Goldman Sachs Asia High Yield Bond Portfolio

Goldman Sachs Asia High Yield Bond Portfolio

October 2021

For use of professional investors - Not for distribution to the general public. This is a marketing communication. Please refer to the prospectus of the Fund before making any final investment decisions

FOR INSTITUTIONAL OR FINANCIAL INTERMEDIARIES USE ONLY ? NOT FOR USE AND/OR DISTRIBUTION TO THE GENERAL PUBLIC

Table of Contents

I. Why Invest in Asia High Yield? II. GSAM Approach to Asia High Yield III. GSAM Asia High Yield Strategy Performance IV. GS Asia High Yield Portfolio Performance V. GS Asia High Yield Bond Portfolio Positioning Appendix

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I. Why Invest in Asia High Yield?

FOR INSTITUTIONAL OR FINANCIAL INTERMEDIARIES USE ONLY ? NOT FOR USE AND/OR DISTRIBUTION TO THE GENERAL PUBLIC

Significant Asia Credit Market Growth

Provides Opportunities for Investment and Active Management

Strong Asia Market Growth

JPM Asia Credit Index (IG and HY) size: $1,285 bn

Asia HY - Diversified Opportunity Set

1,400

1,200

US$ 275 bn USD bonds outstanding

1,000

Over 263 issuers

800

600

Asia IG: $1,010 bn

400

16 countries

Rich landscape for active management

200

Asia HY: $275bn

0 2006 2008 2010 2012 2014 2016 2018 2020

As of September 30, 2021. Sources: GSAM, JPMorgan. Market Size represented by JP Morgan JACI Indices. For illustrative purposes only.

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Stand-out income and total return potential...

....In what is still a low yield world

Highest Income potential

Compelling forward looking potential

Yield (%)

10

9.4

9 8 7

6 5 4

3 2 1

0

Asia HY Corp

5.2

EMD HY Corp

Ann. Vol (5 yr, %)

9.5%

9.2%

Average Credit Rating

BB-

BB-

Duration (yrs.)

3.11

3.33

Rates Breakeven (bps) 304

157

Yield / Volatility 2021 Default Forecast1

1.05 9.0%

0.62 2.4%

4.7

EMD External

8.9% BB+ 8.02 59 0.60

4.2

US HY Corp 7.3%

B+ 4.21 100 0.62 0.8%

3.6

EMD Corp 6.6% BBB4.52

79 061

3.2 2.5

1.4

Asia Credit

5.0% BBB+ 5.32

60 0.67

Asian

US

Equities Equities

15.6% 14.9%

Source: GSAM, Bloomberg, J.P.Morgan. As October 8, 2021. Default Forecasts based on JP Morgan research reports. Average Return and volatility as of December 31, 2020, updated quarterly. Asia Credit is represented by the JPM JACI Diversified Index, EMD External is represented by the JPM EMBI Global Diversified Index, EM Corporate is represented by the JPM CEMBI Broad Diversified Index, US HY Corporate is represented by the ICE BofAML US High Yield BB Constrained Index, EMD HY Corporate is represented by the JPM CEMBI Broad Diversified High Yield Index, Asia HY Corporate is represented by ICE BofAML Asian Dollar High Yield Corporate Constrained Index, US Equities represented by the SPXT Index, Asian Equities represented by the MSCI AC Asia Pacific ex Japan Index, *Yields represent Aggregate Dividend Yield for Equity indices. Past performance does not guarantee future results, which may vary.1 As of 8th September 2021.

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