afp_sept 2015_v3

Changing Dynamics in the Corporate Liquidity Landscape

September 17, 2015

NOT FOR DISTRIBUTION TO THE GENERAL PUBLIC

Scott Gilbert: Senior Portfolio Manager, Goldman Sachs Asset Management

Synthia Seefried: Senior Cash Manager, Kimberly-Clark Corporation

Matt Roush: CTP, Manager, Cash & Treasury Operations, HollyFrontier Corporation

Goldman Sachs Asset Management

Matt RoushManager, Cash & Treasury Operations, HollyFrontier Corporation

Matt Roush is Manager, Cash & Treasury Operations at HollyFrontier Corporation. He has worked in various Treasury and Credit roles within the company since 2010. Prior to joining HollyFrontier, Matt served in various Credit roles at both Leggett & Platt, Inc. in Carthage Missouri and Love’s Travel Stops and Country Stores headquartered in Oklahoma City.

Matt earned his Certified Treasury Professional (CTP) credential in January 2015. He graduated from Missouri Southern State University with a BSBA and earned his MBA degree from Missouri State University in Springfield, Missouri. He has been active with the Dallas Association for Financial Professionals since 2013 where he currently serves on the Board. Matt is based at HollyFrontier’s corporate office located in Dallas, TX.

BIOGRAPHIES

1

Synthia Seefried

Synthia SeefriedSenior Cash Manager, Kimberly-Clark Corporation Synthia Seefried is the Senior Cash Manager at Kimberly-Clark Corporation in Irving, TX. Synthia joined Kimberly-Clark’s Treasury team in 2004 and began working with the cash management team in 2006. She has been in her current role since 2009. Synthia graduated from Criswell College in Dallas in 2000 and earned her Certified Treasury Professional credential in December 2008. She is active with the Dallas Association for Financial Professionals where she currently serves on the Board. She and her husband live in Dallas.

• $20 billion global company founded in 1872

• Products used by one-quarter of world’s population

• Products sold in more than 175 countries

• #1 or #2 position in 80 countries

• Strong global brands, including five billion-dollar brands:

2

Company Overview:-Headquartered in Dallas, Texas with operations throughout the Mid-Continental, Southwest, and Rocky Mountain Regions

-One of the largest independent petroleum refiners in the United States

-Through its subsidiaries, operates five complex refineries with 443,000 barrels per day of crude oil processing capacity

-Subsidiaries produce and market gasoline, diesel, jet fuel, asphalt, heavy products, and specialty lubricant products

-Owns a 39% interest in Holly Energy Partners, L.P. (NYSE: HEP), which includes the 2% general partner interest

YE 2014 Financial Highlights-Sales and other revenues: $19.8 billion

-Cash and marketable securities: $1.04 billion

-Net Income attributed to HFC Stockholders: $281 million

-Total Assets: $9.2 billion

-HFC Stockholder Equity: $5.5 billion

-Employees: 2,686

3

5

Table of Contents

I. What to Expect Over the Next 18 Months

II. Macro Themes

III. Creating a Game Plan

IV. New Products in a New World

V. Appendix

I. What to Expect Over the Next 18 Months

Regulation in 2015 and BeyondRegulatory changes impacting short-term debt markets

Source: GSAM. As of September 2015

2017 20192018201620152014

Basel Committee On Banking Supervision (BCBS) Basel III implementation guidelines:

Capital Requirements Minimum Tier 1 Capital Standard

EURO MMF Reform Proposed

Money Market Fund Regulation Bank Regulation

Supplementary Leverage Ratio

(US)US MMF Reform Implementation

Liquidity Coverage Ratio

(US)

Binding Standards

Leverage Ratio Banks begin public reporting Binding Minimum Standard

Liquidity Coverage Ratio 60% 70% 80% 90% 100%

Net Stable Funding Ratio Binding Minimum Standard

What to Expect Over the Next 18 Months 6

8

Regulation may influence Supply & Demand Technicals

Leverage regulations will likely constrain the size and growth of financial institutions balance sheets leading to lower funding needs.

The demand for short dated assets we believe will continue to be strong given improving corporate balance sheets, and the regulatory requirements for minimum levels of liquidity

Liquidity Coverage Requirements may increase the demand for high quality assets and reduce demand for short-term funding.

We believe regulation will impact the funding profile of financial institutions which will shift the supply function. The Net Stability Funding Ratio seeks to establish a minimum acceptable level of stable funding based on the liability profile of the institution.

Regulation

For illustrative purposes only. The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this presentation. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

Supply

Demand Liquidity

Leverage

What to Expect Over the Next 18 Months

Basel III ImplementationLeverage Ratio - Impact To Banks and Investors

Source: Basel Committee on Banking Supervision (BCBS) 2014, EU Commission & US Securities & Exchange Commission1 Also encompasses Global Systemically Important Banks (GSIBs), a term referred to by EU and US regulators

Incr

ease

d de

man

d fo

r ban

ks’ b

alan

ce

shee

tC

onstrained bank leverage

Impact To Liquidity InvestorsImpact To Financial Institutions

A measure to limit the risk of banks employing excessive leverage

2015 2016 2017 2018

EU Capital Requirements Directives “CRD” Deadline Parallel run and reporting

periodPillar 1

US Deadline Parallel run and reporting period

Pillar 1

Leverage Ratio

• The Leverage Ratio encourages banks to maintain an efficient balance sheet. This could potentially include the reduction of otherwise desirable, but lower- yielding business such as repo and secured financing.

• Raising Tier 1 Capital may dilute existing shareholder holdings (common equity issuance).

• A number of home state regulators are adding supplementary leverage ratios, most notably in the US and Europe, above the Basel minimum.

• Global Systemically Important Financial Institutions (GSIFI1s), identified by home state regulators, typically have much higher ratios and shorter implementation times to adhere to.

• Reduced bank balance sheet availability for investors. This is not limited to deposits and includes all on- and off-balance sheet transactions.

• The value of an investor’s combined business to a bank will decide how much balance sheet they will be able to access.

If a bank wishes to enlarge its balance sheet,it must increase its Tier 1 Capital

The value of an investor’s combined business to a bank will decide how much balance sheet they will be able to access.

What to Expect Over the Next 18 Months 8

10

Trading Inventory will continue to be right sized.

Source: Company data, SNL Financial, Goldman Sachs Global Investment Research.


Fixed Income Currency and Commodities trading assets have declined meaningfully across the board…

…But banks are concentrating in what they do best (and exiting what they do worst)

11

Corporate Balance Sheet GrowthDecember 2007 through December 2014

Annual Growth of Non-Financial Corporate Cash Balances (S&P 500)

Change by Industry Group (S&P 500)

Source: GSAM, Bloomberg. As of December 31, 2014.

0200400600800

1,0001,2001,4001,6001,800

2007 2008 2009 2010 2011 2012 2013 2014

Bill

ions

($)

Consumer Disc. Consumer Staples Energy & Utilities Health Care Industrials Technology Materials Telecomm

$67 $50$22

$177

$118

$475

$21 $150

100

200

300

400

500

Consumer Disc. Consumer Staples Energy & Utilities Health Care Industrials Technology Materials Telecomm

Bill

ions

($)


12

Fixed Income Market LiquidityStricter bank regulation has reduced liquidity in fixed income markets, while bond funds offering daily liquidity have grown.


Source: Deutsche Bank, Federal Reserve. As of April 2015

Dealers play a much smaller role in today’s bond market… …while daily liquidity vehicles have grown sharply

Source: Bloomberg, ICI. As of April 2015

Source: Deutsche Bank, TRACE. As of April 2015

…as corporate credit has always been relatively illiquid

Source: Bloomberg, Citigroup, Federal Reserve. As of May 27, 2015

Government bonds have seen the biggest change…

'03 '05 '07 '09 '11 '13 '150.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Bond ETFs

Bond and Income Mutual Funds

$, trillions

'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15$0

$50

$100

$150

$200

$250

$0

$1

$2

$3

$4

$5

$6

Primary dealer non-Treasury holdings (left)Corporate bonds outstanding (right)

Billions Trillions

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

5

10

15

20 Treasury Trading Volume

(12-month average daily volume as % of market size)

Treasuries (including Fed holdings)Treasuries (excluding Fed holdings)

%

'06 '07 '08 '09 '10 '11 '12 '13 '14 '150.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4Credit Trading Volume

(12-month average daily volume as % of market size)

High Yield Investment Grade

%

II. Macro Themes

14

Macro Themes

Economic and policy divergence back in focus

– Growth in the US and UK again appears to be diverging from the Eurozone after a period of convergence

– As a result, markets are increasingly focused on incoming data as a guide to when the Fed and Bank of England may raise rates

The Fed remains on track to raise rates this year; BoE rate hikes may come in 2016– The US is nearing the Fed’s estimate of full employment and the Fed appears on track to raise rates this year

– Tighter financial conditions and sluggish wage growth may persuade the Fed to wait until December

– Stronger wage gains may be leading the Bank of England to consider a rate hike but we do not expect a move until 2016

Eurozone growth may have peaked; ECB QE likely to continue until September 2016 or later– Eurozone growth surprised to the upside early in 2015 but appears to have lost some momentum

– We believe inflation will undershoot ECB expectations, leading the ECB to continue QE through at least September 2016

China slowdown is leading to divergence between EM and DM countries– China’s economy appears to be slowing, creating downside risks for EM and DM economies geared to China

– Slower Chinese growth may have limited impact on the US unless market volatility spills over into the global financial system

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

Macro Themes

15

Tighter US Financial Conditions May Keep the Fed CautiousFed officials continue to indicate a rate hike is likely this year, but limited inflation pressure and tighter financial conditions may delay the first hike until December.

Macro Themes

Source: Bloomberg, Barclays US Corporate Index, as of July 2015

US financial conditions have tightened… …driven by US dollar strength

Source: Bloomberg. As of Aug. 3, 2015.

Source: Bloomberg. As of Aug. 3, 2015.

…and the rebound in US long-term interest rates

Source: Bloomberg. Goldman Sachs Financial Conditions Index. As of July 2015

…wider corporate credit spreads

'13 '14 '1598.5

99.0

99.5

100.0

100.5

101.0Financial Conditions IndexFinancial Conditions Index including oil

Index

Tighter

'13 '14 '1570

75

80

85

90

95

100 US Dollar Index

Index

'13 '14 '1580

90

100

110

120

130

140

150

160US Investment Grade Credit Spreads

Basis points

'13 '14 '151.5

2.0

2.5

3.0 US 10-Year Yield%

16

China Appears to be SlowingAlthough GDP data suggest China continues to grow at the government’s 7% target, a number of indicators suggest the possibility of a deeper slowdown

Macro Themes

Source: Bloomberg, As of June 2015.

Manufacturing purchasing managers index… …electricity consumption

Source: Bloomberg. As of June 2015


…and rail traffic

Source: Bloomberg, As of July 2015

…cement output

'10 '11 '12 '13 '14 '15-30

-20

-10

0

10

20

30

40Cement Output

% yoy

'13 '14 '15-10

-5

0

5

10

15 Electricity Consumption

% yoy

'13 '14 '15-15

-10

-5

0

5

10 Rail Cargo Volume

% yoy

'13 '14 '1547

48

49

50

51

52

53 Caixin Manufacturing PMI

Official Manufacturing PMI

Index

17

Residential Real Estate MetricsDespite Mixed Headlines, Underlying Trends are Positive

Existing home sales rebounded in 2011-mid 2013; despite tight inventories, sales of existing homes remains strong

New home sales have moved steadily higher, although short-term volatility in the series is notable

Source: GSAM, Bloomberg, US Census Bureau, NAHB. Existing home sales and new home sales as of May 31, 2015; new housing starts as of June 30, 2015; homebuilder sentiment as of July 2015.

New housing starts are typically volatile, although the four-year trend has seen an additional 600,000 units per year of housing construction

Homebuilder sentiment has remained above 50 (neutral) since July 2014

2011 2012 2013 2014 20154.0

4.2

4.4

4.6

4.8

5.0

5.2

5.4

5.6

Ann

ualiz

ed (S

A, M

illio

n)

2011 2012 2013 2014 2015400.0

500.0

600.0

700.0

800.0

900.0

1,000.0

1,100.0

1,200.0

1,300.0

Ann

ualiz

ed (S

A, M

illio

n)

2011 2012 2013 2014 2015200.0

250.0

300.0

350.0

400.0

450.0

500.0

550.0

Ann

ualiz

ed (S

A, M

illio

n)

2011 2012 2013 2014 20150

10

20

30

40

50

60

70

Sent

imen

t Ind

ex

Macro Themes

18Macro Themes

As Fed Nears Liftoff, Data Will Drive Policy and Market RatesFed policy rate forecasts are now more in line with the market. We believe the incoming data will drive the timing of the first rate hike and the direction of market rates.

Source: Bloomberg. As of June 17, 2015. The economic and market forecasts presented herein are for informational purposes as of the date of this presentation. There can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation. Market long-term estimate based on 30-year bond yield and five-year, five-year forward interest rate swaps.

0

1

2

3

4

5

Longer Term

Market (Overnight Index Swaps)Dec-14 MedianMar-15 MedianJun-15 MedianLonger Term Barrier Dash

19

Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-151.5

2.0

2.5

3.0

%

Fixed Income Markets More Prone to Liquidity-Driven VolatilityReduced liquidity has left markets more prone to episodes of price volatility that can create risk but also create potential opportunity for longer-term investors.

Macro Themes


10-Year US Treasury Yields 10-Year German Bund Yields


Source: Bloomberg, As of June 2015

US High Yield Spreads


Emerging Market Local Debt Yields

'13 '14 '155.0

5.5

6.0

6.5

7.0

7.5%

Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-150.0

0.5

1.0

1.5

2.0%

'13 '14 '15300

350

400

450

500

550

600Basis Points

III. Creating a Game Plan

21

Identifying Liquidity Characteristics

Source: GSAM. For illustrative purposes only. There is no guarantee that these objectives will be met.

Cash Flow Patterns and Investment Horizon

Time

Dai

ly C

ash

Bal

ance

Primary Liquidity Daily Liquidity On-Demand Liquidity

Secondary Liquidity Tertiary Liquidity

Investment horizon 0-6 months Less than 12 months 12 months or longer Indefinite

Cash flow volatility Very High High Low Very Low

Objective Preservation of capital and immediate liquidity

Preservation of capital and liquidity

Enhanced return and preservation of capital

Greater emphasis onmaximising return potential

Strategy Traditional Money Market Funds

Prime MMFs/Ultrashort Duration Funds Short Duration Broad Fixed Income

Distinguish between true “daily liquidity” (transactional cash on a day-to-day basis), versus “on-demand” liquidity, where liquidity is necessary at a particular time but perhaps not every day

Creating a Game Plan

22

Current Market EnvironmentThe Risk / Return Tradeoff in Liquidity Investing

As investors balance the desire for principal stability, liquidity, and yield, it is important to remember that typically the market only allows for two goals at any one time, at the give-up of the third goal

In today’s market environment in particular, where absolute rate levels in the shortest-maturity, highest-quality investments in the Europe and the U.S. are so close to zero, incremental yield involves stability and liquidity risk

Situation

No tolerance for any price fluctuation or principal loss

Immediate or unpredictable liquidity needs

Tradeoff

Limit yield opportunity

Desire for return of initial investment at end of prescribed period, without liquidity need in the interim

Lock up liquidity expressly or risk price loss if need liquidity (e.g., sell at a loss)

Desire for return with ability to redeem on demand or with flexible timeline

No price stability and possibility of loss relative to initial investment

Source: GSAM. For illustrative purposes only. There is no guarantee that these objectives will be met

Stability

LiquidityYield

Stability

Liquidity

Stability

Yield

Yield Liquidity


23

Managing Corporate Liquidity

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

Evolution of managing corporate liquidity

Introduction Growth Maturity Decline

Liqu

idity

Liquidity a key focus

Cash & Cash Equivalents

Securitized Risk

Duration Extension

Credit Risk

Higher beta strategies

As balance sheet liquidity has increased, public and private companies have moved past accounting and regulatory concerns and have sought strategies to diversify their portfolio risks.


IV. New Products in a New World

2525

Market Environment Presents New ChallengesRegulation and central bank action pose threats

• Persistent low and even negative rates make liquidity investing more challenging than ever.

• Investors will need to evaluate their investment objectives of principal preservation, liquidity and yield as the historical approach to managing liquidity may no longer work.

Zero interest rate policies make achieving income goals difficult

• New bank regulations are changing financing dynamics and potentially impact fixed income liquidity

• Changes may continue to impact bank balance sheet availabilityBank Regulatory Reform

• Cash investors will have to re-evaluate options in light of new MMF requirements.

• Changes throw the “default option” of cash into chaos at the same time as market disruption

Money Market Fund Regulatory Reform

Source: GSAM.

New Products in a New World

26

Clients need to assess their readiness and prepare for the new environment.

Source: GSAM .For Illustrative purposes only.

• Short term funding is being deemphasized with the adoption of Basel III bank regulation. This potentially has implications for bank balance sheet capacity.

• The availability of investment products traditionally used by liquidity investors will change and investors need to prepare for change.

• Products that provide optimal liquidity characteristics will play an important role in investment portfolios.

Bonds Funds & ETFs

Separately Managed Accounts

Bank Solutions

The optimal asset allocation considers, principal protection, liquidity and yield enhancement, counterparty risk, and

diversification

Repo

Money Market

Securities


Money Market Funds

Global Investment Policy

• All non-U.S. subsidiaries and affiliates’ strategic cash is invested with our IHB

• Operational cash investments of Kimberly-Clark Corporation and all subsidiaries/affiliates must be denominated in the functional currency of the investing entity and be invested in high grade short-term instruments which are subject to a minimum of price fluctuation

• While yield is a consideration in the selection of investments, safety of principal and liquidity are the most important considerations

• Different Investors (KC Corp, IHB, RTC, Affiliates) have their own sections in the policy listing:– Approved investment types– Limits– Approved counterparties– Maximum maturities– Other requirements

• Investment policy is approved by the Treasurer

2726

Investment PolicyInvestment Concerns -Preservation of Capital -Need for Daily Liquidity-Constant NAV required in current IP

SCOPE-This policy shall apply to Holly Frontier Corporation and all subsidiaries.-Applies to cash managed in-house and cash with external managers, if any.- Not applicable for benefit/retirement plan related investments. OBJECTIVES (in order of priority)- Safety of principal is foremost.- Maintain liquidity sufficient to meet company’s projected cash requirements.- Maximize after-tax return (net of fees) consistent with safety of principal and liquidity objectives. PARAMETERS- Permitted Investments- Credit Quality- Diversification / Concentration-Maturity Restrictions

*The investment policy must be reviewed at least annually by the Treasurer and Treasury Manager, updated as appropriate with concurrence by the CFO and approval of the revised policy by the CEO.

27

*Government funds will be defined as those that invest a minimum of 99.5% (formerly 80%) or more of their total assets in cash, government securities and/or repurchase agreements that are collateralized solely by government securities or cash.**Funds will no longer be permitted to use amortized cost accounting methodology like stable NAV funds, but consistent with the SEC’s expectations, the U.S. Department of the Treasury and the Internal Revenue Service released two types of proposed tax guidance on July 23, 2014, allowing for simplified tax accounting method to track gains and as well as relief from the “wash sale” rules for any losses on shares of a floating NAV money market fund.Source: GSAM As of July 2015

SEC new Rule 2a-7 MMF RequirementsRequirements by Investor and Fund Type

Type of Investors Government(including Treasury)

Prime(Commercial Paper)

Municipal(Tax-Exempt)

Institutional Funds

(all funds that are not retail funds)

Stable NAV

No Liquidity Fees / Redemption Gatesability to opt in if disclosed inadvance

Clarification that all government funds must invest only in government securities*

Floating NAV**

Liquidity Fees / Redemption Gatesbased on fund’s weekly liquiditylevels and at Board’s discretion

Floating NAV**

Liquidity Fees / Redemption Gatesbased on fund’s weekly liquiditylevels and at Board’s discretion

Retail Funds

(funds with policies and procedures to limit investors to natural persons)

Stable NAV

No Liquidity Fees / Redemption Gatesability to opt in if disclosed in advance

Clarification that all government funds must invest only in government securities*

Stable NAV

Liquidity Fees / Redemption Gatesbased on fund’s weekly liquidity levels and at Board’s discretion

Stable NAV

Liquidity Fees / Redemption Gatesbased on fund’s weekly liquidity levels and at Board’s discretion

New Products in a New World 28

29

Post Reform Liquidity OptionsSolutions depend on product feature

Stability Liquidity Yield Other

Investor Classification Floating NAV

Liquidity Fees Redemption

Gates

>T+0 Supply constraints

AAARated

Accounting Treatment (not cash & cash equiv)

Prime Money Market Fund Institutional TBD

Retail TBD

Tax-Exempt Money MarketFund Institutional TBD

Retail TBD

Government Money Market Fund1

n/a TBD

Ultra-Short Duration Fundn/a

Separately Managed Accounts n/a

ProductLandscape

Product FeaturesProduct Options

Non

-MM

FO

ptio

nsN

ew 2

a-7

MM

Fs

1Government MMFs have the option to voluntarily adopt the Liquidity Fee and/or Redemption Gate provisions, if previously disclosed to investor.For illustrative purposes only. Source: GSAM. As of September 2015.

If longer than 90 days

New Product Feature determined by either 2a-7 Requirements or constraints from Market conditions


3131

The Benefits of Separately Managed Accounts

• SMAs provide an opportunity to diversify existing portfolio risks, including but not limited to credit, counterparty, and interest rate riskDiversification

• SMAs provide investors with the ability to optimize book yield for a desired level of risk

• In the developed markets, where interest rates are near zero, investors have increased their duration and credit risk to capitalize on opportunities and earn higher levels of income

Opportunities for Increased Book Yield

• In a SMA the cost of liquidity is borne by the investor versus a fund structure where investor liquidity needs are shared

• As an investor’s liquidity profile changes, the SMA guidelines can be tailored to meet needs

Liquidity

• SMAs provide a company with the ability to customize their investment portfolio to match their risk profile, liability structure, or other unique considerations

• Special consideration should be given for the accounting classification and tax policy which might influence the portfolio structure

Customization & Transparency

Source: GSAM.Diversification does not protect an investor from market risk and does not ensure a profit. There is no guarantee that these objectives will be met. Goldman Sachs does not provide accounting, tax or legal advice. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.


V. Appendix

33

General Disclosures

This material is provided at your request solely for your use. It is not an offer or solicitation to buy or sell any securities.

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

This material is provided for informational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities. This material is not intended to be used as a general guide to investing, or as a source of any specific investment recommendations, and makes no implied or express recommendations concerning the manner in which any client’s account should or would be handled, as appropriate investment strategies depend upon the client’s investment objectives.

This material has been prepared by GSAM and is not a product of Goldman Sachs Global Investment Research. The views and opinions expressed may differ from those of Goldman Sachs Global Investment Research or other departments or divisions of Goldman Sachs and its affiliates. This information may not be current and GSAM has no obligation to provide any updates or changes. It should not be relied upon in making an investment decision.

Option Adjusted Duration: A measure of the sensitivity of a bond’s price to interest-rate changes, assuming that the expected cash flows of the bond may change with interest rates.

Credit Adjusted Duration is a bond's option adjusted duration, adjusted for the bond's spread and the impact this may have on the bond's sensitivity to changes in interest rates.

"Yield to Worst (YTW)" is calculated by making worst-case scenario assumptions (excluding issuer default) on the bond by calculating the returns that would be received if provisions, including prepayment, call, put, and sinking fund, are used by the issuer. YTW may be the same as YTM, but never higher. YTW does not represent the performance yield for the Fund.

Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in the company or its securities. It should not be assumed that investment decisions made in the future will be profitable or will equal the performance of the securities discussed in this document.

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

Confidentiality

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

Appendix

34

General Disclosures

THIS MATERIAL DOES NOT CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION WHERE OR TO ANY PERSON TO WHOM IT WOULD BE UNAUTHORIZED OR UNLAWFUL TO DO SO.

The strategy may include the use of derivatives. Derivatives often involve a high degree of financial risk because a relatively small movement in the price of the underlying security or benchmark may result in a disproportionately large movement in the price of the derivative and are not suitable for all investors. No representation regarding the suitability of these instruments and strategies for a particular investor is made.Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon and assumed without independent verification, the accuracy and completeness of all information available from public sources.

Goldman Sachs does not provide accounting, tax, or legal advice. Notwithstanding anything in this document to the contrary, and except as required to enable compliance with applicable securities law, you may disclose to any person the US federal and state income tax treatment and tax structure of the transaction and all materials of any kind (including tax opinions and other tax analyses) that are provided to you relating to such tax treatment and tax structure, without Goldman Sachs imposing any limitation of any kind. Investors should be aware that a determination of the tax consequences to them should take into account their specific circumstances and that the tax law is subject to change in the future or retroactively and investors are strongly urged to consult with their own tax advisor regarding any potential strategy, investment or transaction.

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

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

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

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions. It also pertains to past performance or is the basis for previously-made discretionary investment decisions. This information should not be construed as a current recommendation, research or investment advice. It should not be assumed that investment decisions made in the future will be profitable or will equal the performance of investments discussed in this document. Any mention of an investment decision is intended only to illustrate our investment approach or strategy, and is not indicative of the performance of our strategy as a whole. Any such illustration is not necessarily representative of other investment decisions. A complete list of past recommendations may be available on request. Please see additional disclosures.

This material has been prepared by GSAM and is not financial research nor a product of Goldman Sachs Global Investment Research. . It was not prepared in compliance with applicable provisions of law designed to promote the independence of financial analysis and is not subject to a prohibition on trading following the distribution of financial research. The views and opinions expressed may differ from the views and opinions expressed by Goldman Sachs Global Investment Research or other departments or divisions of Goldman Sachs and its affiliates. Investors are urged to consult with their financial advisors before buying or selling any securities. This information should not be relied upon in making an investment decision. GSAM has no obligation to provide any updates or changes.

Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.

© 2015 Goldman Sachs. All rights reserved. 169005.SA.OTU

Appendix

afp_sept 2015_v3

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