Connecting Fixed Income Capital to The Global Climate Transition (2024)

¹ Source: Swiss Re Institute,"Decarbonisation tracker. Progress to net zero through the lens of investment,” as of October 7, 2022.

² Source: Goldman Sachs Asset Management, Bloomberg. As of December 31, 2021.

³ Source: European Investment Bank, “EPOS II - The "Climate Awareness Bond" as of May 22, 2007.

⁴ Source: Goldman Sachs Asset Management, Bloomberg. Based on spot exchange rates as of September 30, 2022.

⁵ Source: European Commission, “NextGenerationEU: European Commission successfully issues first green bond to finance the sustainable recovery,” as of October 21, 2021.

⁶ Source: United Nations, “Unanimously Adopting Historic Sustainable Development Goals, General Assembly Shapes Global Outlook for Prosperity, Peace,” as of September 25, 2015.

⁷ Source: United Nations, “The Paris Agreement,” as of November 11, 2022.

⁸ Source: European Commission, “A European Green Deal,” as of December 11, 2019.

⁹ Source: EU Taxonomy, as of March 2020.

¹⁰ Source: Glasgow Climate Pact, as of December 13, 2021.

¹¹ Source: REPowerEU, as of July 26, 2022.

¹² Source: IHS Markit, “China’s renewables 14th Five-Year Plan: Official targets to be remarkably outpaced?” as of July 20, 2022.

¹³Source: Energy.gov, “Biden-Harris Administration Awards $2.8 Billion to Supercharge U.S. Manufacturing of Batteries for Electric Vehicles and Electric Grid, as of October 19, 2022

¹⁴ Source: Goldman Sachs Global Investment Research. GS SUSTAIN: Green Capex US Inflation Reduction Act -- What's transformational, what's supportive, what's underappreciated, as of August 30, 2022.

¹⁵ Source: European Investment Bank, “EPOS II - The "Climate Awareness Bond" as of May 22, 2007.

¹⁶ Source: Vasakronan “Green financing,” as of September 30, 2022.

¹⁷ Source: Bloomberg News, “Massachusetts Green Bonds Mirror World Bank: Muni Deals,” as of June 3, 2013.

¹⁸ Source: ICMA, Harmonized Framework for Impact Reporting, as of June 2019.

¹⁹ Source: Climate Bonds Initiative, “Roadmap for China,” as of April 2016.

²⁰ Source: United Nations, “Unanimously Adopting Historic Sustainable Development Goals, General Assembly Shapes Global Outlook for Prosperity, Peace,” as of September 25, 2015.

²¹ Source: Climate Bonds Initiative, “Poland wins race to issue first green sovereign bond. A new era for Polish climate policy?”, as of December 15, 2016.

²² Source: Reuters, “Apple issues $1.5 billion in green bonds in first sale,” as of February 17, 2016.

²³ Source: Agence France Trésor, “GREEN OATs,” as of January 24, 2017.

²⁴ Source: World Bank, “Fiji Issues First Developing Country Green Bond, Raising $50 Million for Climate Resilience,” as of October 17, 2017.

²⁵ Source: ACMF, ASEAN Green Bond Standards, as of November 2017.

²⁶ Source: London School of Economics and Political Science, “Green bonds for people, planet and development,” as of October 13, 2021.

²⁷ Source: European Commission, “NextGenerationEU Green Bonds,” as of October 2021.

²⁸ Source: Axios, “Walmart joins the green bond party with $2 billion deal,” as of September 10, 2021.

²⁹ Source: Department of Finance Canada, Press Release, as of March 23, 2022.

³⁰ Source: Monetary Authority of Singapore, Press Release as of August 4, 2022.

³¹ Source: EU Taxonomy, as of March 2020. It should be noted that the EU taxonomy is neither mandatory nor aimed to be an investment tool.

³² Reuters, “EXCLUSIVE: China tightens green bond rules to align them with global norms,” as of August 24, 2022.

³³ Source: Climate Bonds Initiative, “Policy areas supporting the growth of a green bond market,” as of 2022.

³⁴ Source: Association for Financial Markets in Europe, “Q1 2021 ESG Finance Report,” as of March 31, 2021.

³⁵ Source: Climate Bonds Initiative, “Green bonds up 25% in 2nd quarter after volatile start to 2022,” as of August 4, 2022.

³⁶ Source: Goldman Sachs Asset Management and Bloomberg, as of September 30, 2022.

³⁷ Source: European Commission, “Questions and Answers: NextGenerationEU first green bond issuance,” as of October 12, 2021.

³⁸ Source: European Commission “NextGenerationEU Green Bonds,” as of January 2022.

³⁹ Source: Goldman Sachs Asset Management and Bloomberg. Forecast for annual issuance in 2022 is a range of €450 billion-€500 billion.

⁴⁰ Source: Goldman Sachs Asset Management and Bloomberg. This forecast assumes lower market volatility in 2023 and incorporates our estimate of postponed issuance from 2022.

⁴¹ Source: Climate Action Tracker, “CAT net zero target evaluations,” as of November 2022.

⁴² Source: Bloomberg News, “India Plans Debut Green Bonds to Raise $2 Billion by March,” as of September 29, 2022.

⁴³ Source: Science Based Targets, “Companies committed to cut emissions in line with climate science now represent $38 trillion of global economy,” as of May 12, 2022.

⁴⁴ Source: J.P. Morgan, Bond Radar. Based on year-to-date issuance as of September 2022.

⁴⁵ Source: EPFR, Goldman Sachs Global Investment Research ESG Credit Monitor. As of September 13, 2022.

Glossary

Duration is a measure of the sensitivity of the price of a fixed income investment to a change in interest rates.

Net Zero refers to cutting greenhouse gas emissions to as close to zero as possible with any remaining emissions re-absorbed from the atmosphere. (United Nations)

Spread is the difference in yield on two different bonds.

Risk Considerations

Investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity, interest rate, prepayment and extension risk. Bond prices fluctuate inversely to changes in interest rates. Therefore, a general rise in interest rates can result in the decline in the bond’s price. The value of securities with variable and floating interest rates are generally less sensitive to interest rate changes than securities with fixed interest rates. Variable and floating rate securities may decline in value if interest rates do not move as expected. Conversely, variable and floating rate securities will not generally rise in value if market interest rates decline. Credit risk is the risk that an issuer will default on payments of interest and principal. Credit risk is higher when investing in high yield bonds, also known as junk bonds. Prepayment risk is the risk that the issuer of a security may pay off principal more quickly than originally anticipated. Extension risk is the risk that the issuer of a security may pay off principal more slowly than originally anticipated. All fixed income investments may be worth less than their original cost upon redemption or maturity.

Environmental, Social and Governance (“ESG”) strategies may take risks or eliminate exposures found in other strategies or broad market benchmarks that may cause performance to diverge from the performance of these other strategies or market benchmarks. ESG strategies will be subject to the risks associated with their underlying investments’ asset classes. Further, the demand within certain markets or sectors that an ESG strategy targets may not develop as forecasted or may develop more slowly than anticipated.

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Date of First Use: December 20, 2022 301261-OTU-1719688