1Q 2018 Separately Managed Accounts

WESTERN ASSETCURRENT MARKETMUNI PORTFOLIOS

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

Introduction | Legg Mason

Meet our investment managers

Having honed their expertiseover many decades and marketcycles, our global asset managersoffer specialized capabilitiesacross a scope of asset classesand strategies. Each skilled teamoperates with independentvision to help deliver powerfulfinancial solutions for bothindividuals and institutions.

Global alternative investments One of the world’s largest hedge fund investors, recognized as a global leader in structuring comprehensive alternative investment strategies for institutional and high net worth clients.

Active equity specialists An active equity specialist that 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 Global investment manager with over 50 years of experience and long-tenured portfolio managers who seek to build income, high active share or low volatility portfolios.

Investing with conviction Acting with conviction and discipline, we look beyond short-term, conventional thinking to rigorously pursue long-term value across differentiated fixed income, equity, and alternative solutions.

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.

Small-cap equityKnown for its disciplined, value-oriented approach to managing small-caps. An asset class pioneer, the firm’s founder is one of the longest-tenured active managers.

Global listed infrastructure investing RARE is a dedicated infrastructure investment manager focused on global listed infrastructure investments. Established in 2006, RARE has grown to become one of the largest listed infrastructure managers globally.

Fixed incomeOne of the world’s leading global fixed income managers. Founded in 1971, the firm is known for team management, proprietary research and a long-term fundamental value approach.

Real estate investment specialists Clarion Partners is a leading private equity and debt real estate investment manager established in 1982. Clarion invests in the Americas across a broad range of property types and risk profiles, with the goal of consistently creating value for its clients.

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 todifferent market sectors

• Each group of sectorspecialists utilizes itsexpertise in bottom-upanalysis of each portfoliosector

Investment PhilosophyLong-term, fundamentalvalue discipline• Bottom-up

• Top-down Diversified strategies• Depth of resources

• Global Integrated analytics and riskmanagement• Relative value analysis

• Transparency andcommunication

Objective-Driven InvestingSeeks to:Preserve Principal§• Money Markets

• Limited Duration Protect From Rising Rates§• Adjustable Rate

• Bank Loans Protect From Inflation§• U.S. TIPS§

• Global Inflation-Linked§

• Active Currency Diversify Globally§• Global Sovereign

• Global Infrastructure Debt§

• Global Core/Core FullDiscretion

• Global Credit

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 MarketOpportunities

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 Protection§

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Introduction | Western Asset

Potential benefits of active management

While active fixed incomemanagement does not guaranteesuperior performance — and mayentail additional risks beyondthose in passive portfolios — itdoes offer a number of potentialbenefits.• May provide opportunity for growth

through focus on total return versusfocus on yield alone

• Flexibility to pursue marketopportunities

• Ongoing monitoring and portfoliorestructuring based on changingconditions

• Risk management — includingduration management, yield curvepositioning 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 | Current Market Muni

Western Asset Current Market Muni Portfolios

OverviewThe Current Market Muni Portfolios invest in municipalbonds for substantial individual and taxableinstitutional investors. The portfolio benchmarks to theBloomberg Barclays 5-Year Municipal Bond Index witha typical duration of +/- 20% of the benchmark.§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 researchteam

Exclusive focus on fixed-income management

• Ability to customize the portfolio to meet clientneeds, including state-specific and state-biasedportfolios.

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

thoroughly analyzing a wide range of sectors ofthe 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 inportfolios. Diversification seeks to limit the impactof a single adverse market event

Strive to add incremental value over time andpotentially reduce volatility

• Sector rotation The Current Market Muni Portfolios solely focus

on investment-grade securities within themunicipal bond market. These securities aresimilar to those represented within the BloombergBarclays 5-Year Municipal Bond Index

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

of capital gain (taxable) and income that is exemptfrom regular U.S. income tax

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. An investor cannot invest directly in an index. The index is not managed and not subject to managementor brokerage commission. Income from coupon is subject to reinvestment.Performance, portfolio characteristics and risk information contained in this material is for the Current Market Muni composite, which includes national, state-specific and state-biased Current Market 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 orstate-biased portfolio. Accordingly, when selecting a Current Market Muni portfolio, such a client should specify whether the portfolio is national, state-specific or state-biased. Western Asset may limit the states for which state specific or state biased portfolios areavailable. 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.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 taxinformation.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 | Current Market Muni

Western Asset Current Market Muni Portfolios investment process

Interest Rate Exposure/Duration Weighting

Western’s investmentteam comprehensivelyanalyzes a variety ofdomestic andinternationalmacroeconomic factorsto establish a durationtarget

Term StructureWeightingThe Firm carefullyemploys strategies in anattempt to takeadvantage of changes inthe yield curve’s shapeand shifts in therelationship betweenshort-, intermediate-, andlong-maturity securities.

Sector AllocationWestern Asset believesthat the value can beadded to a portfolio byactively rotating among,and within, differentsectors of the bondmarket. The investmentteam studies thefundamental factors thatinfluence sector spreadrelationships.

Issue Selection

Using a bottom-upprocess, the Firm seeksto identify issuers withchanging creditcharacteristics andsecurities that areundervalued and out offavor due to unusualcircumstances.

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 beachieved.

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Strategy characteristics & performance | Fixed Income Portfolio characteristics

Fixed Income Portfolio characteristics as of March 31, 2018

Maturity (%)

15.52

22.10

18.66

22.70

18.00

3.0010+

7 - 10

5 - 7

3 - 5

1 - 3

0 - 1

0 5 10 15 20 25 30

Yea

rs (%

)

Sector weightings (%)

Revenue 60.06

General Obligation 27.85

Other 7.82

Pre-Refunded 4.27

Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Current Market Muni program composites and are subject to change at any time. Sector weightings and portfolio characteristics of individual clientportfolios 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 beused 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 March 31, 2018

Credit Quality (%)

AAA 26.74AA 58.05A 14.76BBB 0.44Not Rated 0.01

AAA 26.74

AA 58.05

A 14.76

BBB 0.44

Not Rated 0.01

Characteristics

Effective Duration (Years) 3.69

Average Coupon Rate (%) 4.69

Average Maturity (Years) 4.39

Yield to Worst (%) 2.07

Yield to Maturity (%) 2.15

Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Current Market Muni program composites and are subject to change at any time. Sector weightings and portfolio characteristics of individual clientportfolios 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 beused 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 listedas “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

2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

Current Market Muni (gross) 2.81 -0.14 2.06 2.31 0.43 2.38 6.31 2.66 6.37 5.25

Current Market Muni (net) 1.30 -1.62 0.55 0.80 -1.06 0.87 4.75 1.14 4.81 3.70

Bloomberg Barclays Muni. 5 Year Index 3.14 -0.39 2.43 3.19 0.81 2.96 6.93 3.40 7.40 5.78

Annualized rates of return – gross and net of fees (%) as of March 31, 2018 – PRELIMINARY

MTH QTR YTD 1-year 3-year 5-year 7-year 10-year 15-year 20-year

Current Market Muni (gross) 0.07 -0.68 -0.68 0.84 1.11 1.25 2.12 2.78 2.89 3.55

Current Market Muni (net) -0.05 -1.05 -1.05 -0.65 -0.39 -0.25 0.61 1.26 1.38 2.02

Bloomberg Barclays Muni. 5 Year Index -0.04 -0.57 -0.57 0.65 1.27 1.54 2.53 3.28 3.33 3.97

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 cannotinvest 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. Netperformance 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 LeggMason 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’sperformance 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 March 31, 2018)

0 1 2 3 40

1

2

3

4

Current Market Muni Bloomberg Barclays Muni. 5 Year Index

Ann

ualiz

ed r

ate

of r

etur

n (%

)

Risk (% annualized standard deviation)

Modern portfolio statistics as of March 31, 2018

Current

Market Muni

BloombergBarclays 5-Year Muni.

Index

Annualized return (%) 2.78 3.28

Annualized standard deviation (%) 2.68 2.91

Sharpe ratio 0.92 1.02

Beta 0.91 N/A

Alpha -0.22 N/A

R-squared 0.97 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 cannotinvest 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 5-year Municipal Bond Index. Investors cannot invest directly in an index and unmanaged indexreturns 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 anagreement 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 offees. 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 March 31, 2018)

0.87

0.91

1.00

1.00

2

1

0

1

2

Current Market Muni Bloomberg Barclays Muni. 5 Year Index

Up75 positive months

Down45 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 cannotinvest 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 anagreement 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 ofdifferent 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 March 31, 2018)

2008 2010 2012 2014 2016 2018$0

$50,000

$100,000

$150,000Current Market Muni Bloomberg Barclays Muni. 5 Year

Index $131,556 $138,124

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 unrealizedcapital 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 anagreement 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-termfundamental value investing that employs a top-down, bottom-up approach, the firm has nine offices around the globeand deep experience across the range of fixed income sectors. Western Asset has been recognized for its emphasis onteam management and intensive proprietary research, supported by robust risk management.

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Appendix | Performance Endnotes

GIPS® Endnotes

Western Asset Current Market Muni - GIPS® Endnotes Schedule of Investment Performance Results – December 31

Year Net return(%)“Pure”1 gross

return (%)Benkmark total

return (%)Gross total 3 Yr St

Dev (%)Benchmark total 3

Yr St Dev (%)Number ofportfolios

% of bundled feeportfolios in the

compositeInternal dispersion

(%)Composite assets

($ millions) % of firm assets

2008 3.70 5.25 5.78 -n/a- -n/a- 1,958 100 0.76 1,942 0.38

2009 4.81 6.37 7.40 -n/a- -n/a- 2,122 100 0.71 2,270 0.47

2010 1.14 2.66 3.40 -n/a- -n/a- 2,449 100 0.53 2,528 0.56

2011 4.75 6.31 6.93 3.18 3.33 2,491 100 0.78 2,451 0.55

20122 0.87 2.38 2.96 2.28 2.42 2,542 100 0.39 2,248 0.49

2013 -1.06 0.43 0.81 2.13 2.38 1,038 100 0.42 2,177 0.48

2014 0.80 2.31 3.19 1.77 2.14 1,042 100 0.37 1,981 0.43

2015 0.55 2.06 2.43 1.76 2.13 1,044 100 0.18 1,856 0.43

2016 -1.62 -0.14 -0.39 2.20 2.47 1,057 100 0.17 1,673 0.40

2017 1.30 2.81 3.14 2.32 2.63 1,003 100 0.26 1,492 0.34

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 toDecember 31, 2016. 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 theGIPS 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, Western Asset Management Company Limited, Western Asset Management Company Pte. Ltd., WesternAsset Management Company Ltd, Western Asset Management Company Pty Ltd, and Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, with offices in Pasadena, New York, London, Singapore, Tokyo, Melbourne,São Paulo, Hong Kong, and Dubai. 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 ManagementCompany 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 – Current Market 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. Western Asset selects municipal securitiesfor portfolios with a focus on diversification within sectors, regions and high credit quality. Western Asset seeks to enhance returns and reduce risks by taking advantage of shifts in the municipal yield curve, credit quality spreads and variations in market sectors. Thecomposite 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.2Effective January 1, 2012, the WA Intermediate Term Muni Composite merged with the WA Current Market Muni Composite as they are the same strategy.For comparison purposes, composite returns are shown against returns of the Bloomberg Barclays U.S. Municipal Bond Index, 5-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” grossmonthly 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 andare 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 notavailable for the composite or the benchmark.Past investment results are not indicative of future investment results.Western Asset’s list of composite descriptions and policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Please contact Ellen Cammer at 212-601-6064 or Ellen.Cammer@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 theperformance of short-term government bonds. Please note an investor cannot invest directlyin an index.

The Bloomberg Barclays 1-Year Municipal Bond Index is an unmanaged index composedof 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 indexrepresentative of the medium term (4 to 6 years) tax-exempt bond market.

The Bloomberg Barclays Asset-Backed Securities Index is composed of debt securitiesbacked by credit card, auto and home equity loans that are rated investment grade or higherby 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 ofat least $50 million. Price, coupon and total return are reported on a month-end to month-endbasis. All returns are market value-weighted inclusive of accrued interest but do not includeadjustments for advisory fees or other expenses.

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

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 FundingCorporation (REFCORP), and the Federal Home Loan Bank System (FHLB). The indexincludes both callable and non-callable agency securities.

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

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 foreigndebentures and secured notes that meet the specified maturity, liquidity, and qualityrequirements. To qualify, bonds must be SEC-registered. The U.S. Credit Index is the sameas 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 (forreturns).

The Bloomberg Barclays U.S. Government/Credit Bond Index includes the BloombergBarclays U.S. Government bond Index and the Barclays Credit Bond Index. The GovernmentIndex includes all public U.S. Treasury obligations and the debt of U.S. Government agenciesand quasi-federal corporations. The Credit Index includes corporates (industrial, utility andfinance 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 marketvalue weighted performance benchmark for government and corporate fixed-rate debtissues (rated Baa/BBB or higher) with maturities between one and ten years.

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

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

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

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

Investors cannot invest directly in an index and unmanaged index returns do not reflect anyfees, 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 thebondholder’s principal and final interest payment when it reachesmaturity on that date. Bond yields are frequently calculated on ayield-to-maturity basis.

Duration (Modified Duration) is the measure of the price sensitivityof a fixed income security to an interest rate change of 100 basispoints. Calculation is based on the weighted average of the presentvalues for all cash flows.

Yield to Worst (YTW) is based on a portfolio’s current holdings onone specific day, is gross of all portfolio expenses, and is calculatedbased on assumptions that prepayment occurs if the bond has call orput provisions and the issuer can offer a lower coupon rate based oncurrent market rates. If market rates are higher than the current yieldof a bond, the YTW calculation will assume no prepayments aremade, and YTW will equal the yield to maturity. The YTW will be thelowest of yield to maturity or yield to call (if the bond has prepaymentprovisions). The YTW of a bond portfolio is the market-weightedaverage of the YTWs of all the bonds in the portfolio.

Insured municipal bonds are ones where scheduled interest andprincipal payments are guaranteed by AAA-rated municipal bondinsurers.

General Obligation municipal bonds are backed by the credit andtaxing power of the issuing jurisdiction rather than the revenue of agiven project.§

Revenue bonds are municipal bonds supported by the revenue froma specific project.

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

Effective Duration is a duration calculation for bonds withembedded options. Effective duration takes into account thatexpected cash flows will fluctuate as interest rates change.

Average Maturity is the average length of maturity for all fixed-ratedebt 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 theannual coupon payments paid by the issuer relative to a bond’s faceor par value.

Yield to Maturity - The rate of return anticipated on a bond if it isheld until the maturity date. The calculation of YTM takes intoaccount the current market price, par value, coupon interest rate andtime to maturity.

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

Alpha is a measure of the difference between actual returns andexpected 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 betweenthe portfolio and its benchmark. R-squared at 1.0 implies perfectlinear relationship and zero implies no relationship exists. Standarddeviation is based on quarterly data.

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

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

An Up Market Capture Ratio greater than 1.0 indicates a managerwho has outperformed the benchmark in the benchmark’s positivequarters.

A Down Market Capture Ratio of less than 1.0 indicates a managerwho has outperformed the relative benchmark in the benchmark’snegative quarters.

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Brandywine Global

Clarion Partners

ClearBridge Investments

EnTrustPermal

Martin Currie

QS Investors

RARE Infrastructure

Royce & Associates

Western Asset leggmason.com

Legg Mason is a leading global investment company committed to helping clients reach their financial goals through long-term, actively managed investment strategies.

• A broad mix of equities, fixed-income, alternatives and cash strategies invested worldwide

• A diverse family of specialized investment managers, each with its own independent approach to research and analysis

• Over a century of experience in identifying opportunities and delivering astute investment solutions to clients

Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment adviser. Client portfolios are managed based oninvestment instructions or advice provided by one or more of the following Legg Mason-affiliated sub-advisers: ClearBridge Investments, LLC. and Western Asset Management Company. Management isimplemented by LMPPG, the designated subadviser or, in the case of certain programs, the program sponsor or its designee.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 notintended 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, ifany, 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 seekadvice 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 suchfees 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 strategyor type of retirement account. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financialprofessional.©2018 Legg Mason Investor Services, LLC, member FINRA, SIPC. Legg Mason Investor Services, LLC and Western Asset Management Company are subsidiaries of Legg Mason, Inc.FN1313262 SMA0011 PPG-Q118-V1§