2Q 2020 Separately Managed Accounts

WESTERN ASSETSHORT-TERM MUNIPORTFOLIOS

Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment advisor. Client portfolios are managed based on investment instructions or advice provided by one or more of the following Legg Mason-affiliated subadvisors: Western Asset Management Company, LLC. Management is implemented by LMPPG, the designated subadvisor or, in the case of certain programs, the program sponsor or its designee.These materials are being provided for illustrative and informational purposes only. The information contained herein is obtained from multiple sources that are believed to be reliable. However, such information has not been verified, and may be different from the information included in documents and materials created by the sponsor firm in whose investment program a client participates. Some sponsor firms may require that these materials be preceded or accompanied by investment profiles or other documents or materials prepared by such sponsor firms, which will be provided upon a client’s request. For additional information, documents and/or materials, please speak to your Financial Advisor.

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Introduction | Legg Mason

Meet our investment managers

Having honed their expertise over many decades and market cycles, our global asset managers offer specialized capabilities across a scope of asset classes and strategies. Each skilled team operates with independent vision to help deliver powerful financial solutions for both individuals and institutions.

Global value investing Acting with conviction and discipline, Brandywine Global looks beyond short-term, conventional thinking to rigorously pursue long-term value across differentiated fixed income, equity and alternative solutions.

Global listed infrastructure investing RARE is a specialized investment managerfocused exclusively on global listed infrastructure. Established in 2006, RARE offers expertise acrossthe infrastructure spectrum and aims to identify and invest in high-quality listed infrastructure assets with the goal of delivering strong absolute returns over an investment cycle.

Global alternatives EnTrust Global is one of the world’s largest alternative solutions providers. With deep industry knowledge, expertise, scale and resources, the firm manages alternative strategies (through customized portfolios, co-investments, real asset investments and established funds)with comprehensive risk management, rigorous due diligence and a diversified selection of investment partners.

Real estate investment specialistsClarion Partners has been a leading pure-play real estate investment manager since 1982. Headquartered in New York, the firm maintains offices across the U.S. and in Europe, managing a broad range of real estate strategies across the risk/return spectrum for global investors.

Small-cap equity Royce Investment Partners specializes in small-cap investing, managing both U.S. and international portfolios for individual investors, financial advisors and institutions. The firm is generally regarded as a pioneer in small-cap investing andhas focused on this distinctive asset class formore than 45 years, leading to unparalleled domain knowledge of the smaller-companyinvestment universe.

Active equity specialists Martin Currie builds global, stock-driven portfolios based on fundamental research, devoting all of its resources to delivering optimum investment outcomes and superior client relationships.

Quality-focused equity With a legacy dating back over 50 years, ClearBridge Investments is a leading global equity manager committed to deliveringdifferentiated long-term results through authentic active management.

Global value fixed income One of the world’s leading global fixed income managers. Founded in 1971, the firm is known for team management and proprietary research, supported by robust risk management and a long-term fundamental value approach.

Systematic investment solutions QS Investors is a quantitative asset manager that provides multi-asset class and global equity solutions. Their approach unites intellectual and academic precision with the power of data and technology in their quest to elevate the certainty of outcomes they deliver.

Royce & Associates, LP primarily conducts its business under the name Royce Investment Partners.EnTrustPermal also conducts business as EnTrust Global.Active share is a measure of the percentage of stock holdings in a manager’s portfolio that differs from the benchmark index.

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Introduction | Western Asset

Western Asset Management Approach and Philosophy

Western Asset is a global investment management firm committed to understanding the needs of each client, identifying investment solutions, and delivering superior long-term investment results.

Team-managed approach• Team unites groups of

specialists dedicated to different market sectors

• Each group of sector specialists utilizes its expertise in bottom-up analysis of each portfolio sector

Investment PhilosophyLong-term, fundamental value discipline• Bottom-up

• Top-down Diversified strategies• Depth of resources

• Global Integrated analytics and risk management• Relative value analysis

• Transparency and communication

Objective-Driven InvestingSeeks to:• Protect from rising rates

• Protect from inflation

• Preserve capital

• Diversify globally

• Hedge liabilities

• Enhance income

• Generate tax-free income

• Generate total return

• Achieve ESG objectives

Core Fixed Income§• Intermediate

• Core

• Core Full Discretion

• Investment-Grade Credit

• Agency Mortgage-Backed Generate Total Return§• Total Return Unconstrained

• Global Total Return

• Global Multi-Sector

• Dynamic Fixed Income

• Credit Opportunities

• MBS Opportunities

• Emerging Market Opportunities

Enhance Income§• Short-Duration High Income

• Emerging Markets Debt

• High Yield

• Diversified High Income

• Structured Products/REIT/CLO

Increase Alpha§• Global Credit Absolute

Return§

• Macro Opportunities§

Hedge Liabilities§• Long Duration§

• Long Credit§

• Liability-Driven Investing

• Tail Risk Management§

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Introduction | Western Asset

Potential benefits of active management

While active fixed income management does not guarantee superior performance — and may entail additional risks beyond those in passive portfolios — it does offer a number of potential benefits.• May provide opportunity for growth

through focus on total return versus focus on yield alone

• Flexibility to pursue market opportunities

• Ongoing monitoring and portfolio restructuring based on changing conditions

• Risk management — including duration management, yield curve positioning and other strategies

Rising Unclear Falling

Interest Rates

Portfolio Positioning Defensive Neutral Positive

Maturity Positioning Shorten Neutral Lengthen

All fixed income investments are subject to interest rate risk. As interest rates rise, the price of fixed income securities fall.This chart is for illustrative purposes only and does not represent the performance of any specific investment.

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Your investment portfolio | Short-Term Muni

Western Asset Short-Term Muni Portfolios

OverviewWestern Asset Short-Term Muni Portfolios invest in municipal bonds for substantial individual and taxable institutional investors and benchmarks to the Bloomberg Barclays 1-Year Municipal Bond Index. The average maturity of bonds in the portfolio generally ranges between zero and three years, depending on Western Asset’s interest rate outlook.§Key differentiators• Team-managed approach Utilize a team of municipal bond sector specialists

• Leverage Western Asset Management resources Institutional-caliber buying power and trading

expertise

Access to proprietary municipal bond research team

Exclusive focus on fixed-income management

• Ability to customize the portfolio to meet client needs, including state-specific and state-biased portfolios.

Philosophy• Long-term Seek out the greatest long-term value by

thoroughly analyzing a wide range of sectors of the municipal fixed-income market

• Value oriented We seek to identify and favor sectors and issues

that are undervalued or out of favor in the market

• Diversified strategies Results do not depend on only one or two

opportunities; multiple themes are employed in portfolios. Diversification seeks to limit the impact of a single adverse market event

Strive to add incremental value over time and potentially reduce volatility

• Sector rotation The Short-Term Muni Portfolios solely focus on

investment-grade securities within the municipal bond market. These securities are similar to those represented within the Bloomberg Barclays 1 Year Municipal Bond Index respectively

ObjectivesThe strategy seeks to:• provide total return over a market cycle, consisting

of capital gain (taxable) and income that is exempt from regular U.S. income tax, while aiming for a relatively higher degree of stability and liquidity

Performance, portfolio characteristics and risk information contained in this material is for the Short-Term Muni composite, which includes national, state-specific and state-biased Short-Term Muni portfolios. Individual client portfolio performance, characteristics and risk may differ, sometimes significantly, from that shown. A client who resides or pays taxes in NY, NJ, MA, CA or CT may automatically be given a state-specific portfolio for the corresponding state unless the client specifically selects a national or state-biased portfolio. Accordingly, when selecting a Short-Term Muni portfolio, such a client should specify whether the portfolio is national, state-specific or state-biased. Because state-specific and state-biased portfolios focus on individual states, they are more vulnerable to losses caused by adverse developments in those states than are national portfolios, which diversify investments across multiple states.The Barclays 1-Year Municipal Bond Index is an unmanaged index composed of national municipal bond issues with a maturity range of 1-2 years.An investor cannot invest directly in an index. The index is not managed and not subject to management or brokerage commission. Income from coupon is subject to reinvestment.§Risks:§All investments involve risk, including the loss of principal, and there is no guarantee that investment objectives will be met.Fixed income securities are subject to interest rate and credit risk, which is a possibility that the issuer of a security will be unable to make interest payments and repay the principal on its debt. As interest rates rise, the price of fixed income securities falls.Fixed income securities are subject to illiquidity risk, which is the risk that securities may be difficult to sell at certain prices when no market participants are willing to purchase the securities at such prices.State-specific and state-biased portfolios within this Portfolio focus on individual states and are more vulnerable to losses caused by adverse developments in those states than are national portfolios, which diversify investments across multiple states.For tax-exempt securities, certain investors may be subject to the federal Alternative Minimum Tax (AMT), and state and local taxes will apply. Capital gains, if any, are fully taxable. Depends on individual tax situation. Please see Disclaimer for important tax information.Diversification does not assure a profit or protect against market loss.Tapering of the Federal Reserve Board’s quantitative easing program and a general rise in interest rates may lead to increased portfolio volatility.

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Your investment portfolio | Short-Term Muni

Western Asset Short-Term Muni Portfolios investment process

Interest Rate Exposure/Duration Weighting

Western’s investment team comprehensively analyzes a variety of domestic and international macroeconomic factors to establish a duration target

Term Structure WeightingThe Firm carefully employs strategies in an attempt to take advantage of changes in the yield curve’s shape and shifts in the relationship between short-, intermediate-, and long-maturity securities.

Sector AllocationWestern Asset believes that the value can be added to a portfolio by actively rotating among, and within, different sectors of the bond market. The investment team studies the fundamental factors that influence sector spread relationships.

Issue Selection

Using a bottom-up process, the Firm seeks to identify issuers with changing credit characteristics and securities that are undervalued and out of favor due to unusual circumstances.

The investment process may change over time. The characteristics set forth are intended as a general illustration of some of the criteria the strategy team considers in selecting securities for client portfolios. There is no guarantee investment objectives will be achieved.

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Strategy characteristics & performance | Fixed Income Portfolio characteristics

Fixed Income Portfolio characteristics as of June 30, 2020

Maturity (%)

33.75

45.01

16.82

3.66

0.18

0.5210+

7 - 10

5 - 7

3 - 5

1 - 3

0 - 1

0 10 20 30 40 50 60

Yea

rs (%

)

Sector weightings (%)

Revenue 63.77

General Obligation 25.11

Other 7.26

Pre-Refunded 3.86

Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Short-Term Muni program composites and are subject to change at any time. Sector weightings and portfolio characteristics of individual client portfolios in these programs may differ, sometimes significantly, from those shown above. This information does not constitute, and should not be construed as, investment advice or recommendations with respect to the sectors or securities listed and should not be used as a sole basis to make any investment decisions. Source: InvestorTools. Please see appendix for term definitions.

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Strategy characteristics & performance | Fixed Income Portfolio characteristics

Fixed Income Portfolio characteristics as of June 30, 2020

Credit Quality (%)

AAA 21.5AA 57.2A 18.4BBB 2.9

AAA 21.5

AA 57.2

A 18.4

BBB 2.9

Characteristics (%)

Average Maturity (Years) 1.80

Average Coupon Rate (%) 4.38

Yield to Worst (%) 0.83

Yield to Maturity (%) 0.99

Effective Duration (Years) 1.55

Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Short-Term Muni program composites and are subject to change at any time. Sector weightings and portfolio characteristics of individual client portfolios in these programs may differ, sometimes significantly, from those shown above. This information does not constitute, and should not be construed as, investment advice or recommendations with respect to the sectors or securities listed and should not be used as a sole basis to make any investment decisions. Source: InvestorTools. Please see appendix for term definitions.Credit quality is a measure of a bond issuer’s ability to repay interest and principal in a timely manner. The credit ratings shown are based on each portfolio security’s rating as provided by the following Nationally Recognized Statistical Rating Organizations (“NRSRO”): Standard and Poor’s (“S&P”), Moody’s Investors Service (“Moody’s”), Fitch Ratings, Ltd. In the event a portfolio security is rated by more than one NRSRO, the higher rating is shown. In the case where a security is not rated by an NRSRO, these are listed as “Non Rated”. The credit quality of the investments in the Portfolio does not apply to the stability or safety of the Portfolio. These ratings may change over time. The Portfolio itself has not been rated by an NRSRO.

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Strategy characteristics & performance | Performance

Performance

Calendar-year total returns – gross and net of fees (%) ending December 31

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

Short-Term Muni (gross) 2.77 1.67 1.06 0.37 0.71 0.71 0.94 1.27 1.82 0.92

Short-Term Muni (net) 1.25 0.17 -0.44 -1.11 -0.78 -0.77 -0.55 -0.22 0.31 -0.57

Bloomberg Barclays Muni. 1 Year Index 2.46 1.74 0.92 0.30 0.61 0.58 0.80 0.84 1.58 1.17

Annualized rates of return – gross and net of fees (%) as of June 30, 2020 – PRELIMINARY

Jun ‘20 Q2 ‘20 YTD 1-year 3-year 5-year 7-year 10-year 15-year 20-year

Short-Term Muni (gross) 0.35 1.50 1.46 2.44 2.00 1.56 1.38 1.30 1.78 2.22

Short-Term Muni (net) 0.23 1.13 0.71 0.93 0.50 0.06 -0.12 -0.20 0.28 0.71

Bloomberg Barclays Muni. 1 Year Index 0.00 1.22 1.28 2.16 1.81 1.42 1.20 1.14 1.90 2.23

The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.§Past performance is no guarantee of future results. YTD numbers are not annualized. Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. Net performance includes the deduction of a 1.5% annual wrap fee, which is the maximum anticipated wrap fee for fixed income portfolios. Actual fees may vary. For fee schedules, contact your financial professional, or if you enter into an agreement directly with Legg Mason Private Portfolio Group, LLC (“LMPPG”), refer to LMPPG’s Form ADV disclosure document. Returns reflect the reinvestment of dividends and other earnings. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance shown and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Strategy characteristics & performance | Performance

Risk/return profile (%)

Gross of fees (based on 10-year period ending June 30, 2020)

0.0 0.5 1.0 1.5 2.00.0

0.5

1.0

1.5

Short-Term Muni Bloomberg Barclays Muni. 1 Year Index

Ann

ualiz

ed r

ate

of r

etur

n (%

)

Risk (% annualized standard deviation)

Modern portfolio statistics as of June 30, 2020

Short-Term

Muni

Bloomberg Barclays Muni. 1 Year Index

Annualized return (%) 1.30 1.14

Annualized standard deviation (%) 0.73 0.61

Sharpe ratio 0.95 0.87

Beta 1.08 N/A

Alpha 0.12 N/A

R-squared 0.83 N/A

The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Past performance is no guarantee of future results. Investments involve risk of loss. Alpha, Beta, and R-squared are shown versus the Bloomberg Barclays Municipal 1-Year (1-2) Bond Index. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. Please see appendix for term definitions.Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. Actual fees may vary. For fee schedules, contact your financial professional, or if you enter into an agreement directly with Legg Mason Private Portfolio Group, LLC (“LMPPG”), refer to LMPPG’s Form ADV disclosure document. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Strategy characteristics & performance | Performance

Up/Down market capture ratios (%)

Gross of fees (based on 10-year period ending June 30, 2020)

1.10

0.95

1.00

1.00

2

1

0

1

2

Short-Term Muni Bloomberg Barclays Muni. 1 Year Index

Up95 positive months

Down25 negative months

The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. Actual fees may vary. For fee schedules, contact your financial professional, or if you enter into an agreement directly with Legg Mason Private Portfolio Group, LLC (“LMPPG”), refer to LMPPG’s Form ADV disclosure document. Please see appendix for term definitions.Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs. Past performance is no guarantee of future results.

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Strategy characteristics & performance | Performance

Growth of $100,000

Gross of fees (based on 10-year period ending June 30, 2020)

2010 2012 2014 2016 2018 2020$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000Short-Term Muni Bloomberg Barclays Muni. 1 Year

Index $113,813 $111,995

For illustrative purposes only. Assumes no withdrawals or contributions. These statistics are based on gross-of-fees quarterly composite returns, were calculated assuming reinvestment of dividends and income, and take into account both realized and unrealized capital gains and losses. Past performance is no guarantee of future results. All investments involve risk, including the loss of principal.Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. Actual fees may vary. For fee schedules, contact your financial professional, or if you enter into an agreement directly with Legg Mason Private Portfolio Group, LLC (“LMPPG”), refer to LMPPG’s Form ADV disclosure document. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Appendix | Investment Management Team

Investment management team

Western Asset, one of the world’s leading fixed income managers, was founded in 1971. With a focus on long-term fundamental value investing that employs a top-down, bottom-up approach, the firm has nine offices around the globe and deep experience across the range of fixed income sectors. Western Asset has been recognized for its emphasis on team management and intensive proprietary research, supported by robust risk management.

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Appendix | Performance Endnotes

GIPS® Endnotes

Western Asset Short-Term Muni – December 31

Year Net return (%)“Pure”1 gross

return (%)Benchmark total

return (%)Gross total 3 Yr St

Dev (%)Benchmark total3 Yr St Dev (%)

Number of portfolios

% of bundled fee portfolios in the

compositeInternal

dispersion (%)

Compositeassets

($millions) (%) of firm assets

2010 -0.57 0.92 1.17 -n/a- -n/a- 97 100 0.28 47 0.01

2011 0.31 1.82 1.58 0.43 0.60 98 100 0.35 76 0.02

2012 -0.22 1.27 0.84 0.45 0.33 90 100 0.34 69 0.01

2013 -0.55 0.94 0.80 0.53 0.22 24 100 0.12 55 0.01

2014 -0.77 0.71 0.58 0.49 0.16 24 100 0.14 55 0.01

2015 -0.78 0.71 0.61 0.47 0.22 24 100 0.06 55 0.01

2016 -1.11 0.37 0.30 0.48 0.47 26 100 0.09 46 0.01

2017 -0.44 1.06 0.92 0.62 0.64 12 100 0.05 28 0.01

2018 0.17 1.67 1.74 0.70 0.74 13 100 0.03 21 0.00

2019 1.25 2.77 2.46 0.69 0.69 14 100 0.17 20 0.00

Western Asset claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Western Asset has been independently verified for the periods from January 1, 1993 to December 31, 2018. The verification report is available upon request.Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. The verification does not ensure the accuracy of any specific composite presentation.For GIPS® purposes, the Firm is defined as Western Asset, a primarily fixed-income investment manager comprised of Western Asset Management Company, LLC; Western Asset Management Company Limited, authorised and regulated by the Financial Conduct Authority (“FCA”); Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R, holder of the Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore; Western Asset Management Company Ltd, a registered Financial Instruments Business operator and regulated by the Financial Services Agency of Japan; Western Asset Management Company Pty Ltd ABN 41 117 767 923, holder of the Australian Financial Services Licence 303160; and Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brazil, with offices in Pasadena, New York, London, Singapore, Tokyo, Melbourne, São Paulo, Hong Kong, and Zürich. Each Western Asset company is a wholly owned subsidiary of Legg Mason, Inc. (“Legg Mason”) but operates autonomously, and Western Asset, as a Firm, is held out to the public as a separate entity. Western Asset Management Company was founded in 1971.The Firm is comprised of several entities as a result of various historical acquisitions made by Western Asset and their respective performance has been integrated into the Firm in line with the portability requirements set forth by GIPS.Western Asset – Short Term Muni portfolios are discretionary fixed-income portfolios that seek total return over a market cycle, consisting of capital gain (taxable) and income that is exempt from regular U.S. income tax, while aiming for a higher degree of liquidity than Current Market Muni portfolios. Depending on Western Asset’s interest rate outlook, the average maturity of bonds in Short-Term Muni portfolios generally ranges between zero and three years. The composite is comprised of accounts that are separately managed accounts (SMAs) managed in accordance with the strategy. The composite employs a 10% significant cash flow policy. The composite was created on January 1, 2006.Effective January 1, 2013, the number of portfolios reflects a change from prior periods due to an aggregation of accounts as reported by one sponsor. For periods prior to 2013, the firm excluded accounts designated by the sponsor as client-restricted.For comparison purposes, composite returns are shown against returns of the Bloomberg Barclays U.S. Municipal Bond Index, 1 Year. An investor cannot invest directly in an index.1“Pure” gross returns are presented as supplemental information to the net returns. The current fee schedule is 1.50% on all assets. Net returns are calculated by deducting the anticipated maximum annual bundled fee applied on a monthly basis from the “pure” gross monthly return. The bundled fee includes all charges for trading costs, portfolio management, custody, and other administrative fees. Bundled fees may vary across different financial firms and across different accounts based upon account size and other factors. Returns and market values are expressed in USD.Dispersion is calculated using the asset-weighted standard deviation of annual returns of those portfolios that were included in the composite for the entire year (equal-weighted prior to 2014). Periods with five or fewer accounts are not statistically representative and are not presented. The three-year annualized ex-post standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. Standard deviation is not presented for periods where 36 monthly returns are not available for the composite or the benchmark.Past investment results are not indicative of future investment results. Information contained herein is believed to be accurate, but cannot be guaranteed. Employees and/or clients of Western Asset may have a position in the securities mentioned.Western Asset’s list of composite descriptions and policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Please contact Michael Van Raaphorst at 212-601-6211 or Michael.VanRaaphorst@westernasset.com.

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Appendix | Index Definitions

Definitions

Index DefinitionsThe Bloomberg Barclays 1-3 Year Government Bond Index is a broad measure of the performance of short-term government bonds. Please note an investor cannot invest directly in an index.

The Bloomberg Barclays 1-Year Municipal Bond Index is an unmanaged index composed of national municipal bond issues with a maturity range of 1-2 years.

The Bloomberg Barclays 5-Year Municipal Bond Index is a market-value-weighted index representative of the medium term (4 to 6 years) tax-exempt bond market.

The Bloomberg Barclays Asset-Backed Securities Index is composed of debt securities backed by credit card, auto and home equity loans that are rated investment grade or higher by Moody’s Investors Service, Standard & Poor’s Ratings Service or Fitch Investor’s Service, in that order. Issues must have at least one year to maturity and an outstanding par value of at least $50 million. Price, coupon and total return are reported on a month-end to month-end basis. All returns are market value-weighted inclusive of accrued interest but do not include adjustments for advisory fees or other expenses.

The Bloomberg Barclays Fixed-Rate Mortgage-Backed Securities Index is composed of about 600 15- year to 30-year fixed-rate mortgage-backed pools of Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Corporation.

The Bloomberg Barclays U.S. Agencies Index is the U.S. Agency component of the U.S. Government/Credit index, consisting of publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government (such as USAID securities). The largest issues are Fannie Mae, the Resolution Trust Funding Corporation (REFCORP), and the Federal Home Loan Bank System (FHLB). The index includes both callable and non-callable agency securities.

The Bloomberg Barclays U.S. Aggregate Bond Index includes the Government/Credit and the Mortgage-Backed indexes. The return comprised price appreciation/depreciation and income as a percent of the original investment. Indexes are rebalanced monthly by market capitalization.

The Bloomberg Barclays U.S. Credit Index is the U.S. Credit component of the U.S. Government/Credit Index consisting of publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. The U.S. Credit Index is the same as the former U.S. Corporate Investment Grade Index, which has been renamed the U.S. Credit Index. The name change is effective as of 6/1/00 (for statistics) and as of 7/1/00 (for returns).

The Bloomberg Barclays U.S. Government/Credit Bond Index includes the Bloomberg Barclays U.S. Government bond Index and the Barclays Credit Bond Index. The Government Index includes all public U.S. Treasury obligations and the debt of U.S. Government agencies and quasi-federal corporations. The Credit Index includes corporates (industrial, utility and finance including both U.S. and non-U.S. corporations) and noncorporates (sovereign, supernational, foreign agencies and foreign local governments).

The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index is a market value weighted performance benchmark for government and corporate fixed-rate debt issues (rated Baa/BBB or higher) with maturities between one and ten years.

The Bloomberg Barclays U.S. Intermediate Treasury Bond Index is composed of all public obligations of the U.S. Treasury. This index has an average current maturity of 3.69 years (average maturity may vary over time).

The Bloomberg Barclays U.S. Treasury Index is a measure of the public obligations of the U.S. Treasury.

The FTSE 3-Month U.S. Treasury Bill Index is an index based upon the average monthly yield of the 90-day Treasury bills. Treasury bills are secured by the full faith and credit of the U.S. Government and offer a fixed rate of return.

The Merrill Lynch 1-3 Year Treasury Bond Index is a market capitalization-weighted index including all U.S. Treasury notes and bonds with maturities greater than or equal to one year and less than three years.

Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

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Appendix | Term Definitions

Definitions

Term definitionsMaturity is the date at which a debt instrument is due and payable. A bond due to mature on January 1, 2010, will return the bondholder’s principal and final interest payment when it reaches maturity on that date. Bond yields are frequently calculated on a yield-to-maturity basis.

Duration (Modified Duration) is the measure of the price sensitivity of a fixed income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.

Yield to Worst (YTW) is based on a portfolio’s current holdings on one specific day, is gross of all portfolio expenses, and is calculated based on assumptions that prepayment occurs if the bond has call or put provisions and the issuer can offer a lower coupon rate based on current market rates. If market rates are higher than the current yield of a bond, the YTW calculation will assume no prepayments are made, and YTW will equal the yield to maturity. The YTW will be the lowest of yield to maturity or yield to call (if the bond has prepayment provisions). The YTW of a bond portfolio is the market-weighted average of the YTWs of all the bonds in the portfolio.

Insured municipal bonds are ones where scheduled interest and principal payments are guaranteed by AAA-rated municipal bond insurers.

General Obligation municipal bonds are backed by the credit and taxing power of the issuing jurisdiction rather than the revenue of a given project.§

Revenue bonds are municipal bonds supported by the revenue from a specific project.

Pre-refunded bonds are municipal bonds that are generally backed or secured by U.S. Treasury bonds.

Effective Duration is a duration calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change.

Average Maturity is the average length of maturity for all fixed-rate debt instruments held in a portfolio.

Average Coupon based on the portfolio’s underlying holdings, which may differ and are subject to change. Coupon rate is the annual coupon payments paid by the issuer relative to a bond’s face or par value.

Yield to Maturity - The rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity.

The Sharpe Ratio is a risk-adjusted measure that is calculated using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the portfolio’s historical adjusted performance.§

Alpha is a measure of the difference between actual returns and expected performance, given the level of risk as measured by Beta, where Beta measures sensitivity to benchmark movements.

R-Squared measures the strength of the linear relationship between the portfolio and its benchmark. R-squared at 1.0 implies perfect linear relationship and zero implies no relationship exists. Standard deviation is based on quarterly data.

Standard Deviation is a measure of the variability of returns; the higher the standard deviation, the greater the range of performance (i.e., volatility).

The Capture Ratios measure a manager’s composite performance relative to the benchmark, considering only those quarters that are either positive (Up) or negative (Down) for the benchmark.

An Up Market Capture Ratio greater than 1.0 indicates a manager who has outperformed the benchmark in the benchmark’s positive quarters.

A Down Market Capture Ratio of less than 1.0 indicates a manager who has outperformed the relative benchmark in the benchmark’s negative quarters.

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Investments for the program(s) discussed herein are traded primarily in U.S. markets and unless otherwise noted, equity and fixed-income investments for such program(s) are primarily of U.S. issuers. In addition, unless otherwise noted, indexes referred to herein represent groups of securities that are issued primarily by U.S. issuers.IMPORTANT TAX INFORMATION: Legg Mason, Inc., its affiliates, and its employees are not in the business of providing tax or legal advice to taxpayers. These materials and any tax-related statements are not intended or written to be used, and cannot be used or relied upon, by any such taxpayer for the purpose of avoiding tax penalties or complying with any applicable tax laws or regulations. Tax-related statements, if any, may have been written in connection with the “promotion or marketing” of the transaction(s) or matter(s) addressed by these materials, to the extent allowed by applicable law. Any such taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor.Gross of fees performance results shown herein do not reflect deduction for investment management fees and transaction costs. The performance of individual client accounts will vary and will be reduced by such fees and costs. Please review the effect of fees and transaction costs on account performance with your financial professional.Investments are not obligations of, and are not guaranteed by, LMPPG or any other Legg Mason Inc affiliate or subsidiary; are not FDIC or government insured; and are subject to risks, including possible loss of the principal amount invested. Professional money management may not be suitable for all investors.Any information, statement or opinion set forth herein is general in nature, is not directed to or based on the financial situation or needs of any particular investor, and does not constitute, and should not be construed as, investment advice, forecast of future events, a guarantee of future results, or a recommendation with respect to any particular security or investment strategy or type of retirement account. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financial professional.©2020 Legg Mason Investor Services, LLC, member FINRA, SIPC. Legg Mason Investor Services, LLC and Western Asset Management Company, LLC are subsidiaries of Legg Mason, Inc.FN1313263 SMA0035 PPG-Q120-V1§