Stable Value Investment Association Conference Market Outlook for Fixed Income and Impact on Stable Value

Presented by: Michael Swell

Global Fixed Income & Liquidity Management April 2015

2

Summary of Our Views:

Macro Themes:

Global growth has improved and divergence has peaked with Europe reviving

Risks have increased surrounding China growth, Greek debt

Fed is on track to raise rates in 2015, will likely wait until September

Eurozone QE driving competitive policy easing

Japan growth improving but further easing likely

Source: GSAM As of February 2015. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

Global Outlook

3

Global Backdrop US growth remains solid but momentum has slowed. Global growth and inflation remains soft overall and Greece is again a risk. Many central banks have eased policy in response.

Global Outlook

Source: Bloomberg. As of March 4, 2015.

Softer data in the US; Eurozone may have bottomed Headline inflation weak globally on lower oil prices

Source: Bloomberg. As of February 2015.

Source: Citigroup, Bloomberg, as of Feb. 18, 2015. Table does not include all countries that have eased in 2015. Other examples include Albania, Pakistan, Peru , Romania and Israel.

Many central banks have eased policy in early 2015

Source: ISM, Markit, Bloomberg. As of February 2015.

Greece is again a risk, but bailout extension buys time

Developed Markets Emerging Markets

Country Policy Change Country Policy Change

Australia 25 bps rate cut China Rate cut / RRR cut

Canada 25 bps rate cut Egypt 50 bps rate cut

Denmark Negative rate India 25 bps rate cut

Eurozone QE Indonesia 25 bps rate cut

Sweden Negative rate / QE Russia 200 bps rate cut

Switzerland Negative rate Turkey 50 bps rate cut

444648505254565860

'12 '13 '14 '15

Index Manufacturing PMI

EurozoneUS

Bailout Extension

0

500

1000

1500

2000

2500

3000

Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15

Basis points Greece 5-Year CreditDefault Swap

-2

-1

0

1

2

3

4

2013 2014 2015

Headline CPI

US UKEurozone ChinaJapan Australia

YoY %

4

US Employment and Inflation Are Sending Mixed Signals With inflation below target, the Fed has been patient about raising rates despite strong job growth

Global Outlook

US non-farm payroll growth has been strong Inflation remains below the Fed’s 2% target

Source: Bloomberg. As of February 2015 Source: Bloomberg. As of January 2015

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

'12 '13 '14 '15

% yoy US Headline vs Core Inflation

CPI CPI excluding food and energy

-200

-100

0

100

200

300

400

500

600

'10 '11 '12 '13 '14 '15

000's Non-Farm Payroll Growth

Non-Farm Payrolls

3-Month Average

5

Lower Oil Prices Should Be Net Positive for the US Economy Energy sector investment is likely to fall but the impact on GDP is likely to be modest, while consumers should benefit from the sharp decline in gasoline prices.

Global Outlook

Energy investment likely slow, GDP impact may be modest Consumers will spend much less on gasoline…

Source: Bloomberg. As of Q4 2014 Source: Bloomberg, As of January 2015

0%

2%

4%

6%

8%

10%

12%

14%

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14

% of Total Business Investment% of GDP

Investment in Mining Equipment and Structures

…suggesting upside potential for consumer spending

Source: Bloomberg, Capital Economics. As of February 2015.

0

2

4

6

8

10

'10 '11 '12 '13 '14 '15

%yoy Retail Sales Ex-Autos Ex-Autos and Gasoline

180210240270300330360390420450

$1.50

$2.00

$2.50

$3.00

$3.50

$4.00

$4.50

'08 '09 '10 '11 '12 '13 '14 '15

$, billions Price/gallon US Average Gasoline Price (left)Spending on Gasoline (right)

6

Fed is Focused on Wages to Gauge Slack and Inflation Outlook The Fed is focused on wage inflation as oil-related pressure on inflation is likely temporary. While wage growth remains subdued, leading indicators suggest wages could rise.

Global Outlook

Source: Bloomberg, GSAM. As of January 2015 Wage growth is calculated as the average of year-over-year percent change in average hourly earnings and the Employment Cost Index. Modeled wage growth is a weighted sum of the difference between U3 and U6 unemployment and the JOLTS quit rate.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

'02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

%yoy Leading Indicators Suggest Wages Set to Rise

Wage growth Modeled wage growth

7

External Weakness May Keep the Fed Patient for a Bit Longer US economic outperformance has driven the dollar higher, tightening financial conditions. While oil has helped to offset some of this tightening, global demand remains weak.

Global Outlook

Stronger dollar tightens US financial conditions Lower oil has helped to offset dollar strength

Source: Bloomberg. As of January 2015 Source: Bloomberg, As of December 2014.

60

70

80

90

100

110

120

130

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

Index

US Dollar Index

99

100

101

102

103

'08 '09 '10 '11 '12 '13 '14 '15

Index US Financial ConditionsUS Financial Conditions including oil

Tighter Financial Conditions

Strong dollar, weak global demand weigh on US exports

Source: Bloomberg, Goldman Sachs. As of February 2015.

-30

-20

-10

0

10

20

30

'08 '09 '10 '11 '12 '13 '14

%yoy US Exports

8

2014 2015 2016 2017 Longer Term 0

1

2

3

4

5%

FOMC Member ProjectionsFOMC Median Projection - March 2015FOMC Median Projection - December 2014Market (Overnight Index Swaps)

Macro Themes

The Market May Still Be Underestimating Potential Rate Hikes Market-implied policy rates are below the Fed’s projections. If the Fed remains on track to raise rates in 2015, we believe US market rates may need to adjust higher.

Source: Bloomberg. As of March 18, 2015. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation. Market long-term estimate based on 30-year bond yield and five-year, five-year forward interest rate swaps.

2.6%

9

Eurozone Growth Improves, Germany Benefits from Weak Euro Eurozone growth has improved in recent months, with PMI data consistent with GDP growth near 1.5%. Germany has led the rebound, with exports benefiting from weak euro.

Global Outlook

PMI data consistent with Eurozone GDP growth near 1.5% Germany has led the recent growth rebound

Source: Bloomberg, Markit. As of February 2015 Source: Bloomberg. As of Q4 2014

-8

-7

-6

-5

-4

-3

-2

-1

0

1

2

3

4

5

6

30

35

40

45

50

55

60

65

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

% yoy Index

Composite PMI (left) Real GDP (right)

-5

-4

-3

-2

-1

0

1

2

3

'00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14

%qoq Real GDP

Germany France

10

Eurozone Countries Face Structural and Cyclical Challenges Elevated unemployment suggests the Eurozone economy still has significant slack outside of Germany. Progress on structural labor market reforms has been mixed.

Global Outlook

Source: OECD. As of Q3’14

High unemployment suggests significant slack Progress on structural labor reforms has been mixed

Source: Bloomberg. As of January 2015

France

Greece

Ireland

Italy

Spain

80

85

90

95

100

105

110

'10 '11 '12 '13 '14

2010=100 Unit Labor Costs

France Greece

Ireland Italy

Spain

0

5

10

15

20

25

30

'05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15

% Unemployment

Spain Italy

France Germany

11 Global Outlook

ECB Pursuing Aggressive QE, but Inflation Expectations Weak The ECB’s quantitative easing (QE) announcement led to modest improvement in inflation expectations but structural challenges could keep Eurozone inflation low for a long time

Source: Bloomberg, GSAM. As of December 2014. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

0

5

10

15

20

25

30

35

40

'07 '08 '09 '10 '11 '12 '13 '14 '15 '16

% of GDP Central Bank Assets

European Central Bank

Federal Reserve

Estimates

ECB targeting significant balance sheet expansion Eurozone inflation expectations remain low

0.0

0.5

1.0

1.5

2.0

2.5

3.0

'11 '12 '13 '14 '15

% 5-Year 5-Year Forward Inflation Swap

5-Year 5-Year ForwardInflation Swap

12

Greek Bailout Extension Reduces Near-Term Euro Exit Risk The Feb. 20 agreement to extend the current Greek bailout agreement buys time, but leaves the issue of large Greek debt payments to ECB in July & August unresolved.

Global Outlook

Source: Morgan Stanley, Bloomberg, As of Feb. 23, 2015.

Greek spreads have been volatile amid debt negotiations Contagion to other European peripherals has been limited

Feb March April May June Aug July

Feb 28: Current bailout expires. Extension requires parliamentary approval in Austria, Estonia, Finland, Germany, Greece, Netherlands and Slovakia.

Feb 20: Finance ministers agree to 4-month bailout extension

June 30: 4-month extension expires

By End of April: Greece must fully specify reform measures. ECB, IMF and European Commission. Greek parliament must then approve.

July 20/Aug 20: €7 billion of Greek bonds held by ECB mature

Key Dates in Greek Debt Negotiations

0

200

400

600

800

1000

1200

1400

1600

1800

Jun-14 Aug-14 Oct-14 Dec-14 Feb-15

Basis points Greece 5-year Spread to Germany

Source: Bloomberg, As of Feb. 23, 2015. Source: Bloomberg, As of Feb. 23, 2015.

0

20

40

60

80

100

120

140

Jun-14 Aug-14 Oct-14 Dec-14 Feb-15

Basis points Spain and Italy 5-year Spreads to Germany

Italy Spain

13 Global Outlook

Japan Recovering From Tax Hike But Inflation Remains Low Japan is recovering from the April Consumption Tax hike and the next hike has been postponed from 2015 to 2017. Inflation is falling again with the decline in oil prices.

Consumption still recovering from April tax hike Inflation slowing again as oil prices decline

Source: Bloomberg, GSAM. As of Q4 2014 Source: Bloomberg. As of December 2014

Consumption Tax Hike

-6

-5

-4

-3

-2

-1

0

1

2

3

'10 '11 '12 '13 '14

%qoq

Real GDP

Household Consumption GDP

-2

-1

0

1

2

3

4

'10 '11 '12 '13 '14

%yoy

CPI

Excluding Tax Hike

BoJ Target

14 Global Outlook

Bank of Japan May Consider Additional Easing The BoJ may consider additional easing to maintain the credibility of its inflation target but the central bank now owns more than 20% of outstanding government bonds.

The BoJ balance sheet expansion continues The BoJ owns more than 20% of the JGB market

Source: Bloomberg, GSAM. As of January 26, 2015 Source: Bloomberg. As of December 2014.

0

20

40

60

80

100

120

'07 '08 '09 '10 '11 '12 '13 '14 '15 '16

% of GDP Central Bank Assets

Bank of Japan

European Central Bank

Federal Reserve

Bank of England

Estimates

0%

5%

10%

15%

20%

25%

'08 '09 '10 '11 '12 '13 '14

BoJ Holdings of JGBs

BoJ Government Bond Holdings (%of Government Bonds Outstanding)

15

Summary of Securitized Views

• Potential Fed tightening in 2015 and subsequent reduction in reinvestments weigh on technicals; anticipate MBS spreads to widen

• Non-agency MBS gains will be harder to achieve in 2015, but overall returns should be positive

• We remain constructive on CMBS, in both agency and private-label sectors

• CLOs represent an attractive return per unit of risk for bank buyers; FFELP Student Loan ABS present attractive spreads and high quality

Source: GSAM, FOMC. As of February 20, 2015. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation. GSE = Government-Sponsored Enterprise. LCR = Liquidity Coverage Ratio. HQLA = High Quality Liquid Assets.

Securitized

16

Agency MBS Basis Position: Underweight

Fannie Mae Current Coupon Nominal Spread*

Source: GSAM, Credit Suisse. As of February 23, 2015. * Calculation: Fannie Mae Current Coupon yield (Credit Suisse production model retrieved on February 24, 2015) minus the average of the US 5-year and 10-year government yields, plotted as a time series.

Securitized

Outlook We are underweight agency MBS as an asset class, and anticipate widening in the months ahead

Tapering of Fed purchases of agency MBS has pushed net issuance positive, a potential headwind for the sector

Nominal spreads are near all-time lows; we expect this to normalize over time as volatility returns to more normal levels

Financing has cheapened since net issuance turned positive mid-2014—a feature typically associated with wider spread levels

Nom

inal

Spr

ead

(bps

)

Low: 76 bps in Sep-12

Current: 102 bps

0

50

100

150

200

250

300

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

17

Non-agency RMBS Improving Housing Fundamentals Remain Supportive for Valuations

Outlook Borrower performance has improved materially since 2008-2009, with delinquency pipelines diminishing, and increasing modification rates

leading to more borrowers moving from delinquent to current status

Subprime delinquency rates have shown the strongest declines, although sector-wide improvement has been notable

Improvements in fundamentals have outpaced expectations since 2009, leading to lower realized losses than anticipated in 2009-2010

2006 Vintage Non-agency RMBS

Retrieved January 2015, data to Q4 2014. Source: GSAM, Intex. Past performance does not guarantee future results, which may vary. The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation. % Seriously Delinquent = more than 60 days delinquent.

Securitized

% S

erio

usly

Del

inqu

ent

0

10

20

30

40

50

60

24 36 48 60 72 84 96

Alt A Option ARM Subprime

(~2008) Weighted Average Loan Age (Months) (~2014) (~2009) (~2013)

18

CMBS Collateral Performance Has Improved Materially

Delinquency / Similar by Vintage Delinquency by Property Type

Source: GSAM, Trepp. Data as of December 2014, retrieved January 6, 2015. The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

Summary Overall, delinquent loan inventories have declined over the past year, particularly in 2007 and 2006 vintage CMBS

Delinquency rates have shown the strongest improvement in the apartment sector

However, delinquencies remain elevated across vintages and property types, a factor which appears well priced into CMBS prices

0

2

4

6

8

10

12

14

16

18

2007 2008 2009 2010 2011 2012 2013 2014 2015

% 3

0 D

ays+

Del

inqu

ent /

In F

orec

losu

re /

REO

2005 2006 2007

Vintage:

0

2

4

6

8

10

12

14

16

18

2007 2008 2009 2010 2011 2012 2013 2014

Del

inqu

ency

by

Prop

erty

Typ

e (%

)

Retail Office Apartment

Type:

19

ABS FFELP Student Loans

Outlook The FFELP (Federal Family Education Loan Program) terminated in 2010; when active, loans made to students or parents were insured by

the Department of Education, rendering them high quality

The outstanding balance of FFELP loans is diminishing, as they are either being paid down or securitized; i.e., FFELP ABS exhibit the substantial positive technical of a having a finite quantity of future supply

In addition, collateral performance has been strong with unemployment continuing to fall, and default rates decreasing

Despite this, spreads have remained relatively wide; we find current levels attractive entry points

FFELP ABS Collateral Performance

Source: GSAM, Department of Education, JP Morgan, as of December 31, 2014.

Securitized

FFELP ABS Spread Performance

Coh

ort D

efau

lt R

ate

(%)

BA

ML

JPM

Cre

dit S

uiss

e

0

20

40

60

80

100

2010 2011 2012 2013 2014 2015

LIB

OR

OAS

(bps

)

3-year 5-year 7-year Spread

Duration:

0

2

4

6

8

10

12

0

5

10

15

20

25Cohort Default Rate (%, LHS)

Unemployment (%, RHS)

Unem

ployment R

ate (%)

20

Where are Credit Spreads Relative to History? Spreads in Europe are tight relative to history and about average in the US

Source: Barclays, JP Morgan, Bloomberg. As at 11-Mar-2015. The spread shown is the option-adjusted spread to worst, based on a lognormal option model

Securitized

662

125

447

366

414

79

321

US High Yield Energy

US Investment Grade

US High Yield

EM External Debt

US High Yield Ex-Energy

Euro Investment Grade

Euro High Yield

0 25 50 75 100

Percentile

Current Spread (bps)

50th Percentile

21

0

10

20

30

40

50

60

70

100

125

150

175

200

225

250

275

300

325

350

375

400

425

450

475

500

500+

Freq

uenc

y

Spread (bp)

BBB Rated

0

10

20

30

40

50

60

70

80

90

25 50 75 100

125

150

175

200

225

250

275

300

325

350

375

400

400+

Freq

uenc

y

Spread (bp)

A Rated

0

20

40

60

80

100

120

20 40 60 80 100

120

140

160

180

200

220

240

260

280

280+

Freq

uenc

y

Spread (bp)

AA Rated

0

10

20

30

40

50

60

70

80

40 60 80 100

120

140

160

180

200

220

240

260

280

300

300+

Freq

uenc

y

Spread (bp)

IG Index

Distribution of Corporate Spreads Monthly Spread Levels (June 1989 – March 2015)

Source: Barclays. As at 11-Mar-2015. The spread shown is the option-adjusted spread to worst, based on a lognormal option model

11-Mar-2015 = 163 bps

(59th Percentile)

11-Mar-2015 = 100 bps

(52nd Percentile)

11-Mar-2015 = 125 bps

(59th Percentile)

11-Mar-2015 = 68 bps

(51st Percentile)

Securitized

22

The energy sector has sold off due to lower oil prices

Source: Barclays. As of 09-Mar-2015. Past performance does not guarantee future results, which may vary.

Since 2H 2014, the corporate credit index returned +2.6% while the energy component returned -0.2% and oil field services has declined 7.0%.

Decline of Energy vs. Broad IG Corporates Index

Change in OAS (bps) from 2H 2014 to 09-Mar-2015

OAS (bps) 30-Jun-2014 9-Mar-2015 Delta

IG Corporate Index 99 122 23

Industrials 102 129 27

Energy 108 172 64

Independent Energy 99 167 68

Integrated Energy 68 90 22

Oil Field Services 121 304 183

Refiners 121 172 51

Midstream 136 189 53

23

Emerging Market Outlook for 2015 Many EM countries are well positioned to withstand potential volatility

Source: Top LHS chart. Bloomberg, Datastream, GS Global Investment Research, PIIE; Bottom LHS chart. GS Investment Strategy Group, Datastream, IMF, JP Morgan, World Bank; RHS: Citi Research

While EM Currencies are 12% weaker than the Global Financial Crisis lows…

Country selection remains key to finding winners 68

73

78

83

88

93

98

10365

70

75

80

85

90

95

100

105

110

Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15

US D

ollar

Inde

x (DX

Y)

EMLD

FX (0

1/01/2

008 =

100)

EMLD FX DXY (rhs, inv)

EMLD FX GFC low

Current EMLD FX level

USD Appreciation

…EM Total External Debt remains low, flexible exchange rates cushion growth

24%

15%

20%

25%

30%

35%

40%

1995 1997 1999 2001 2003 2005 2007 2009 2011 2013

EM Ex

terna

l Deb

t (%GD

P)E

M E

xter

nal D

ebt (

% o

f GD

P)

EM

Loc

al D

ebt F

X P

erfo

rman

ce (

1/1/

2008

= 1

00) –

Th

roug

h M

arch

17,

201

5

Change since April 2013 in fundamental macro variables

24%

Securitized

24

Impact on Stable Value Portfolios

Market–to–Book Value Ratios

Book Value Crediting Rates

Investment Guideline Considerations

Impairments and Defaults

Source: GSAM As of February 2015. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

Securitized

25

Where are the Opportunities? GSAM Market Views

As of March 4, 2015. 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.

Top-Down Our View Duration/Term Structure US Short Japan Neutral UK Neutral Europe Neutral Country (rates) US Long Canada Long Europe Short UK Short Currency

GBP, NOK, SEK, MXN, INR, AUD, CAD, ZAR, USD, MYR, + EUR, NZD, CNH, SGD, KRW, JPY, TRY, –

Cross Sector Swap Spreads Neutral Agency – Municipals (BABS) Neutral ABS (incl SLABS) Neutral Agency MBS Neutral Non-Agency MBS + IG Corporates + HY Corporates + CMBS/CLO + EMD +

Bottom-Up Our View Securitized

Agency MBS pass-throughs – Multi-family MBS + Non-Agency MBS + CMBS + CLOs + Covered Bonds Neutral ABS (incl SLABS) Neutral

Corporate Credit Investment Grade +

Energy – Healthcare –

REITs & Real Estate + Finance +

Telecom-Non Cellular + High Yield +

Telecom- Cellular + Utilities - Gas Distribution – Bank Loans + Cash/Synthetic Basis Neutral

Emerging Market Debt (EMD) External Debt + Local Debt / Currency Neutral

Questions & Answers

Appendix A: Profiles of Professionals

28

Michael Swell Managing Director, Co-Head of Global Portfolio Management Michael is the co-head of Global Portfolio Management within the Global Fixed Income team in Goldman Sachs Asset Management (GSAM). In this role, he is responsible for co-leading the global team of portfolio managers that oversee multi-sector portfolios. Previously, Michael was a senior portfolio manager and co-head of the US Fixed Income group. He joined the firm in GSAM in 2007 as a managing director and head of Structured Products. This role entailed the creation of structured product asset management vehicles across the spectrum of fixed income products and management of opportunistic/alternative portfolios. Michael was named partner in 2012. Prior to joining the firm, Michael was a senior managing director in charge of Friedman, Billings & Ramsey’s (FBR) Fixed Income Sales & Trading Division. Under Michael’s guidance, his division was responsible for the underwriting of more than $22 billion of mortgage-related transactions. Prior to FBR, he was the vice president and head of the Securities Sales and Trading Group at Freddie Mac. Michael earned a BA in Politics and Economics from Brandeis University, a General Course Degree from the London School of Economics and an MA in International Economics and Finance from the Lemberg School at Brandeis University.

Profiles of key professionals

Profiles of Professionals

As of February 28, 2015.

Appendix B: Disclosures

30

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. 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. 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. These examples are for illustrative purposes only and are not actual results. If any assumptions used do not prove to be true, results may vary substantially. 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. This material is not financial research and was not prepared by Goldman Sachs Global Investment Research (GIR). 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 views and opinions expressed may differ from those of GIR 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. 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. Economic and market forecasts presented herein reflect a series of assumptions and judgments 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. 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. 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. 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 authorised agent of the recipient. © 2015 Goldman Sachs. All rights reserved. Compliance code: 3963-OTU-16111

Disclosures