

Indonesia

Ko

rea

Ma

laysia

Th

aila

nd

Hungary

Isra

el

Po

lan

d

So

uth

Afr

ica

Tu

rkey

Share of food related items in CPI basket

Source: Haver Analytics, GSAM. As of June 30, 2012

Source: Citi Global Macro Strategy Research. As of June 30, 2012 Source: Citi Global Macro Strategy Research. As of June 30, 2012

Source: Bloomberg. As of July 26, 2012



2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

6.5

Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12

Latam 4 Asia CEEMEA GDP weighted EM average

*all simple averages except EM

aggregate


Proprietary Systems Zephyr – The Taylor Rule

31

For illustrative purposes only.


Proprietary Systems Zephyr – What’s priced in?

32



Proprietary Systems Zephyr – Valuation model

33



Proprietary Systems GRM – Global Risk Management

34



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. Moreover, it

neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement.

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.

Opinions expressed are current opinions as of the date appearing in this material only.

The strategy may include the use of derivatives. Derivatives often involve a high degree of financial risk because a relatively small movement in the price of the underlying security or benchmark may result in a

disproportionately large movement in the price of the derivative and are not suitable for all investors. No representation regarding the suitability of these instruments and strategies for a particular investor is made.

High-yield, lower-rated securities involve greater price volatility and present greater credit risks than higher-rated fixed income securities.

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 political instability.

CORESM is a registered service mark of Goldman, Sachs & Co.

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

This material has been prepared by GSAM and is not a product of the Goldman Sachs Global Investment Research Division. The views and opinions expressed may differ from the views and opinions expressed by the

Global Investment Research Division 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 should not be relied upon in making an investment decision. GSAM has no obligation to provide any updates or changes.

Holdings may change by the time you receive this report. 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. A

complete list of holdings is available upon request. Future portfolio holdings may not be profitable. The information should not be deemed representative of future characteristics for the strategy.

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

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 excess returns. TE figures are representations

of statistical expectations falling within “normal” distributions of return patterns. Normal statistical distributions of returns suggests that approximately 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 a manner suggested by historical returns. Targeted TE therefore applies statistical probabilities (and the language of uncertainty)

and so cannot be predictive of actual results. In addition, 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

the investment objectives or suggested by our forecasts.

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 and assumed without independent verification, the

accuracy and completeness of all information available from public sources.

No part of this material may 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, without

GSAM’s prior written consent.

In the United Kingdom, this material is a financial promotion and has been approved by Goldman Sachs International, which is authorized and regulated in the United Kingdom by the Financial Services Authority.

This marketing material has been issued by Goldman Sachs International, which is authorised and regulated by the United Kingdom Financial Services Authority (FSA).

It only contains selected information on this fund and does not constitute an offer to buy shares in the fund. Prior to an investment, prospective investors should carefully read the latest 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 incorporation, prospectus, simplified prospectus/key investor information document

as applicable and latest annual/semi-annual report are available free of charge from the fund’s paying and information agent (■■■), and/or from your financial advisor.

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 information must not be misconstrued 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. Furthermore, this information must neither be misconstrued as financial research. It was not prepared in compliance with applicable provisions of law designed to promote the independence of financial

analysis and is not subject to a prohibition on trading following the distribution of financial research.

The information contained herein is only intended as a product description and is not prepared by the Goldman Sachs Global Investment Research (GIR) Department. The views and opinions expressed herein are valid

as of the date of this publication only and may differ from the views and opinions expressed by the GIR Department or other departments or divisions of Goldman Sachs and its affiliates. Goldman Sachs International

has no obligation to provide any updates or changes.

© 2012 Goldman Sachs. All rights reserved.

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General disclosures

35

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general market activity

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