State of the Markets Best Long and Short Risk Strategies

August 2009Hedge Fund Strategies

This is not research and is not intended as such. This has been prepared by individuals on the sales/trading desks of the Securities Division. This material does not represent a formal or official view of Goldman Sachs as the views expressed herein are solely those of the authors, which may differ from those of Global Investment Research.

PROPRIETARY AND CONFIDENTIAL

2

Risk Factors – Please Read

CDS Risk Factors

No Claims on the Reference Entities. Participation in a Credit Default Swap does not constitute a purchase or other acquisition or assignment of any interest in any obligation of any Reference Entity. The parties to the Credit Default Swap will not have any recourse against any Reference Entity and will have no rights to enforce directly compliance by any Reference Entity with the terms of its obligations that are referred to in the Credit Default Swap, no rights of set-off against any Reference Entity, no voting rights with respect to any Reference Entity and no security interest in any Reference Obligation.

Limited Provision of Information about Reference Obligations/Reference Entities. No information will be provided to prospective counterparties with respect to any Reference Obligation or Reference Entity. Investors should conduct their own investigation and analysis with respect to the creditworthiness of each Reference Obligation and the likelihood of the occurrence of an event triggering payments under the Credit Default Swap occurring with respect to each Reference Entity and Reference Obligation.

Concentration Risk/Structural Risk. The concentration of the Reference Obligations in the Index in one particular type of structured product security subjects the Credit Defaults Swap to a greater degree of risk with respect to defaults within such type of structured product security. Prospective counterparties should review the list of Reference Obligations and conduct their own investigation and analysis with regard to each Reference Obligation, including the credit, market, interest rate, structural and legal risks associated with each Reference Obligation.

Evolving Nature of the Credit Default Swap Market. Credit default swaps (including credit default swaps on asset backed securities) are relatively new instruments in the market. While ISDA has published and supplemented the ISDA Credit Derivatives Definitions in order to facilitate transactions and promote uniformity in the credit default swap market, the credit default swap market is expected to change and the ISDA Credit Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. There can be no assurance that changes to the ISDA Credit Derivatives Definitions and other terms applicable to credit derivatives generally will be predictable. Amendments or supplements to the ISDA Credit Derivatives Definitions that are published by ISDA will only apply to the Credit Default Swap if the Credit Default Swap is amended. Therefore, in addition to the credit risk of Reference Obligations, Reference Entities and the credit risk of their counterparty, persons who enter into Credit Default Swaps are also subject to the risk that the ISDA Credit Derivatives Definitions could be interpreted in a manner that would be adverse to them or that the credit derivatives market generally may evolve in a manner that would be adverse to them.

Credit Ratings. Credit ratings represent the rating agencies’ opinions regarding credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and/or interest payments and do not evaluate the risks of fluctuations in market value. Accordingly, credit ratings may not fully reflect the true risks underlying any Credit DefaultSwap. Also, rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an issuer’s current financial condition may be better or worse than a rating indicates.

Conflicts of Interest; No Reliance. Goldman Sachs does not provide investment, accounting, tax or legal advice in respect of the Credit Default Swaps and shall not have a fiduciary relationship with any counterparty to a Credit Default Swap. In particular, Goldman Sachs does not make any representations as to (a) the suitability of any Credit Default Swap, (b) the appropriate accounting treatment or possible tax consequences of any Credit Default Swap or (c) the future performance of any Credit Default Swap either in absolute terms or relative to competing investments. Prospective counterparties should obtain their own independent accounting, tax and legal advice and should consult their own professional investment advisor to ascertain the suitability of any Credit Default Swap, including such independent investigation and analysis regarding the risks, security arrangements and cash-flows associated with any Credit Default Swap as they deem appropriate to evaluate the merits and risks of any Credit Default Swap

Goldman Sachs may, by virtue of its status as an underwriter, advisor or otherwise, possess or have access to non-publicly available information relating to the Reference Entities and/or the obligations of the Reference Entities (including the Reference Obligations) and has not undertaken, and does not intend, to disclose, such status or nonpublic information in connection with any Credit Default Swap. Accordingly, this presentation may not contain all information that would be material to the evaluation of the merits and risks of entering into any Credit Default Swap.

Goldman Sachs does not make any representation, recommendation or warranty, express or implied, regarding the accuracy, adequacy, reasonableness or completeness of the information contained herein or in any further information, notice or other document which may at any time be supplied in connection with a Credit Default Swap and accepts no responsibility or liability therefore. Goldman Sachs may from time be an active participant on both sides of the market and have long or short positions in, or buy and sell, securities, commodities, futures, options or other derivatives identical or related to those mentioned herein. Goldman Sachs may have potential conflicts of interest due to present or future relationships between Goldman Sachs and any Reference Entity or any obligation of any Reference Entity.

3

Prospective Investors or Counterparties should read the final swap confirmation or Offering Circular, as the case may be, for a more complete description of risk factors relevant to the particular investment. Entering into the Default Swaps or purchasing the Securities involves certain risks. Prospective swap counterparties or Investors should carefully consider the following factors, as well as the risk factors included in the final swap confirmation or final Offering Circular, prior to entering into the Transaction. The following is not intended to be an exhaustive list of the risks involved in the Transaction.

The final Offering Circular for any funded transaction will include more complete descriptions of the risks described below as well as additional risks. Any decision to invest in the securities described herein should be made after reviewing the Offering Circular, conducting such investigations as the investor deems necessary and consulting the investor’s own legal, accounting and tax advisors in order to make an independent determination of the suitability and consequences of an investment in the securities

Risks Associated with Management Rights. The exercise of management rights by the Investor, particularly in the form of Subordination Trades, can potentially (a) increase the risk of the investment by reducing the Credit Enhancement and hence increase the probability of suffering an actual “Incurred Loss” from a subsequent Credit Event (b) cause a rating downgrade of the Portfolio Notes, i.e. if trading results in a reduction in Credit Enhancement such that the Rating Agencies determine that the tranche can no longer maintain its rating or (c) increase the mark-to-market volatility of the Portfolio Notes.

Additional Credit Risks. In addition to the credit risk of the Reference Portfolio, the parties to the Default Swaps are exposed to the credit risk of receipt of payments from the other party, and the Investors in the Securities are exposed to the credit risk of the issuer of the collateral securing the Securities for the full notional amount of their investment

Limited Liquidity of the Transaction. There is currently no market for the Default Swaps or Securities. The Default Swaps represent bilateral contracts that cannot be transferred or terminated without the consent of the other party, which consent may be withheld or delayed for a number of reasons. Goldman Sachs may, but is not obligated to, unwind or terminate a Default Swap under terms acceptable to it in its sole discretion. There can be no assurance that a secondary market for the Securities will develop or, if a secondary market does develop, that it will provide the holder of the Securities with liquidity, or that it will continue for the life of the Securities. Moreover, the limited scope of information available to the swap counterparties and/or Investors regarding the Reference Entities and the nature of any Credit Event, including uncertainty as to the extent of any reduction to be applied to the notional of each class if a Credit Event has occurred but the amount of the relevant reduction in the notional amount has not been determined, may further affect the liquidity of the Default Swaps or Securities, especially the subordinated classes. Consequently, any swap counterparty under the Default Swaps or Investor in the Securities must be prepared to hold such Default Swaps or Securities for an indefinite period of time or until final maturity.

Mark-to-Market Risk. Investors and swap counterparties are exposed to considerable mark-to-market volatility following changes in any of the following: spreads of the credits in the reference portfolio, comparable CDO spreads, ratings migration in the reference portfolio, ratings migration of the Default Swaps or Securities, and credit events in the reference portfolio (and hence reduction of subordination). These will be reflected in mark-to-market valuations which are likely to be more volatile than an equivalently rated unleveraged investment

Additional Risk of Loss due to Definitions of Credit Events. The probability of occurrence of a Credit Event may be higher than the probability of what may be perceived as a “default”(for example, what is tracked by rating agencies in their default studies) because of their broader definitions. This is particularly true with respect to the inclusion of “Restructuring” as a Credit Event in all standard credit default swaps

Evolving Nature of the Credit Default Swap Market. Markets in different jurisdictions have also already adopted and may continue to adopt different practices with respect to the Credit Derivative Definitions, particularly, but not limited to, the definition of “Restructuring”. Past events (e.g. Conseco restructuring and Railtrack bankruptcy) exemplify the fact that the Credit Derivatives Definitions may contain ambiguous provisions that are subject to interpretation and may result in consequences that are adverse to the investor.

Risk Factors – Please Read

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“Cheapest-to-Deliver” Risk. Given that Goldman Sachs, as buyer of protection, has discretion to choose the portfolio of valuation obligations used to calculate the severity of losses following a Credit Event, it is likely that the portfolio of valuation obligations selected will be obligations of the Reference Entity with the lowest market value that are permitted to be delivered pursuant to the relevant documentation. This could result in a lower recovery value and hence a larger loss amount

Credit Ratings. Credit ratings represent the rating agencies’ opinions regarding credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principal and/or interest payments and do not evaluate the risks of fluctuations in market value. Accordingly, the credit ratings may not fully reflect the true risks of the Transaction. Also,rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an issuer’s current financial condition may be better or worse than a rating indicates

Interest Rates. Changes in the market conditions such as the interest rate environment may impact the valuation of structured credit products

Conflicts of interest; No reliance. Goldman Sachs does not provide investment, accounting, tax or legal advice in respect of the Transaction and shall not have a fiduciary relationship with any Default Swap counterparty or Investor. In particular, Goldman Sachs does not make any representations as to (a) the suitability of the Transaction, (b) the appropriate accounting treatment or possible tax consequences of the Transaction or (c) the future performance of the Transaction either in absolute terms or relative to competing investments. Prospective Default Swap counterparties and/or Investors should obtain their own independent accounting, tax and legal advice and should consult their own professional investment advisor to ascertain the suitability of the Transaction, including such independent investigation and analysis regarding the risks, security arrangements and cash-flows associated with the Transaction as they deem appropriate to evaluate the merits and risks of the Transaction

Goldman Sachs may, by virtue of its status as an underwriter, advisor or otherwise, possess or have access to non-publicly available information relating to the Collateral, the issuer(s) thereof, the Reference Entities and/or the obligations of the Reference Entities and has not undertaken, and does not intend, to disclose, such status or non-public information in connection with the Transaction. Accordingly, this presentation may not contain all information that would be material to the evaluation of the merits and risks of entering into the Transaction

Markets Risk

Emerging Markets: Political and economic structures in countries with emerging economies or stock markets may be undergoing significant evolution and rapid development, and such countries may lack the social, political and economic stability characteristics of more developed countries including a significant risk of currency value fluctuation. Such instability may result from, among other things, authoritarian governments, or military involvement in political and economic decision-making, including changes or attempted changes in governments through extra-constitutional means; popular unrest associated with demands for improved political, economic or social conditions; internal insurgencies; hostile relations with neighbouringcountries; and ethnic, religious and racial disaffections or conflict. Certain of such countries may have in the past failed to recognise private property rights and have at times nationalisedor expropriated the assets of private companies. As a result, the risks from investing in those countries, including the risks of nationalisation or expropriation of assets, may be heightened.

Foreign Exchange: Foreign currency denominated Underlyers and Products are subject to fluctuations in exchange rates that could have an adverse effect on the value or price of, or income derived from, the Products.

Risk Factors – Please Read

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Risk Disclosure Regarding Equity Swaps or Similar Swap Transactions or Agreements

Prior to entering into an equity swap, contract for difference (CFD) or other similar swap transaction or agreement (hereinafter referred to as a "Swap Transaction"), Goldman Sachs believes you should be aware of the following general risks associated with Swap Transactions: (i) Liquidity Risk: There is no public market for Swap Transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; (ii) Transfer Restrictions: Swap Transactions entered into with Goldman Sachs cannot be assigned or otherwise transferred without its prior written consent and, therefore, it may be impossible for you to transfer any Swap Transaction to a third party; (iii) Credit Risk: Because Goldman Sachs, or one of its affiliates, may be obligated to make substantial payments to you during the term of a Swap Transaction, you must evaluate the credit risk of doing business with Goldman Sachs or its affiliates; (iv) Pricing and Valuation: The price of each Swap Transaction is individually negotiated between Goldman Sachs and each counterparty and Goldman Sachs does not represent of warrant that the prices for which it offers Swap Transactions are the best prices available, possibly making it difficult for you to establish what is a fair price for a particular Swap Transaction; (v) Early Termination Payments: The provisions of the Swap Transaction may allow for early termination and, in such cases, either you or Goldman Sachs may be required to make a potentially significant termination payment depending upon whether the Swap Transaction is in-the-money to Goldman Sachs or you at the time of termination; (vi) Proprietary Trading: Goldman Sachs engages in proprietary trading for its own account and the accounts of its affiliates in the same or similar instruments underlying Swap Transactions (including such trading as Goldman Sachs deems appropriate in its sole discretion to hedge its market risk in any Swap Transaction whether between Goldman Sachs and you or with third parties) and such trading may affect the value of a Swap Transaction; and (vii) Indexes: Goldman Sachs does not warrant, and takes no responsibility for, the structure, method of computation or publication of any currency exchange rates, interest rates, indexes of such rates, or equity indexes, unless Goldman Sachs specifically advises you otherwise.

To understand clearly the terms and conditions of any Swap Transactions you may enter into, you should carefully review the Master Agreement, including any related schedules, credit support documents, addenda and exhibits. You should not enter into Swap Transactions unless you understand the terms of the Swap Transaction you are entering into as well as the nature and extent of your risk exposure. You should also be satisfied that the Swap Transaction is appropriate for you in light of your circumstances and financial condition.

You should not construe this risk disclosure statement as legal, business, or tax advice, and you should consult your attorney, business advisor, and tax advisor as to legal, business, tax, and related matters concerning Swap Transactions.

Clients must be Eligible Contract Participants ("ECP") as defined in Section 1a(12) of the Commodity Exchange Act of 2000 in order to engage in swap transactions.

Generally, customers in either of the following categories are ECPs:

1. corporation, partnership, proprietorship, organization, trust, individual or other entity that has total assets exceeding $10mm.

2. ERISA plan, governmental employee benefit plan which has assets exceeding $5mm or has its investment decisions made by a CTA, financial institution or insurance company.

Risk Factors – Please Read

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Variance Swap Risk Disclosures

Selling variance swaps: Investors who sell a variance swap risk unlimited losses if the realized volatility of the underlyer exceeds the reference strike of the swap at expiration.

Buying variance swaps: Investors who buy a variance swap risk a maximum loss equal to the square of the variance strike times the variance notional (variance units * variance strike2), if realized volatility goes to zero.

Prior to entering into a variance swap, dispersion swap or other similar swap transaction or agreement (hereinafter referred to as a "Swap Transaction"), Goldman Sachs believes you should be aware of the following general risks associated with Swap Transactions: (i) Liquidity Risk: There is no public market for Swap Transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; (ii) Transfer Restrictions: Swap Transactions entered into with Goldman Sachs cannot be assigned or otherwise transferred without its prior written consent and, therefore, it may be impossible for you to transfer any Swap Transaction to a third party; (iii) Credit Risk: Because Goldman Sachs, or one of its affiliates, may be obligated to make substantial payments to you during the term of a Swap Transaction, you must evaluate the credit risk of doing business with Goldman Sachs or its affiliates; (iv) Pricing and Valuation: The price of each Swap Transaction is individually negotiated between Goldman Sachs and each counterparty and Goldman Sachs does not represent of warrant that the prices for which it offers Swap Transactions are the best prices available, possibly making it difficult for you to establish what is a fair price for a particular Swap Transaction; (v) Early Termination Payments: The provisions of the Swap Transaction may allow for early termination and, in such cases, either you or Goldman Sachs may be required to make a potentially significant termination payment depending upon whether the Swap Transaction is in-the-money to Goldman Sachs or you at the time of termination; (vi) Proprietary Trading: Goldman Sachs engages in proprietary trading for its own account and the accounts of its affiliates in the same or similar instruments underlying Swap Transactions (including such trading as Goldman Sachs deems appropriate in its sole discretion to hedge its market risk in any Swap Transaction whether between Goldman Sachs and you or with third parties) and such trading may affect the value of a Swap Transaction; and (vii) Indexes: Goldman Sachs does not warrant, and takes no responsibility for, the structure, method of computation or publication of any currency exchange rates, interest rates, indexes of such rates, or equity indexes, unless Goldman Sachs specifically advises you otherwise.

Returns on variance and dispersion swaps are not linear. To understand clearly the terms and conditions of any Swap Transactions you may enter into, you should carefully review the Master Agreement, including any related schedules, credit support documents, addenda and exhibits. You should not enter into Swap Transactions unless you understand the terms of the Swap Transaction you are entering into as well as the nature and extent of your risk exposure. You should also be satisfied that the Swap Transaction is appropriate for you in light of your circumstances and financial condition. Clients must be Eligible Contract Participants ("ECP") as defined in Section 1a(12) of the Commodity Exchange Act of 2000 in order to engage in swap transactions. Generally, customers in either of the following categories are ECPs:

1. Corporation, partnership, proprietorship, organization, trust, individual or other entity that has total assets exceeding $10mm or

2. ERISA plan, governmental employee benefit plan which has assets exceeding $5mm or has its investment decisions made by a CTA, financial institution or insurance company.

Risk Factors – Please Read

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Risk Disclosure Regarding OTC Options

OTC options may trade at a value other than that which may be inferred from the current levels of interest rates, dividends and the underlyer due to other factors including, but not limited to, expectations of future levels of interest rates, future levels of dividends and the volatility of the underlyer at any time prior to maturity.

Prior to entering into an OTC Option transaction you should be aware of the general risks associated with OTC Option transactions: Liquidity Risk: There is no public market for OTC Option transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; Transfer Restrictions: OTC Option transactions entered into with Goldman Sachs cannot be assigned or otherwise transferred without its prior written consent and, therefore, it may be impossible for you to transfer any OTC Option transaction to a third party; Counterparty Credit Risk: Because Goldman Sachs, or one of its affiliates, may be obligated to make substantial payments to you as a condition of an OTC option transaction, you must evaluate the credit risk of doing business with Goldman Sachs or its affiliates; Pricing and Valuation: The price of each OTC Option transaction is individually negotiated between Goldman Sachs and each counterparty and Goldman Sachs does not represent or warrant that the prices for which it offers OTC Option transactions are the best prices available, possibly making it difficult for you to establish what is a fair price for a particular OTC Option transaction; Proprietary Trading: Goldman Sachs engages in proprietary trading for its own account and the accounts of its affiliates in the same or similar instruments underlying OTC Option transactions (including such trading as Goldman Sachs deems appropriate in its sole discretion to hedge its market risk in any OTC Option transaction whether between Goldman Sachs and you or with third parties) and such trading may affect the value of an OTC Option transaction.

Note: Options involve risk and are not suitable for all investors. Please ensure that you have read and understood the current options disclosure document before entering into any standardized options transactions. United States listed options disclosure documents are available from our sales representatives or at http://theocc.com/publications/risks/riskstoc.pdf. A secondary market may not be available for all options. Transaction costs may be a significant in option strategies calling for multiple purchases and sales of options, such as spreads. When purchasing long options an investor may loose their entire investment and when selling uncovered options the risk is potentially unlimited. Supporting documentation for any comparisons, recommendations, statistics, technical data, or other similar information will be supplied upon request.

To understand clearly the terms and conditions of any OTC Option transactions you may enter into, you should carefully review the Master Agreement, including any related schedules, credit support documents, addenda and exhibits. You should not enter into OTC Option transactions unless you understand the terms of the OTC Option transaction you are entering into as well as the nature and extent of your risk exposure. You should also be satisfied that the OTC Option transaction is appropriate for you in light of your circumstances and financial condition. You may be requested to post margin or collateral to support written OTC options at levels consistent with the internal policies of Goldman Sachs.

Risk Factors – Please Read

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I. State of the Markets

II. Tradable Themes

I.

US Commercial Real Estate

II.

Public Balance Sheet Conditions

III.

Japan

IV.

US Consumer and Retail

III. Other Market Opportunities

I.

Commodity Opportunities

II.

Event-Driven Market Neutral Investing

IV. Appendix

V. Legal Disclosures

Table of Contents

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State of the Markets Overview Summary of Hedge Fund Strategies Group Views

For Discussion Purposes Only.

Wealth Destruction

Lower Consumer Spending

Housing Bubble

Credit Crunch

Equity Market Decline

Government Intervention

Risk Shifting to Public Balance Sheet

Higher Savings Rate

Prolonged Elevated Unemployment

Consumer Debt Repayment

Trading and Hedging Opportunities

-

Short REIT Equities

-

Buy AAA CMBS

-

Buy FX Options on Commodity- Linked Currencies

-

Buy Equities of Non-US Commodity Producers

-

Sell Caps on the US Tax Index or Receive the SIFMA Ratio

-

Short JPY

-

Buy Yen CMS Caps

-

Short US Consumer and Retail companies via equity or CDS

-

Sell Aluminum Caps

-

Long Crude Oil vs Short Heating Oil (Short the Crack Spread)

-

Engage in Event-Driven Market Neutral strategies

If you believe this thesis, then…

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State of the Markets

1 Source: Goldman Sachs. Data as of July 29, 2009. Past performance is not indicative of future results.2 All credit indices shown are for 5y OTR contracts

In 2009 Credit Spreads Have Tightened1,2 Equity Prices Are Up From March ’09 Lows1

In 2009 Commercial Mortgages Up, Subprime Down1,2 In 2009 Commodities Markets Recovering1

CDX Index CDXHY Index (RHS) LCDX Index (RHS) iTraxx Europe iTraxx Asia

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1

2

3

4

5

6

Jan Apr Jul Oct Jan Apr Jul

1Jan2008 29Jul2009

2008 2009

NASDAQ FTSE SX5E NIKKEI HANG SENG KOSPI BOVESPA

0.30.40.50.60.70.80.9

11.11.2

Jan Apr Jul Oct Jan Apr Jul

1Jan2008 29Jul2009

2008 2009

CMBX AAA OTR ABX AAA OTR

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

Jan Apr Jul Oct Jan Apr Jul

1Jan2008 29Jul2009

2008 2009

GS Agriculture GS Precious Metals GS Industrial Metals GS Petroleum

0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

Jan Apr Jul Oct Jan Apr Jul

1Jan2008 29Jul2009

2008 2009

11

50

60

70

80

90

100

110

120

Jan-

91

Jan-

92

Jan-

93

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09Germany Japan US

"Green Shoots"

Germany Industrial ProductionBack to 2000 Levels

Japan Industrial ProductionBack to 1984 Levels

US Industrial ProductionBack to 1998 Levels

0

500

1,000

1,500

2,000

2,500

81 83 85 87 89 91 93 95 97 99 01 03 05 07 09

(Tho

usan

ds)

"Green Shoots"

State of the Markets “Green Shoots”

Are Sprouting But Look Less Lively Compared To Nominal Values

US Production Could Be Bouncing2

US Housing Starts Have Bounced But Are At All-Time Lows4

1 Source: Goldman Sachs. Data as of July 22, 2009. Past performance is not indicative of future results. 2 Source: Institute for Supply Management (ISM). Data as of July 22, 2009. Past performance is not indicative of future results. 3 Source: Haver Analytics, Japan Ministry of Economy, Trade & Industry; Statistisches Bundesamt. Data as of July 22, 2009. Past performance is not indicative of future returns4 Source: US Department of Commerce, Bureau of the Census. Chart only shows data back to 1981 so that recent price movement will be recognizable. Full data history available upon request. Indicative Only.

Past performance is not indicative of future results. Data as of July 22, 2009

Industrial Production Is Down Despite Small Bounce3

Economic Data May Have Stopped Their Decline1

Initial Jobless Claims (LHS) Consumer Confidence (RHS)

New

Cla

ims

Index

200,000

300,000

400,000

500,000

600,000

700,000

20

40

60

80

100

120

Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul

22Jul2004 22Jul2009

2005 2006 2007 2008 2009

ISM's CUSTOMERS' INVENTORIES INDEX ISM New Orders IndexISM's Purchasing Managers Index

20

30

40

50

60

70

80

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

22Jul1999 22Jul2009

12

State of the Markets China May Be Helping

China’s GDP growth has remained positive even through the financial crisis and Goldman Sachs Research projects that GDP growth will return to 12% in 20101

Industrial Profit growth also points to a rapid recovery in the Chinese economy2

1 Source: Goldman Sachs Research ERIWN Economic Database. https://360.gs.com/gs/portal/research/econ/erwin/erwinforecasts/ Past performance is not indicative of future results.2 Source: Goldman Sachs Research: Asia Economic Data Flash. June 26, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7391688&fn=/document.pdf. Past performance is not indicative of

future results. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

China Industrial Production and Real GDP1 China Sequential Industrial Profit Growth2

% YoY

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

China - Industrial Production (% chg yoy) China - Real GDP (% chg yoy)

GS Proj.

13

30

35

40

45

50

55

60

Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09

Avg PMI

EasedTightened

-2

-1

0

1

2

3

4

09Q1 09Q2 09Q3 09Q4 10Q1 10Q2 10Q3 10Q4

GD

P G

row

th Im

pact

(%)

State of the Markets Government Intervention Has Been and May Continue To Be Substantial

1 Source: Goldman Sachs Research. Global Economics Weekly. May 6, 2009. https://360.gs.com/gs/portal?action=action.doc&d=7122754. Past performance is not indicative of future results.2 Source: Congressional Budget Office “The Long Term Budget Outlook” June 2009. http://www.cbo.gov/ftpdocs/102xx/doc10297/06-25-LTBO.pdf Goldman Sachs provides no assurance or guarantee that future results will be consistent with the

projected analysis.3 Source: Goldman Sachs Research. “US Daily: Where We Stand on Fiscal Stimulus Implementation” May 6, 2009. https://360.gs.com/gs/portal/home/fdh/?st=1&d=7125758. Goldman Sachs provides no assurance or guarantee that future results

will be consistent with the projected analysis.4 Data updated by GS Research on July 23, 2009. Eased are those whose FCIs have eased since 8/1/08, including India, China, UK, Australia, and Sweden. Tightened include Japan, Switzerland, US, and Euroland.

Bounce May Have Been Driven By Intervention3,4 Impact on US GDP From Spending May be Large3

Central Bank Lending Rates Have Plunged1

US Fed Funds Target Rate US 3m T-Bill ECB Refinancing Tender

0%

1%

2%

3%

4%

5%

6%

Jan Jul Jan Jul Jan Jul

21Jul2006 23Jul2009

2006 2007 2008 2009

US Federal Debt Held by the Public (% of GDP)2

14

State of the Markets Asset Bubbles May Still Be Deflating

Commercial and Residential Real Estate prices have declined from their peaks

Continued home foreclosures should add to the supply of houses up for sale

1 Source: Graph Data from Goldman Sachs. Data as of May 15, 2009. Past performance is not indicative of future results2 Source: Goldman Sachs Research. Americas: Technology: IT Services. "Foreclosures at record level in April; pullback in LPS presents a buying opportunity". May 13, 2009. https://360.gs.com/gs/portal/home/?action=action.doc&d=7163957

Housing And Commercial RE Prices Projected To Fall1 Large Housing Inventory Overhang2

Housing Prices (CS) Commercial RE Prices (NCREIF)

90

100

110

120

130

140

150

160

170

180

190

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

4May2000 22Jul2010

15

State of the Markets Impact On Balance Sheets Still Ahead

1,000

2,000

3,000

4,000

5,000

6,000

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

Tota

l Mor

tgag

e D

ebt o

n B

ank

Bal

ance

($ in

bn)

3,000

5,000

7,000

9,000

11,000

13,000

15,000

17,000

Tota

l CR

E &

Res

iden

tial M

ortg

ages

($ in

bn)

Total CRE & Residential Mortgages (RHS)

Total Mortgage Debt on Bank Balance Sheet (LHS)

Total CRE & Resi Mortgages Outstanding increased $5.2 trillion 2003-2007

Total CRE & Resi Mortgages on Bank Balance Sheets increased $1.6 trillion 2003-2007

1 Source: Federal Reserve Flow of Funds Report. Past performance is not indicative of future results2 Source: IMF Global Financial Stability Report, April 2009 http://www.imf.org/external/pubs/ft/gfsr/2009/01/index.htm. Figure 1.30. Past performance is not indicative of future results. Goldman Sachs provides no

assurance or guarantee that future results will be consistent with the projected analysis

Asset Price Growth Mortgage Growth Bank Growth1 Projected Loan Losses on Bank Balance Sheet2

-1

0

1

2

3

4

5

6

1920 1930 1940 1950 1960 1970 1980 1990 2000 2010

(in percent of total loans)

United States

Europe

Estimates

16

State of the Markets Credit Bubble Is Still Deflating

1 Source: Federal Reserve Bank Lending Conditions; Commercial Default Data from Federal Reserve. Sourced through IHS Global Insight. Past performance is not indicative of future results2 Source: IMF Global Financial Stability Report, April 2009 http://www.imf.org/external/pubs/ft/gfsr/2009/01/index.htm. Figure 1.5. Past performance is not indicative of future results. Goldman Sachs provides no

assurance or guarantee that future results will be consistent with the projected analysis.

Banks Still Tightening Credit As Conditions Worsen1 Private Sector Credit Is Falling2

-6

-4

-2

0

2

4

6

8

10

12

Dec-05 Sep-06 Jun-07 Mar-08 Dec-08 Sep-09 Jun-10

Chn

g (%

)

United States

Euro Area

Projected

0

2

4

6

8

10

12

14

1991 Q1 1993 Q1 1995 Q1 1997 Q1 1999 Q1 2001 Q1 2003 Q1 2005 Q1 2007 Q1

Del

inqu

enci

es (%

)

-40

-20

0

20

40

60

80

100

Tigh

teni

ng (%

)

Commercial Delinquencies (LHS)Bank Lending Conditions (RHS)

17

Retail Sales (LHS) US Savings Rate (RHS)Upper Savings Rate Forecast Lower Saving Rate Forecast

Ret

ail S

ales

US Savings R

ate (%)

25

50

75

100

125

150

175

200

225

250

275

300

325

350

-1

0

1

2

3

4

5

6

7

8

9

10

11

12

13

1976 1984 1992 2000 2008

23Jul1969 25Jul2011

-200

0

200

400

600

800

1000

1960

1962

1964

1966

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

Exce

ss S

pend

ing

($bi

l)60%

62%

64%

66%

68%

70%

72%

Con

sum

er S

pend

ing/

GDP

Excess Spending (left axis) Consumer Spending / GDP (right axis)

State of the Markets A “V”

or “L”

Shaped Recovery? The Key May Be the Bursting of the Consumer Bubble

1 Source: Goldman Sachs, U.S. Department of Commerce. Data as of July 23, 2009. Past performance is not indicative of future results.2 Source: BEA, Goldman Sachs Analysis. Data as of December 11, 2008. Past performance is not indicative of future returns. Excess spending defined as the spending in excess of 62% Consumer Spending /

GDP, which is approximately the historical average of the Consumer Spending / GDP Ratio. Consumer credit may decrease 10-20% due to decline of assets and sources of credit.

Personal Savings Rate Is Projected to Return to Historical Norms1 Nominal Private Consumption and GDP in the US2

Retail Sales (LHS)

Savings Rate (RHS)

Savings Rate Projections

18

State of the Markets The Asset and Credit Bubble Led To A Wealth Bubble And…

Significant wealth has been accumulated due to housing prices, however, borrowing against these assets as a percentage of value has grown since 2005 (from ~40% in 2005 to ~50% at the end of 2008)1

Net worth of the US consumer dropped from its peak in mid-2007 of $64 trillion to $51 trillion1,2

Decrease in value from home equity1

Decrease in value from capital gains from corporate equity, mutual funds, and pensions1

30,000

40,000

50,000

60,000

70,000

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 200980

100

120

140

160

180

200

Net Worth ($ in bn) (LHS) Case-Schiller National Composite Index (RHS)

Peak: $64 trillion in net w orth

$51 trillion in net w orth (Q408)

1 Source: Federal Reserve Flow of Funds Report. Past performance is not indicative of future returns. 2 Source: Goldman Sachs Calculations. Assumptions: Home prices fall 15%, Stock prices fall additional 25% from Q3 2008 data. Past performance is not indicative of future returns.3 Source: Goldman Sachs Research. Global Economics Weekly. April 1, 2009. https://360.gs.com/gs/portal?action=action.doc&d=6931401

Net Worth and Home Price Appreciation1,2 The Current Wealth Shock is Three Times Worse Than Any Previous Post-War Recession3

% GDP

19

68% 69% 70% 69% 68% 63% 64% 65% 64% 62% 67%76%

85%93%

1% 2%16% 14%

28%17%

6% 9%21% 21%

(11%)

(33%) (43%)

64%

(60%)

0%

0

5

10

15

20

25

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

Res

iden

tial H

ome

Val

ue

(80%)

(60%)

(40%)

(20%)

0%

20%

40%

60%

80%

100%

120%

LTV

& R

etur

n on

Hom

e Eq

uity

Value of Homes (no-mortgage) Value of Homes MortgagedValue of Home Equity (on Mortgaged Home Value) Loan-to-Value of Homes with MortgagesAnnual Return on Home Equity

$ Trillion

State of the Markets Home Equity Values Have Declined Following the Decline in Housing Prices

1 Sources: Percentages of houses with mortgages from US Census. American Housing Survey 2007. (biannually released: 1995, 1997, 1999, 2001, 2003, 2005, 2007; interpolated between values). Table 3-15. http://www.census.gov/hhes/www/housing/ahs/ahs07/ahs07.html. Home values from Source: Federal Reserve Flow of Funds Report, Table B.100. Calculations: Goldman Sachs. 2009 is Hedge Fund Strategies estimate. Past performance is not indicative of future results. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

2 Source: S&P Case-Shiller Home Price Values Index. http://www2.standardandpoors.com/portal/site/sp/en/us/page.topic/indices_csmahp/0,0,0,0,0,0,0,0,0,1,1,0,0,0,0,0.html

US Residential Housing Breakdown1

Approximately 32% of US homes are mortgage free1, implying that the Loan-To-Value ratio on the balance of US homes may be near 95% given a 9% drop in housing prices as implied by the S&P Case Shiller Home Price IndexSM 2

The decline in home equity may push savings rates higher and reduce consumer discretionary spending

20

State of the Markets Low Savings Rates Were Enabled By The Growth Of The Credit Markets

Savings and Mortgage Equity Withdrawal (MEW) appear to be inversely linked1

Declining home prices and equity valuation might drive savings higher2

1 Source: Goldman Sachs Research, US Economics Analyst. “Some Micro Evidence on Saving and MEW.” June 9, 2006. Past performance is not indicative of future results. https://360.gs.com/gs/portal/home/?action=action.doc&d=2239993

2 Source: Board of Governors of The Federal Research, Flow of Funds Report <http://www.federalreserve.gov/releases/z1/Current/>

Relationship Between Saving and Mortgage Equity Withdrawal1 ABS Issuance Has Come To A Halt1

21

State of the Markets Declining Wealth May Push Saving Rates Higher And Consumption Lower

The US consumer may realize that capital gains from real estate and equity are not permanent or persistent and that disposable income may decrease in this recession

Thus, we expect savings rate to adjust upwards as the US consumer saves more money for his/her retirement and wealth, thus reducing consumer spending

1 Source: Goldman Sachs. Retail-Consumer 2009 Outlook. January 2009. https://360.gs.com/gs/portal?action=action.doc&d=6486350. Past performance is not indicative of future returns

Wealth Ratio vs

Savings Rate1 Net Worth Growth Decomposition1

22

State of the Markets Baby Boomers May Need To Start Saving

The “Baby Boomer” generation (born 1945-1964) has generated higher earnings and created more economic growth than any generation before them. The recent losses in housing, equity markets, and small business value have had a significant impact on their wealth1

●

“approximately two-thirds of Early Boomer households, who are aged 54-63, are financially unprepared for retirement – that is, they have not accumulated enough savings to maintain their lifestyle as they age.” –

McKinsey Global Institute: “Talkin’

‘Bout My Generation: The economic impact of Aging US Baby Boomers

Entrance of a larger percentage of women in the workforce combined with higher education levels has contributed to this growth, but has leveled out in the past 10 years1

The “Boomer Era”

from 1980 to 20191 Boomers Have Not Saved as Much as Previous Generations1

1 Source: McKinsey Global Institute: “Talkin’ ‘Bout My Generation: The economic impact of Aging US Baby Boomers". June 2008.

23

State of the Markets Where Has The Reduction In US Consumer Spending Gone?

Reduction in US household consumption may have been redirected towards repayment of consumer debt and increased savings in Bond funds/401K/IRA accounts.

Retail Flows From Money Markets Into Risk Assets2Consumers Continue To De-Lever1

1 Source: Bureau of Economic Analysis, Goldman Sachs. Data as of May 11, 2009. Past performance is not indicative of future results. 2 Source: AMG, Goldman Sachs. Data as of July 23, 2009. All data shown is for 2009. Past performance is not indicative of future results. Recent data shown rather than extended history to highlight recent trend.

0

200

400

600

800

1000

1200

1400

1600

1800

Apr-

70

Apr-

72

Apr-

74

Apr-

76

Apr-

78

Apr-

80

Apr-

82

Apr-

84

Apr-

86

Apr-

88

Apr-

90

Apr-

92

Apr-

94

Apr-

96

Apr-

98

Apr-

00

Apr-

02

Apr-

04

Apr-

06

Apr-

08

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%S&P 500Personal interest payments/Disposable Income (RHS)

(300)

(250)

(200)

(150)

(100)

(50)

0

50

100

150

14-J

an

28-J

an

11-F

eb

25-F

eb

11-M

ar

25-M

ar

8-A

pr

22-A

pr

6-M

ay

20-M

ay

3-Ju

n

17-J

un

1-Ju

l

15-J

ul

Cum

ulat

ive

Cha

nge

in M

M &

Fun

d A

sset

($bn

)600

650

700

750

800

850

900

950

1000

S&

P 5

00 V

alue

Cum change in T/E Bond Fund AssetsCum change in Taxable Bond Fund AssetsCum change in Money Market AssetS&P 500

24

40%

60%

80%

100%

120%

140%

1960

1963

1966

1969

1972

1975

1978

1981

1984

1987

1990

1993

1996

1999

2002

2005

2008

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Consumer Credit / Disposable Income (%) (LHS)

Personal Savings Rate (%) (Savings / Disposable Income) (RHS)

Forecasted deleveraging of the consumer

Forecasted increase in savings

State of the Markets The Bursting of the Consumer Bubble Creates Headwinds

The US savings rate has been around 1.6% this past decade, but it is projected to climb to 6-10% in the near future1,4

The increase in the US savings rate may be a structural change rather than a cyclical change●

Savings may need to increase to replace the $13 trillion decline ($63 trillion to $50 trillion) in US wealth since mid-

20072,3

●

Savings may increase as baby boomers increase saving rates as they age4

●

Savings may increase because the credit markets will constrain consumers as they try to spend out of future and current wealth4

Savings could be used to deleverages consumer balance sheets

1 Source: BEA . Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis. Past performance is not indicative of future returns2 Source: GS Calculations. Assumptions: $10.6 trillion disposable income (2008). Savings rates increases from 1.8% to 10%. Home prices fall 15%; Stock prices fall additional 25% from Q3 2008 data3 Source: Fed Flow of Funds. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis. Past performance is not indicative of future returns4 Source: Goldman Sachs. "The Day After Tomorrow: The changing face of the consumer." October 1, 2008. https://360.gs.com/gs/portal/home/?action=action.doc&d=5955848

Savings Rate vs

Consumer Credit1,3

25

State of the Markets US Equity Valuations Driven By The Consumer

Equity values might have downside

Peak earnings in the last cycle may be difficult to replicate given fundamental changes in the financial, energy, and, most importantly, the consumer sectors

Combined, the financial and the consumer sectors accounted for over 50% of peak S&P income in mid-20072

1 Source: Goldman Sachs. As of July 23, 2009. Past performance is not indicative of future returns2 Source: Goldman Sachs Research. “Where We Stand Now: US Equity Market Outlook for Turbulent Times” November 10, 2008. p. 29. Data as of October 31, 2008. Past performance is not indicative of future

returns. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=6194686&fn=/document.pdf The chart shows Net Income, defined as “earnings before extraordinary items available to common shareholders.” Only positive data points are included.

S&P 500 Historical Earnings1 S&P 500 Earnings Contribution by Sector2

US Recession S&P 500 Earnings in 2009 DollarsS&P 500 Earnings in 2009 Dollars 10yr Rolling Average

S&P 500 Earnings in 2009 Dollars

0

10

20

30

40

50

60

70

80

90

0

10

20

30

40

50

60

70

80

90

1963 1973 1983 1993 2003

1May1954 28Jul2009

26

State of the Markets Overview Summary of Strategies To Implement These ViewsSection US Real Estate

MarketsPublic Balance Sheet

Conditions Japan US Retail and Consumer Commodities Market Neutral

Opportunities

Strategy

Capitalize on the divergence in CRE price estimates between REITs equity and CMBS markets

Economic fundamentals favor EM balance sheets as developed economies increase public debt

US faces high government borrowing, unaddressed social liabilities, and the potential long-term erosion of the USD as the global reserve currency

Position for a weaker economy with slowing exports as well as increasing government debt

Position for lower consumer spending and a weaker economic outlook

Position for stronger crude oil demand, weaker USD and inflation

At the same time, capitalize on the slack in refining capacity and high implied volatility on aluminum options

Capitalize on event-driven situations to generate attractive risk-adjusted returns with low correlation to broad market movements

Trade Ideas

Short REIT Equity

Long CMBS through buying AAA CMBS or selling protection on AAA CMBX

Short debt-laden developed economies/ long select emerging economies

Buy USD, JPY or EUR Puts vs. Calls on the currencies of commodity-exporting countries (AUD, BRL, CAD, NOK)

Buy the equities of non-US commodity producers

Buy GS inflation Proxy Commodity index

Sell Caps on the US Tax Index/ Receive the SIFMA ratio

Sell The Yen

Buy CMS Caps on JPY Rates

Buy 5y or 7y CDS Protection on Retail and Consumer Related CDS

Buy 6m or 1y Put Spreads on the S&P Retail Select Index. Consider selling a Call to cheapen the option

Buy long-dated oil

Short the crack spread

Sell calls on aluminum

Merger / Risk Arbitrage

Stubs/ Holding Companies

Spin-offs

Dual Share Class

Capital Structure Arbitrage

Description

Puts or put spreads may be purchased on a REIT equity index or a basket of individual names in the Retail and Office sectors

Buy non-TALF eligible CMBS AAA bonds of late 2006 or early 2007 Vintage A3/A4s

Sell protection on the CMBX 5 AAA tranche

Buy FX currency forwards/FX options (to express a view on sovereign credit)

Buy CDS protection on low beta developed countries/ Sell CDS protection on select EM economies

Currency trades may be executed on individual crosses, or as a basket

The US Tax Index tracks the US Federal Marginal Income Tax Rate

Sell the Yen outright, or buy JPY puts / USD calls or JPY puts / KRW calls

Buy an OTM Call option on JPY 10y rates struck at 3% or 4%

The investor may choose to buy protection on individual names or on a broad basket

Puts, put spreads, and put spread collars may be purchased on the S&P Retail Select Index, a similar ETF, or a custom basket of equities

Buy Knock-in or Knock-out Call options on oil to take a long-term constructive view

Buy two contracts of Crude Oil and Short one contract each of Gasoline and Heating Oil to take a bearish view on refining margins

Sells call options on aluminum

Hedged purchases of target company shares

Create synthetic positions to benefit from price-to-net-asset ratios

Exploit inefficiencies in shares of newly listed entities

Relative value arbitrage of share classes and capital structure

If you believe this thesis, then…

For Discussion Purposes Only. All options mentioned are OTC options. Please see the Risk Factors section of this presentation as well as each section’s trade summary page for important risks and considerations to these products and trades

27

I. State of the Markets

II. Tradable Themes

I.

US Commercial Real Estate

II.

Public Balance Sheet Conditions

III.

Japan

IV.

US Consumer and Retail

III. Other Market Opportunities

I.

Commodity Opportunities

II.

Event-Driven Market Neutral Investing

IV. Appendix

V. Legal Disclosures

Table of Contents

US Commercial Real Estate Markets

29

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

90 92 94 96 98 00 02 04 06 08

OFHEO Home Price Index

National S&P Case-Schiller Home Price Index

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

0%

10%

20%

30%

40%

50%

5/07 8/07 11/07 2/08 5/08 8/08 11/08 2/09 5/09

60+ Delinquency Rate (OTS)

Subprime Option ARM Alt A Prime ( R )

US Home Price Appreciation (YOY)1 60+ Day Delinquencies (%) 2

Year Over Year HPI 1Q 20093 1st Lien Loss Severity2

Residential Housing Market Continues to Weaken Agency Conforming Home Prices Appear to be Stabilizing

1 Source: Office of Housing Enterprise Oversight (OFHEO), CSW2 Source: LoanPerformance. Data shown for recent years to show recent trend.3 Source: FHFA. http://www.fhfa.gov/Default.aspx?Page=87 Data accessed July 21, 2009

HI

AK FL

NM

DEMD

TX

OK

KS

NE

SD

NDMT

WY

COUT

ID

AZ

NV

WA

CA

OR

KY

ME

NY

PA

VTNHMA

RICT

WVINIL

NCTN

SC

ALMS

AR

LA

MO

IA

MNWI

NJ

GA

DCVA

OH

MI

HI

AK FL

NM

DEMD

TX

OK

KS

NE

SD

NDMT

WY

COUT

ID

AZ

NV

WA

CA

OR

KY

ME

NY

PA

VTNHMA

RICT

WVINIL

NCTN

SC

ALMS

AR

LA

MO

IA

MNWI

NJ

GA

DCVA

OH

MI

HI

AK FL

NM

DEMD

TX

OK

KS

NE

SD

NDMT

WY

COUT

ID

AZ

NV

WA

CA

OR

KY

ME

NY

PA

VTNHMA

RICT

WVINIL

NCTN

SC

ALMS

AR

LA

MO

IA

MNWI

NJ

GA

DCVA

OH

MI

> 0%

(4)% – 0%

(8)% – (4)%

< (8)%

> 0%

(4)% – 0%

(8)% – (4)%

< (8)%

0%

10%

20%

30%

40%

50%

60%

70%

80%

0%

10%

20%

30%

40%

50%

60%

70%

80%

5/07 8/07 11/07 2/08 5/08 8/08 11/08 2/09 5/09

1st Lien Loss Severity

Subprime Option ARM Alt A Prime

30

0.00

50.00

100.00

150.00

200.00

250.00

300.00

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

Commercial Real Estate (MIT) Residential Real Estate (CS)

Commercial Prices Are Falling And Trailing Residential 1 Historic And Expected Cap Rates Relative to CRE Values2

Vacancies Are Increasing (Retail Most Rapidly) 2 Cumulative life-time losses, by vintage (%)3

Commercial Real Estate Beginning To Take Center Stage

1 Source: Goldman Sachs, MIT Center for Real Estate, Moodys/REAL Commercial Property Price Index, S&P/Case-Shiller. Data as of July 28, 2009. Past performance is not indicative of future returns.2 Source: Goldman Sachs Research. “Americas: Real Estate” May 11, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7147135&fn=/document.pdf3 Source: Goldman Sachs Research. “Stress-testing losses for higher cap rates and financing costs” October 31, 2008. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=6135768&fn=/document.pdf

31

CRE 10-Yr Annual Appreciation²

(right)Projected 10-Yr Defaults¹

(left)

Default Rates and Property Values 1978 – 19901,2 All Property2,3

Historical Default¹

(left)Historical 10-Yr Defaults¹

(left) CRE Annual Appreciation²

(right)

0%

5%

10%

15%

20%

25%

30%

1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990Vintage

His

tori

cal 1

0-Yr

Def

aults

¹ (%

)

-8%

-6%

-4%

-2%

0%

2%

4%

6%

CR

E A

nnua

l App

reci

atio

n² (%

)

0%

2%

4%

6%

8%

10%

12%

14%

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006

Vintage

Def

ault

Rat

e¹ (%

)

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

CR

E A

nnua

l App

reci

atio

n² (%

)

CRE Historic Default Rates Shed Some Light…

From the period between 1978-1990, 10-yr default rates peaked as commercial real estate appreciation was at the lowest in eight years

From the period between 1995-2006, historical and projected life defaults declined significantly as commercial real estate appreciated in value

1 Source: Esaki et. al. Please note that this data is for the period 1978-1990 only. Past performance is not indicative of future results.2 Source: National Council of Real Estate Investment Fiduciaries (NCREIF). Please note that this data is for the period. Past performance is not indicative of future results.3 Source: Commercial Mortgage Securities Association

32

CRE Equity May Have Further to Fall… Or May Be Completely Wiped Out…

CRE values are estimated to have declined approximately 26% from the peak1, and could potentially decline a further 20-30%2

according to S&P's rating stress for CMBS

A handful of recent transactions have sold in the market 60-65% down from peak February 2007 prices (e.g. Worldwide Plaza in New York which sold on July 9, 2009 for $600mm after a previous sale of $1.74bn in February 2007)4

Secured financing markets remain closed and government programs seem to be doing little to help

Sources of Acquisition Financing3 CMBS Securitization Has Effectively Stopped3

1 Source: MIT Transactions-Based Index. http://web.mit.edu/cre/research/credl/tbi.html. Data as of July 12, 2009. Past performance is not indicative of future results 2 Standard and Poors "US CMBS Rating Methodology and Assumptions for Conduit/Fusion Pools". June 26, 2009.3 Source: Goldman Sachs Research. “Americas: Real Estate” May 11, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7147135&fn=/document.pdf4 Source: Wall Street Journal. “Deutsche Bank to Sell New York Skyscraper”. July 7, 2009. http://online.wsj.com/article/SB124692321690102803.html

As of April, 2009As of March, 2009

33

Retail Growth Has Outpaced Population Growth3

Retail May Consolidate To Correct Accelerated Growth Store Closings May Hurt Commercial Real Estate Property Owners

US REITS have raised $13bn YTD in capital1, however they may still need $40-60bn1 more, even without further reduction in values

Vacancy rates have begun to rise geometrically in specific CRE sectors, with Retail and Suburban Office nearing 17%2.

Goldman Sachs Research expects 15% obsolescence with roughly 200 regional malls closing in the next 5-10 years3

●

Retail square footage per capita has increased but retail sales have fallen●

Regional Mall construction peaked from the late 60s –

early 80s averaging almost 13% annual growth and retail stocks grew by about 2% per year, while the population only grew by about 1% per year3

Retail Stock Square Footage Per Capita3

1 Source: Goldman Sachs Research. “Americas: Real Estate” May 11, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7147135&fn=/document.pdf2 Source: Goldman Sachs Research. “Americas: Retail: Broadlines: Retail REITs: Final Four a Destination, but still a few rounds away”. July 14, 2009.

https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7480830&fn=/document.pdf3 Source: Goldman Sachs Research. “Americas: Real Estate” July 21, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7508032&fn=/document.pdf Paste performance is not indicative of future

returns

34

0

50

100

150

200

250

300

350

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

All Price Apt Industrial Office Retail

REIT Equity Prices Have Risen… …But Property Values Have Continued to Fall

REITs as a broad Index (DJUSRE Index GP <GO>) have rallied nearly 50% since the lows in early March1, despite negative Commercial Real Estate price discovery

The trend downward in Commercial Real Estate price indices does not show signs of abating2

A continued trend downward could imply a ~40% decline in REIT equity prices from current levels3. In addition, there is a potential for further dilution should REITS encounter capital markets resistance to refinancing debt coming due in the next several years.

The Hedge Fund Strategies Group estimates that there is a divergence in CRE price estimates between equity and CMBS markets close to 25%

US REIT Equity / CMBX AAA Prices1 All Property Price Index Level2

1 Source: Goldman Sachs. Data as of July 20, 2009. Past performance is not indicative of future results2 Source: MIT Transactions-Based Index. http://web.mit.edu/cre/research/credl/tbi.html . Data as of July 12, 2009. Past performance is not indicative of future results3 Source: Goldman Sachs Analysis. As of July 10, 20094 Source: * = Intex; ** = GS; *** = Markit

Dow Jones Real Estate Index (DJUSRE) (LHS: Jan 1 2007 = 100)CMBX AAA On-The-Run (RHS)

Inde

x Le

vel

Price

20

30

40

50

60

70

80

90

100

110

120

55

60

65

70

75

80

85

90

95

100

105

Jan Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul

1Jan2007 21Jul2009

2007 2008 2009 CMBS Implied Losses4

Tranche Name

Avg Attch Point*

Avg Exhst Point* Price** Spread** Markit

PV01*** WAL* AAA Implied Loss**

Collat Implied Loss**

CMBX 1 AAA 29.76% 100.00% 89.25 211 5.34 6.01 12.38% 26.65%CMBX 5 AAA 29.76% 100.00% 75.50 433 6.15 7.99 30.21% 45.97%

35

-120%

-100%

-80%

-60%

-40%

-20%

0%

0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100%

CRE Implied Loss

Cur

rent

Val

ue v

s. F

ebru

ary

2007

REIT Equity AAA CMBS

Market Pricing

Debt40%

Equity60%

REIT Equities and CMBS May Imply Different CRE Losses There May Be A 25% Mis-pricing In Loss Expectations For CRE

Structures are hypothetical and used for illustrative purposes only. All levels (prices) are indicative and there is no representation that any transaction can or could have been effected at such level (price). Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.1 Source: Goldman Sachs. REIT Structure based on average LTV of 75 REITs as of February 2, 2007. CRE / CMBS structure illustrative assuming 70% LTV and 30% Subordination for CMBS. 2 Source: Goldman Sachs. Data as of July 20, 2009. Equity REIT performance based on US REIT Index performance 2/2/2007 – 7/20/2009. CMBS performance based on price of 75.5 for CMBS 07-2 AAA3 Source: Goldman Sachs as of July 20, 2009. Assumptions: REIT LTV 40%, CRE Loan LTV 70%, AAA Subordination 30%

Commercial Property(Asset)

Real Estate Structures ( February 2007) 1

Debt70%

Equity30%

AAA70%

3%

Mezz27%

Market Prices and Implied Losses (Current) 2

Commercial Property(Asset)

Debt40%

Equity

Implied Price Chg

Market Change- 38%

Commercial Property(Asset)

CMBS AAA

75.5CRE Loan Pool

(Debt)

REIT CRE Loan CMBS

Impact of CRE Price Decline On REIT Equity and AAA CMBS3 Structure As Implied By Market Prices2

CMBS AAA Price: 75.5CRE Debt Orig. Value 70,000,000CRE Equity Orig. Value 30,000,000

Loss on CMBS 47%

CRE Debt Loss 33,005,000CRE Debt Value 36,995,000Equity Value 0

CRE PropertyOriginal CRE Value 100,000,000Current CRE Value 36,995,000Change in CRE Value -63%

REIT Equity Performance: -64%Orig. Debt Value 40,000,000Orig. Equity Value 60,000,000

Debt Value 40,000,000Equity Value 21,620,000

Equity Loss 38,380,000Debt Loss 0Debt Recovery 100.0%

CRE PropertyOriginal CRE Value 100,000,000Current CRE Value 61,620,000Change in CRE Value -38%

REIT CRE Loan CMBS

Market Change- 62%

Commercial Property(Asset)

Debt Recovery

53%

CRE Loan Pool

(Debt)

MarketChange- 47%-65%

-17%

-27%

-3%-30%

-32%

36

US Commercial Real Estate Market Implementation

Description

SHORT

Buy 1-2yr Puts or Put Spreads on REITs

Puts can be purchased on a REIT equity index or on a basket of individual names in the Retail and Office sectorsBuy a put outright or cheapen the cost by selling a further out of the money put to create a put spreadLoss is limited to premium paidRisk: The Investor stands to lost the entire option premium if REIT equities decline less than anticipated

LONG

Buy AAA CMBS

Buy non-TALF eligible CMBS AAA Bonds of late 2006 or early 2007 Vintage A3/A4sCollect a regular stream of cash flows and potentially benefit from price appreciationGoldman Sachs trading desks maintain an inventory of bondsRisk: the underlying loans may cease to pay their mortgage payments which could impair the value of the bond price and impact cash flows

Sell Protection onAAA CMBX

Sell protection on the CMBX 5 AAA tranche

Risk: CMBX spreads may widen exposing the investor to a loss

Note: For discussion purposes only.

If you believe this thesis, then:

Public Balance Sheet Conditions

38

Norway

Sweden

Argentina

Australia

Brazil

Canada

China

France

Germany

Indonesia

Italy

Japan MexicoNew ZealandRussia

South Korea

TurkeyUnited Kingdom

United States

0%

10%

20%

30%

40%

50%

60%

70%

0 100bp 200bp 300bp 400bpCredit Spread

Com

mod

Exp

orts

% G

DP

(CDS = 2,233bp)

Size of bubble = GDP

EURUSD USD Index Commodity Currency Basket vs USD

0.85

0.9

0.95

1

1.05

1.1

1.15

1.2

1.25

1.3

1.35

Jan Jul Jan Jul Jan Jul Jan Jul

14Jul2005 14Jul2009

2005 2006 2007 2008 2009

Currencies And Sovereign CDS May Present Unusual Opportunities…

Foreign Exchange markets may be driven by a number of factors, including:●

Interest rates, terms of trade, labor productivity, perceived safety of the country/currency

Foreign Exchange spot markets are sensitive to short term catalysts while forwards and implied volatility project slower moving trends

Developed economies credit spreads may suffer relative to emerging countries

USD Generally Trending Weaker?2Currency, Credit, and Commodity Production Road Map1

1 Sources: Sovereign Credit Spreads from Goldman Sachs as of July 13, 2009. Commodity Exports from the UN (http://comtrade.un.org/db/default.aspx), GDP data from CIA world factbook (www.cia.gov). Chart represents countries in the G20 for which Goldman Sachs trades and tracks sovereign CDS levels and the country’s currency. In addition to G20, the chart also includes New Zealand, and Norway which are not in the G20 but which are in the Commodity Currency basket highlighted in this presentation.

2 Source: Goldman Sachs. Data as of July 13, 2009. Past performance is not indicative of future returns. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

USD Gradual Decline

Return to

trend?

Financial Crisis

39

Global GDP Growth Attributable to Current Accounts The Balance Is Shifting

The current account balance summarizes the flow of goods, services, income and transfer payments into and out of a country

Persistent current account deficits may lead to a natural depreciation of a currency, as importing, and making income and transfer payments usually reflect that one’s currency is leaving the country to make payments in a foreign currency

Significant GDP growth has been attributed to the increasing imbalance in US account deficits

Cumulative Current Account Balance (1980- 2008)1

1 Source: IMF: World Economics Outlook Database, data shown in USD billions.Note that some countries do not report its data to the IMF or have not reported such data from 1980

40

-10

-5

0

5

10

15

20

25

2000 2001 2002 2003 2004 2005 2006 2007 2008

Latin America Emerging Europe Middle East Asia US

-1

0

1

2

3

4

5

6

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

Other DevelopingChinaUnited StatesOther Advanced

-6

-4

-2

0

2

4

6

8

10

1970

1973

1976

1979

1982

1985

1988

1991

1994

1997

2000

2003

2006

2009

Advanced economiesEmerging and developing economies

Trade Resulted In Skewed Current Account Balances Driving Tremendous Growth in World GDP

Current Account positions as a percent of GDP have shifted more in Asia versus developed economies

Aggregation of International Reserves have outpaced current account shifts in emerging economies

Contribution to Total GDP Growth (PPP Basis, %, 3y Avg)1

International Reserves (2000 = 100, 3m Moving Avg)1

Real GDP Growth (% Chg YoY)1

Current Account Positions (% of GDP)1

1 Source for all graphs: IMF World Economic Outlook, April 2009 http://www.imf.org/external/pubs/ft/weo/2009/01/index.htm. Past performance is not indicative of future results.

0

200

400

600

800

1000

1200

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

Latin America Emerging Europe Middle East Asia US

41

-4

-3

-2

-1

0

1

2

3

4

2000

2000

2001

2001

2002

2002

2003

2003

2004

2004

2005

2005

2006

2006

2007

2007

2008

2008

2009

United States Euro areaJapan Brazil *

-2

0

2

4

6

8

10

12

2000

Q1

2000

Q4

2001

Q3

2002

Q2

2003

Q1

2003

Q4

2004

Q3

2005

Q2

2006

Q1

2006

Q4

2007

Q3

2008

Q2

Base money plus reservesReservesBase money

-20-15

-10

-5

0

5

10

1520

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

WorldAdvanced economies (2)Emerging economies (1)

0

50

100

150

200

250

300

350

400

2006

2007

2007

2007

2007

2007

2007

2008

2008

2008

2008

2008

2008

2009

Euro areaUKUSJapan

Developed Economies Have Become Debt Laden, and Deployed Massive Liquidity With Record Velocity…

While IP and Employment has diverged favoring emerging balance sheets

Central Bank Total Assets (2007 = 100)1 Quantitative Liquidity Measures (% GDP) 1

Industrial Production (% Chg YoY)1 Employment (% Chg YoY)1,2

1 Source for graphs: IMF World Economic Outlook, April 2009 http://www.imf.org/external/pubs/ft/weo/2009/01/index.htm. Past performance is not indicative of future results.(1) Emerging Economies: Argentina, Brazil, Bulgaria, Chile, China, Colombia, Estonia, Hungary, India, Indonesia, Latvia, Lithuania, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Romania, Russia, Slovak Republic, South Africa, Thailand, Turkey, Ukraine, and Venezue la. (2) Advanced Ecomonies: Australia, Canada, Czech Republic, Denmark, euro area, Hong Kong SAR, Israel, Japan, Korea, New Zealand, Norway, Singapore, Sweden, Switzerland, Taiwan Province of China, United Kingdom, and United States. World Trade

2 Brazil employment data from Haver

42

“...The ability to float large amounts [of debt] in the short to …medium-term depends on the credibility of a longer term plan that brings the deficits down. If market don’t think that you’re on a sustainable path, then they will bring forward in time their concern about the future deficits”1

Federal Reserve Chairman Ben Bernanke“Bond markets in general, and US government bonds in particular, are staring at the prospect of a lower allocation of sovereign investments. The declining share will reflect a natural diversification in the asset allocations of SWFs”2

Mohamed El-Erian

Foreign Demand for US Treasuries May Dictate Rates And USD

Foreign economies are becoming increasingly less dependent on USdemand because of growth in domestic consumption in the emergingmarkets and Europe●

From 1995 to 2007, US share of Chinese exports declined from 31% to 23%2

●

Changes in composition of trade may lead to concomitant changes in reserve accumulation

Foreign investors are developing more sophisticated approaches to investing and asset allocation, as evidenced by the growth of sovereign wealth funds (SWF’s)●

Surplus countries have increasingly begun to direct reserves towards investments with higher expected long term real returns than treasuries4

Foreign investors would not need to sell their existing reserves to have an impact on the US’ ability to finance its deficit – all they would need to do is slow their rate of accumulation5

●

According to House Budget Committee testimony, if, over the course of one year, foreign investors maintained their current amount of US government bonds holdings but did not accumulate additional holdings, long rates could rise by at least 100 basis

points6

Chinese Exports4

1 Source: Ben Bernanke Testimony before House Financial Services Committee. July 21, 2009. 2 Source: When Markets Collide, 2008, Mohamed El-Erian, p. 1383 Source: Financial Times, Fears for level of interest as US gears up for huge Treasury bond issuance, 28-Oct-08 4 Source: Goldman Sachs, Global Economics Paper: BRICs Monthly, 22-Jul-085 Source: Goldman Sachs, Global Economics Paper: In defense of Sovereign Wealth Funds, 21-May-08 6 Source: Testimony of Brad Setser Before House Budget Committee, 26-Jun-07

43

The Combination of Increasing US Debt and Budget Deficit May Force a Continued Devaluation of the US Dollar

US Balance of payments has increased (less negative) substantially in the past 6 months, while the USD and Treasury bonds became a store of wealth during the financial crisis.

Meanwhile, the US has begun running a current budget deficit of ≈ $1.2 trillion, equal to nearly 75% of its annual revenues (excluding Social Security tax collections)

Large projected social services expenditures may put continued pressure on deficits – causing dollar devaluation/higher US taxes

US FX / Budget / Balance Of Payments Calculation1 Projected Social Security and Medicare Costs2

1 Source: Congressional Budget Office, Goldman Sachs. Past performance is not indicative of future returns2 Source: Goldman Sachs analysis of data from the Office of the Chief Actuary, Social Security Administration and Office of the Actuary, Centers for Medicare and Medicaid Services. Note: Projections based on

the “intermediate” assumptions of the 2009 Trustees’ Reports. The CPI is used to adjust from current to constant 2009 dollars. Data accessed July 28, 2009. Analysis methodology from Government Accountability Office. http://www.gao.gov/cghome/d08446cg.pdf, slide 10. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

(1,500)

(1,000)

(500)

0

500

1,000

1,500

Jan-

90

Jan-

92

Jan-

94

Jan-

96

Jan-

98

Jan-

00

Jan-

02

Jan-

04

Jan-

06

Jan-

08

($bn

)

0.000.200.400.600.801.001.201.401.601.80

Fx R

ate

US Balance of Payments US Annual Deficit/Surplus (-)EURUSD AUDUSD

($800)

($700)

($600)

($500)

($400)

($300)

($200)

($100)

$0

$100

2009 2014 2019 2024 2029 2034

Social Security Cash Flow Medicare HI Cash Flow

Billions of 2009 Dollars

Medicare HI cash deficit

Social Security cash deficit (2016)

44

Trade 1: Short the USD vs. Currencies of Commodity ProducersIf you believe in this thesis, consider going long a basket of AUD, CAD, NOK and BRL against the USD

Commodity-linked currencies have demonstrated a positive correlation to commodity prices1, fundamentals in the commodity market may point to upside risk in commodity prices2, and commodity prices may rise in periods of USD inflation

We choose an equally weighted basket of AUD, CAD, NOK, and BRL due to their sensitivity to commodities and relative lack of EM currency risk:

AUD: The Australian Bureau of Agricultural and Resource Economics estimates that Australia will export ~$150bn of commodities in fiscal year 2009 (July08-July09)3

CAD: Canada is second to Saudi Arabia in oil reserves and exported ~2.4 mm bbl/day to the US in 2007, the highest share (19%) of USpetroleum imports in 20074

NOK: Norway is the world’s third largest gas exporter. Petroleum exports account for half of all exports and 30% of state revenue5

BRL: Brazil has run current account surpluses since 1992 (with exports of $200mm in 2008 and is a significant producer of iron ore and soybeans)5

Though USD already begun to weaken as investors re-risk, relative to recent past and fair value, entry points may be attractive

FX Spot: (CAD, AUD, NOK, BRL) Basket v. Fair Value7

FX Basket v. GSCI – Regression of 6m Returns: 2003-20096

FX B

aske

t - 6

m R

etur

ns

GSCI - 6m Re turns

-40%

-30%

-20%

-10%

0%

10%

20%

-0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6

-0.010+0.343XEq:Rsquare : 68.077

1 Source: Goldman Sachs, as of 13-Apr-09. GS Commodity Research, “Commodities, Asset Returns and Inflation,” 25-Jun-07. https://360.gs.com/gs/portal/home/?action=action.doc&d=37192442 Source: Goldman Sachs Commodity Research, “2009 Outlook: Pricing Supply Destruction”, 11-Dec-08 https://360.gs.com/gs/portal/?st=1&action=action.binary&d=6384255&fn=/document.pdf3 Source: http://www.abare.gov.au; 4 Source: http://www.eia.doe.gov/cabs/Canada/Oil.html 5 Source: CIA world factbook: https://www.cia.gov/library/publications/the-world-factbook/countrylisting.html6 Source: Goldman Sachs Sales and Trading. Indicative as of 20-Apr-09. Regression of rolling 6 month returns for the GSCI index and FX Basket from Oct-03 to Apr-097 Source: Goldman Sachs. Indicative as of 28-Jul-09. Fair value data is derived from the Goldman Sachs Dynamic Equilibrium Exchange Rate (GSDEER) model, a purchasing power parity model that incorporates

productivity, terms of trade and trends in the current and capital accounts - Global Viewpoint Jan 07 - The Evolving GSDEER Currency Model https://portal.gs.com/gs/portal?st=1&action=action.binary&d=2971163&fn=/document.pdf . Past Performance is not a reliable indicator of future performance. The above is based upon simulated historical analysis of the Basket. GS provides no assurance or guarantee that the Basket would have operated in the past in a manner consistent with the above analysis. GSDEER levels are not intended as forecasts, and the FX basket may or may not perform in-line with the fair value estimates produced by GSDEER

Note: For Discussion Purposes Only.

FX Basket Spot FX Basket Fair Value

0.60.70.80.9

11.11.2

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

28Jul1999 28Jan2010

45

0

0.5

1

1.5

2

2.5

3

3.5

2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009

GSGLCPXUS&P 500

Trade 2: Long Non-US Commodity Producing Equities

If commodity prices rally in a cyclical recovery or following inflation or a devaluation of the dollar, equities of commodity producers may rally

Goldman Sachs has created a basket of 95 such commodity and basic material producers. The basket constituents are available on Bloomberg by entering GSGLCPXU <Index> MEMB <GO>

Basket Construction

Began with MSCI All Country World Index as of April 27, 2009 (2,414 Constituents)

Selected only companies in Energy, Materials, Industrials (exact GIC sector list may be found in footnote below)

Reduced 570 remaining companies to 95 by eliminating US companies and optimizing a tracking basket with: A) similar sector exposure; B) minimal tracking error; and C) sustainable liquidity

For more details, please contact your GS representative

Trade Mechanics

Investor Buys a Call Spread on the Basket●

Investor buys a 6m call option on the basket, struck at 120% of current spot

●

Investor sells a 6m call option on the basket, struck at 140% of

current spot

Indicatively, net upfront premium would be [2.69]% of notional1

For Discussion Purposes Only. All options mentioned are OTC options. 1 Pricing indicative only as of July 29, 2009. 2 Source: Bloomberg. Data as of July 28, 2009. Past performance is not indicative of future results. GSGLCPXU GIC Sectors: Construction & Engineering; Construction & Farm Machinery & Heavy Trucks; Diversified Chemicals; Diversified Metals & Mining; Electrical Components & Equipment; Fertilizers & Agricultural Chemicals Forest Products; Gas Utilities; Gold; Heavy Electrical Equipment; Highways & Railtracks; Industrial Conglomerates; Industrial Gases;Industrial Machinery; Integrated Oil & Gas; Oil & Gas Equipment & Services; Oil & Gas Exploration & Production; Paper Products; Precious Metals & Minerals; Steel

Historical Performance of GSGLCPXU vs. S&P 5002

Payout

If basket return is < 20%, 0 payout

If basket return is between 20% and 40%, payout = basket return -20%

Maximum potential payout is 20%, or [7.4]x upfront premium1

Maximum potential loss is premium paid

Risks to this trade: Global macro-economic conditions continue to deteriorate and demand for commodities weakens or stagnates.

46

High Low Avg. Last Quarterly change in US CPI (LHS) 102.6343%96.7541% 100.6421%100.5374% Quarterly change in Inflation Proxy Commodity Index (RHS) 130.7708%44.5202% 103.9905%104.644%

96.5%97%

97.5%98%

98.5%99%

99.5%100%

100.5%101%

101.5%102%

102.5%103%

40%

50%

60%

70%

80%

90%

100%

110%

120%

130%

140%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

Gold, 20%

Gasoline, 40%

Heating Oil, 10%

Aluminum, 5%

Copper, 5%

Soybeans, 10%

Corn, 10%

Inflation Proxy Commodity Index v. Unexpected Inflation2 Inflation Proxy Commodity Index v. Actual Inflation3

Trade 3: Commodities Based Approach Goldman Sachs Inflation Proxy Commodity Index

The Inflation Proxy Commodity Index has been created as a hedge against both rising inflation and unanticipated inflation

The index is made up of S&P GSCI Enhanced Strategies in Energy (50%), Industrial Metals (10%), Agriculture (20%) and Gold1 (20%)●

Based on historical data, the basket would have been a good proxy for both US CPI and unanticipated US inflation with an average annual correlation over the past 10 years of 76% and 73% respectively

Based on historical data, the Inflation Proxy Commodity Index has a high R-square of over 73.5% with US CPI, and over 57% with unanticipated US inflation2

1 Gold underlier is the S&P GSCI Gold Index, not an enhanced strategy. 2 Over a 3 month horizon. Source: Goldman Sachs. Past performance not indicative of future results. Unanticipated inflation = US Consumer Price Index Change – US Treasury Bill Return. Past performance is not

indicative of future return3 Source: Goldman Sachs. Indicative only as of 01-May-09

Source: NYMEX, CBOT, CME, COMEX, LME

High Low Avg. Last Quarterly change in Unexpected Inflation (LHS) 1.8068% -3.4791% -0.151% 0.5018% Quarterly change in Inflation Proxy Commodity Index (RHS) 130.7708%44.5202% 103.9905%104.644%

-3.5%

-3%

-2.5%

-2%

-1.5%

-1%

-0.5%

0%

0.5%

1%

1.5%

2%

40%

50%

60%

70%

80%

90%

100%

110%

120%

130%

140%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

Inflation Proxy Commodity Index (Dollar Weightings)

47

0%10%20%30%40%50%60%70%80%

0

100

200

300

400

500

600

700

800

900

1000

1100

Brackets ($000s)

Tax

Rat

e

1980 1974 1968 2009

0%

10%

20%

30%

40%

50%

60%

Net

herla

nds

Aust

riaB

elgi

umAu

stra

liaG

erm

any

Italy

Por

tuga

l Ire

land

Fr

ance

Gre

ece

Japa

nP

olan

dU

nite

d K

ingd

omN

ew Z

eala

ndLu

xem

bour

gH

unga

ry

Kor

eaTu

rkey

Uni

ted

Sta

tes

Finl

and

Can

ada

Mex

ico

Spa

inD

enm

ark

Nor

way

Sw

eden

Icel

and

Slo

vak

Rep

ublic

Cze

ch R

epub

lic

Sw

itzer

land

Tax Rates In The US May IncreaseIn addition to a substantial unaddressed social benefits liability, the current borrowing might lead to substantially higher US tax levels

During the 1970’s, the highest Marginal Tax Rate (income over $200,000) was at 70%

Post the ’81 and ’86 Tax reforms by Reagan, the major lever for Congress to control Deficit and debt levels was increased taxes (Bush I & Clinton)

Relative to the rest of the world US Federal taxes remain low (although State taxes take us near the top rates)

Budget Deficit / Surplus / Highest Marginal Tax Rate2 Highest Marginal Tax Rate By Country3

1 Source: Tax Foundation. http://www.taxfoundation.org/taxdata/show/151.html. Data accessed July 27, 2009. Pre-2009 tax brackets were converted to 2009 dollars using the Consumer Price Index (CPI) for All Urban Consumers. Source for CPI data: Bureau of Labor Statistics. Past performance is not indicative of future returns.

2 Source: TaxPolicyCenter.Org Data accessed July 21, 2009. http://www.taxpolicycenter.org/taxfacts/displayafact.cfm?DocID=199&Topic2id=20&Topic3id=23, http://www.taxpolicycenter.org/taxfacts/displayafact.cfm?Docid=213

3 Source: OECD

0%

10%

20%

30%

40%

50%

60%

70%

80%

1970 1973 1976 1979 1982 1985 1988 1991 1994 1997 2000 2003 2006 2009

Highest Marginal Income Tax Rates Total Federal Debt less Government Held as % of GDP

Reagan (ERTA: Aug81)

Reagan (TRA: Oct86)

Bush (OBRA: Nov90)

Clinton (RRA: Aug93)

Bush II (EGTRRA: Jun01)

Bush II (JGTRRA: May03)

Marginal Tax Brackets in the US: Historical Snapshot1

48

In addition to potential taxes associated with the Obama healthcare reform, an automatic increase of 4.6% to the highest tax bracket will occur in 2011

In July the US Congress passed “Pay As You Go” legislation which mandates a reduction in expenditure or increase in revenue for any new project

Currently, to return Federal Debt to its 30 year average to annual revenues would take approximately a doubling of those revenues

US Debt as a Percentage of Tax Revenues Has Climbed

US Federal Debt and Reserves1 US Tax Revenue By Type (2008)1

0.0

1,000.02,000.0

3,000.04,000.0

5,000.0

6,000.07,000.0

8,000.09,000.0

10,000.0

1969

1971

1973

1975

1977

1979

1981

1983

1985

1987

1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

0%

50%

100%

150%

200%

250%

300%

350%

Total Federal Revenues (Income Tax) Total Federal Revenues (All Other)Total Publicly Held Debt % Debt/Revenues (rt)

1 Source: Congressional Budget Office

12%

36%

1%1%3% 2%

45%Individual Income TaxCorporate Income TaxesSocial Insurance TaxesExcise TaxesEstate and Gift TaxesCustoms DutiesMiscellaneous Receipts

49

0

5,000,000

10,000,000

15,000,000

20,000,000

25,000,000

30,000,000

35,000,000

0 -25,000

25,000 -50,000

50,000 -75,000

75,000 -100,000

100,000 -150,000

150,000 -200,000

200,000 -250,000

250,000and

Greater

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

Number of Households % of Taxes paid Estimated Effective Tax Rate

Taxes May Need to Look Like 1970’s to Normalize the Ratio of Debt to Revenues…

Since 1969, the average ratio of debt to Revenues has been 196%, given total publicly held debt of $8.7 trillion by year end, we would need to raise revenues from $2.4 trillion to $4.4 trillion

Doubling the income tax would only raise $1.1 trillion

The highest earning 15% of households pay over 60%of all taxes collected

Federal Non-Discretionary spending as a % of total spending has continued climbing leaving much less flexibility for adjustments. Interest cost on debt may reach 15% of expenditure by the year end2

Taxes Paid By Household Income1

1 Source: Census Bureau, Internal Revenue Service2 Source: Congressional Budget Office. Historical Data from: "A Preliminary Analysis of the President's Budget and an Update of CBO's Budget and Economic Outlook" March 20, 2009, Table F-5.

http://www.cbo.gov/budget/historical.shtml. Projections: “ An Analysis of the President's Budgetary Proposals for Fiscal Year 2010. June 16, 2009, Tab 1-5. http://www.cbo.gov/budget/budproj.shtml. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

Discretionary/Non-Discretionary Spending2

Mandatory

Discrectionary

Net Interest

0%

20%

40%

60%

80%

100%

1962 1970 1978 1986 1994 2002 2010 2018

Proj.

Percent of Total Outlays

50

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

120.00%

140.00%

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

US

Tax

Rat

e an

d Ta

x In

dex

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

Fed

Fund

s R

ate

(%)

1 - US Federal Tax Rate USD-US Tax Index Fed Funds Rate

Trade 4a: US Tax Index Cap Strategy – Sell CapsUSD-US Tax Index –

[BBG –

MUNRMSLR Index]

Description:The Index is the daily inverse of the 90 day weighted average yield on high-grade tax-exempt bonds divided by the previous 90 day reset yield of taxable bonds. The tax-exempt and taxable yields are represented by the SIFMA Municipal

Swap Index and the 3 month LIBOR, respectively.

Index Value:

The USD-US Tax Index

represents the value of tax-exempt income to investors in the short-term market, expressed as a percentage. There is no restriction on the Index falling below zero.Historically, the Index has tracked the US Federal Marginal Income tax rate, with three other major forces:

Absolute level of USD interest ratesTrading supply and demand US Federal Tax Rate for individuals and corporations

USD-US Tax Index Historic Pricing and Statistics1

Statistic 1994-YTD Area1 Ex Area1Min 25.88% 53.84% 25.88%Max 115.02% 96.25% 115.02%Average 68.07% 80.59% 64.40%Stdev 11.58% 7.35% 9.91%

Area 1

1 Source: Goldman Sachs. Data as of July 28, 2009. Past performance is not indicative of future returns.

51

Ratio Curve1Market Dynamic Commentary

Historic Ratios (5yr, 10yr)110y BMA Ratios vs US 10y Swap (10y History)1

Trade 4b: Receive the SIFMA Ratio

The long end of the SIFMA Basis swap market moves relative to Interest Rates (inversely), Municipal Cash Bond supply and demand (asset swap players), structured note issuance and the relative ratio of the 1 week Index to LIBOR.

While the correlation broke down during the crisis, bonds and swaps, as well as interest rates volatility in the markets remains high, and correlation has returned.

1 Source: Goldman Sachs. Data as of July 28, 2009. Past performance is not indicative of future returns.

Term Bid Offer Ratio Delta2 76.625% 77.625% 0.03%5 78.375% 79.375% 0.14%

10 80.250% 81.250% 0.33%15 82.625% 83.625% 0.49%20 84.000% 85.000% 0.61%25 85.250% 86.250% 0.70%30 86.125% 87.125% 0.78%

USD 10y BMA Ratios ussw10/100

2%

3%

4%

5%

6%

7%

8%

65% 70% 75% 80% 85% 90% 95% 100% 105%

65%

70%

75%

80%

85%

90%

95%

100%

105%

Jun-

99

Jun-

00

Jun-

01

Jun-

02

Jun-

03

Jun-

04

Jun-

05

Jun-

06

Jun-

07

Jun-

08

Jun-

09

SIFM

A R

atio

SIFMA Ratio (5y) SIFMA Ratio (10y)

52

Public Balance Sheet Conditions Implementation

Note: For discussion purposes only.

If you believe this thesis, then:

Description

FX

Buy currency forwards or FX options to express a view about sovereign credit

Sovereigns with a burden of debt or perceived credit risk may see their currency depreciate, and the investor can position to capitalize on this possibility

EQ

Buy equities of non-US commodity producers

Trade can be implemented through: One-delta purchase of GSGLCPXUOne-delta purchase of the constituents of GSGLPXUPurchase of calls or call spreads on GSGLCPXU

CO M M O D

Buy the GS Inflation Proxy Commodity Index

The Inflation Proxy Commodity Index may be a hedge against both rising inflation and unanticipated inflation

MUNI

Sell Caps on the US Tax Index or Receive the SIFMA Ratio

Express a view on higher taxes by selling a proxy for put options on the tax rateView can also be expressed by receiving a fixed percentage of 3M Libor in exchange for paying the SIFMA Municipal Swap rate. The ratio between the two would be expected to decrease in an era of higher taxes

C R E D I T

Buy CDS of developed Sovereigns, Sell CDS on select Emerging Economies

Pricing on developed sovereign CDS may be too cheap as it may underestimate the risks to developed countries who have recently issued large amounts of debtEmerging economies may be in a stronger fiscal position than their sovereign CDS levels imply

53

Equities1

0

50

100

150

200

250

300

350

400

Jan-72 Jan-74 Jan-76 Jan-78 Jan-80 Jan-82-3-2-101234567

Moody BAA Long-Term Credit Spreads vs. Treasuries

Real GDP Growth

bps Spread % Growth

Interest Rates1 Currencies1 Commodities1

Credit1 US Taxes2

5y Treasury (LHS) US YOY CPI (%) (RHS)

5%

6%7%8%

9%10%

11%

12%13%

14%15%16%17%

2%3%4%5%6%7%8%9%10%11%12%13%14%15%

1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982

1Jan1972 1Jan1982

US$ Trade Weighted Index (LHS) US YOY CPI (%) (RHS)

80

85

90

95

100

105

110

115

120

2%3%4%5%6%7%8%9%10%11%12%13%14%15%

1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982

1Jan1972 1Jan1982

GSCI Precious Metals Excess Return Index (LHS) US YOY CPI (%) (RHS)GSCI Livestock Excess Return Index (LHS) GSCI Agricultural Excess Return Index (LHS)

0

100

200

300

400

500

600

700

800

900

2%3%4%5%6%7%8%9%10%11%12%13%14%15%

1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982

1Jan1972 1Jan1982

S&P 500 Index (LHS) US YOY CPI (%) (RHS)

60

70

80

90

100

110

120

130

140

150

2%

3%4%

5%6%

7%

8%9%

10%11%12%13%14%15%

1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982

1Jan1972 1Jan1982

How Did the Various Asset Classes Respond in the 70s? Case Study

1 Source: Goldman Sachs. Data as of July 21, 2009. Past performance is not indicative of future returns

0%

10%

20%

30%

40%

50%

60%

70%

80%

0

100

200

300

400

500

600

700

800

900

1000

1100

Brackets ($000s)Ta

x R

ate

1980197419682009

Japan

55

Japan: Government Debt and GDP ForecastsJapanese government debt maturing in a year is 47.3% of 2009 estimated GDP1

Given Japan’s reliance on exports, falling exports may lead to a chain of events that may lead to increased credit risk in its government debt

Falling exports may lead to Decreased corporate revenues Rising unemployment Lower consumer spending and income Less tax revenues Higher budget deficit Rising debt to GDP Ratings pressure Wider sovereign spreads

1

1

2

3

Japanese Government Debt Maturity1,2,3 2009 GDP Forecasts4

Japan Government Debt Maturity ($ in mn)< 1Yr 2,273,7751-2Yr 894,1422-3Yr 717,7113-4Yr 651,4244-5Yr 657,5335-6Yr 449,9676-7Yr 441,5687-8Yr 434,0418-9Yr 390,3749-10Yr 332,70110-15Yr 511,98715-20Yr 519,79420-25Yr 56,71025-30Yr 129,728> 30Yr 10,274

Total Government Debt Issuance ($ in mm) 8,471,729

2009E GDP ($ in bn) 4,8092009E Government Revenue ($ in bn) 1,486Debt Maturing <1 Year / 2009E GDP 47.3%

Debt Maturing < 1 Year / 2009E Government Revenue 153.0%Total Government Debt Issuance / 2009E GDP 176.2%

Total Government Debt Issuance / 2009E Government Revenue 570.2%

Country2009 GDP Forecasts

2009 GDP Forecasts less 10-yr average

GS less consensus

Japan -5.8 -8.4 0.4

US -2.5 -3.8 0.1Euroland -4.4 -6.5 0.0UK -4.0 -6.6 0.0Norway 1.6 -0.4 2.9Sweden -4.7 -7.6 0.1Switzerland -1.8 -3.8 0.7Canada -1.9 -4.9 0.4Brazil -1.0 -4.4 -Mexico -8.5 -11.5 -Australia 0.3 -3.0 0.4New Zealand -1.3 -4.6 0.9China 8.3 -1.5 0.6India 5.8 -1.3 -0.5Korea -1.7 -7.2 0.4Malaysia -3.5 -8.9 0.0Singapore -6.0 -11.5 -0.4Taiwan -7.0 -10.8 -1.9Thailand -4.0 -8.8 -0.1Indonesia 4.2 -0.5 0.3Philippines -0.5 -5.4 -1.1

1 Source: Reuters 2 Source: GS ERWIN forecasts. 3 Source: Moody’s4 Source: GS ERWIN for updated GDP Forecasts. GS Global Economics. Asia Economics Flash. A Macro Look at the Yen Crosses. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=6906086&fn=/document.pdf for 10yr average

calculations. GS Global Investment Research Asia for consensus figures. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

56

Japan The Yen: Vulnerable To an Export Slowdown Driven by a Slowing US

ConsumerPossible factors for yen depreciation●

Realization that Japan may not be the safe haven in this global slowdown >

GS forecasts GDP to fall 7.5% and exports to fall an estimated 32.1% in 2Q 2009,

with limited improvement in 3Q 20091

>

Debt / GDP = 171% (US: 66%, UK: 50%)2

>

The government unveiled a stimulus package of ¥56.8trn (12% of GDP); GS projects government debt to reach 215.4% in 20103

●

Declining export revenue; trade deficit increasing4

>

Relationship between Japan’s trade balance and USDJPY (graph below)4

●

Yen carry trade subsiding5

●

Reversal of USD hedges –

Exporters have hedged their overseas USD revenue by selling USD

forward, but as USDJPY moves higher (yen weaker), they may unwind their hedges, adding additional downward pressure on the yen (and upward pressure on the USD)5

Public Debt/GDP2 Yen Carry Trade Unwinding Has Subsided4

1 Source: GS ERWIN 2 Source: Japanese Ministry of Finance 2008. Current Japanese Fiscal Conditions and Issues to be considered. http://www.mof.go.jp/english/budget/pamphlet/cjfc2008.pdf3 Source: GS Research. “Japan Economics Analyst.” April 14,2009. https://360.gs.com/gs/portal/home/atx/?st=1&d=6985902&r=34 Source: Goldman Sachs. As of July 28.2009. (Pricing shown is indicative.) Past performance is not indicative of future results.5 Source: Goldman Sachs Research. “The Yen as Safe Haven.” February 19, 2009. https://360.gs.com/gs/portal/home/?action=action.doc&d=6698556

0

20

40

60

80

100

120

140

160

180

200

1995

1996

1997

1998

1999

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2001

2002

2003

2004

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2006

2007

2008

2009

Japan

Italy

USFrance

GermanyCanada

UK

Trade Balance (3m Moving Average, billion yen) (LHS) - JPY/USD (1-year Lagged) (RHS)

-600-400-200

0200400600800

1000120014001600

-220

-200

-180

-160

-140

-120

-100

-80

1988 1993 1998 2003 2008

15May1984 15May2011

57

Spot GSDEER Spot Fair Value Estimate Forward 105 Call Strike

US

DJP

Y L

evel

80

90

100

110

120

130

140

7Jul99 1Jan03 1Jan05 1Jan07 1Jan09

USDJPY – spot, forward, and fair value4 Indicative pricing1

Japan Sell JPY, buy USD

1. Source: Goldman Sachs. Indicative only as of 28-Jul-09. Spot reference = 95.22; 1y forward reference = 94.62; 2y forward reference = 92.79; 3y forward reference = 89.93. Carry is defined as the forward exchange rate minus the spot exchange rate, as a percent of the spot rate. Positive carry implies that should the exchange rate remain at the spot level instead of rolling to the forward, investors will earn money.

2. Source: Goldman Sachs. “FX Monthly Analyst”. As of 10-June-09. Available: https://360.gs.com/gs/portal/home/?action=action.doc&d=73134423. Source: Goldman Sachs. Indicative only as of 28-Jul-09. Carry is defined as: (Spot Level –

Forward Level) / Spot Level4. Source: Goldman Sachs. Indicative as of 6-Jul-09. Fair value is derived from the Goldman Sachs Dynamic Equilibrium Exchange Rate (GSDEER) model, a purchasing power parity model that incorporates

productivity, terms of trade and trends in the current and capital accounts. Global Viewpoint Jan 07. Available: https://portal.gs.com/gs/portal?st=1&action=action.binary&d=2971163&fn=/document.pdf. Past performance is not indicative of future results.

Investors may consider buying a call on USDJPY (i.e. a call on USD / put on JPY)Investors benefit if JPY depreciates above the call strike

●

JPY is trading at 95.22, i.e. 1 USD is equivalent to 95.22 JPY.1

At maturity, the 105-strike call will have intrinsic value if the JPY depreciates such that 1 USD is equivalent to more than 105 JPY1

●

An investor will breakeven once JPY appreciates to approximately

106.70 JPY per USD, given that the cost of a 105 strike 1y expiry option is 1.57%1

The short yen, long dollar cross has positive carry of 0.6% over 1y, 2.6% over 2y, and 5.6% over 3y3

GS Research forecasts that USDJPY will be at 105 in 12 months.2 The GSDEER estimates a fair value of JPY of 117 in April 20104

Dollar appreciation / JPY depreciation

Option Tenor Strike (JPY per USD)

Offer (% of notional)

Call 1y 105 1.57%Call 2y 105 2.53%Call 3y 105 2.77%Call 1y 110 0.80%Call 2y 110 1.53%Call 3y 110 1.82%

58

0

10

20

30

40

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6019

5019

5519

6019

6519

7019

7519

8019

8519

9019

9520

0020

0520

1020

1520

20

JapanSouth Korea

-10

-8

-6

-4

-2

0

2

4

6

8

2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 2009 2010 2010

Japan

South Korea

Real GDP (% change YoY)1 Aging Population: Japan vs. Korea Dependency Ratio3

Japan An Intra-Regional Trade: sell JPY, buy KRW

Debt to GDP2Korea may be better positioned than Japan within the region●

GS forecasts Korea GDP to decrease 2.3% compared to a decrease of 5.9% in Japan in 2Q2009>

A rebound to positive GDP growth is expected in 3Q2009 in Korea with continued strength throughout 2010, compared to a more modest recovery in Japan

●

Debt / GDP = 171% for Japan vs. 29% for Korea2

●

Demographics favor Korea: By 2020, approximately 1 in 3 Japanese is expected to be age 65 or over vs. 1 in 6 in Korea 3

>

The old-age/ working age dependency ratio data is even more challenging for Japan, highlighting the strain on the working population of an aging demographic 3

Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.1. Source: Goldman Sachs ERWIN. Trade Balance figures shown in 10 billions of USD.2. Source: OECD. http://webnet.oecd.org/nawwe/factbook09/default.html3. Source: UN World Population Prospects. The old-age dependency ratio is the ratio of the population aged 65 years or over to the population aged 15-64. All ratios are presented as number of dependants per 100 persons of working age (15-64)

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008

JapanSouth Korea

59

-15

-10

-5

0

5

10

15

20

25

30

35

40

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Japan

South Korea

Exports Growth2 Trade Balance (in $10bn)1

JPYKRW3Trade balance is forecasted to remain on a positive trajectory for Korea. This compares to a negative trajectory for Japan through our forecast period, with the exception of 4Q20091

Korea’s exports decline was relatively moderate compared to other countries in the region2

An investor may consider buying a put on JPYKRW (i.e. a put on JPY / call on KRW) ●

Investors benefit if JPY depreciates against the KRW, and the cross falls lower than the put strike

●

A 1y JPYput

/ KRWcall

struck 10% OTM costs 3.04% JPY.3

●

Should the JPYKRW exchange rate revert back to 2007 levels, payouts could exceed 16x. 3,4

●

GS Research’s 12-month forecast for JPYKRW is 11.434

Japan An Intra-Regional Trade: sell JPY, buy KRW

Spot and Forward 1yr GS Forecast

6

8

10

12

14

16

18

2005 2006 2007 2008 2009 2010

22Jul2004 22Jul2010

Exports Growth

-50

-40

-30

-20

-10

0

10

20

30

40

May-08 Aug-08 Nov-08 Feb-09 May-09

% yoy

China Japan

Korea India

Taiwan

1. Source: Goldman Sachs Research ERWIN. Trade Balance figures shown in 10 billions of USD. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.2. Source: Goldman Sachs Research Asia Economics Analyst , July 8, 2009. https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7454249&fn=/document.pdf3. Source: Goldman Sachs indicative pricing as of July 17,2009. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.4. Source: Goldman Sachs. GS FX Forecast taken from Global FX Monthly Analyst July 2009. Pricing shown is indicative as of July 21, 2009.

60

0%

2%

4%

6%

8%

10%

12%

14%

16%

1990 1992 1994 1996 1998 2000 2002 2004 2006 20080.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Japan Vulnerable to an Export Slowdown & Rising Leverage

The Japanese government’s attempt to bail out the financial system / economy may result in a solvency issue, weaker currency, or higher ratesDebt issuance grew as Japanese deficit increased to finance its way out of its problems that were driven by the bursting of its asset bubble●

Public Debt/GDP ballooned from 69% to 170% over the past 20 years1

Japanese interest rates may rise as Japanese debt issuance increases because Japanese individuals may not be able to meet the marginal demand, as they did during the 1990s●

High individual savings rates (10 to 15%) were used to absorb the high rate of government debt issuance in the 1990s●

Demand from individuals may not be sufficient given their low savings rates, which has fallen to 2.7% in 2008 as Japan’s population continues to age and enters retirement2

Japan Public Debt / GDP and Public Debt / Capita1

Savings Rate vs. JGB Individuals’ holding2

Savings rate (lhs) JGB Holdings - USD trn (rhs)

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 20100

10,000

20,000

30,000

40,000

50,000

60,000

70,000

Public Debt/GDP (lhs)

Public debt per capita

1 Source: Goldman Sachs Economic Research. IMF. Past performance is not indicative of future results. 2009-2010 figures are estimates. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

2 Source: Goldman Sachs Research, OECD Economic Outlook. Holdings include JGBs held indirectly through insurance, pension, investment trusts, brokers and social security fund. Past performance is not indicative of future results. 2009 data are estimates.

61

Japan Vulnerable to an Aging Population

As the Japanese age and enter retirement, other fiscal problems may arise as well

Expenditures have contributed ¥150 trn to the increase in JGBs outstanding of ¥390 trn since 19901

●

More recently, expenditures’

contribution to growing debt issuance are mostly attributable to social security-related expenditures resulting from the aging Japanese society. These expenditures have contributed ¥110 trn

to the cumulative increase in outstanding general bonds. (28.2%

of increase)1

●

Presently, nearly one in five Japanese is age 65 or older. This figure will rise to more than one in three in the next 3 decades2

●

This may lead to increasing issuances of JGBs to fund rising social security expenditures

1 Source: Japanese Ministry of Finance 2008. Current Japanese Fiscal Conditions and Issues to be considered. http://www.mof.go.jp/english/budget/pamphlet/cjfc2008.pdf. Past performance is not indicative of future results. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

2 Source: UN World Population Prospects. http://esa.un.org/unpp/index.asp?panel=1

Ratio of People Aged 65 and Over to Total Population1 Contribution of Expenditures1

0

5

10

15

20

25

30

35

40

1950

1960

1970

1980

1990

2000

2010

2020

2030

2040

2050

JapanGemanyFranceUKUS

62

Japan Vulnerable to an Aging Population

Demand from individuals for JGBs may not be sufficient given their low savings rates, which has fallen as Japan’s population continues to age and enters retirement

Retired couples must dissave to finance consumption in excess of disposable income and thus have a significantly negative savings rate1

●

To finance this excess consumption they have to draw down on their financial wealth and make use of their deposits and insurance/pension reserves1

Since consumption exceeds disposable income by nearly 25%, the gap must be financed by dissaving from accumulated assets1

Consumption and Savings by Household Type1 Net Acquisition of Financial Assets by Households2

1 Source: NLI Research Institute: On the Financial Situation of Elderly Households http://www.nli-research.co.jp/english/economics/2009/eco090317.pdf. Past performance is not indicative of future results.2 Source: McKinsey&Company: Japan: The World’s Savers Retire. Past performance is not indicative of future results.

63

JPY CMS Caps Trade Mechanics

JPY ATM 3y10y and 5y10y swaption vol is less than half comparable USD swaption vol

Low absolute prices for CMS caps - i.e. 3y expiry caps/calls on 10y JPY CMS struck at 3% (e.g. ~110bps OTM) cost ~25bps, which could make these potentially low cost/highly asymmetric "tail" options1

Payouts may reach up to 19x the option premium if rates return to 1991 levels1

In addition, given our view of fundamental weakness in the region, the FX component of the trade can be hedged as well - through quanto CMS caps or vanilla JPY put / USD calls

US vs. JPY ATM Swaption Vol2 JPY 10yr Swap Rate2

1 Source: Goldman Sachs. Indicative as of July 28, 2009. Risk: investor stands to lose entire premium paid if the interest rate fails to move past strike price at expiration. 2 Source: Goldman Sachs. As of July 28, 2009. Volatility shown in basis points per day. Past performance is not indicative of future returns.

USD 3y10y JPY 3y10y

2

3

4

5

6

7

8

9

10

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

28Jul1999 28Jul2009

JPY 10yr Swap Rate

0

1

2

3

4

5

6

7

8

9

1992 1995 1998 2001 2004 2007

28Jul1989 28Jul2009

64

Japan

If you believe this thesis, then: Description

Sell the Yen Buy JPY puts / USD calls, Buy KRW calls / JPY puts

Sell JPY CMS rates Buy a JPY CMS rate cap

For discussion purposes only. All options are OTC options. Risk: With all options mentioned above, the investor risks losing the entire option premium in the event that the spot price does not move beyond the strike price at expiration. Macroeconomic conditions in Japan may improve. International trade environment may be better than expected and financing conditions might ease.

If you believe this thesis, then:

US Consumer and Retail

66

Retail and Consumer CDS Lower Consumer Spending May Be a Structural, Rather Than Cyclical, Change

The US Household has lost 23% or $14.3 trillion in net wealth over the past 18 months1 and doubled their outstanding debt over last 8 years to $13.8 trillion2

US consumer spending and savings rates have been out of line: The US Savings rate was 1.6% in the past decade, and fell to 0.5% in the first quarter of 2008, compared to a 7% post-war average.3 At the same time, the ratio of household debt to disposable income increased from 101% to 138% fueled by a low interest rate environment.2

Goldman Sachs Economists expect the consumer savings rate to rise to 6-10% by the end of 2010 to bring savings in line with the historical average.4,5

Further, to bring the household debt/income ratio back to historical average may require $2.8 trillion of consumer deleverageing2

Household Leverage is 27% Above Trend2Personal Savings Rates are Predicted to Increase4

$2.8 tr

1 Source: Federal Reserve Flow of Funds Report (Z-1). March 11, 2009. 2 Source: McKinsey Global Institute. "Will US Consumer Debt Reduction Cripple the Recovery?". March 2009.3 Source: Goldman Sachs. "The Day After Tomorrow: The changing face of the consumer." October 1, 2008. https://360.gs.com/gs/portal/home/?action=action.doc&d=5955844 Source: Goldman Sachs. US Economics Analyst: “9 Questions for 2009.”December 31, 2008. https://360.gs.com/gs/portal/home/?action=action.doc&d=6466617. Goldman Sachs provides no assurance or guarantee that future results will be

consistent with the projected analysis. 5 Source: Goldman Sachs. US Economics Analyst: “The Return of the Frugal Consumer.”February 27, 2009. https://360.gs.com/gs/portal/?action=action.doc&d=6751711

67

0

100

200

300

400

500

600

Jan2007

Apr2007

Jul2007

Oct2007

Jan2008

Apr2008

Jul2008

Oct2008

Jan2009

Apr2009

Jul2009

Spr

ead

(bp)

US Consumer and Retail BasketEurope Consumer and Retail BasketCDX Index

Retail and Consumer CDS Spread Tightening Despite Weak Fundamentals

US Consumer-linked and Retail CDS spreads have tightened an average of 60% from their respective 52-week wides1 despite continued macro-economic weakness, GS Credit Research notes that “CDS shorts on consumer cyclicals have never looked better”2

The US Consumer Confidence Index remains near all-time lows. While the most recent level beat analyst expectations, the US consumer’s “perceptions of the present remained very low”3

Housing prices continue to decline, albeit at a slowing rate, contributing to further consumer wealth destruction4

Consensus forecasts for macro economic indicators are worse than they were the last time CDS spreads were at comparable levels1,5

…But The Economic Outlook Seems Worse5Spreads Have Returned to the Levels of Jan 08…1

1 Source: Goldman Sachs. Data for 5y CDS as of July 24, 2009. Past performance is not indicative of future returns. Indicative Baskets represent retail and consumer CDS traded by GS; exclude names rated Outperform by GS ResearchSachs Credit Research and desk analysts. The Indicative Baskets each have 33 constituents. Indicative basket constituents can be furnished upon request and are subject to change.

2 Source: Goldman Sachs Credit Strategy. “IG Bonds: Still a source of risk-adjusted value vs. equity”. 1-May-09. https://360.gs.com/gs/portal/home/?action=action.doc&d=70995033 Source: Conference Board, Goldman Sachs Global ECS US Research. “USA: Consumer Confidence – Out of the Depths, Mostly in Expectations”. As of 28-Apr-09. https://360.gs.com/gs/portal/home/?action=action.doc&d=7070093 4 Source: Goldman Sachs Global ECS US Research. “USA: S&P Case Shiller Home Price Index - Only a Small Easing in the Rate of Decline”. As of 28-Apr-09. https://360.gs.com/gs/portal/home/?action=action.doc&d=70696315 Source: Source: Aspen Publishers, "Blue Chip Economic Indicators". Wolters Kluwer. Jan 10, 2008 and April 10, 2009. Goldman Sachs provides no assurance or guarantee that future results will be consistent with the projected analysis.

Comparison of Economic Forecasts Jan 2008 vs. April 2009Forecasts for Current and Upcoming Year

Jan 08 Apr 092008 2009 2009 2010

GDP Forecast 2.20% 2.70% -2.60% 1.80%Disposable Personal Income 2.40% 3.10% 1.90% 1.80%Personal Consumption Expenditure 2.10% 2.40% -1.10% 1.70%Corporate Profits 1.80% 4.00% -16.60% 7.00%Unemployment Rate 5.00% 5.00% 8.90% 9.40%

Values represent forecast Y/Y change from previous yearUnemployment Rate represents forecast avg for year

68

Similarly, Retail and Consumer Equity Have Risen But The Fundamentals May Not Support The Price Movement

US Consumer-linked and Retail Equity prices are up an average of 99% from their respective 52-week lows1

Unemployment continues to rise2 which may impact the decision of consumers to spend as they may be less secure in their long term income prospects

A survey of senior loan officers shows that banks have continued to tighten lending standards for consumer loans3, which may also impact consumers’ ability to spend

…Yet Retail Equities Have Risen4Job Losses Continue to Rise…2

1 Source: Goldman Sachs. Data for Equity performance as of close on May 12, 2009. Past performance is not indicative of future returns. Indicative Baskets represents 33 retail and consumer names as consistent with the CDS basket referenced above. Indicative basket constituents can be furnished upon request and are subject to change. The S&P Retail Seclect Industry Sector which is a broad measure or retailers is up 76% from its lows as of May 12, 2009.

2 Source: Bureau of Labor Statistics http://www.bls.gov/news.release/empsit.t12.htm . Data accessed May 11, 2009. Data last updated for April, 2009. Past performance is not indicative of future results.3 Source: Federal Reserve Board. http://www.federalreserve.gov/boarddocs/SnLoanSurvey/200905/chartdata.htm4 Source: Goldman Sachs. Data as of May 12, 2009. Past performance is not indicative of future returns.

Unemployment Measures

9.50%

16.50%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Jan-

94

Jan-

95

Jan-

96

Jan-

97

Jan-

98

Jan-

99

Jan-

00

Jan-

01

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

U-3 U-6 June 09

S&P Retail Select Index (Jan 1 2007 = 1) S&P 500 Index (Jan 1 2007 = 1)

Indicative Historical Equity Performance

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

1.1

1.2

Jan Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul

1Jan2007 24Jul2009

2007 2008 2009

69

Retail and Consumer CDS Trade Implementation

For Discussion Purposes Only. All options mentioned are OTC options.

Risks to these trades:Buying CDS: CDS Spreads may tighten exposing the investor to a lossBuying puts or put spreads: Investors who buy put options risk loss of the entire premium paid if the underlying security finishes above the strike price at expiration. Investors who buy put spreads (buy a put and sell

a further OTM put) also have a maximum loss of the upfront premium paid. The maximum gain from buying put spreads is the difference between the strike prices, less the upfront premium paid.Selling calls: Investors who sell covered calls (own the underlying security and sell a call) risk limiting their upside to the strike price plus the upfront premium received and may have their security called away if the security price exceeds the strike price of the short call. Additionally, the investor has full downside participation that is only partially offset by the

upfront premium taken in. Investors short naked calls (i.e. sold calls but don’t hold underlying security) risk unlimited losses of security price less strike price. Investors who sell naked call spreads (i.e. sell

a call and buy a farther out-

of-the-money call with no underlying security position) have a maximum loss of the difference between the long call strike and the short call strike, less the upfront premium taken in, if the underlying security finishes above the long call strike at expiration. The maximum gain is the upfront premium taken in, if the security finishes below the short call strike at expiration.

If you believe this thesis, then: Description

Buy CDS Protection on Retail and Consumer related CDS

Buy 5y or 7y CDS protection on retail and consumer names which may be poised to widen in an extended consumer slowdownThe investor may choose to buy protection on individual names or on a broad basket

Buy Put Spreads on the S&P Retail Select Index

Buy put spreads on the S&P Retail Select Index, a similar ETF, or a custom basket of equitiesIn addition to the put spread, the investor may choose to sell a call to defray the cost of the put spread, and thereby initiate a short position with no upfront premium outlay

If you believe this thesis, then:

70

0%5%

10%15%20%25%30%35%40%45%50%

A1

A2

A3

Baa

1

Baa

2

Baa

3

Ba1

Ba2

Ba3 B2

Caa

1

WR

0

50

100

150

200

250

300

350

400

450

500

1/2/20

074/2

/2007

7/2/20

0710

/2/20

071/2

/2008

4/2/20

087/2

/2008

10/2/

2008

1/2/20

094/2

/2009

Retail and Consumer CDS PortfolioIndicative Portfolio Characteristics1 Historical Indicative Mid Spread Average (bps)1

Moody’s Rating Distribution1 Moody’s Industry Distribution1

Portfolio Size [$5-20mm] on each name

Terms 5yr –

7yr (terminating 20 Sep 2014/2016)

Weighting Equal Weighted

Average Portfolio CDS Spread1 5yr [172]bps (tightened from 460 highs)

Premium Payment Frequency Quarterly (20th

of each Mar, Jun, Sep, Dec)

Confirmation Individual confirmation for each credit

Collateral Terms As per ISDA Master Agreement and Credit Support Annex

This material has been prepared for illustrative purposes only. The analysis or information provided is based on certain assumptions which may not be assumptions that Goldman Sachs normally employs. Past performance is not indicative of future results which may vary. Charts are intended only to facilitate discussion. Rating, industry and CDS spreads data are based on indicative portfolio of 33 names. Basket is subject to change. Constituents are available upon request1 Source: Goldman Sachs, indicative only as of July 24, 2009. Ratings/industry information are Moody’s ratings.

15.2%3.0%3.0%3.0%

6.1%6.1%6.1%

12.1%

6.1%39.4%

Beverage, Food and TobaccoBroadcasting and Entertainment

Cargo TransportGrocery

Home and Office Furnishings, HousewaresHotels, Motels, Inns and Gaming

Leisure, Amusement and EntertainmentPersonal, Food and Miscellaneous Services

Retail StoresTextiles and Leather

71

Retail and Consumer Equity

For clients wishing to express a short view on the retail sector via equities:

.SPSIRE is an equal-weighted index that draws constituents from the GICs sub-industries that contain companies involved in retail-related activities. Among these are mid- and small- cap names which may be more sensitive to the consumer slowdown.

(Indicative Only as of July 24, 2009)

Spot Ref: 1537.74

Trade 1

Buy a 1yr 90% / 75% Put Spread

Cost: 4.9%

Potential Gross Payout Ratio 3.06x

Trade 2

Buy a put spread collar with zero upfront premium

(Buy a put, sell a put, and sell a call to fund)

Jul 2010: Buy a 90%/75% Put Spread, Short the 121% Call

Jan 2010: Buy a 90%/75% Put Spread, Short the 113.5% Call

Oct 2009: Buy a 90%/75% Put Spread, Short the 108.5% Call

All options mentioned are OTC options

Indicative Historical Prices and Option Strike Prices1

For Discussion Purposes Only. 1 Source: Goldman Sachs. Data as of July 24, 2009. Indicative Only. Past performance is not indicative of future returns which may vary.

.SPSIRE - S&P Retail Select Index 90% Strike 75% Strike121.5% Strike (Jul 10) 113.5% Strike (Jan 10) 108.5% Strike (Oct 09)

700

800

900

1000

1100

1200

1300

1400

1500

1600

1700

1800

1900

Jan Apr Jul Oct Jan Apr Jul

1Jan2008 24Jul2009

2008 2009

72

I. State of the Markets

II. Tradable Themes

I.

US Commercial Real Estate

II.

Public Balance Sheet Conditions

III.

Japan

IV.

US Consumer and Retail

III. Other Market Opportunities

I.

Commodity Opportunities

II.

Event-Driven Market Neutral Investing

IV. Appendix

V. Legal Disclosures

Table of Contents

Commodity Opportunities

74

Y/Y Chg in Petroleum Inventory (bbl millions) Y/Y Chg in Oil Demand (bbl thousands, RHS)WTI Crude Nearby Price ($bbl)

-80

-60

-40

-20

0

20

40

60

80

100

120

140

160

-2250-2000-1750-1500-1250-1000-750-500-250025050075010001250

Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul

28Jul2004 28Jul2009

2004 2005 2006 2007 2008 2009

WTI Crude Prices May Decline Further in the Near Term Fundamental Weakness May Lead to Attractive Entry Point for the Long Term

Oil prices have risen since the lows in February1, but the market may continue to decline in the near term

The gains in commodity prices since mid-February may have been driven by growing optimism about the global financial outlook as well as production cuts1

However, oil demand has declined both year over year and sequentially, while inventories have continued to rise2,3

US oil demand has fallen to the lowest level since 1999 and US total oil inventories rose to record high levels for this time of year3

The near term supply / demand imbalance balance may indicate that oil price recovery is overdone and prices may be poised to decline as low as $45/bbl in the near term as excess supply becomes increasingly difficult and costly to store at high inventory levels4

Crude Oil Price and Y/Y Supply and Demand3Total Demand for Refined Products3

1 Source: Goldman Sachs Research. Commodity Watch “Expected near-term pullback provides good buying opportunity”. April 26, 2009 https://360.gs.com/gs/portal/?action=action.doc&d=7056346 2 Source: Goldman Sachs Research. Energy Weekly “Diesel needs to rebalance before the complex can go higher”. April 28, 2009. https://360.gs.com/gs/portal/?action=action.doc&d=7069035 3 Source: Goldman Sachs, US Dept of Energy. Data as of July 28, 2009. Demand for Refined Products is "Disposition - Products Supplied - Oil and Petroleum”4 Source: Goldman Sachs Research. Commodity Watch: “Bridging the gap between a weak today and a strong tomorrow”. May 8, 2008. https://360.gs.com/gs/portal/?action=action.doc&d=7139647 Note: For all notes above, Past performance is not indicative of future results.

Demand for Crude Oil and Petroleum Products (four week avg, thousands bbl / day)

18000

18500

19000

19500

20000

20500

21000

21500

22000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

28Jul1999 28Jul2009

75

In The Long Term, Commodity Prices May Increase Constraints in the Commodity Supply Chain, Combined with Growing

Demand

Structural supply constraints in the oil markets have been exacerbated by the economic downturn as oil companies choose to invest less, yet resurgent demand from developing countries could cause commodity prices to rise

Low oil prices and constrained credit conditions forced a decline in maintenance which may result in higher depletion rates on existing oil fields1

GS economic research estimates current global oil production capacity of ~88mmb/d, and current production of ~83.4mmb/d;2 This implies current capacity utilization of ~95%. The market was last at full capacity in the summer of 2008

“We would expect the annual excess returns to the S&P GSCITM commodity index to fall by 51.5% in 2009 before increasing by 67.1% in 2010 and 22.7% in 2011….While the magnitude of these returns may seem quite large, they are not without historical precedent”3

20

30

40

50

60

70

80

90

67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07

Global production capacity

Global output

20

30

40

50

60

70

80

90

67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07

Global Refining Capacity

World Petroleum Supply

World Petroleum Demand

Global Refining Capacity (MM B/D)4Global Oil Production and Capacity (MM B/D)4

1 Source: Goldman Sachs Research. “2009 Outlook: Pricing Supply Destruction”, December 11,2009. https://360.gs.com/gs/portal/home/?action=action.doc&d=6384255

p. 172 Source: GS Estimates, 83.4mmb/day production in March 20093 Source: GS Research: “Commodity Returns, The Next Five Years” https://360.gs.com/gs/portal/?st=1&action=action.binary&d=7056127&fn=/document.pdf, pp.7, 84 Source: International Energy Agency (IEA), DOE and GS Global ECS Research. 2008Note: For all notes above, Past performance is not indicative of future results.

76

ISM Purchasing Managers Index 50

0

10

20

30

40

50

60

70

80

90

100

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

1Jan2000 28Jul2009

Constructive on Oil In the Long-Term Higher Demand, Possible Inflation or a Weaker Dollar May Send Oil Prices Up

The anticipated pullback in short-term oil prices due to fundamental supply/demand weakness may present a compelling buying opportunity as oil supply constraints may remain tight even as demand picks up1

Despite continued economic contraction, the industrial cycle may be stabilizing which might bring higher WTI crude oil prices1

Chinese demand for oil shows an increasing trend while oil demand in the rest of the world and the US remains stagnant3; the Hedge Fund Strategy group believes that the prospect of continued growth in China may lend support to oil prices over the next several years

A long position in oil may also provide a hedge against inflation as the value of real assets may be expected to appreciate in an inflationary environment

Crude Oil Price and Y/Y Supply and Demand3ISM Purchasing Managers Index Shows Improvement4

Despite signaling a contraction in economic activity, the ISM manufacturing survey shows that the industrial cycle may be stabilizing

Above 50 implies Expansion

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

2001 2002 2003 2004 2005 2006 2007 2008

Total World United States China

(May 2001 = 1)

1 Source: Goldman Sachs Research. Commodity Watch: “Bridging the gap between a weak today and a strong tomorrow”. May 8, 2008. https://360.gs.com/gs/portal/?action=action.doc&d=71396472 Source: Goldman Sachs Research. Energy Weekly “It’s always darkest before the dawn”. May 5, 2009 https://360.gs.com/gs/portal/?action=action.doc&d=7111585 3 Source: IHS Global Insight. Data as of May 11, 20094 Source: Institute for Supply Management. Data as of May 11, 2009Note: For all notes above, Past performance is not indicative of future results. For Discussion Purposes Only.

77

Call Options on Long-Dated WTI Crude Implementation

To play longer-term bullish oil fundamentals at a discount, an investor may consider trades for 2010/2011 recovery which would capitalize on moderate prices through the remainder of 2009.

(Indicative only as of July 28, 2009)

Trade Idea # 1: Knock-In Call

100-strike call on Dec12 WTI Crude Oil (Forward ref. 81.98)

Knocks-In if 1st Nearby WTI Futures contract settles at or below $55/bbl between now and 17Nov2009 (spot ref 71.37)

Offer price $4.00/barrel (vanilla call option $8.75 savings of 67% )

Trade Idea # 2: Knock-Out Call

80-strike call on Dec11 WTI Crude Oil (Forward ref. 79.83)

Knocks-Out if 1st Nearby WTI Futures contract settles at or above $75/bbl between now and 16Dec2009 (spot ref 71.37)

Offer price $3.50/barrel (vanilla call option $7.00, savings of

)

Trade Idea # 3: Knock-Out Call

A slight variation to trade idea #1, this trade Knocks Out instead of Knocking In 100-strike call on Dec12 WTI Crude Oil (Forward ref. 81.98)

Knocks-Out if 1st Nearby WTI Futures contract settles at or above $80/bbl between now and 17Nov2009 (spot ref 71.37)

Offer price $3.70/barrel (vanilla call option $8.75, savings of

)

Steep Near-Term Contango in WTI1

Above: Steep near-term contango. The forward curve prices oil at mid-Feb almost $6 over spot, and oil at mid-Dec almost $7 over. This raises the implied probability of upward knock-out, and lowers the implied probability of downward knock-in, cheapening all three trades.

1 Source: Goldman Sachs. Data as of July 28, 2009. For Discussion Purposes Only.

NYMEX Light Sweet Crude Forward Curve

68

70

72

74

76

78

80

82

84

86

88

Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul

28Jul2009 28Jul2014

2009 2010 2011 2012 2013 2014

78

Bearish Refining Margins US Petroleum Stocks and Refining Capacity

US Refinery Capacity is at ~85%US Refinery Capacity is at ~85%

Both gasoline and distillate (heating oil) stocks are growing

Distillate stocks in particular are significantly higher than seasonal ranges

Crude Stocks are Higher Than Normal… ….As Are Distillate Stocks… …And Gasoline Stocks are Rising

1 Source: Energy Information Administration. http://www.eia.doe.gov/oil_gas/petroleum/data_publications/weekly_petroleum_status_report/wpsr.html. Data accessed July 28th, 2009

79

Short US Refinery Margins

While US Crude stocks have been dropping, US gasoline has begun to rise and heating oil stocks, starting in January have risen very significantly

At the same time there is plenty of slack in refining capacity: the upside for refining margins is not there

We believe that US petroleum products, in particular heating oil, has yet to adjust to the current economic environment, and that a downside adjustment is warranted, given in particular the growthin heating oil inventories

1 Source: Goldman Sachs. Pricing is Indicative Only as of July 28, 2009.

WTI 2:1:1 Crack (in USD/BBL)

2:1:1 WTI Crack

-202468

101214161820222426

Jan Jul Jan Jul Jan Jul Jan Jul

1Jan2006 28Jul2009

2006 2007 2008 2009

80

$0

$200

$400

$600

$800

$1,000

$1,200

Aug-04Feb-05Aug-05Feb-06Aug-06Feb-07Aug-07Feb-08Aug-08Feb-09

Sell the Aluminum Upside

Both aluminum and US steel prices, often substitutable, have more than halved over the past year, as demand has abated and inventories built

While China still imports plenty of copper, keeping its price elevated, China has built aluminum smelter capacity powered uneconomically by local generation. This may keep a cap on world aluminum prices for a long time to come

1 Source: Bloomberg. Data as of July 14, 2009. Past performance is not indicative of future returns2 Source: Goldman Sachs. Data as of July 14, 2009. Past performance is not indicative of future returns3 Source: Dow Jones US Hot-Rolled (HR) & Cold-Rolled (CR) Coils Index. Data as of July 14, 2009. Past performance is not indicative of future returns

US Steel Hot Rolled Price ($ / MT)3LME Aluminum Cash Price ($/MT)2

Aluminum Long Term Combined High and Low Grade Price (LHS) Stocks, London Metal Exchange, Aluminum (RHS)

120014001600180020002200240026002800300032003400

0

500000

1m

1.5m

2m

2.5m

3m

3.5m

4m

4.5m

Jan Jul Jan Jul Jan Jul Jan Jul

14Jul2005 14Jul2009

2005 2006 2007 2008 2009

China Aluminum Imports Not Rising1

81

Aluminum Volatility May Be Too High Sell Aluminum Calls

Today’s aluminum volatility is consistent with one fifth of current inventory levels

Conversely, with today’s price and inventories, on a historical basis, volatility should be about one half its current level

Implementation and Indicative Pricing:

With growing inventory and a China imposed cap, sell both price and volatility with a short call strategy:

Sell Calls 1,000 MT per month for CY’10 - CY’11 at a strike of 2,200 for $165 / MT

Alternatively, those who are more risk averse may prefer a put spread ratio:

1 x 2, 1800/1500 put ratio spread, either 2y or 3y. Cost is $50/mt for either 2y or 3y, starting 1/1/10 2

1 Source: Goldman Sachs. Data as of July 28, 2009. Past performance is not indicative of future returns2 Source: Goldman Sachs. Pricing is Indicative Only as of July 28, 2009.

LME Aluminum 1y ATMF Volatility –

15 years1

StrikePeriod

2,200 / MT 3,000 / MT

2y $165 / MT $50 / MT

3y $205 / MT $75 / MT

Indicative Call Pricing2

STOCKS, LONDON METAL EXCHANGE, ALUMINUM Aluminum 1y ATMF Vol

Vola

tility

(%)

LME InventoryMT

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

0 500000 1m 1.5m 2m 2.5m 3m 3.5m 4m 4.5m 5m

3m ALM Reference Price: $1825

82

Commodity Opportunities Implementation

If you believe this thesis, then: Description

Buy Long-Dated Oil Buy Knock-in or Knock-out Call options on oil to take a long-term constructive view and benefit from cost savings based on market expectation

Short the Crack Spread Short December Refinery CracksBuy two contracts of Crude Oil and Short one contract each of Gasoline and Heating Oil to take a bearish view on refining margins

Sell Caps on Aluminum or buy a Put Spread ratio

Sells call options on aluminum to capture high volatility and express the view that trading will be range-bound For a more risk-averse approach, buy a put option and sell two put options at a lower strike

If you believe this thesis, then:

For Discussion Purposes Only. All options mentioned are OTC options.

Risks to these trades:Buying puts or put spreads: Investors who buy put options risk loss of the entire premium paid if the underlying security finishes above the strike price at expiration. Investors who buy put spreads (buy a put and sell

a further OTM put) also have a maximum loss of the upfront premium paid. The maximum gain from buying put spreads is the difference between the strike prices, less the upfront premium paid.Selling calls: Investors who sell covered calls (own the underlying security and sell a call) risk limiting their upside to the strike price plus the upfront premium received and may have their security called away if the security price exceeds the strike price of the short call. Additionally, the investor has full downside participation that is only partially offset by the

upfront premium taken in. Investors short naked calls (i.e. sold calls but don’t hold underlying security) risk unlimited losses of security price less strike price. Investors who sell naked call spreads (i.e. sell

a call and buy a farther out-

of-the-money call with no underlying security position) have a maximum loss of the difference between the long call strike and the short call strike, less the upfront premium taken in, if the underlying security finishes above the long call strike at expiration. The maximum gain is the upfront premium taken in, if the security finishes below the short call strike at expiration.

Event-Driven Market Neutral Investing

84

Event-Driven Market Neutral Investing Alternatives for a Challenging Market Environment

Extreme market volatility has posed significant challenges to traditional investing and trading approaches

Market-neutral strategies around event-driven situations offer the potential for clients to generate attractive risk-adjusted returns with a low correlation to market movements

Opportunities exist in the following types of corporate events / structures:

Strategy DescriptionMerger / Risk Arbitrage Involves hedged purchases of target company shares trading at discounts to

acquisition value due to transaction and timing risk as well as cost of capital

Stubs / Holding Companies Corporate structures characterized by cross-holdings of publicly-listed securitiesTrading strategies generally seek to create synthetic positions in assets within a holding company or benefit from fluctuations in price to net asset value ratios

Spin-offs Creation of newly-listed entities via distribution of shares in a subsidiary to existing shareholdersOften give rise to technical trading patterns and inefficiencies that can be exploited using a variety of strategies

Dual Share Class Seeks to take advantage of movements in the relative valuation of high-vote and low-vote shares

For Discussion Purposes Only.

85

Event-Driven Market Neutral Investing Merger Arbitrage

Due to drawdowns, redemptions and fund closures, the pool of dedicated capital pursuing merger arbitrage opportunities has shrunk …

… and gross spreads for pending strategic transactions have widened considerably relative to historical comparable transactions

Illustrative Merger Arbitrage Spread Calculation2US Merger Gross Spreads – Then and Now…1

Historical Strategic Transaction Timeline3

For in-depth analyses of these situations and to discuss specific opportunities contact Goldman Sachs Hedge Fund Strategies

< 120 days Between 120 and 180 days > 180 days

48% 30% 21%

Acquirer stock price $20.00 A)Target stock price $42.00 B)Expected closing date 09/30/09 185Expected time to closing in years 0.51 C) #REF!Cash offered per Target share 30.00 D)Acquirer share offered per target share 0.7500 E)Deal price $45.00 F) = D + (E * A)Current gross spread $3.00 G)

Net spread calculationGross spread $3.00Dividend effect 0.12 Rebate earned on Acquirer short @ 1% 0.08 H) = E * A * C * 1%

$3.20 I)

Gross percentage return 7.6% J) = I / AAnnualized return as a % of Target price 15.0% = J / C

1 Source: Company reports, SEC filings, Goldman Sachs. List represents announced public pending transactions with a target market cap of greater than $3 billion2 Source: Goldman Sachs.3 Source: Company reports, Goldman Sachs. Distribution based on 66 strategic transactions (excluding Utility deals) completed since 6/1/07 with a target market cap greater than $3bn

4/10/2007BK MEL $30,804 1.4%CBSS BBV $9,336 2.8%FRK VMC $4,610 2.5%IFIN STT $3,976 1.8%LI FGP LN $3,103 3.0%NVL HNDL IN $3,325 1.0%KSE NG/ LN $7,321 4.1%RDN MTG $4,312 5.4%

Median 2.7%Average 2.8%

7/16/2009JAVA ORCL $7,078 3.6%PCZ SU $18,204 1.1%SGP MRK $43,194 3.9%WYE PFE $64,693 4.1%

Median 3.7%Average 3.2%

Gross Spread 2

Target Value ($mn)AcquirerTarget 1

86

Event-Driven Market Neutral Investing Stubs / Holding Companies

Stubs are a unique asset class that allow investors to isolate businesses within a company that do not trade publicly, or express a viewpoint on the value of a holding company relative to the price of its underlying assets

Stubs can be created from any public company with publicly-traded cross-holdings. Investors create long positions in a “stub”synthetically by purchasing shares in the parent company and selling short the appropriate ratios of shares in the publicly traded subsidiaries

Stubs can be traded in anticipation of a corporate action such as a spin-off, split-off, IPO or sale of non-public (stub) assets. Completion of the corporate action can result in significantly increased valuation of the stub as the parent company’s discount to its Net Asset Value (NAV) narrows

Example Stub / HoldCo Structure and Trade Implementation Selected US Stubs / Holding Companies1

1 Source: Bloomberg and Company Filings. Represents US stubs where stub value < 80% of parent value and parent market cap > $3 billion. Stub prices and market caps as of July 15, 2009

Holding Company (ABC) - 100mm shares outstanding @ $10.00/sh

Public Subsidiary #1 (XYZ) 50mm shares held by

ABC @ $5.00/sh

Public Subsidiary #2 (UVW) 25mm shares held by

ABC @ $4.00/sh

Net "Stub" or Non-Public Assets (Implied Market Value of $650mm or

$6.50 per ABC share)

To establish a position in the ABC HoldCo “stub” assets, investor would buy shares of ABC and hedge public holdings by selling short XYZ and UVWHedge ratios can be calculated by dividing subsidiary shares held by ABC by total shares of ABC outstandingIn this example, for each share of ABC purchased, investor would short 0.5 XYZ and 0.25 UVW to create ABC “stub” for $6.50

Parent StubAltria Group SAB Miller 27.4% 0.208 $12.31 73.1% 34,840 25,461

EMC Corp VMWare 83.3% 0.162 8.61 64.4% 26,894 17,327

BSkyB 39.1% 0.262 23,180 17,160Sky Network TV 43.6% 0.065Alibaba.com 39.0% 1.409 21,914 12,249Yahoo! Japan 34.8% 0.014

PNC Financial BlackRock Inc. 92.0% 0.094 21.91 56.4% 17,896 10,086

CNA Financial 90.1% 0.557 (1.54) -5.6% 11,959 (669)Boardwalk Pipeline 77.1% 0.315Diamond Offshore 50.4% 0.161

Liberty Entertainment

DirecTV Group 51.4% 1.000 1.75 6.6% 13,725 907

Consol Energy CNX Gas 81.7% 0.682 13.46 42.3% 5,744 2,431

Fortescue Metals 9.0% 1.166 4,865 2,298Jefferies Group 28.4% 0.204AmeriCredit Corp 24.8% 0.138Inmet Mining 10.0% 0.023Jupiter Telecom 57.5% 0.014 4,613 (169)Telenet Group 50.4% 0.201Austar United 54.8% 2.490

News Corp 6.56 74.0%

Liberty Global (0.61) -3.7%

Market Cap (mm)

Parent

Loews Corp.

Stub % of

Parent

% of Co.

OwnedStub Price

Stub RatioCross Holdings

9.64

Yahoo! Inc

Leucadia National Corp

8.78 55.9%

47.2%

87

Event-Driven Market Neutral Investing Spin-offs

Spin-offs involve the creation of newly-listed and / or fully-floated entities via distribution of shares in a subsidiary to existing shareholdersThe nature of these transactions frequently give rise to technical trading patterns and inefficiencies that can be exploited Factors such as forced selling by parent company shareholders and a lack of analyst coverage of the newly spun-off entity drive the inefficiencies

2009 US Spin-off Pipeline4

Historical Performance of Carve-Out IPOs Spun-off1 Historical Performance of 100% Spin-offs3

Historical Performance of ParentCo “Stubs” Around Carve-Spins2

1 Source: Bloomberg, Company press releases and Goldman Sachs. Data represents median relative performance (vs. relevant subsectors) of US carve-out IPOs subsequently spun-off 2001-2008 with market cap >$100 million at time of spin2 Source: Bloomberg, Company press releases and Goldman Sachs. Data represents median relative performance (vs. relevant subsectors) of US Parent Company “stubs” (excluding stakes in spun-off entities) from 1998-20083 Source: Bloomberg, Company press releases and Goldman Sachs. Median relative performance data for US 100% spin-offs > $500mm market cap at time of spin-off from 1995-20084 Source: Company filings, conference call transcripts and press releases

Carve-out IPOs tend to underperform in advance of the spin-off and immediately post-spin but outperform peers over the long-term

3 Months 2 Weeks 1 Week 1 Month 3 Months 1 Year

+11.0%

-11.5%

-2.0% -0.9%

+3.6%

Relative Performance of Carve-outs Subsequently Spun-off

Pre-Spin Post-Spin

-6.4%

100% spin-offs have historically underperformed in the weeks / months post-spin and tend to revert and outperform peers over longer time periods

1 Week 1 Month 2 Months 3 Months 6 Months 1 Year

-4.0%-2.6% -2.3%

-0.1%

Relative Performance of 100% Spin-Offs Post Ex-Date

+10.8%

+2.5%

“Stubs" (parent company ex-spinco) generally outperform peers and the broader market over various time periods that straddle the spin-off ex-date

2 Months 1 Month 2 Weeks 1 Week

Median Outperformance % +8.0% +6.0% +6.1% +5.7%% of Stubs Outperforming 79% 68% 77% 77%

Measured as Pre-Spin to Post-Spin Equal Time PeriodParent (Stub) Cumulative Relative Performance Around Spin-off Dates

Parent SpinCo Date Spin-off Type

Cardinal Health CareFusion (Clinical and Medical Products Business)

August 31, 2009 100% Spin-off

Liberty Entertainment Liberty Starz Group September 2009 (Est.)

Spin-Merge + Tracker Spin-off

Pride International Seahawk Drilling Q3 2009 100% Spin-off

Ocwen Financial Altisource Portfolio Solutions Q3 2009 100% Spin-off

Entergy Corp Enexus Energy Corp "Late 2009 / Early 2010"

100% Spin-off

Time Warner AOL "By Year End" 100% Spin-off

88

Event-Driven Market Neutral Investing Dual Share Class

Several US companies have dual share class structures where each class possesses different liquidity, voting and index membership attributes

Percentage spreads between share classes of a given company tend to fluctuate over time based on various market factors

These movements can be exploited by buying the undervalued class and shorting the overvalued class if one expects spread convergence or reversing the trade (buying overvalued / selling undervalued) to play for spread divergence / widening

Share class consolidations triggered by the expiration of post-spin-off / split off waiting periods can also provide trading opportunities

Selected US Dual Class Share Structures1

1 Source: Bloomberg and Company Filings. Price and spread data as of July 15, 2009

Market Cap More Less Avg. Trd Shares Short In As a TTM Avg.Company Name ($mm) Liquid Tkr Price Liquid Tkr Price Volume Out Interest Dollars % Spread % DifferenceCentral Garden $772 CENTA $10.71 CENT $11.89 1.1 2.5 0.4 (1.18) -11.0% -4.8% -6.3%Comcast 40,256 CMCSA 14.10 CMCSK 13.61 3.1 2.5 1.9 0.49 3.5% 3.7% -0.2%Chipotle 2,387 CMG 81.90 CMG/B 69.05 4.8 0.8 35.3 12.85 15.7% 11.2% 4.5%Discovery Comm 6,356 DISCA 23.57 DISCK 21.60 4.0 1.0 10.8 1.97 8.4% 5.4% 2.9%HEICO 865 HEI 37.90 HEI/A 30.05 4.4 0.7 18.7 7.85 20.7% 20.1% 0.6%Lennar 1,535 LEN 9.15 LEN/B 6.95 148.0 4.6 96.3 2.20 24.0% 22.6% 1.5%Liberty Global 4,594 LBTYA 16.74 LBTYK 16.66 4.9 1.0 2.8 0.08 0.5% 3.0% -2.6%Molex 2,722 MOLX 16.15 MOLXA 15.16 9.6 1.2 18.6 0.99 6.1% 8.2% -2.0%News Corp 1,818 NWSA 8.86 NWS 10.42 3.2 2.3 0.7 (1.56) -17.6% -8.1% -9.5%SunPower 2,158 SPWRA 23.69 SPWRB 20.65 4.0 1.3 8.6 3.04 12.8% 15.2% -2.4%Telephone & Data 3,004 TDS 28.00 TDS/S 25.80 4.3 1.0 28.9 2.20 7.9% 7.0% 0.8%Viacom 13,462 VIA/B 22.07 VIA 23.43 37.3 9.6 2.2 (1.36) -6.2% -5.8% -0.3%

Average 19.1x 2.4x 18.8x 5.4% 6.5% -1.1%Median 4.4 1.3 9.7 7.0% 6.2% -0.3%

Current SpreadMore Liquid / Less Liquid

89

I. State of the Markets

II. Tradable Themes

I.

US Commercial Real Estate

II.

Public Balance Sheet Conditions

III.

Japan

IV.

US Consumer and Retail

III. Other Market Opportunities

I.

Commodity Opportunities

II.

Event-Driven Market Neutral Investing

IV. Appendix

V. Legal Disclosures

Table of Contents

90

0%

5%

10%

15%

20%

25%

30%

35%

40%

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

CMB

S C

apita

l Stru

ctur

e

AA Subordination (%) 26.8 27.2 24.6 23.4 21.5 18.7 17.9 16.6 14.7 12.2 10.1 10.0 9.5AA Thickness (%) 6.7 6.0 6.2 5.4 5.2 4.1 3.8 4.3 5.0 4.1 3.1 2.6 2.5

A Subordination (%) 21.2 20.6 18.3 17.8 16.7 14.5 13.9 12.4 10.3 8.4 7.2 7.4 7.2A Thickness (%) 5.6 6.6 6.3 5.6 4.8 4.2 4.0 4.2 4.4 3.8 2.9 2.6 2.3

AAA & Super SeniorAAABBBBBEquity

CMBS Capital Structure Evolution2

Appendix

Over the past decade, both mezzanine subordination level and tranche thickness have consistently decreased (decreasing credit enhancement and increasing leverage)

Between 1995 and 20071:●

AA-rated subordination declined from 26.8% to 9.5% while tranche thickness decreased from 6.7% to 2.5%●

A-rated subordination declined from 21.2% to 7.2% while tranche thickness decreased from 5.6% to 2.3%

1 Please note that this data is for 1995-2007 only. Past performance is not indicative of future results.2 Source: Goldman Sachs analysis and Commercial Mortgage Alert.

91

Appendix

1 Source: Trepp, LLC. Stratifications for CMBX vintages are indicative only. Data as of July 21, 2009

CMBX1 CMBX2 CBMX3 CMBX4 CMBX5

Tranche Subordination (%)AAA 29.76 29.88 29.88 29.88 29.76AJ 12.50 12.20 11.42 12.33 12.70AA 10.45 10.15 9.46 10.23 10.63A 7.71 7.60 7.14 7.77 8.00BBB 4.49 4.29 3.91 4.44 4.72BBB- 3.32 3.15 2.77 3.36 3.68BB 2.40 2.15 2.50 2.69

Tranche Width (%)AAA 70.24 70.12 70.12 70.12 70.24AJ 7.26 7.68 8.46 7.55 7.06AA 1.65 1.85 1.65 1.43 1.18A 1.46 1.40 1.21 0.98 0.91BBB 1.01 1.09 1.05 1.11 1.07BBB- 1.16 1.14 1.14 1.07 1.04BB 0.34 0.30 0.31 0.38

CMSA Property Type (Balance %)MultiFamily 15.30 13.16 17.07 16.89 11.82Co-op Housing 0.54 0.59 0.32 0.06 0.06Retail 30.78 31.86 28.89 27.08 33.81Office 32.33 32.38 30.62 31.58 25.86Lodging 8.80 10.44 8.61 11.54 12.63Industrial 3.78 5.52 6.39 5.28 6.45Warehouse 0.00 0.00 0.00 0.00 0.00Health Care 0.00 0.05 0.59 0.45 0.20Mobile Home 2.06 1.08 1.16 1.76 1.98Self Storage 3.35 1.75 1.69 1.90 1.98Mixed Use 1.56 1.86 3.57 2.93 3.70Other 1.50 1.29 1.10 0.53 1.50N/A 0.00 0.00 0.00 0.00 0.00

92

LTV (Balance %)1 Occupancy (Balance %)

DSCR (Balance %)2 Delinquency Status (Balance %)

Appendix

Source: Trepp, LLC. Stratifications for all CMBX vintages indicative only. Data as of July 21, 2009. 1 LTV's are calculated using appraisals that were performed at loan origination in most instances2 DSCRs are updated as of latest monthly data where available

CMBX1 CMBX2 CBMX3 CMBX4 CMBX5

LTV (Balance %)¹Up to 49.9 9.83 9.37 9.64 6.04 8.1750.0 - 54.9 4.33 2.94 5.24 2.38 4.3855.0 - 59.9 7.11 5.66 5.56 3.79 6.1460.0 - 64.9 9.92 10.16 8.11 12.18 11.0965.0 - 69.9 12.84 14.74 13.11 15.79 19.2570.0 - 74.9 20.43 23.67 19.55 19.07 23.0475.0 - 79.9 34.55 32.07 35.79 37.45 25.7180.0 - 84.9 0.92 1.12 2.30 2.80 1.8085.0 - 89.9 0.08 0.16 0.65 0.42 0.3790.0 - 94.9 0.00 0.11 0.05 0.06 0.0395.0 - 99.9 0.00 0.00 0.00 0.00 0.00100.0 and up 0.00 0.00 0.00 0.02 0.02

CMBX1 CMBX2 CBMX3 CMBX4 CMBX5

Occupancy (Balance %)Up to 50 0.71 1.37 0.94 0.99 1.3050 - 54.9 0.50 0.87 0.68 0.58 0.6755 - 59.9 1.07 1.35 1.21 0.92 1.0560 - 64.9 1.66 1.46 2.08 2.44 2.7365 - 69.9 3.58 3.16 3.24 3.10 5.2370 - 74.9 4.43 4.73 4.04 6.35 5.3975 - 79.9 5.34 4.26 5.57 5.37 5.3680 - 84.9 6.89 6.67 8.10 6.65 7.2485 - 89.9 12.35 11.41 13.37 12.86 8.6690 - 94.9 21.50 21.22 20.02 19.95 17.7795 - 99.9 41.98 43.50 40.74 40.79 44.60100 and up 0.00 0.00 0.00 0.00 0.00

CMBX1 CMBX2 CBMX3 CMBX4 CMBX5

DSCR (Balance %)²Up to 0.89 0.00 0.00 0.00 0.04 0.000.90 - 0.99 0.00 0.00 0.99 0.58 0.491.00 - 1.09 0.39 3.64 2.34 5.64 6.921.10 - 1.19 7.24 17.31 16.89 22.64 25.271.20 - 1.29 26.41 31.08 25.55 27.01 23.381.30 - 1.39 14.45 14.08 17.24 16.18 15.291.40 - 1.49 11.39 10.03 12.42 9.88 11.131.50 - 1.59 9.57 7.31 5.78 6.14 4.691.60 - 1.69 6.40 3.23 3.20 2.53 2.701.70 - 1.79 4.68 3.07 2.80 2.35 2.481.80 - 1.89 3.74 2.91 2.70 1.76 2.091.89 - 1.99 2.60 2.32 2.18 0.90 2.332.00 and up 13.12 5.00 7.91 4.35 3.24

CMBX1 CMBX2 CBMX3 CMBX4 CMBX5

Delinquency Status 30 Days 1.20 0.70 1.85 0.72 0.5860 Days 0.69 0.81 0.14 0.64 0.9690+ Days 1.27 2.56 2.62 2.40 2.32< 1 Month 4.99 4.36 3.24 6.00 3.76Current 83.66 85.11 85.26 86.78 87.38Foreclosure 0.00 0.00 0.00 0.00 0.00Grace Period 7.97 6.46 6.89 3.50 5.02NonPerf Mat Balloon 0.04 0.00 0.00 0.00 0.00Perf Mat Balloon 0.05 0.00 0.00 0.00 0.00REO 0.00 0.00 0.00 0.00 0.00

93

I. State of the Markets

II. Tradable Themes

I.

US Commercial Real Estate

II.

Public Balance Sheet Conditions

III.

Japan

IV.

US Consumer and Retail

III. Other Market Opportunities

I.

Commodity Opportunities

II.

Event-Driven Market Neutral Investing

IV. Appendix

V. Legal Disclosures

Table of Contents

94

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Residential Property Index SM and RPX SM are service marks of Radar Logic Incorporated ("Radar Logic") and have been licensed for use for certain purposes by The Goldman Sachs Group, Inc. and its affiliates ("Goldman Sachs"). Radar Logic does not make any, and disclaims all, representations and warranties regarding the underlying third party data on which the Residential Property Index SM and RPX SM are based. Goldman Sachs' products based on the Residential Property Index SM and RPX SM are not sponsored, endorsed, sold or promoted by Radar Logic, and Radar Logic makes no representation regarding the advisability of investing in such products.

"NCREIF" and “NPI" are service marks of the National Council of Real Estate Investment Fiduciaries and have been licensed for use for certain purposes by Goldman Sachs. Goldman's derivatives based on the NCREIF indices, are not sponsored, endorsed, sold or promoted by the National Council of Real Estate Investment Fiduciaries, and the National Council of Real Estate Investment Fiduciaries makes no representation regarding the advisability of investing in such product(s).

Markit CDXSM is a service mark of Markit Group Limited or its affiliates (collectively, “Markit”). The Markit CDXSM Index referenced herein is/are the property of Markit and is used under license. The information contained herein is not sponsored, endorsed, or promoted by Markit or any of its members.

DJ Euro Stoxx - The Dow Jones Euro STOXX 50® is the intellectual property of (including registered trademarks) Stoxx Limited, Zurich, Switzerland and/or Dow Jones & Company, Inc., a Delaware corporation, New York, USA, (the "Licensors"), which is used under license. The information contained herein in no way sponsored, endorsed, sold or promoted by the Licensors and neither of the Licensors shall have any liability with respect thereto.

S&P 500 - “Standard & Poor’s®”, “S&P®”, Standard & Poor’s 500®and “S&P 500®” are trademarks of The McGraw-Hill Companies, Inc. This information contained herein is not sponsored, endorsed, sold or promoted by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. (“S&P”). Some information is used with permission from sandp.com, a Web Site Standard & Poor's.

ABX and ABX.HE are service marks of CDS IndexCo LLC and have been licensed for use by Goldman, Sachs & Co. The transactions described herein are not sponsored, endorsed, or promoted by CDS IndexCo LLC or any of its members, other than Goldman, Sachs & Co.

ABX, ABX.HE and CMBX are service marks of Markit Group Limited or its affiliates (collectively, “Markit”) and have been licensed for use by The Goldman Sachs Group, Inc. and its affiliates. The ABX, ABX.HE and CMBX referenced herein are the property of Markit and is used under license. This notice update is not sponsored, endorsed, or promoted by Markit or any of its members.

Legal Disclosures – Please Read

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Hedge Fund Strategies Group Contact Information

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Alan Brazil

alan.brazil@gs.com (212) 902-4822

Richard Barnett

richard.barnett@gs.com (212) 902-9108

Patrick Boulva

patrick.boulva@gs.com (212) 902-8735

Sheree Chiou

sheree.chiou@gs.com (212) 902-3812

Isaac Dayan

isaac.dayan@gs.com (212) 934-2805

Anthony Nardi

anthony.nardi@gs.com (212) 357-6544

Jethro Sorra

jethro.sorra@gs.com (212) 902-1730

Tom Stelmach thomas.stelmach@gs.com (212) 357-1595

Jeff Ziglar

jeffrey.ziglar@gs.com (212) 357-8231

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