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State of the Markets Best Long and Short Risk Strategies

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State of the Markets Best Long and Short Risk 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 State of the Markets Best Long and Short Risk Strategies August 2009 Hedge Fund Strategies 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 Default Swap. 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. 2 Risk Factors – Please Read 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
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