Annual Report and Audited Financial Statements

Legg Mason Funds ICVC

28 February 2021 – (Long Form Version) Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Table of Contents

Report of the Authorised Corporate Director* 3

Report of Depositary 5

Economic and Market Overview 6

Statement of Authorised Corporate Director’s Responsibilities 7

12 Month Performance 8

Legg Mason Funds ICVC’s Fund Range 11

Independent Auditors’ Report to the Shareholders of the Legg Mason Funds ICVC 12

Accounting Policies 15

Fund Specific Information – please refer to the specific report for the Fund(s) that you hold

Legg Mason IF Brandywine Global Income Optimiser Fund 19

Legg Mason IF ClearBridge Global Equity Income Fund 40

Legg Mason IF ClearBridge Global Infrastructure Income Fund 57

Legg Mason IF ClearBridge US Equity Fund 83

Legg Mason IF ClearBridge US Equity Income Fund 96

Legg Mason IF Japan Equity Fund 114

Legg Mason IF Martin Currie Asia Unconstrained Fund 128

Legg Mason IF Martin Currie Emerging Markets Fund 146

Legg Mason IF Martin Currie European Unconstrained Fund 160

Legg Mason IF Martin Currie Global Unconstrained Fund 178

Legg Mason IF Martin Currie US Unconstrained Fund 197

Legg Mason IF QS Emerging Markets Equity Fund 211

Legg Mason IF QS UK Equity Fund 221

Legg Mason IF Royce US Smaller Companies Fund 234

Legg Mason IF Western Asset Global Multi Strategy Bond Fund 248

Legg Mason IF Western Asset Retirement Income Bond Fund 276

Portfolio Statements* 302

Investor Information 354

Investment Funds Information* 357

Investment Managers* 357

Glossary 358

* These reports with the addition of the fund review section of each sub-fund comprise the Authorised Corporate Director’s Report.

2 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Report of the Authorised Corporate Director

Legg Mason Investment Funds Limited, the authorised corporate director (the “ACD”) of Legg Mason Funds ICVC (the “Company”) is pleased to present the Annual Report & Financial Statements for the Company for the year ended 28 February 2021.The Company is a UK authorised open-ended investment company (“OEIC”). It is organised in the form of an umbrella company and, as at 28 February 2021, has sixteen constituent sub-funds (each a “Fund”) spanning major asset classes around the world.

Authorised Status The Company is an investment company with variable capital (“ICVC”) incorporated in England and Wales and was authorised by the Financial Services Authority (now the Financial Conduct Authority) on 31 July 2003 under regulation 12 (Authorisation) of the Open- Ended Investment Companies Regulations 2001, as amended, (the “OEIC Regulations”). The Company is a UK UCITS scheme for the purposes of the COLL Sourcebook and an umbrella scheme. Each Fund is operated as a distinct fund with its own portfolio of investments and its own investment objective.The investment objective for each active Fund and the policy for achieving that objective are set out in the “Investment Objective and Policy” section of each Fund’s report. The investment activities of each active Fund are set out in the “Portfolio Summary” section of the report and accounts. Shareholders are not liable for the debts of the Company.

Fund Liabilities Under the OEIC Regulations, each Fund is a segregated portfolio of assets and those assets can only be used to meet the liabilities of, or claims against, that Fund. Whilst the provisions of the OEIC Regulations provide for segregated liability between Funds, the concept of segregated liability is relatively new. Accordingly, where claims are brought by local creditors in foreign courts or under foreign law contracts, it is not yet known whether a foreign court would give effect to the segregated liability and cross-investment provisions contained in the OEIC Regulations.Therefore, it is not possible to be certain that the assets of a Fund will always be completely insulated from the liabilities of another Fund of the Company in every circumstance.

Cross Holdings No sub-funds had holdings in any other sub-fund of the Company at the end of the year.

Securities FinancingTransactions During the year ended 28 February 2021 the Sub-funds did not partake in Securities Financing Transactions.

Funds Update Legg Mason IF Martin Currie Asia Pacific Fund On 1 September 2020, shareholders in the Legg Mason IF Martin Currie Asia Pacific Fund were notified of a proposed merger. On 26 October 2020 the Legg Mason IF Martin Currie Asia Pacific Fund was merged into the Legg Mason IF Martin Currie Asia Unconstrained Fund. Legg Mason IF ClearBridge Global Infrastructure Income Fund On 29 May 2020, shareholders in the Legg Mason IF RARE Global Infrastructure Income Fund were notified of a proposed change to the funds name. On 29 June 2020 the name of the fund changed to Legg Mason IF ClearBridge Global Infrastructure Income Fund. Legg Mason IF Japan Equity Fund On 31 July 2020, the investment manager of the fund changed from Shiozumi Asset Management Company Limited to Martin Currie Investment Management Limited. Sub-delegation of investment management responsibilities was then given to Shiozumi Asset Management Company Limited. Legg Mason IF Martin Currie Global Unconstrained Fund On 30 October 2020, investors in the Legg Mason IF Martin Currie Global Equity Income Fund were notified of an extraordinary general meeting (“EGM”) in which shareholders in the fund were asked to approve a change of: (i) investment objective and policy, (ii) fund name, (iii) allocation of payments policy and (iv) income smoothing policy. On 25 November 2020, shareholders voted in favour of the proposals. On 27 November 2020, the changes became effective.

Directors of the Authorised Corporate Director Irene Brodie Fionnuala Doris (Independent Director) John Justin Eede (resigned 31 January 2021) Martyn Gilbey (appointed 27 January 2021) Joseph Keane (Independent Director) Christopher Kings Victoria Rock (appointed 14 April 2020 and resigned 30 September 2020) Jaspal Sagger

Important Events During theYear On 31st July 2020 Franklin Resources, Inc., a global investment management organisation with subsidiaries operating as Franklin Templeton, announced that it had completed its previously announced acquisition of Legg Mason, Inc. and its specialist investment managers. On 2 March 2020 the Fund Accountant and Custodian was changed from State Street Bank & Trust Company to The Bank of New York Mellon (International) Limited.

3 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Report of the Authorised Corporate Director (continued)

Important Events During theYear (continued) On 2 March 2020, the Depositary was changed from State StreetTrustees Limited toThe Bank of NewYork Mellon (International) Limited. On 1 April 2020, the method of charging expenses outside of the annual management charge was changed from the general administration charge to administration expenses. This was to be able to better pass on cost savings to shareholders.

Known Important Events During the ComingYear On 22 February 2021, shareholders were notified of: (i) an investment policy clarification to the Legg Mason IF QS UK Equity Fund, Legg Mason IF Martin Currie Emerging Markets Fund & Legg Mason IF Martin Currie Asia Unconstrained Fund, (ii) a performance benchmark change to the Legg Mason IF ClearBridge US Equity Fund. These updates became effective on 7 May 2021. Also notified on 22 February 2021, shareholders in Class A shares were notified of the intention to convert Class A shares into the cheaper (except for Legg Mason IF Western Asset Retirement Income Bond Fund where the fees were reduced previously) Class X shares. The share class conversions were completed on 10 May 2021. Shareholders were notified on 1 June 2021 of: (i) the authorised corporate director of the Company (the “ACD”) change from Legg Mason Investment Funds Limited to Franklin Templeton Fund Management Limited, (ii) the name of the Company change from Legg Mason Funds ICVC to FranklinTempleton Funds II, (iii) the change of the names of each of the Funds to reflect the name of the new ACD (through the use of the prefix “FTF”). It is expected that these updates will become effective on 7 August 2021.

J. Sagger C.Kings For and on behalf of Legg Mason Investment Funds Limited Authorised Corporate Director of Legg Mason Funds ICVC 18 June 2021

4 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Report of Depositary

The Depositary must ensure that the Company is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Open-Ended Investment Companies Regulations 2001 (SI 2001/1228), as amended, the Financial Services and Markets Act 2000, as amended, (together “the Regulations”), the Company’s Instrument of Incorporation and Prospectus (together “the Scheme documents”) as detailed below. The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Company and its investors. The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Company in accordance with the Regulations. The Depositary must ensure that: • the Company’s cash flows are properly monitored and that cash of the Company is booked into the cash accounts in accordance with the Regulations; • the sale, issue, repurchase, redemption and cancellation of shares are carried out in accordance with the Regulations; • the value of shares of the Company are calculated in accordance with the Regulations; • any consideration relating to transactions in the Company’s assets is remitted to the Company within the usual time limits; • the Company’s income is applied in accordance with the Regulations; and • the instructions of the Authorised Fund Manager (“the AFM”) which is the UCITS Management Company, are carried out (unless they conflict with the Regulations). The Depositary also has a duty to take reasonable care to ensure that Company is managed in accordance with the Regulations and Scheme documents in relation to the investment and borrowing powers applicable to the Company. Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Company, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Company, acting through the AFM: (i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Company’s shares and the application of the Company’s income in accordance with the Regulations and the Scheme documents of the Company, and (ii) has observed the investment and borrowing powers and restrictions applicable to the Company.

The Bank of NewYork Mellon (International) Limited One Canada Square London E14 5AL 18 June 2021

5 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Economic and Market Overview

Special Note During the reporting period, the outbreak of the respiratory illness COVID-19 (commonly referred to as coronavirus) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets.The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, is not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Funds by its service providers.

Global Economic Review The global economy was significantly impacted by the repercussions from the COVID-19 pandemic during the reporting period. As the virus spread, governments around the world instituted lockdowns in an attempt to stem the outbreak. This triggered a severe global recession in the second quarter of 2020. Global central banks were extremely aggressive in their response to support their economies. In addition, many governments introduced substantial fiscal measures. These actions, along with the introduction of several highly effective vaccines, helped the global economy to rebound as the reporting period progressed. In its January 2021World Economic Outlook (WEO) Update, the International Monetary Fund (IMF) said, “Multiple vaccine approvals and the launch of vaccination in some countries in December have raised hopes of an eventual end to the pandemic. Moreover, economic data released after the October 2020 WEO forecast suggest stronger-than-projected momentum on average across regions in the second half of 2020.”From a regional perspective, the IMF projects that 2021 gross domestic product (GDP) growth in the U.S., eurozone, UK and Japan will be 5.1%, 4.2%, 4.5% and 3.1%, respectively. For comparison purposes, the GDP of these economies were forecast to be -3.4%, -7.2%, -10.0% and -5.1%, respectively, in 2020.

Market Review – Fixed Incomei The global fixed income market was volatile amid periods of both investor risk aversion and risk appetite. In the US, short-term U.S. Treasury yields moved sharply lower, as the Federal Reserve Board (“Fed”)ii held the federal funds rateiii in a range between 0.00% and 0.25% for much of the reporting period. Two year Treasury yieldsiv began the period at 0.86% and ended the period at 0.14% (yields and prices move in the opposite direction). In contrast, long-term USTreasury yields moved sharply higher. Much of this increase occurred late in the period, as positive economic data triggered inflationary concerns and fears that the Fed may remove its monetary policy accommodation sooner than previously anticipated. US ten-year Treasury yields began the reporting period at 1.13%. Their low of 0.52% occurred on 4 August 2020 and they ended the period at 1.44%. This trend also occurred in a number of developed market countries outside the US. All told, most spread sectors (non-USTreasuries) posted positive, albeit in many cases modest returns, over the reporting period. These included, investment-gradev corporate bondsvi and US dollar-denominated emerging market sovereign debt. In contrast, lower-rated corporate bonds generated strong results.

Market Review – Global Equitiesvii Following the initial negative impact from COVID-19, the global equity market then rallied sharply.This turnaround was due to a number of factors, including the aggressive actions by global central banks and governments, the rollout of several COVID-19 vaccines, the resolution of the US election and the long-awaited Brexit agreement. Against this backdrop, investor risk appetite was generally robust, as they anticipated a sustainable global economic recovery and improving corporate results in 2021. All told, equities in the US and other developed market countries, as well as emerging market countries, produced outstanding results during the reporting period.

Legg Mason Investment Funds Limited It should be noted that the value of investments and the income from them may go down as well as up. Investment involves risks, including the possible loss of the amount invested. Past performance is not a reliable indicator of future results. This information and data in this material has been prepared from sources believed reliable but is not guaranteed in any way by Legg Mason Investment Funds Limited nor any Franklin Resources, Inc. company or affiliate (together “Legg Mason”). No representation is made that the information is correct as of any time subsequent to its date. Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors. This material is not intended for any person or use that would be contrary to local law or regulation. Legg Mason is not responsible and takes no liability for the onward transmission of this material. Issued and approved by Legg Mason Investment Funds Limited, registered office 201 Bishopsgate, London, EC2M 3AB. Registered in England and Wales, Company No. 970167. Authorised and regulated by the UK Financial Conduct Authority.

i Fixed income – bonds. v Investment grade – a credit rating that means a government or ii US Federal Reserve – the central bank of the United States and corporate bond has a relatively low risk of default. the most powerful financial institution in the world. vi Corporate bond – a bond issued by a corporation to raise iii The federal funds rate is the target interest rate set by the money effectively in order to expand its business. Federal Open Market Committee at which commercial banks vii Equity – ownership interest in a corporation in the form of borrow and lend their excess reserves to each other overnight. common stock or preferred stock. iv Treasury yield – interest rates on borrowing that is paid by the government.

6 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Statement of Authorised Corporate Director’s Responsibilities

The OEIC Regulations and COLL (together, the “Regulations”) require the ACD to prepare financial statements for each annual and half-yearly accounting period which give a true and fair view of the net revenue or net expense and the net capital gains or losses on the property of the Company for the accounting period and the financial position of the Company as at the end of the period. In preparing the financial statements the ACD shall: • select suitable accounting policies and apply them consistently; • comply with the Statement of Recommended Practice for financial statements of authorised funds issued by the Investment Management Association in May 2014, COLL, the Prospectus and Instrument of Incorporation; • follow generally accepted accounting principles and applicable accounting standards, subject to any material departures which shall be disclosed and explained in the financial statements; • keep proper accounting records which enable it to demonstrate that the financial statements as prepared comply with the above requirements; and • take reasonable steps for the prevention and detection of fraud or other irregularities.

Legg Mason Investment Funds Limited London 18 June 2021

7 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

12 Month Performance

Performance Performance Since Inception 6 months to Mar. 2020 to Mar. 2019 to Mar. 2018 to Mar. 2017 to Mar. 2016 to 5Yearsto Inception to Fund Name Date 28/02/2021 Feb. 2021 Feb. 2020 Feb. 2019 Feb. 2018 Feb. 2017 28/02/2021 28/02/2021 Percentage change (%) Legg Mason IF Brandywine Global Income Optimiser Fund A Inc. 19.12.2011 4.08 12.06 9.29 (0.68) 1.66 13.58 40.46 68.02 Legg Mason IF Brandywine Global Income Optimiser Fund I Acc. 13.02.2019 4.30 12.44 9.77 – – – – 23.80 Legg Mason IF Brandywine Global Income Optimiser Fund I Inc. 15.05.2020 4.31 – – – – – – 13.59 Legg Mason IF Brandywine Global Income Optimiser Fund S Acc. 02.10.2017 4.31 12.50 10.04 (0.03) – – – 23.30 Legg Mason IF Brandywine Global Income Optimiser Fund S Inc. 08.08.2017 4.28 12.51 10.03 (0.03) – – – 23.70 Legg Mason IF Brandywine Global Income Optimiser Fund X Acc. 01.08.2014 4.19 12.20 9.52 (0.55) 1.01 13.81 40.48 34.30 Legg Mason IF Brandywine Global Income Optimiser Fund X Inc. 19.12.2011 4.18 12.27 9.52 (0.64) 1.95 13.90 41.88 73.93 Legg Mason IF ClearBridge Global Equity Income Fund A Acc. 23.05.2008 18.83 10.85 (3.97) (8.23) 7.97 33.72 41.04 119.60 Legg Mason IF ClearBridge Global Equity Income Fund A Inc. 23.05.2008 18.85 10.87 (4.00) (8.25) 7.99 33.82 41.14 119.02 Legg Mason IF ClearBridge Global Equity Income Fund X Acc. 29.01.2013 19.01 11.23 (3.77) (8.01) 8.24 34.13 42.95 73.40 Legg Mason IF ClearBridge Global Equity Income Fund X Inc. 10.06.2013 18.97 11.13 (3.75) (7.98) 8.20 34.24 42.94 66.10 Legg Mason IF ClearBridge Global Infrastructure Income Fund A Acc. 01.07.2016 2.02 (0.07) 18.66 16.32 (4.39) – – 41.10 Legg Mason IF ClearBridge Global Infrastructure Income Fund A Acc. (Hedged) 15.01.2019 4.20 1.20 16.06 – – – – 26.50 Legg Mason IF ClearBridge Global Infrastructure Income Fund A Inc. 01.07.2016 2.02 0.09 16.29 16.24 (4.27) – – 38.57 Legg Mason IF ClearBridge Global Infrastructure Income Fund A Inc. (Hedged) 15.01.2019 4.15 1.20 16.21 – – – – 26.54 Legg Mason IF ClearBridge Global Infrastructure Income Fund S Acc. 01.07.2016 2.29 0.71 17.09 17.12 (3.81) – – 42.80 Legg Mason IF ClearBridge Global Infrastructure Income Fund S Acc. (Hedged) 01.08.2016 4.41 1.70 16.90 16.99 (0.58) – – 37.20 Legg Mason IF ClearBridge Global Infrastructure Income Fund S Inc. 01.07.2016 2.32 0.61 17.07 17.05 (3.70) – – 42.72 Legg Mason IF ClearBridge Global Infrastructure Income Fund S Inc. (Hedged) 02.08.2016 4.47 1.65 16.85 17.04 (0.55) – – 37.74 Legg Mason IF ClearBridge Global Infrastructure Income Fund X Acc. 01.07.2016 2.11 0.29 16.69 16.54 (4.10) – – 40.20 Legg Mason IF ClearBridge Global Infrastructure Income Fund X Acc. (Hedged) 07.09.2016 4.69 1.57 16.22 16.49 (1.01) – – 36.10 Legg Mason IF ClearBridge Global Infrastructure Income Fund X Inc. 01.07.2016 2.12 0.33 16.59 16.68 (4.10) – – 40.30 Legg Mason IF ClearBridge Global Infrastructure Income Fund X Inc.(Hedged) 26.08.2016 4.38 1.68 16.23 16.37 (0.98) – – 36.91 Legg Mason IF ClearBridge US Equity Fund A Acc. 02.01.2003 27.18 34.76 (1.43) 0.75 (2.50) 42.89 86.44 189.90 Legg Mason IF ClearBridge US Equity Fund X Acc. 18.12.2012 27.33 35.04 (1.16) 1.03 (2.29) 43.27 88.77 187.50

8 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

12 Month Performance (continued)

Performance Performance Since Inception 6 months to Mar. 2020 to Mar. 2019 to Mar. 2018 to Mar. 2017 to Mar. 2016 to 5Yearsto Inception to Fund Name Date 28/02/2021 Feb. 2021 Feb. 2020 Feb. 2019 Feb. 2018 Feb. 2017 28/02/2021 28/02/2021 Percentage change (%) Legg Mason IF ClearBridge US Equity Income Fund A Inc. 17.10.2011 2.78 10.13 7.38 8.86 2.58 31.06 73.09 193.44 Legg Mason IF ClearBridge US Equity Income Fund S Inc. 14.10.2020 – – – – – – – 1.04 Legg Mason IF ClearBridge US Equity Income Fund X Acc. 17.10.2011 2.92 10.52 7.80 9.28 2.94 31.64 76.44 210.00 Legg Mason IF ClearBridge US Equity Income Fund X Inc. 17.10.2011 2.95 10.54 7.77 9.33 2.93 31.64 76.47 210.02 Legg Mason IF ClearBridge US Equity Income Fund X Inc. (Hedged) 17.10.2011 7.26 16.91 2.70 3.03 13.11 16.59 63.15 151.09 Legg Mason IF Japan Equity Fund A Acc. 08.10.1996 10.64 54.25 (1.76) (12.40) 42.73 23.00 133.02 833.02 Legg Mason IF Japan Equity Fund A Acc. (Hedged) 28.07.2014 16.67 61.51 (6.29) (11.88) 51.82 7.32 117.31 217.70 Legg Mason IF Japan Equity Fund X Acc. 18.12.2012 10.79 54.66 (1.52) (12.19) 43.09 23.33 136.02 512.00 Legg Mason IF Japan Equity Fund X Acc. (Hedged) 01.03.2013 16.79 62.04 (5.97) (12.57) 51.74 8.89 120.11 392.60 Legg Mason IF Martin Currie Asia Unconstrained Fund A Acc. 27.09.2019 11.78 22.04 – – – – – 15.80 Legg Mason IF Martin Currie Asia Unconstrained Fund X Acc. 27.09.2019 12.04 22.43 – – – – – 16.30 Legg Mason IF Martin Currie Asia Unconstrained Fund X Inc. 06.11.2019 12.01 22.46 – – – – – 15.58 Legg Mason IF Martin Currie Emerging Markets Fund A Acc. 09.09.1991 18.68 32.64 7.92 (7.25) 24.96 49.48 147.99 810.01 Legg Mason IF Martin Currie Emerging Markets Fund S Acc. 23.01.2019 19.00 33.45 8.60 – – – – 51.60 Legg Mason IF Martin Currie Emerging Markets Fund X Acc. 17.06.2002 18.81 32.97 8.18 (7.02) 25.31 49.95 151.30 504.01 Legg Mason IF Martin Currie European Unconstrained Fund A Acc. 06.05.1985 10.93 28.67 14.05 (1.48) 10.45 21.47 93.97 2,870.86 Legg Mason IF Martin Currie European Unconstrained Fund A Inc. 01.03.2012 10.92 28.67 14.06 (1.50) 10.46 21.43 93.89 158.15 Legg Mason IF Martin Currie European Unconstrained Fund S Acc. 19.12.2018 11.32 29.56 14.96 – – – – 61.30 Legg Mason IF Martin Currie European Unconstrained Fund X Acc. 17.06.2002 11.07 29.00 14.33 (1.24) 10.72 21.82 96.48 368.29 Legg Mason IF Martin Currie European Unconstrained Fund X Inc. 01.03.2012 11.07 28.99 14.35 (1.25) 10.74 21.86 96.57 169.96 Legg Mason IF Martin Currie Global Unconstrained Fund A Acc. 01.11.2010 6.51 11.29 7.96 2.98 3.19 25.82 60.64 124.59 Legg Mason IF Martin Currie Global Unconstrained Fund A Inc. 01.11.2010 6.53 11.25 7.98 3.15 3.18 25.76 60.80 125.04 Legg Mason IF Martin Currie Global Unconstrained Fund I Inc. 16.02.2017 6.84 12.02 7.12 3.73 3.76 – – 30.32 Legg Mason IF Martin Currie Global Unconstrained Fund X Acc. 01.11.2010 6.62 11.53 8.27 3.23 3.40 26.14 62.59 136.76 Legg Mason IF Martin Currie Global Unconstrained Fund X Inc. 01.11.2010 6.68 11.51 8.26 3.42 3.40 26.14 62.84 137.28 Legg Mason IF Martin Currie US Unconstrained Fund A Acc. 01.09.1983 3.26 24.68 14.69 12.53 7.21 32.55 128.68 2,554.42

9 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

12 Month Performance (continued)

Performance Performance Since Inception 6 months to Mar. 2020 to Mar. 2019 to Mar. 2018 to Mar. 2017 to Mar. 2016 to 5Yearsto Inception to Fund Name Date 28/02/2021 Feb. 2021 Feb. 2020 Feb. 2019 Feb. 2018 Feb. 2017 28/02/2021 28/02/2021 Percentage change (%) Legg Mason IF Martin Currie US Unconstrained Fund X Acc. 17.06.2002 3.38 25.00 14.95 12.82 7.48 32.98 131.69 469.76 Legg Mason IF Martin Currie US Unconstrained Fund X Acc. (Hedged) 02.09.2009 7.55 32.22 9.51 6.66 17.75 18.07 114.70 294.40 Legg Mason IF QS UK Equity Fund A Acc. 31.10.1995 14.08 10.40 (1.19) (0.68) (0.22) 6.22 14.84 251.05 Legg Mason IF QS UK Equity Fund X. Acc. 29.01.2013 14.26 10.74 (0.92) (0.49) 0.07 6.47 16.33 54.60 Legg Mason IF Royce US Smaller Companies Fund A Acc. 29.03.2004 32.81 35.34 (0.94) 5.58 (2.31) 45.08 100.61 397.10 Legg Mason IF Royce US Smaller Companies Fund A Acc. (Hedged) 26.01.2012 38.15 42.10 (5.58) (0.13) 6.61 37.56 96.51 114.00 Legg Mason IF Royce US Smaller Companies Fund X Acc. 06.12.2012 32.98 35.66 (0.67) 5.82 (2.08) 45.50 103.18 162.10 Legg Mason IF Royce US Smaller Companies Fund X Acc. (Hedged) 20.06.2013 38.39 42.34 (5.26) 0.14 6.69 28.52 85.16 89.60 Legg Mason IF Western Asset Global Multi Strategy Bond Fund A Inc. 23.05.2008 2.55 2.05 5.85 (0.50) 2.30 15.45 26.93 51.30 Legg Mason IF Western Asset Global Multi Strategy Bond Fund I Acc. 17.11.2011 2.77 2.48 6.32 (0.15) 2.78 17.18 31.01 44.90 Legg Mason IF Western Asset Global Multi Strategy Bond Fund I Inc. 26.03.2009 2.69 2.47 6.25 (0.13) 2.71 15.93 29.47 83.04 Legg Mason IF Western Asset Global Multi Strategy Bond Fund X Acc. 11.09.2018 2.67 2.29 5.93 – – – – 11.50 Legg Mason IF Western Asset Global Multi Strategy Bond Fund X Inc. 05.11.2012 2.64 2.22 6.03 (0.39) 2.49 15.63 27.95 22.17 Legg Mason IF Western Asset Retirement Income Bond Fund A Inc. 12.02.1998 1.67 3.94 6.20 2.15 1.14 6.84 21.85 125.83 Legg Mason IF Western Asset Retirement Income Bond Fund I Inc. 15.01.2019 1.69 4.04 6.02 – – – – 12.05 Legg Mason IF Western Asset Retirement Income Bond Fund X. Acc. 15.01.2019 1.73 3.99 6.00 – – – – 12.00 Legg Mason IF Western Asset Retirement Income Bond Fund X. Inc. 07.01.2013 1.67 3.95 6.20 2.15 1.14 6.90 21.93 22.49 Source for performance figures: Legg Mason. Performance is calculated on a NAV to NAV basis, with net income reinvested and after deduction of annual fund expenses. Sales charges, taxes and other locally applied costs to be paid by an investor have not been deducted. Past performance is no guide to future returns and may not be repeated.

10 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

12 Month Performance (continued)

Legg Mason Funds ICVC’s Fund Range Fund Investment Manager Legg Mason IF Brandywine Global Income Optimiser Fund Brandywine Global Investment Management, LLC Legg Mason IF ClearBridge Global Equity Income Fund ClearBridge Investments, LLC Legg Mason IF ClearBridge Global Infrastructure Income Fund ClearBridge RARE Infrastructure Limited Legg Mason IF ClearBridge US Equity Fund ClearBridge Investments, LLC Legg Mason IF ClearBridge US Equity Income Fund ClearBridge Investments, LLC Legg Mason IF Japan Equity Fund Martin Currie Investment Management Limited* Legg Mason IF Martin Currie Asia Unconstrained Fund Martin Currie Investment Management Limited Legg Mason IF Martin Currie Emerging Markets Fund Martin Currie Investment Management Limited Legg Mason IF Martin Currie European Unconstrained Fund Martin Currie Investment Management Limited Legg Mason IF Martin Currie Global Unconstrained Fund Martin Currie Investment Management Limited Legg Mason IF Martin Currie US Unconstrained Fund Martin Currie Investment Management Limited Legg Mason IF QS Emerging Markets Equity Fund QS Investors, LLC Legg Mason IF QS UK Equity Fund QS Investors, LLC Legg Mason IF Royce US Smaller Companies Fund Royce & Associates, LP Legg Mason IF Western Asset Global Multi Strategy Bond Fund Western Asset Management Company Limited Legg Mason IF Western Asset Retirement Income Bond Fund Western Asset Management Company Limited

* The Investment Manager has appointed Shiozumi Asset Management Company Limited as Sub Investment Manager under an agreement dated 31 July 2020 between the Investment Manager and Shiozumi Asset Management Company Limited. Shiozumi Asset Management Company Limited is not owned by or affiliated with Martin Currie Investment Management Limited or Franklin Resources, Inc.

11 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Independent Auditors’ Report to the Shareholders of the Legg Mason Funds ICVC

Report on the audit of the financial statements Opinion In our opinion, the financial statements of Legg Mason Funds ICVC’s (the Company): • give a true and fair view of the financial position of the Company and each of the sub-funds as at 28 February 2021 and of the net revenue/expenses and the net capital gains/losses of the scheme property of the Company and each of the sub-funds for the year then ended; and • have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Instrument of Incorporation. Legg Mason Funds ICVC is an Open Ended Investment Company (“OEIC”) with 16 sub-funds. The financial statements of the Company comprise the financial statements of each of the sub-funds. We have audited the financial statements, included within the Annual Report and Audited Financial Statements (the “Annual Report”), which comprise: the Balance Sheets as at 28 February 2021; the Statements of Total Return, the Statements of Change in Net Assets attributable to Shareholders for the year then ended; the Distribution Tables; the Accounting Policies; and the Notes to the Financial Statements.

Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence We remained independent of the Company in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Emphasis of matter – Basis of preparation In forming our opinion on the financial statements, which is not modified, we draw attention to note 1 of the Accounting Policies which describes the Authorised Corporate Director’s reasons why the financial statements of Legg Mason IF QS Emerging Markets Equity Fund have been prepared on a basis other than going concern. All other sub-funds in these financial statements have been prepared on a going concern basis.

Conclusions relating to going concern Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or collectively, may cast significant doubt on the Company’s or any sub-funds’ ability to continue as a going concern for a period of at least twelve months from the date on which the financial statements are authorised for issue. In auditing the financial statements, we have concluded that the Authorised Corporate Director’s use of the going concern basis of accounting in the preparation of the financial statements is appropriate (excluding the sub-fund referred to in the Emphasis of Matter above where the financial statements are prepared on a basis other than going concern). However, because not all future events or conditions can be predicted, this conclusion is not a guarantee as to the Company’s or any sub-funds’ ability to continue as a going concern. Our responsibilities and the responsibilities of the Authorised Corporate Director with respect to going concern are described in the relevant sections of this report.

Reporting on other information The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Authorised Corporate Director is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.

Report of the Authorised Corporate Director In our opinion, the information given in the Authorised Corporate Director’s Report for the financial year for which the financial statements are prepared, is consistent with the financial statements.

12 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Independent Auditors’ Report to the Shareholders of the Legg Mason Funds ICVC (continued)

Responsibilities for the financial statements and the audit Responsibilities of the Authorised Corporate Director for the financial statements As explained more fully in the Statement of the Authorised Corporate Director’s Responsibilities, the Authorised Corporate Director is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view.The Authorised Corporate Director is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Authorised Corporate Director is responsible for assessing the Company’s and each of the sub-funds ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the Authorised Corporate Director either intends to wind up or terminate the Company or individual sub-fund, or has no realistic alternative but to do so.

Auditors’ responsibilities for the audit of the financial statements Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities, outlined above, to detect material misstatements in respect of irregularities, including fraud. The extent to which our procedures are capable of detecting irregularities, including fraud, is detailed below. Based on our understanding of the Company/industry, we identified that the principal risks of non-compliance with laws and regulations related to breaches of the Collective Investment Schemes sourcebook, and we considered the extent to which non-compliance might have a material effect on the financial statements, in particular those parts of the sourcebook which may directly impact on the determination of amounts and disclosures in the financial statements. We evaluated management’s incentives and opportunities for fraudulent manipulation of the financial statements (including the risk of override of controls), and determined that the principal risks were related to posting inappropriate journal entries to increase revenue or to increase the net asset value of the Company or the sub-funds and judgements and assumptions made by management in their significant accounting estimates. Audit procedures performed included: • Discussions with the Authorised Corporate Director, including consideration of known or suspected instances of non-compliance with laws and regulation and fraud; • Reviewing relevant meeting minutes, including those of the Authorised Corporate Director’s board of directors; • Identifying and testing journal entries, specifically any journals posted as part of the financial year end close process; and • Designing audit procedures to incorporate unpredictability around the nature, timing or extent of our testing. There are inherent limitations in the audit procedures described above. We are less likely to become aware of instances of non-compliance with laws and regulations that are not closely related to events and transactions reflected in the financial statements. Also, the risk of not detecting a material misstatement due to fraud is higher than the risk of not detecting one resulting from error, as fraud may involve deliberate concealment by, for example, forgery or intentional misrepresentations, or through collusion. A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditors’ report.

Use of this report This report, including the opinions, has been prepared for and only for the Company’s shareholders as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook as required by paragraph 67(2) of the Open-Ended Investment Companies Regulations 2001 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Other required reporting Opinion on matter required by the Collective Investment Schemes sourcebook In our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit.

Collective Investment Schemes sourcebook exception reporting Under the Collective Investment Schemes sourcebook we are also required to report to you if, in our opinion: • proper accounting records have not been kept; or • the financial statements are not in agreement with the accounting records.

13 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Independent Auditors’ Report to the Shareholders of the Legg Mason Funds ICVC (continued)

Collective Investment Schemes sourcebook exception reporting (continued) We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers LLP Chartered Accountants and Statutory Auditors Edinburgh 18 June 2021

14 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Accounting Policies

For the year ended 28 February 2021

1) Accounting and distribution policies Basis of preparation The financial statements of the sub-funds have been prepared on a going concern basis in accordance with FRS 102 and the Statement of Recommended Practice (SORP) for Authorised Funds issued by The Investment Management Association (‘the IMA SORP 2014’) with the exception of the Legg Mason IF QS Emerging Markets Equity Fund. The Legg Mason IF QS Emerging Markets Equity Fund was liquidated on 23rd April 2018 and it is the Authorised Corporate Director’s intention to terminate the sub-fund as soon as two remaining suspended securities can be disposed of. Accordingly, the financial statements of this sub-fund have been prepared on a basis other than going concern. In applying this basis of preparation, the assets and liabilities of this sub-fund continue to be stated at their fair values which materially equate to their residual values. No adjustments were necessary in the financial statements to reduce assets to their realisable values or to provide for liabilities arising from the decision. The sub-fund will continue to be liable for its ongoing Administration Expenses (as defined in the Prospectus dated 1 April 2020) and all other costs, including any costs related to the termination, will be met by the Authorised Corporate Director.

2) Revenue recognition Dividends receivable from equity and non equity shares are credited to revenue, net of attributable tax credits, when the security is quoted ex-dividend. Dividends on unquoted stocks are credited to revenue when the dividend is received. Interest and revenue earned on other securities are recognised on an accruals basis, other than fixed interest securities. For dividends on US Real Estate Investment Trusts (“REITs”), the allocation of the dividend between revenue and capital is adjusted following receipt of the capital/revenue split in the following calendar year. Overseas dividends are grossed up at the appropriate rate of withholding tax and the tax consequences are shown within the tax charge. Revenue of accumulation shares held in the underlying funds is recognised as revenue when the shares are quoted ex-distribution and included in the amount available for distribution. Revenue from offshore funds that is not distributed is recognised when it is reported. Equalisation received from distributions or accumulations on units or shares in underlying investments is treated as capital and deducted from the cost of the investment. In the case of fixed income securities, an effective yield method of accounting has been adopted resulting in the total revenue arising on a security being adjusted for the amortisation of any discount or premium over the life of the security. The effective yield method of accounting for revenue from fixed income securities may in some circumstances result in adjusting revenue in respect of changes in market value of the securities as a result of revised cash flow expectations. If any revenue receivable at the balance sheet date is not expected to be received for a significant period after the accounting period end, a provision reflecting the timing of the receipt for the relevant amount will be made. Returns on derivative transactions have been treated as either revenue or capital depending on the motives and circumstances on acquisition

3) Treatment of stock dividends Where the investment manager has elected to receive a dividend in the form of shares rather than cash, the dividend is treated as revenue and forms part of the distribution. Any enhanced elements of stock dividends will be treated as capital.

4) Special dividends Special dividends are recorded as either revenue or capital, depending on the nature and circumstances of the dividend receivable.

5) Treatment of expenses (including Authorised Corporate Director (“ACD”) expenses) All expenses (other than those relating to the purchase and sale of investments) are charged against revenue on an accruals basis except for Legg Mason IF Brandywine Global Income Optimiser Fund, Legg Mason IF ClearBridge Global Equity Income Fund, Legg Mason IF ClearBridge Global Infrastructure Fund, Legg Mason IF ClearBridge US Equity Income Fund (excluding ’S’ Shares), Legg Mason IF Western Asset Global Multi Strategy Bond Fund and Legg Mason IF Western Asset Retirement Income Bond Fund. The investment objective of these six Funds concentrates on the generation of revenue as a higher priority than capital growth. The ACD and the Depositary have agreed that 100% of the ACD’s periodic charge (the “AnnualManagement Charge”) is to be taken to capital for the purpose of calculating the distribution, as permitted by the Regulations. The distribution currently payable reflects this treatment together with any associated tax effects. The Annual Management Charge is calculated on the total net assets by the ACD.

General Administration Charge With effect from 1 April 2020, the method of charging expenses outside of the annual management charge was changed from the general administration charge to administration expenses.

6) Allocation of revenue and expenses to multiple share classes With the exception of the ACD’s periodic charge and the general administration charge which are directly attributable to individual share classes, all revenue and expenses are allocated to share classes pro rata to the value of the net assets of the relevant share class on the day that the revenue or expense occurred.

15 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Accounting Policies (continued)

For the year ended 28 February 2021

7) Allocation of return on hedged share classes Hedged share classes allow the ACD to use currency hedging transactions to reduce the effect of exchange rate fluctuations between the currencies held in the underlying portfolio of a Fund and the share class currency. Where undertaken, the allocation of return in relation to hedging transactions is applied in respect of that hedged share class only.

8) Distribution policy The distribution policy of the Funds is to distribute/accumulate all available revenue, after deduction of expenses properly chargeable against revenue, subject to any of the Annual Management Charge or other expense which may currently be transferred to capital for the purpose of calculating the distribution. In addition, portfolio transaction charges will be charged wholly to the capital of all Funds. Accordingly, the imposition of such charges may constrain the capital growth of every Fund. For the purpose of calculating the distribution, revenue on debt securities is computed on an effective yield basis, the same basis on which it is reflected in the financial statements for all Fixed Income Funds other than the Legg Mason IF Brandywine Global Income Optimiser Fund. For the purpose of calculating the distribution on the Legg Mason Brandywine Global Income Optimiser Fund, interest from debt securities is computed as the higher of the amount determined on a coupon basis and an effective yield basis.

9) Basis of valuation of investments The valuation point is 12 noon where this is business day or end of day where this is a non-business day on the last day of the accounting period, 28 February 2021. Listed investments are valued at market value. Market value is defined by the SORP as fair value which is the bid value of each security. Unlisted, illiquid or suspended securities are valued at the ACD’s best estimate of the amount that would be received from an immediate transfer at arm’s length. Where applicable, investment valuations exclude any element of accrued income.

10) Exchange rates Assets and liabilities denominated in foreign currencies are translated into sterling at the exchange rate prevailing on the last working day of the accounting period, 28 February 2021. Revenue and expenditure transactions are translated at the rates of exchange ruling on the dates of the transactions. Exchange differences on such transactions follow the same treatment as the principal amounts.

11) Taxation The charge for taxation is based on the results for the period. Provision is made for corporation tax at the current rate on the excess of taxable revenue over allowable expenses. In general, the tax accounting treatment follows that of the principal amount. Deferred tax is provided on all timing differences that have originated but not reversed at the balance sheet date other than those recorded as permanent differences. Deferred tax is provided at the average rate of tax expected to apply. Deferred tax assets are only recognised to the extent they are regarded as recoverable. Deferred tax assets and liabilities are not discounted to reflect the time value of money.

12) Efficient portfolio management Where appropriate, certain permitted transactions such as derivatives or forward foreign currency transactions are used for efficient portfolio management. Where such transactions are used to protect or enhance revenue, the revenue and expenses derived therefrom are included in “Revenue” or “Expenses” in the Statement of Total Return. Where such transactions are used to protect or enhance capital, the gains and losses derived therefrom are included in “Net gains/(losses)” on investments during the year in the Statement of Total Return. Any positions on such transactions open at the year end are reflected in the Balance Sheet at their marked to market value.

13) Derivatives The total net return respect of any derivative transactions entered into, is analysed between capital gain or loss, and revenue or expense dependent on the Fund’s investment objective and policy, as well as the underlying circumstances of the derivative instrument. Any net capital gains or losses are included within “Net capital gains/(losses)”, and any revenue or expense is included within “Revenue” or “Finance costs” respectively, in the Statement of Total return. Any positions open at the year end are reflected in the Balance Sheet at their market value, either using available market prices or the ACD’s assessment of the fair value. Cash held at futures brokers as margin is reflected separately within “Cash and bank balances”.

14) Financial Instrument Risks The main risks arising from the Company’s financial instruments are market price, foreign currency, liquidity, interest rate, credit, and default risks. The ACD reviews policies for managing each of these risks and these are summarised below. These policies have remained unchanged during the current year to which these financial statements relate and from the prior year.

16 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Accounting Policies (continued)

For the year ended 28 February 2021

14) Financial Instrument Risks (continued) Market price risk Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Company might suffer through holding market positions in the face of price movements.The ACD monitors on a daily basis the asset allocation of the portfolio in order to minimise the risk associated with particular countries and industry sectors whilst continuing to follow the investment objective. Each Fund’s Investment Manager has responsibility for monitoring the existing portfolio selected in accordance with the overall asset allocation parameter and seeks to ensure that individual stocks also meet the risk reward profile that is acceptable.

Foreign currency risk The revenue and capital value of the Company’s investments can be significantly affected by currency translation movements as some of the Company’s assets and revenue are denominated in currencies other than Sterling which is the Company’s functional currency. The ACD has identified three principal areas where foreign currency risk could impact the Company. • Movements in rates affect the value of investments • Movements in rates affect short term timing differences; and • Movements in rates affect the revenue received. Foreign currency exposure is monitored closely and is considered to be part of the overall investment process. Currency hedges via forward exchange contracts will be used in the event of one or more of the above mentioned risks being identified. The Company may be subject to short-term exposure to exchange rate movements, for instance, where there is a difference between the date an investment purchase or sale is entered into and the date when settlement of the proceeds occurs. The ACD may hedge against this risk. The Company receives revenue in currencies other than Sterling and the Sterling values of this revenue can be affected by movements in exchange rates. The ACD may hedge against this risk. Each of the Legg Mason IF ClearBridge Global Infrastructure Fund, Legg Mason IF Japan Equity Fund, Legg Mason IF Martin Currie US Unconstrained Fund and Legg Mason IF Royce US Smaller Companies Fund have hedged shares and non-hedged shares. With respect to the hedged shares in such Funds, it is intended to hedge the risk of changes in value between the currencies that are significant to the Fund’s investment strategy (the “Underlying Currencies”) and pounds sterling. However, there can be no guarantee that this strategy will be successful. No hedging strategy can eliminate currency risk entirely and should the strategy be incomplete or unsuccessful, the net asset value per share and investment performance of such share classes may remain vulnerable to changes in the value of the Underlying Currencies relative to the value of sterling. Furthermore, the use of share class hedging strategies may substantially limit shareholders in the relevant Hedged share class from benefiting if sterling falls against the Underlying Currencies.

Liquidity risk The Company’s assets comprise mainly readily realisable securities.The main liability of the Company is the redemption of any shares that investors wish to sell. The Funds may invest in market areas that may be subject to liquidity risk. Liquidity risk is a measure of how quickly an investment can be sold. Investments in smaller companies, smaller and more specialist stock markets and particular sectors of an economy tend to be less liquid than other kinds of investments. The less liquid an investment, the more its value tends to go up and down.

Interest rate risk The individual Funds, excluding the Legg Mason IF Western Asset Retirement Income Bond Fund, Legg Mason IF Western Asset Global Multi Strategy Bond Fund and Legg Mason IF Brandywine Global Income Optimiser Fund, invest predominately in equity shares and investments which neither pay interest nor have a maturity date. The individual Funds may also invest in fixed rate securities. The Legg Mason IF Western Asset Retirement Income Bond Fund, Legg Mason IF Western Asset Global Multi Strategy Bond Fund and Legg Mason IF Brandywine Global Income Optimiser Fund invest primarily in interest-bearing securities. Any change to the interest rates relevant for particular securities may result in either income increasing or decreasing or the ACD being unable to secure similar returns on the expiry of contracts or the sale of securities. In addition, changes to prevailing rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In general, if interest rates rise, the revenue potential of the individual Fund also rises, but the value of fixed rate securities will decline (along with certain expenses calculated by reference to the assets of the individual Fund). A decline in interest rates will generally have the opposite effect.

Credit risk (applies to Funds containing bonds only) Some Funds may invest in “investment grade” and/or “non-investment grade” bonds or debt securities and are therefore exposed to credit risk. Credit risk is the risk that a government or company that issues a fixed income security cannot repay principal or pay interest when due. This risk is higher when the fixed income security has a low credit rating – these fixed income securities are known as “non- investment grade bonds” or “non-investment grade debt securities” and have the potential for greater losses. The risk of default for “non-investment” grade bonds is also higher than with “investment grade” bonds – these factors may have a negative effect on the value of a Fund.

17 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Accounting Policies (continued)

For the year ended 28 February 2021

14) Financial Instrument Risks (continued) Credit risk (applies to Funds containing bonds only) (continued) In addition, the market for debt securities which are rated below “investment grade” and/or have a lower credit rating may be of lower liquidity and less active than for higher rated debt securities. A Fund’s ability to liquidate its holdings in response to changes in the economy or the financial markets may be further limited by factors such as adverse publicity and investor perception.

Default risk (applies to Funds containing bonds only) The Legg Mason IF Western Asset Retirement Income Bond Fund, Legg Mason IF Western Asset Global Multi Strategy Bond Fund and Legg Mason IF Brandywine Global Income Optimiser Fund invest in bonds that are at risk of default at any time. Bond defaults may be characterised by any missed or delayed payment of interest or principal, bankruptcy or breach of certain financial covenants that may render them financially distressed. The risk is minimised by regularly monitoring the bonds internally and externally through the ratings agencies.The Fund may also hold credit default swaps to manage their credit risk profile. Credit default swaps are used to take advantage of expected movements in credit spreads on either individual securities or baskets of securities.

Operational Risk The ACD has a risk framework in place to consider operational risks from business activities, which includes external events. In respect of this the ACD has considered that COVID-19 risks could have an adverse impact. The rapid and global spread of a highly contagious novel coronavirus respiratory disease, designated COVID-19, first detected in China in December 2019, has resulted in extreme volatility in the financial markets and severe losses; reduced liquidity of many instruments; restrictions on international and, in some cases, local travel, significant disruptions to business operations (including business closures); strained healthcare systems; disruptions to supply chains, consumer demand and employee availability; and widespread uncertainty regarding the duration and long-term effects of this pandemic. Some sectors of the economy and individual issuers have experienced particularly large losses. In addition, the COVID-19 pandemic may result in a sustained economic downturn or a global recession, domestic and foreign political and social instability, damage to diplomatic and international trade relations and increased volatility and/or decreased liquidity in the securities markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, are taking extraordinary actions to support local and global economies and the financial markets in response to the COVID-19 pandemic, including by pushing interest rates to very low levels. This and other government intervention into the economy and financial markets to address the COVID-19 pandemic may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results.The COVID-19 pandemic could adversely affect the value and liquidity of a fund’s investments, impair a fund’s ability to satisfy redemption requests, and negatively impact a fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to a fund by its service providers.

Other risks Certain transactions in securities that the Company enters into expose it to the risk that the counterparty will not deliver the investment (purchase) or cash (sale) after the Company has fulfilled its responsibilities. The Company mainly deals, however, on a “delivery versus payment” basis which reduces counterparty risk. The Company only buys and sells investments through brokers which have been approved by the ACD as an acceptable counterparty. In addition, limits are set as to the maximum exposure to any individual broker that may exist at any time; these limits are reviewed bi-annually. There have been no changes in the exposure, processes and managing of market, credit and liquidity risks in the period.

15) Dilution adjustment The swinging single price tries to counteract the effect of a possible dilution in the Fund when investors buy and sell shares. A swinging single price avoids the need to charge a separate dilution levy because the single price can be swung higher or lower at the discretion of the ACD, if there could be possible dilution in the value of the Fund.This is known as a dilution adjustment, which would be applied in the following circumstances: (i) if the Fund is in continual decline; (ii) if the Fund is experiencing large levels of net sales or net purchases relative to its size; or (iii) where the ACD considers it appropriate in order to protect the interests of continuing Shareholders.

18 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund

General Information Investment Objective and Policy Investment Brandywine Global The objective of this Fund is to generate income in all market conditions over a rolling three to Manager Investment five year period. While the Fund’s priority is to generate income, it will also seek to preserve Management, LLC capital.The Fund seeks to achieve its objective by investing at least 80% of its net asset value Fund Size £443.5m in (i) government and corporate debt securities, convertible securities, mortgage backed Sector N/A securities and asset backed securities that are listed or traded on regulated markets; (ii) units Fund Launch 19 December 2011 or shares of collective investment schemes which may include collective investment schemes managed or operated by the ACD or an associate of the ACD; and (iii) financial derivative instruments, such minimum percentage consisting solely of the assets set out at (i) above, or a combination of (i) and (ii), of (i) and (iii), or of (i), (ii) and (iii). The Fund will invest in a combination of investment grade and below investment grade bonds (as measured by Standard & Poor’s, Moody’s or an equivalent external rating agency), convertible bonds, spot and forward foreign exchange contracts, credit default swaps and other financial derivative instruments which may be used for investment purposes as well as efficient portfolio management purposes. A minimum of 80% of the Fund’s net asset value will be invested in securities or derivatives that are either denominated in Sterling or, if denominated in other currencies, are hedged to Sterling. No more than 10% of the Fund’s net asset value may be invested in units or shares of collective investment schemes. Some or all of those collective investment schemes may be managed or operated by the ACD and/or one or more of its associates. The Fund may also invest in other transferable securities, money market instruments and deposits. When deemed appropriate by the Fund’s investment manager, the Fund may hold synthetic short positions, on individual securities, indices, currencies and/or interest rates. Although the Fund aims to generate income in all market conditions whilst seeking to preserve capital, this objective is not guaranteed; the objective may not be achieved; the Fund may experience negative returns and investors may not get back the amount originally invested.

Legg Mason IF Brandywine Global Income Optimiser Fund The Legg Mason IF Brandywine Global Income Optimiser Fund (Class X Accumulation) increased by 12.20% in sterling terms over the period under review, while the GBP 3 Month LIBOR Interest Rate recorded an increase in sterling terms of 0.18%. The Peer Group Comparator, the Investment Association Sterling Strategic Bond fund sector, returned 3.78% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. Returns were positive across all sectors in the second quarter of 2020, as markets rallied on the back of government support and hope for a “v-shaped” economic recovery.The leading contributor over that time was the Fund’s allocation to investment-grade corporate bonds.The Fund’s more cyclical positions added the most value, particularly its allocations to European high-yield bonds and sovereign positions in peripheral European countries. In the third quarter of the year, the Fund’s high-yield bond positions continued to add to performance. Our Italian, Spanish and Portuguese government bonds were also beneficial for returns, as were our securitized holdings. In the fourth quarter, the Fund’s sizable allocation within corporate credit generated a substantial portion of its return. The Fund’s emerging markets positions were also positive for returns, primarily our hard dollar corporate credit positions. In the first two months of 2021, Treasury bond futures, used to partially hedge the Fund’s duration, contributed to results, as the U.S. Treasury yield curve continued to steepen. The Fund’s high-yield bond allocation was also beneficial, specifically in the U.S. Finally, the Fund’s short UK gilt futures position was additive, driven by continued monetary/fiscal support asthe country’s economy reopened.

Q.What were the leading detractors from performance during the reporting period? A. The reporting period was a tale of two markets, with more credit sensitive portions of the Fund selling off in the first quarter of 2020 leading up to widespread COVID-19 lockdowns. The Fund’s overweight position in U.S. investment-grade corporate bonds was the biggest detractor early in the period as the pandemic escalated. In early 2021, our allocation to investment-grade corporate bonds in the U.S. detracted from performance, due to the sharp increase in rates on the long end of the yield curve.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. Since the Fund was positioned conservatively entering the first quarter of 2020, we did not take drastic measures in response to the virus- induced global shutdowns. We added quality duration in the form of U.S. Treasury futures in late January as a defensive posture, given the extreme economic slowdown the virus caused in Asian markets. The Fund sold its Egyptian bond position in early March 2020, on the back of lower oil prices and expectations for lower tourism. In late March 2020, after the U.S. Federal Reserve Board’s emergency actions and the Congressional fiscal package, we took advantage of wide concessions many investment-grade issuers were giving and added some well- capitalized companies to the portfolio. While many of the concessions have dissipated and spread levels have come back, we continued to add exposure to this portion of the market through the new issuance market at attractive entry points. Entering the second quarter of 2020, the Fund was in the beginning stages of adding credit risk through high-quality investment-grade new issues offering extreme concessions and historically wide spreads. As the second quarter progressed and capital markets began to renormalize, we added to the Fund’s credit exposure. While the Fund’s duration was reduced by only one year in total, the composition changed significantly from primarily U.S. Treasurys to a mix of U.S. corporates and European peripherals. In the third quarter, the Fund reduced its U.S. Treasury position by quarter’s end to 1.5 years and took profits on both its Spain and Portugal bond positions. In the fourth quarter, two notable changes occurred. First, the Fund reduced its overall duration by two years. Second, the Fund reduced its U.S. dollar position, mostly against emerging market currencies. Inflation concerns in emerging markets continue to be modest overall, while commodity price recovery should support currencies. In 2021, we initiated a position in collateralized loan obligations (CLOs) with the expectation to grow this allocation while there is still value in the medium-to-lower tranches. Our CLO position and high-yield allocation were funded out of Treasury floaters.

19 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2027 11,488 United States Treasury Note 2.375% 15/05/2029 22,553 DISH Network 3.375% 15/08/2026 9,413 Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2027 10,359 Petroleos Mexicanos 5.35% 12/02/2028 8,860 Portugal Obrigacoes do Tesouro OT 4.1% 15/02/2045 7,747 Fannie Mae Connecticut Avenue 2.46763% 25/01/2031 8,118 Italy Buoni Poliennali Del Tesoro 1.7% 01/09/2051 7,700 Italy Buoni Poliennali Del Tesoro 1.7% 01/09/2051 7,483 United Kingdom Gilt 1.75% 22/01/2049 6,670 Iron Mountain 5.25% 15/03/2028 6,917 Ford Motor 2.343% 02/11/2020 6,459 Apache 4.875% 15/11/2027 6,874 Italy Buoni Poliennali Del Tesoro 3.85% 01/09/2049 6,455 United Kingdom Gilt 1.75% 22/01/2049 6,609 Banco Mercantil del Norte SA/Grand Cayman 6.75% 6,280 Fannie Mae Connecticut Avenue 2.91763% 25/02/2030 6,478 27/09/2169 Ford Motor 2.343% 02/11/2020 6,423 Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2023 5,971 Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2023 6,347 PetSmart 5.875% 01/06/2025 5,743 Banco Mercantil del Norte SA/Grand Cayman 6.75% 6,204 Petrobras Global Finance 5.6% 03/01/2031 5,388 27/09/2169 Australia Government Bond 1.75% 21/06/2051 5,208 Freddie Mac STACR Trust 2018-DNA3 2.21763% 6,058 BRF 4.875% 24/01/2030 5,190 25/09/2048 Hungary Government Bond 3% 21/08/2030 5,137 Telecom Italia SpA/Milano 5.875% 19/05/2023 5,883 Spain Government Bond 2.7% 31/10/2048 4,997 Italy Buoni Poliennali Del Tesoro 3.85% 01/09/2049 5,724 Bank of America 4.083% 20/03/2051 3,719 Petrobras Global Finance 5.6% 03/01/2031 5,635 Sequoia Mortgage Trust 2017-CH2 4% 25/12/2047 3,540 Hungary Government Bond 3% 21/08/2030 5,545 International Business Machines 2.85% 13/05/2022 3,485 Australia Government Bond 1.75% 21/06/2051 5,375 Steel Dynamics 3.25% 15/10/2050 3,429 Nationwide Building Society 5.75% 20/12/2169 5,314 Bristol-Myers Squibb 2.6% 16/05/2022 3,418 Itau Unibanco SA/Cayman Island 6.125% 12/06/2169 5,294

Other purchases 428,406 Other sales 206,956 Total purchases for the year 564,448 Total sales for the year 336,404

20 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

1234 567

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the indicator is based on the internal risk limit adopted by the Fund. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in a diversified portfolio of bonds from various countries and sectors have historically been subject to relatively small fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Bonds:There is a risk that issuers of bonds held by the Fund may not be able to repay the investment or pay the interest due on it, leading to losses for the Fund. Bond values are affected by the market’s view of the above risk, and by changes in interest rates and inflation. Liquidity: In certain circumstances it may be difficult to sell the Fund’s investments because there may not be enough demand for them in the markets, in which case the Fund may not be able to minimise a loss on such investments. Low rated bonds: The Fund may invest in lower rated or unrated bonds of similar quality, which carry a higher degree of risk than higher rated bonds. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Asset-backed securities: The timing and size of the cash-flow from asset-backed securities is not fully assured and could result in loss for the Fund. These types of investments may also be difficult for the Fund to sell quickly. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Hedging:The Fund may use derivatives to reduce the risk of movements in exchange rates between the currency of the investments held by the Fund and base currency of the Fund itself (hedging). However, hedging transactions can also expose the Fund to additional risks, such as the risk that the counterparty to the transaction may not be able to make its payments, which may result in loss to the Fund. Interest rates: Changes in interest rates may negatively affect the value of the Fund. Typically as interest rates rise, bond values fall. Interbank offered rates: The use of IBORs (the rates at which banks are prepared to lend to one another) is changing and may affect the value of the Fund, or investments held by the Fund.The transition away from IBORs may impact markets that rely on IBORs to determine interest rates and may reduce the value of IBOR-based investments. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. Fund counterparties: The Fund may suffer losses if the parties that it trades with cannot meet their financial obligations. Annual management charge from capital: The Fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

21 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Performance Record As at 28 February 2021 Share Class A Income Share Class I Accumulation**** 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 106.41 100.18 104.06 109.94 100.13 100.00 Return before operating charges*^ 13.62 10.26 0.14 14.23 10.36 0.15 Operating charges (0.92) (0.94) (0.92) (0.54) (0.55) (0.02) Return after operating charges* 12.70 9.32 (0.78) 13.69 9.81 0.13 Distributions (3.92) (3.09) (3.10) (4.11) (3.14) (0.08) Retained distributions on accumulation shares - - - 4.11 3.14 0.08 Closing net asset value per share 115.19 106.41 100.18 123.63 109.94 100.13 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 0.00 0.00 Performance Return after operating charges* 11.93% 9.30% (0.75%) 12.45% 9.80% 0.13%

Other information Closing net asset value (£000’s) 366 232 201 14,696 7,736 4,785 Closing number of shares 317,355 217,608 201,053 11,887,219 7,036,507 4,778,405 Operating charges** 0.82% 0.90% 0.91% 0.46% 0.52% 0.50% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 117.76 107.50 105.90 125.20 110.10 100.50 Lowest share price 97.84 100.00 98.92 101.11 99.98 99.94

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 13 February 2019.

22 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class I Income**** Share Class S Accumulation 28.02.21 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) Opening net asset value per share 100.00 109.45 99.47 99.48 Return before operating charges*^ 13.77 14.17 10.30 0.17 Operating charges (0.38) (0.43) (0.32) (0.18) Return after operating charges* 13.39 13.74 9.98 (0.01) Distributions (3.17) (4.10) (3.14) (3.02) Retained distributions on accumulation shares - 4.10 3.14 3.02 Closing net asset value per share 110.22 123.19 109.45 99.47 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 Performance Return after operating charges* 13.39% 12.55% 10.03% (0.01%)

Other information Closing net asset value (£000’s) 182,875 71,154 72,894 69,000 Closing number of shares 165,918,613 57,761,677 66,597,794 69,369,808 Operating charges** 0.44% 0.37% 0.30% 0.18% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% Prices Highest share price 112.66 124.75 109.60 101.30 Lowest share price 100.00 100.67 99.32 97.10

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 15 May 2020.

23 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class S Income Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 101.40 94.91 97.89 119.56 109.12 109.74 Return before operating charges*^ 13.00 9.76 0.14 15.42 11.28 0.18 Operating charges (0.38) (0.31) (0.18) (0.83) (0.84) (0.80) Return after operating charges* 12.62 9.45 (0.04) 14.59 10.44 (0.62) Distributions (3.75) (2.96) (2.94) (4.47) (3.44) (3.32) Retained distributions on accumulation shares - - - 4.47 3.44 3.32 Closing net asset value per share 110.27 101.40 94.91 134.15 119.56 109.12 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 0.00 0.00 Performance Return after operating charges* 12.45% 9.96% (0.04%) 12.20% 9.57% (0.56%)

Other information Closing net asset value (£000’s) 43,354 21,150 18,953 6,084 777 786 Closing number of shares 39,316,919 20,858,899 19,968,717 4,535,684 649,692 719,971 Operating charges** 0.36% 0.31% 0.18% 0.65% 0.73% 0.74% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 112.70 102.20 99.72 135.86 119.70 111.70 Lowest share price 93.27 94.78 93.57 109.94 108.90 106.70

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

24 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 109.88 103.30 107.12 Return before operating charges*^ 14.06 10.59 0.16 Operating charges (0.76) (0.79) (0.77) Return after operating charges* 13.30 9.80 (0.61) Distributions (4.05) (3.22) (3.21) Retained distributions on accumulation shares --- Closing net asset value per share 119.13 109.88 103.30 ^ after direct transaction costs of: 0.00 0.00 0.00 Performance Return after operating charges* 12.11% 9.48% (0.57%)

Other information Closing net asset value (£000’s) 124,933 62,364 56,742 Closing number of shares 104,873,719 56,754,078 54,928,405 Operating charges** 0.66% 0.73% 0.74% Direct transaction costs*** 0.00% 0.00% 0.00% Prices Highest share price 121.77 110.90 109.10 Lowest share price 101.05 103.10 102.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

25 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 22,114 10,989 Revenue 3 10,552 4,764 Expenses 4 (1,427) (784) Interest payable and similar charges 5 (92) –

Net revenue before taxation 9,033 3,980 Taxation 6 – –

Net revenue after taxation 9,033 3,980

Total return before distributions 31,147 14,969 Distributions 7 (10,732) (4,806)

Change in net assets attributable to shareholders from investment activities 20,415 10,163

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 165,153 150,467 Amounts receivable on issue of shares 302,311 26,299 Amounts payable on cancellation of shares (47,658) (24,084) 254,653 2,215 Dilution adjustment 387 – Change in net assets attributable to shareholders from investment activities 20,415 10,163 Retained distribution on accumulation shares 2,854 2,308

Closing net assets attributable to shareholders 443,462 165,153

26 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 399,259 158,719 Current assets Debtors 8 9,688 1,416 Cash and bank balances 9 43,084 8,783

Total assets 452,031 168,918

Liabilities: Investment liabilities (1,213) (2,442) Creditors Bank overdrafts 11 – (328) Distributions payable (3,262) (554) Other creditors 10 (4,094) (441)

Total liabilities (8,569) (3,765)

Net assets attributable to shareholders 443,462 165,153

27 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities (8,732) 17,500 Derivative contracts 7,208 1,231 Forward currency contracts 30,994 (8,228) Currency (losses)/gains (7,357) 496 Transaction charges 1(10)

Net capital gains 22,114 10,989

3. Revenue

2021 2020 £’000 £’000 Bank interest 429 Interest on debt securities 10,328 4,731 Income received on derivatives –4 Returns from bond futures 220 –

Total revenue 10,552 4,764

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 1,110 493 General Administration Charge (GAC) 21 241 Expenses refundable by ACD (6) (17) 1,125 717

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 45 40 45 40

Other expenses Administration fees 50 – Audit fees* 13 – Audit fees - non-audit services 13 – Safe custody fees 20 – Transfer agent fees 120 – Other expenses 41 – 257 –

Expenses 1,427 757 Overdraft interest –27

Total expenses 1,427 784

* The audit fee for the year, excluding VAT, was £11,790 (2020: £12,639).

28 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 5– Returns from short position bond futures 87 –

Total interest payable and similar charges 92 –

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax ––

Total taxation for the year Note (b) – –

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 9,033 3,980

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 1,807 796

Effects of: Tax deductible interest distributions (1,807) (796)

Total tax charge for the year ––

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year.

29 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 1,210 1,213 Second distribution 2,257 1,286 Third distribution 3,998 1,201 Final distribution 4,107 1,089 Add: Revenue deducted on cancellation of shares 247 113 Deduct: Revenue received on issue of shares (1,087) (96)

Net distribution for the year 10,732 4,806

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 9,033 3,980 Amortisation due to capital 593 350 Add: Management expenses reimbursed by capital 1,110 493 Add: Other expenses reimbursed by capital (4) (17)

Distributions for the year 10,732 4,806

Details of the distributions per share are set out in the distribution tables on pages 36 to 39.

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 3,713 1,320 Accrued Manager’s charge rebates 17 17 Amounts receivable for issue of shares 1,222 79 Collateral Receivable 1,285 – Sales awaiting settlement 3,451 –

Total debtors 9,688 1,416

9. Cash and bank balances

2021 2020 £’000 £’000 Amount held at futures clearing houses and brokers 2,365 – Cash and bank balances 40,719 8,783

Total cash and bank balances 43,084 8,783

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 24 – Accrued Annual Management Charge 135 47 Accrued Depositary fee 57 Accrued other expenses 97 23 Amounts payable for cancellation of shares 191 364 Collateral Payable 2,526 – Purchases awaiting settlement 1,116 –

Total other creditors 4,094 441

30 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

11. Bank overdrafts

2021 2020 £’000 £’000 Amounts overdrawn at futures clearing houses and brokers – 328

Total bank overdrafts – 328

12. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

13. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 26 and 27 and notes 4, 8 and 10 on pages 28 to 30 including all creations and cancellations where the ACD acted as a principal.

14. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Income 0.70% Class I Accumulation* 0.50% Class I Income* 0.50% Class S Accumulation* 0.25% Class S Income* 0.25% Class X Accumulation 0.55% Class X Income 0.55%

* The ACD may in its discretion charge a lower AMC to that stated in the table above. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 22 to 25. The distribution per share class is given in the distribution table on pages 36 to 39. All share classes have the same rights on winding up.

15. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Chilean Peso 8,896 – Colombia Peso 7,306 – Egyptian Pound – 12,988 Euro 6,585 83 Japanese Yen –226 Mexican Peso 7,381 – United States Dollar (36,832) (10,245) To t a l (6,664) 3,052

31 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Derivatives and other financial instruments (continued)

(a) Currency exposure (continued)

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £351k decrease and £317k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities The table below shows the interest rate risk profile at the balance sheet date:

2021 Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets 48,323 328,446 22,490 399,259 Investment liabilities – – (1,213) (1,213)

2020 Restated* Restated* Restated* Restated* Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets 22,478 135,262 979 158,719 Investment liabilities – – (2,442) (2,442)

* Following a change to the reporting methodology comparative figures have been restated.The interest rate risk profile is disclosing Investment Assets and Liabilities. Previously all financial positions were included. The change in presentation did not impact net asset value or distributable income. An increase/decrease of 1% in redemption yields is likely to result in a decrease of 1.50% and increase of 1.50% respectively in the portfolio valuation.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Market price risk and fair value of financial assets and financial liabilities The Fund invests principally in fixed rate securities. The change to the interest rates relevant for particular securities may result in either income increasing or decreasing, or the Investment Manager being unable to secure similar returns on the expiry of contracts or the sale of securities. Changes to prevailing rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In addition, the management of the Fund complies with COLL, which includes rules limiting the size of investment in any particular holding. There is no material difference between the value of the financial assets and liabilities, as shown in the Balance Sheet, and their fair values.

32 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Derivatives and other financial instruments (continued) (e) Credit Risk The table below shows the credit risk profile at the balance sheet date (excluding derivatives and equities):

Restated* 2021 2020 Credit Risk £’000 £’000 Investment grade securities 205,351 130,667 Below investment grade securities 171,418 27,073 Unrated securities -- 376,769 157,740 Other investments -- 376,769 157,740

* Following a change to the reporting methodology comparative figures have been restated. The Credit Risk is disclosing direct risk held through debt securities and indirect risk held through collective investment schemes. Previously all investments were included. The change in presentation did not impact net asset value or distributable income. 16. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Barclays Bank 266 117 – 383 Citigroup Global Markets Limited 9,523 6,250 – 15,773 Deutsche Bank 1,137 – – 1,137 Goldman Sachs International – 243 – 243 HSBC Bank – 2,737 – 2,737 J.P. Morgan Securities Plc 916 227 – 1,143 Morgan Stanley International 6 – – 6

Total 11,848 9,574 – 21,422

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Barclays Bank 540 – – 540 Citigroup Global Markets Limited 6 (2,086) – (2,080) HSBC Bank – (315) – (315) J.P. Morgan Securities Plc 50 81 – 131 Morgan Stanley International 4 – – 4 National Bank of Australia – (49) – (49)

Total 600 (2,369) – (1,769)

As at 28 February 2021, Collateral pledged to counterparties in respect of derivative contracts was £1,285K (2020 - £0) in the form of cash. Collateral received from counterparties in respect of derivative contracts was £2,526K (2020 - £776K) in the form of cash.

33 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

17. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 564,448 ––––

Total purchases 564,448 – –

Total purchases including transaction costs 564,448

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 336,404 ––––

Total sales 336,404 – –

Total sales net of transaction costs 336,404

Derivative transaction costs 6 –

Total transaction costs 6 –

Total transaction costs as a % of average net assets 0.00 –

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 427,192 ––––

Total purchases 427,192 – –

Total purchases including transaction costs 427,192

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 419,051 ––––

Total sales 419,051 – –

Total sales net of transaction costs 419,051

Derivative transaction costs – –

Total transaction costs – –

Total transaction costs as a % of average net assets – –

34 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

17. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

The sub-fund investments have no separately identifiable transaction costs, instead the cost of investing forms part of the dealing spread. The average portfolio dealing spread as at the year end was 0.44% (2020 : 0.22%).

18. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Income 217,608 171,352 (71,471) (134) 317,355 Class I Accumulation 7,036,507 5,246,832 (199,320) (196,800) 11,887,219 Class I Income - 178,108,246 (12,404,104) 214,471 165,918,613 Class S Accumulation 66,597,794 19,658,721 (10,739,228) (17,755,610) 57,761,677 Class S Income 20,858,899 7,587,564 (8,548,244) 19,418,700 39,316,919 Class X Accumulation 649,692 4,454,120 (568,128) - 4,535,684 Class X Income 56,754,078 58,382,940 (10,301,563) 38,264 104,873,719

19. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 238 (383) 25,339 – Valuation techniques using observable market data 399,021 (830) 133,380 (2,442) Valuationtechniquesusingnon-observablemarketdata–––– Total 399,259 (1,213) 158,719 (2,442)

35 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

DistributionTable As at 28 February 2021 First Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7428 - 0.7428 0.7976 Group 2 0.5417 0.2011 0.7428 0.7976

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7727 - 0.7727 0.8028 Group 2 0.1352 0.6375 0.7727 0.8028

Class I Income Shares* Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group1 ---- Group2 ----

* Launched on 15 May 2020.

Class S Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7692 - 0.7692 0.7978 Group 2 0.3906 0.3786 0.7692 0.7978

Class S Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7124 - 0.7124 0.7616 Group 2 0.3637 0.3487 0.7124 0.7616

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.8401 - 0.8401 0.8745 Group 2 0.0458 0.7943 0.8401 0.8745

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7722 - 0.7722 0.8284 Group 2 0.1329 0.6393 0.7722 0.8284

36 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9427 - 0.9427 0.8439 Group 2 0.3216 0.6211 0.9427 0.8439

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9819 - 0.9819 0.8492 Group 2 0.3564 0.6255 0.9819 0.8492

Class I Income Shares* Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.0305 - 1.0305 - Group 2 0.2097 0.8208 1.0305 -

* Launched on 15 May 2020.

Class S Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9779 - 0.9779 0.8487 Group 2 0.7021 0.2758 0.9779 0.8487

Class S Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.8995 - 0.8995 0.7989 Group 2 0.5452 0.3543 0.8995 0.7989

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.0670 - 1.0670 0.9296 Group 2 0.6262 0.4408 1.0670 0.9296

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9745 - 0.9745 0.8688 Group 2 0.3459 0.6286 0.9745 0.8688

37 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.1635 - 1.1635 0.7574 Group 2 0.4907 0.6728 1.1635 0.7574

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2219 - 1.2219 0.7832 Group 2 0.3029 0.9190 1.2219 0.7832

Class I Income Shares* Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.1147 - 1.1147 - Group 2 0.9565 0.1582 1.1147 -

* Launched on 15 May 2020.

Class S Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2167 - 1.2167 0.7755 Group 2 0.0979 1.1188 1.2167 0.7755

Class S Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.1122 - 1.1122 0.7331 Group 2 0.4304 0.6818 1.1122 0.7331

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3284 - 1.3284 0.8474 Group 2 0.4797 0.8487 1.3284 0.8474

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2016 - 1.2016 0.7944 Group 2 0.5538 0.6478 1.2016 0.7944

38 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Income Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0702 - 1.0702 0.6914 Group 2 0.3065 0.7637 1.0702 0.6914

Class I Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.1364 - 1.1364 0.7085 Group 2 0.3950 0.7414 1.1364 0.7085

Class I Income Shares* Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0228 - 1.0228 - Group 2 0.4548 0.5680 1.0228 -

* Launched on 15 May 2020.

Class S Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.1320 - 1.1320 0.7204 Group 2 0.3695 0.7625 1.1320 0.7204

Class S Income Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0223 - 1.0223 0.6712 Group 2 0.8864 0.1359 1.0223 0.6712

Class X Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.2334 - 1.2334 0.7901 Group 2 0.6194 0.6140 1.2334 0.7901

Class X Income Shares Distribution Distribution Gross payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.1062 - 1.1062 0.7264 Group 2 0.2817 0.8245 1.1062 0.7264

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

39 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund

General Information Investment Objective and Policy Investment ClearBridge The objective of the Fund is to achieve income and capital growth through investment of at Manager Investments, LLC least 70% of the net asset value of the Fund in a range of equity and equity-related securities. Fund Size £15.2m The Fund seeks to achieve its objective by investing globally in quality companies which the Sector Global Growth investment manager believes are undervalued.There is a focus on dividend yield and potential Fund Launch 23 May 2008 for capital growth. The Fund may also invest in other investments as permitted by the FCA Rules as applicable from time to time, which may include: units or shares in other collective investment schemes (up to a maximum of 10% of the net asset value of the Fund) and warrants (up to a maximum of 5% of the net asset value of the Fund). The Fund may also use derivatives for efficient portfolio management as explained in the Prospectus.

Legg Mason IF ClearBridge Global Equity Income Fund The Legg Mason IF ClearBridge Global Equity Income Fund (Class X Accumulation) increased by 11.23% in sterling terms during the period under review while its index, the MSCI World Net Dividends Index, recorded a gain in sterling terms of 18.17%.The Peer Group Comparator, the Investment Association Global Equity Income fund sector, returned 11.36% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. Relative to the MSCI World Index benchmark, stock selection in the industrials, utilities and materials sectors, an underweight allocation to the consumer staples and health care sectors and an overweight to the materials sector contributed the most to relative results. On a regional basis, an overweight to Emerging Markets and stock selection in Europe Ex UK aided relative performance. The leading individual contributors included AP Moller-Maersk, Inwido and Schneider Electric in the industrials sector, Glencore in the materials sector and NTT Docomo in the communication services sector.

Q.What were the leading detractors from performance during the reporting period? A. Relative to the MSCI World Index benchmark, overall stock selection and sector allocation detracted from performance. In particular, stock selection in the consumer discretionary, health care and financials sectors, an underweight to the information technology (IT) sector and an overweight to the energy sector hurt results. On a regional basis, stock selection in Emerging Markets and North America as well as an underweight to North America and an overweight to Europe Ex-UK weighed on performance. On an individual security basis, the leading detractors from absolute performance included Bayer in the health care sector, in the consumer discretionary sector, BP and Oneok in the energy sector and HSBC in the financials sector.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. During the reporting period, the Fund initiated several new positions, the largest being DBS Group in the financials sector, LafargeHolcim in the materials sector, Sulzer in the industrials sector as well as Inditex and Richemont in the consumer discretionary sector.The Fund also closed several positions, including Bayer in the health care sector, HSBC and Far East Horizon in the financials sector,Thai Union Group in the consumer staples sector and NTT Docomo in the communication services sector. At period end, the Fund’s largest active overweight positions were in the financials, industrials and materials sectors.The Fund’s most significant underweights were in IT, consumer staples and health care. The global pandemic and the final stages of a historic speculative bubble represent the catalysts for a profound shift in the prevailing investment environment. As both the virus and mania fade into history we are optimistic about the signs that policy, cyclical and secular conditions are aligning to create a stronger, more sustainable and inclusive global economy. The commercialization and mass application of new technologies promises to provide benefits to a broad range of citizens, companies and nations. Value stocks around the world are well-positioned for further gains as the overlooked architects and enablers of this coming transformation.

40 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Exxon Mobil 313 Roche 535 DBS 300 NTT DoCoMo 477 LafargeHolcim 291 Far East Horizon 402 BHP 275 Bayer 359 CNOOC 208 Mapletree Logistics Trust 349 Sulzer 162 AT&T 306 Anglo American 160 Novartis 299 Royal Dutch Shell 148 China Construction Bank 292 Industria de Diseno Textil 139 Thai Union 288 China Resources Cement 131 Huadian Fuxin Energy 287 Man 86 HSBC 282 Cie Financiere Richemont 79 Veolia Environnement 257 Japan Airlines 74 Akzo Nobel 253 KBC 72 Bouygues 234 Mersen 53 Campbell Soup 223 BAWAG 42 Uniqa Insurance 219 Bangkok Bank 22 BP 216 TOTAL 8 Nutrien 182 Lloyds Banking 171 CNOOC 164

Other purchases - Other sales 995 Total purchases for the year 2,563 Total sales for the year 6,790

41 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in shares of companies from various countries and sectors have historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Liquidity: In certain circumstances it may be difficult to sell the Fund’s investments because there may not be enough demand for them in the markets, in which case the Fund may not be able to minimise a loss on such investments. Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. Annual management charge from capital: The Fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

42 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 197.76 206.10 224.59 129.71 140.58 158.47 Return before operating charges*^ 22.40 (5.63) (15.80) 14.07 (3.60) (10.84) Operating charges (2.30) (2.71) (2.69) (1.48) (1.81) (1.87) Return after operating charges* 20.10 (8.34) (18.49) 12.59 (5.41) (12.71) Distributions (5.88) (8.10) (7.42) (3.81) (5.46) (5.18) Retained distributions on accumulation shares 5.88 8.10 7.42 - - - Closing net asset value per share 217.86 197.76 206.10 138.49 129.71 140.58 ^ after direct transaction costs of: 0.09 0.07 0.23 0.06 0.05 0.16 Performance Return after operating charges* 10.16% (4.05%) (8.23%) 9.71% (3.85%) (8.02%)

Other information Closing net asset value (£000’s) 5,947 6,264 7,230 2,472 2,561 3,047 Closing number of shares 2,729,843 3,167,369 3,507,963 1,785,073 1,974,508 2,167,524 Operating charges** 1.20% 1.25% 1.26% 1.20% 1.25% 1.26% Direct transaction costs*** 0.05% 0.03% 0.11% 0.05% 0.03% 0.11% Prices Highest share price 223.84 225.90 226.40 142.66 148.60 159.70 Lowest share price 154.70 198.10 194.80 101.50 130.20 133.10

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

43 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation Share Class X Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 155.71 161.85 175.93 119.35 129.00 145.05 Return before operating charges*^ 17.72 (4.43) (12.39) 13.00 (3.30) (9.93) Operating charges (1.45) (1.71) (1.69) (1.08) (1.34) (1.37) Return after operating charges* 16.27 (6.14) (14.08) 11.92 (4.64) (11.30) Distributions (4.61) (6.36) (5.82) (3.52) (5.01) (4.75) Retained distributions on accumulation shares 4.61 6.36 5.82 - - - Closing net asset value per share 171.98 155.71 161.85 127.75 119.35 129.00 ^ after direct transaction costs of: 0.07 0.06 0.18 0.05 0.04 0.14 Performance Return after operating charges* 10.45% (3.79%) (8.00%) 9.99% (3.60%) (7.79%)

Other information Closing net asset value (£000’s) 3,172 5,507 10,123 3,647 4,313 7,230 Closing number of shares 1,844,149 3,537,129 6,254,849 2,854,737 3,613,489 5,604,605 Operating charges** 0.96% 1.01% 1.01% 0.95% 1.01% 1.01% Direct transaction costs*** 0.05% 0.03% 0.11% 0.05% 0.03% 0.11% Prices Highest share price 176.64 177.80 177.40 131.56 136.60 146.30 Lowest share price 121.81 155.90 152.90 93.40 119.80 122.10

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

44 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 663 (1,171) Revenue 3 571 1,167 Expenses 4 (158) (275)

Net revenue before taxation 413 892 Taxation 5 (64) (95)

Net revenue after taxation 349 797

Total return before distributions 1,012 (374) Distributions 6 (479) (1,001)

Change in net assets attributable to shareholders from investment activities 533 (1,375)

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 18,645 27,630 Amounts receivable on issue of shares 421 546 Amounts payable on cancellation of shares (4,634) (8,768) (4,213) (8,222) Dilution adjustment 2– Change in net assets attributable to shareholders from investment activities 533 (1,375) Retained distribution on accumulation shares 271 612

Closing net assets attributable to shareholders 15,238 18,645

45 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 15,036 18,566 Current assets Debtors 74636 Cash and bank balances 8 343 231

Total assets 15,425 18,833

Liabilities: Creditors Bank overdrafts 10 (65) – Distributions payable (16) (15) Other creditors 9 (106) (173)

Total liabilities (187) (188)

Net assets attributable to shareholders 15,238 18,645

46 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020 £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 691 (1,166) Derivative contracts 1– Forward currency contracts –(2) Currency losses (28) (2) Transaction charges (1) (1)

Net capital gains/(losses) 663 (1,171)

3. Revenue

2021 2020 £’000 £’000 Overseas dividends 538 963 Overseas REIT dividends 4– Stock dividends 2– UK dividends 27 204

Total revenue 571 1,167

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 130 213 General Administration Charge (GAC) 3 55 Expenses refundable by ACD (88) – 45 268

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 7 20 7

Other expenses Administration fees 27 – Audit fees* 13 – Audit fees - non-audit services 1– Safe custody fees 10 – Transfer agent fees 34 – Other expenses 8– 93 –

Total expenses 158 275

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489).

47 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Irrecoverable overseas tax –(9) Overseas tax 64 104

Total taxation for the year Note (b) 64 95

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 413 892

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 83 178

Effects of: Movement in excess management expenses 31 53 Overseas tax 64 104 Irrecoverable overseas tax –(9) Revenue not subject to corporation tax (114) (231)

Total tax charge for the year 64 95

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £632K (2020: £601K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 239 576 Second distribution 128 212 Third distribution 54 140 Final distribution 40 39 Add: Revenue deducted on cancellation of shares 19 36 Deduct: Revenue received on issue of shares (1) (2)

Net distribution for the year 479 1,001

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 349 797 Add: Management expenses reimbursed by capital 130 213 Less: Irrecoverable overseas tax charge in capital – (9)

Distributions for the year 479 1,001

Details of the distributions per share are set out in the distribution tables on pages 53 to 56.

48 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 923 Amounts receivable for issue of shares 2 – Expense rebate due from the ACD 3 – Overseas withholding tax reclaimable 32 12 Sales awaiting settlement –1

Total debtors 46 36

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 343 231

Total cash and bank balances 343 231

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 11 14 Accrued Depositary fee 21 Accrued other expenses 28 4 Amounts payable for cancellation of shares 51 154

Total other creditors 106 173

10. Bank overdrafts

2021 2020 £’000 £’000 Bank overdrafts (65) –

Total bank overdrafts (65) –

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 45 and 46 and notes 4, 7 and 9 on pages 47 to 49 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Income 1.00% Class X Accumulation 0.75% Class X Income 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 43 to 44. The distribution per share class is given in the distribution table on pages 53 to 56. All share classes have the same rights on winding up.

49 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Australian Dollar 385 – Canadian Dollar 315 429 Danish Krone 538 349 Euro 5,197 5,962 Hong Kong Dollar 1,942 2,988 Japanese Yen 714 964 New Taiwan Dollar 307 295 Singapore Dollar 362 329 Swedish Krona 476 290 Swiss Franc 1,434 1,596 Thailand Baht 204 521 United States Dollar 1,339 2,026 To t a l 13,213 15,749

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £695k decrease and £629k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

50 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 2,561 1 0.04 1 0.04

Total purchases 2,561 1 1

Total purchases including transaction costs 2,563

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 6,795 3 0.04 2 0.03

Total sales 6,795 3 2

Total sales net of transaction costs 6,790

Derivative transaction costs – –

Total transaction costs 4 3

Total transaction costs as a % of average net assets 0.03 0.02

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 1,608 1 0.06 2 0.10

Total purchases 1,608 1 2

Total purchases including transaction costs 1,611

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 9,152 4 0.05 2 0.02

Total sales 9,152 4 2

Total sales net of transaction costs 9,146

Derivative transaction costs – –

Total transaction costs 5 4

Total transaction costs as a % of average net assets 0.02 0.01

The average portfolio dealing spread as at the year end was 0.20% (2020 : 0.16%).

51 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 3,167,369 22,348 (435,362) (24,512) 2,729,843 Class A Income 1,974,508 17,901 (203,345) (3,991) 1,785,073 Class X Accumulation 3,537,129 153,600 (1,879,309) 32,729 1,844,149 Class X Income 3,613,489 83,857 (844,795) 2,186 2,854,737

17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 15,036 – 18,247 – Valuation techniques using observable market data – – 319 – Valuation techniques using non-observable market data – – – – Total 15,036 – 18,566 –

52 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 2.9077 - 2.9077 4.5701 Group 2 1.5394 1.3683 2.9077 4.5701

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.8975 - 1.8975 3.1172 Group 2 0.8582 1.0393 1.8975 3.1172

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 2.2698 - 2.2698 3.5902 Group 2 0.8345 1.4353 2.2698 3.5902

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.7578 - 1.7578 2.8616 Group 2 1.0443 0.7135 1.7578 2.8616

53 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.6513 - 1.6513 1.8148 Group 2 0.1714 1.4799 1.6513 1.8148

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.0658 - 1.0658 1.2106 Group 2 0.0814 0.9844 1.0658 1.2106

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.3013 - 1.3013 1.4263 Group 2 0.6496 0.6517 1.3013 1.4263

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9814 - 0.9814 1.1119 Group 2 0.1106 0.8708 0.9814 1.1119

54 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.7500 - 0.7500 1.2949 Group 2 0.0914 0.6586 0.7500 1.2949

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.4798 - 0.4798 0.8562 Group 2 0.1697 0.3101 0.4798 0.8562

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.5901 - 0.5901 1.0187 Group 2 0.0575 0.5326 0.5901 1.0187

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.4411 - 0.4411 0.7871 Group 2 0.0802 0.3609 0.4411 0.7871

55 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.5708 - 0.5708 0.4168 Group 2 0.4289 0.1419 0.5708 0.4168

Class A Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.3639 - 0.3639 0.2739 Group 2 0.1239 0.2400 0.3639 0.2739

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.4503 - 0.4503 0.3275 Group 2 0.2811 0.1692 0.4503 0.3275

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.3355 - 0.3355 0.2517 Group 2 0.1581 0.1774 0.3355 0.2517

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

56 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund

General Information Investment Objective and Policy Investment ClearBridge RARE The objective of this Fund is to provide investors with an income comprised of dividends with Manager Infrastructure Limited a secondary investment objective of long-term (over five or more years) capital growth. The Fund Size £735.1m Fund seeks to outperform the OECD G7 Inflation Index by 5.5% over an investment time Sector Global Infrastructure frame of five years (gross of fees).The Fund seeks to achieve its objective by investing at least Income 80% of the Fund’s net asset value in a diverse range of global listed infrastructure securities Fund Launch 01 July 2016 across a number of infrastructure sub-sectors such as gas, electricity and water utilities, toll- roads, airports, rail and communication infrastructure and across different geographic regions, under normal market conditions.The investments of the Fund will principally (being at least 80% of the Fund’s net asset value) include securities listed on stock exchanges of developed countries. However, in order to ensure that the Investment Manager retains full flexibility to seek exposure to infrastructure securities on a global basis, investors should note that up to 20% of the Fund’s net asset value may be invested in securities (including depositary receipts) of developing countries in circumstances where such markets present opportunities consistent with the Fund’s investment objective. The Fund may also invest in recently issued securities not yet listed on a securities exchange but that are expected to be listed within 12 months of purchase and derivative instruments up to a maximum of 10% of the Fund’s net asset value. Although it is intended that the Fund will normally be invested in accordance with the limits set out above, the Investment Manager may decide that, due to market conditions and in the interests of the Fund and its shareholders, it would be appropriate to hold more or less, or perhaps even significantly more or less than this where it is in the interests of the Fund and its shareholders to do so and where such action is consistent with the Fund’s investment objective. Derivatives and forward transactions may be used by the Fund for investment purposes and for the purposes of efficient portfolio management (including hedging). The Fund will usually hold between 30 and 60 different securities. The Fund may hold up to 10% in cash or near cash where, in the Investment Manager’s opinion, attractive investment opportunities cannot be found. The Fund may also invest in other transferable securities, money market instruments, deposits and collective investment schemes.

Legg Mason IF ClearBridge Global Infrastructure Income Fund The Legg Mason IF ClearBridge Global Infrastructure Income Fund (Class X Accumulation) increased by 0.29% in sterling terms during the period under review, while the performance target (to outperform the OECD G7 Inflation Index by 5.5%, over an investment timeframe of five years) increased by 6.16%.The Peer Group Comparator, the Investment Association Global Equity Income fund sector, returned 11.36% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. On a regional basis, the U.S. & Canada was the top contributor to performance during the reporting period (+6.04%) of which U.S. renewables utilities Brookfield Renewables Partners (+2.78%), NextEra Energy Partners (+1.97%) and Clearway Energy (+1.54%) were the lead performers. Brookfield Renewable Partners (BEP) is a pure-play renewables operator and developer headquartered in Canada, with a focus on international hydro, solar, wind and storage technology. During the reporting period, the investment community continued to support the renewables theme and recognised BEP as a leader in the space. Additionally, BEP’s investor day was well-received, with the company guiding to double-digit funds from operations growth outlook through 2025, driven by a combination of a robust development backlog, and some acquisitions. NextEra Energy Partners (NEP) is a growth-oriented contracted renewables company formed by its sponsor and general partner NextEra Energy (NEE) to own, operate and acquire contracted renewable energy generation assets located in North America. Growth comes from dropdown of assets from NEE and we anticipate this will likely allow NEP to provide a 12%–15% dividend growth to 2024. Shares of NextEra Energy Partners rose in anticipation of a Biden victory in the U.S. presidential election as well as increased investor appetite for clean energy investments. Given that Biden won the election, the outlook for renewables growth improves further.This will likely enable NEP to continue with its annual dividend growth objectives of 12%-15% beyond 2024. Clearway Energy primarily owns and operates contracted renewable generation assets in the U.S. It also owns and operates conventional generation and thermal infrastructure assets. Investors have been constructive on growth initiatives Clearway announced earlier in the year.

Q.What were the leading detractors from performance during the reporting period? A. Chilean water company Aguas Andinas was the largest detractor from performance (-0.70%). Aguas Andinas is a South American water company that supplies drinking water and provides sewerage and treatment services to residential, commercial and industrial customers in Chile. Volumes were impacted from the pandemic due to restrictions and the economic fallout as a result, as well as Chile suffering from a severe drought. In addition, civil unrest continued into 2020 following mass protests in 2019.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. On a regional level, the Fund’s largest exposure is in the U.S. & Canada (34%) and consists of exposure to regulated and contracted utilities (29%) and economically sensitive user pays infrastructure (5%). For the Global Infrastructure Income Strategy, the primary quantitative tool in portfolio construction is the excess return, on which the Strategy’s stock ranking system is based. The Global Infrastructure Income Strategy also uses Yield Quality as a secondary measure. As such, driven by valuation, the key shift in the composition of the Global Infrastructure Income Strategy, during the period of analysis, include: 1. Decreased exposure to the U.S. & Canada from 40% to 34%. We exited positions in U.S. renewables utility CenterPoint Energy, Canadian gas utility AltaGas, Canadian electric utility Hydro One and U.S. electric utilities Pattern Energy, Atlantica Yield, Duke Energy and Dominion Energy. 2. Increased exposure to Latin America from 7% to 10%. We initiated positions in Brazilian electric utilities CTEEP and CPFL Energia. Q.What is the manager’s outlook for the fund? A. Given the latest issues associated with COVID-19, the manager believes it is prudent to retain a core exposure to more defensive, higher- income utility companies, balanced against selected exposure to user-pays infrastructure, which is more sensitive to economic growth.

57 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Enbridge 71,719 Enbridge 63,296 Snam 38,384 United Utilities 38,087 Enagas 38,010 Williams 34,099 SSE 36,061 Snam 33,179 EDP - Energias de Portugal 34,979 Duke Energy 30,864 TC Energy 34,764 EDP - Energias de Portugal 29,510 Atlas Arteria 32,686 Terna Rete Elettrica Nazionale 29,193 Williams 32,209 Severn Trent 27,919 National Grid 31,782 Dominion Energy 26,453 Exelon 27,020 National Grid 20,972 Public Service Enterprise 26,331 Brookfield Renewable 20,794 Terna Rete Elettrica Nazionale 25,883 Italgas 20,372 Southern 25,581 SSE 18,772 Vinci 23,935 Edison International 18,511 Edison International 19,082 NextEra Energy Partners 17,868 Transmissora Alianca de Energia Eletrica 19,080 Enagas 17,654 Eiffage 19,060 Atlantica 16,993 Spark Infrastructure 18,216 Emera 15,995 United Utilities 17,815 Spark Infrastructure 15,690 Emera 17,320 TC Energy 15,423

Other purchases 236,483 Other sales 145,000 Total purchases for the year 826,400 Total sales for the year 656,644

58 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

12345 67

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the fund holds fewer investments than many other funds) in shares of infrastructure companies from various countries and sectors have historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Investment in infrastructure: The Fund invests in shares of infrastructure companies, and the value of these shares can be negatively affected by economic or regulatory occurrences affecting their industries. Investments in new infrastructure projects carry risks where they may not be completed within the budget, agreed timeframe or specifications. Operational and supply disruptions can also have a negative effect on the value of the company’s shares. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Concentrated Fund: The Fund invests in fewer companies than other Funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the fund’s base currency may negatively affect the value of an investment and any income received from it. Hedged class currency: The value of your investment may fall due to changes in the exchange rates between the currencies that are significant to the Fund’s investment strategy and the currency of your share class, pound sterling. The investment manager will try to protect the value of your investment against such changes, but it may not succeed. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. Charges from capital: The Fund’s fees and expenses may be taken from its capital (rather than income). This will result in an increase in income available for distribution to investors. However, this will forego some of the capital that the share class has available for future investment and potential growth. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

59 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Accumulation (Hedged)**** 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 141.16 118.83 102.19 124.99 107.56 100.00 Return before operating charges*^ (0.26) 23.93 17.98 1.65 18.99 7.96 Operating charges (1.57) (1.60) (1.34) (1.38) (1.56) (0.40) Return after operating charges* (1.83) 22.33 16.64 0.27 17.43 7.56 Distributions (8.13) (8.56) (6.45) (7.02) (6.90) (0.46) Retained distributions on accumulation shares 8.13 8.56 6.45 7.02 6.90 0.46 Closing net asset value per share 139.33 141.16 118.83 125.26 124.99 107.56 ^ after direct transaction costs of: 0.30 0.24 0.14 0.26 0.21 1.04 Performance Return after operating charges* (1.30%) 18.79% 16.28% 0.22% 16.20% 7.56%

Other information Closing net asset value (£000’s) 704 385 53,586 4 4 3 Closing number of shares 505,596 272,382 45,095,864 3,000 3,000 3,000 Operating charges** 1.11% 1.23% 1.23% 1.12% 1.33% 1.37% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 156.87 150.30 121.10 136.52 136.00 107.90 Lowest share price 113.80 119.70 97.57 95.94 108.10 100.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 16 February 2019.

60 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class A Income Share Class A Income (Hedged)**** 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 115.67 105.40 96.07 117.36 107.09 100.00 Return before operating charges*^ (0.03) 18.45 16.51 1.41 18.50 7.95 Operating charges (1.26) (1.41) (1.24) (1.26) (1.51) (0.40) Return after operating charges* (1.29) 17.04 15.27 0.15 16.99 7.55 Distributions (6.53) (6.77) (5.94) (6.45) (6.72) (0.46) Retained distributions on accumulation shares ------Closing net asset value per share 107.85 115.67 105.40 111.06 117.36 107.09 ^ after direct transaction costs of: 0.24 0.21 0.13 0.24 0.21 1.04 Performance Return after operating charges* (1.12%) 16.17% 15.89% 0.13% 15.87% 7.55%

Other information Closing net asset value (£000’s) 707 718 133 4 4 3 Closing number of shares 655,666 620,847 125,904 3,333 3,157 3,000 Operating charges** 1.11% 1.22% 1.23% 1.12% 1.32% 1.37% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 123.17 127.30 108.80 122.74 129.10 107.90 Lowest share price 93.78 106.20 91.72 90.55 107.60 100.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 16 February 2019.

61 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class S Accumulation Share Class S Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 141.68 120.98 103.32 134.78 115.30 98.53 Return before operating charges*^ 0.05 21.43 18.24 1.80 20.27 17.43 Operating charges (0.73) (0.73) (0.58) (0.68) (0.79) (0.66) Return after operating charges* (0.68) 20.70 17.66 1.12 19.48 16.77 Distributions (8.19) (7.93) (6.54) (7.60) (7.36) (6.17) Retained distributions on accumulation shares 8.19 7.93 6.54 7.60 7.36 6.17 Closing net asset value per share 141.00 141.68 120.98 135.90 134.78 115.30 ^ after direct transaction costs of: 0.30 0.25 0.14 0.28 0.23 0.13 Performance Return after operating charges* (0.48%) 17.11% 17.09% 0.83% 16.90% 17.02%

Other information Closing net asset value (£000’s) 11,387 52,124 11,873 1,144 1,346 1,315 Closing number of shares 8,075,693 36,790,581 9,813,410 842,112 998,864 1,140,163 Operating charges** 0.51% 0.53% 0.53% 0.51% 0.63% 0.63% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 158.62 154.40 123.30 147.98 146.80 115.70 Lowest share price 114.36 121.90 98.70 103.62 115.90 96.02

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

62 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class S Income Share Class S Income (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 118.48 107.27 97.08 113.22 102.74 93.04 Return before operating charges*^ (0.02) 18.67 16.74 1.39 17.58 16.01 Operating charges (0.60) (0.62) (0.54) (0.56) (0.69) (0.61) Return after operating charges* (0.62) 18.05 16.20 0.83 16.89 15.40 Distributions (6.71) (6.84) (6.01) (6.25) (6.41) (5.70) Retained distributions on accumulation shares ------Closing net asset value per share 111.15 118.48 107.27 107.80 113.22 102.74 ^ after direct transaction costs of: 0.25 0.21 0.13 0.23 0.20 0.12 Performance Return after operating charges* (0.52%) 16.83% 16.69% 0.73% 16.44% 16.55%

Other information Closing net asset value (£000’s) 58,212 71,231 70,962 49,180 53,062 57,332 Closing number of shares 52,374,196 60,118,758 66,154,894 45,619,695 46,867,173 55,801,522 Operating charges** 0.51% 0.53% 0.53% 0.51% 0.63% 0.63% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 126.82 130.50 110.70 119.02 124.50 104.40 Lowest share price 96.14 108.00 92.73 87.47 103.20 90.64

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

63 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation Share Class X Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 139.73 119.71 102.64 133.93 115.20 98.87 Return before operating charges*^ (0.10) 21.28 18.09 1.99 20.03 17.40 Operating charges (1.21) (1.26) (1.02) (1.13) (1.30) (1.07) Return after operating charges* (1.31) 20.02 17.07 0.86 18.73 16.33 Distributions (8.06) (7.84) (6.49) (7.53) (7.37) (6.18) Retained distributions on accumulation shares 8.06 7.84 6.49 7.53 7.37 6.18 Closing net asset value per share 138.42 139.73 119.71 134.79 133.93 115.20 ^ after direct transaction costs of: 0.30 0.25 0.14 0.28 0.23 0.13 Performance Return after operating charges* (0.94%) 16.72% 16.63% 0.65% 16.26% 16.52%

Other information Closing net asset value (£000’s) 227,526 172,697 24,746 43,404 10,475 4,585 Closing number of shares 164,377,741 123,597,873 20,671,918 32,200,564 7,821,748 3,980,461 Operating charges** 0.86% 0.92% 0.93% 0.86% 1.02% 1.03% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 155.79 152.20 122.00 146.92 145.80 115.60 Lowest share price 112.72 120.60 98.04 102.86 115.80 96.30

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

64 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income Share Class X Income (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 116.83 106.11 96.42 112.79 102.85 93.68 Return before operating charges*^ (0.03) 18.54 16.59 1.62 17.46 15.88 Operating charges (0.99) (1.00) (0.94) (0.93) (1.06) (0.99) Return after operating charges* (1.02) 17.54 15.65 0.69 16.40 14.89 Distributions (6.60) (6.82) (5.96) (6.23) (6.46) (5.72) Retained distributions on accumulation shares ------Closing net asset value per share 109.21 116.83 106.11 107.25 112.79 102.85 ^ after direct transaction costs of: 0.24 0.21 0.13 0.23 0.20 0.12 Performance Return after operating charges* (0.87%) 16.53% 16.23% 0.61% 15.94% 15.90%

Other information Closing net asset value (£000’s) 303,324 185,248 144,017 39,536 44,752 28,970 Closing number of shares 277,749,332 158,561,833 135,726,312 36,864,457 39,675,936 28,166,388 Operating charges** 0.86% 0.86% 0.93% 0.86% 0.96% 1.03% Direct transaction costs*** 0.21% 0.18% 0.13% 0.21% 0.18% 0.13% Prices Highest share price 124.67 128.60 109.50 118.47 124.10 104.50 Lowest share price 94.76 106.90 92.08 87.13 103.30 91.23

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

65 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital (losses)/gains 2 (38,824) 43,057 Revenue 3 41,788 29,447 Expenses 4 (5,184) (3,932) Interest payable and similar charges 5 (11) –

Net revenue before taxation 36,593 25,515 Taxation 6 (3,701) (1,574)

Net revenue after taxation 32,892 23,941

Total return before distributions (5,932) 66,998 Distributions 7 (38,076) (27,796)

Change in net assets attributable to shareholders from investment activities (44,008) 39,202

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 592,046 397,525 Amounts receivable on issue of shares 320,777 269,937 Amounts payable on cancellation of shares (149,112) (123,234) 171,665 146,703 Dilution adjustment 14 – Change in net assets attributable to shareholders from investment activities (44,008) 39,202 Retained distribution on accumulation shares 15,415 8,616

Closing net assets attributable to shareholders 735,132 592,046

66 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 701,149 572,604 Current assets Debtors 8 60,060 15,050 Cash and bank balances 9 23,852 30,104

Total assets 785,061 617,758

Liabilities: Investment liabilities (20) (657) Provisions for liabilities (34) (50) Creditors Distributions payable (6,429) (3,719) Other creditors 10 (43,446) (21,286)

Total liabilities (49,929) (25,712)

Net assets attributable to shareholders 735,132 592,046

67 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital (losses)/gains

2021 2020 £’000 £’000 The net capital (losses)/gains during the year were: Non-derivative securities (41,480) 43,384 Forward currency contracts –(40) Forward currency contracts on hedge share classes 6,202 49 Currency losses (3,483) (326) Transaction charges (10) (10) Compensation bridge (53) –

Net capital (losses)/gains (38,824) 43,057

3. Revenue

2021 2020 £’000 £’000 Bank interest 39 12 Overseas dividends 34,390 23,596 Overseas REIT dividends 1,443 – UK dividends 5,585 5,807 Underwriting fee –32 US REIT dividends 331 –

Total revenue 41,788 29,447

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 4,470 3,180 General Administration Charge (GAC) 73 767 Expenses refundable by ACD (11) (138) 4,532 3,809

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 85 122 85 122

Other expenses Administration fees 84 – Audit fees* 13 – Audit fees - non-audit services 31 – Safe custody fees 70 – Transfer agent fees 266 – Other expenses 103 – 567 –

Expenses 5,184 3,931 Overdraft interest –1

Total expenses 5,184 3,932

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489).

68 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 11 –

Total interest payable and similar charges 11 –

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Corporation tax prior year adjustment 24 – Overseas tax 3,693 1,574 Current tax charge 3,717 – Deferred tax movement [see note(c)] (16) –

Total taxation for the year Note (b) 3,701 1,574

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 36,593 25,515

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 7,319 5,103

Effects of: Double taxation relief (465) (574) Overseas tax 3,693 1,574 Prior year adjustment 24 – Revenue not subject to corporation tax (6,870) (4,529)

Total tax charge for the year 3,701 1,574

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Deferred tax:

2021 2020 £’000 £’000 (c) Deferred tax Provision at start of the year 50 50 Deferredtaxchargeintheyear (16) – Provision at the end of the year 34 50

69 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 7,587 8,036 Second distribution 12,811 8,194 Third distribution 8,205 6,568 Final distribution 10,427 6,195 Add: Revenue deducted on cancellation of shares 1,277 801 Deduct: Revenue received on issue of shares (2,231) (1,998)

Net distribution for the year 38,076 27,796

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 32,892 23,941 Less: Tax relief on capitalised expenses – (76) Add: Management expenses reimbursed by capital 4,470 3,180 Add: Other expenses reimbursed by capital 714 751

Distributions for the year 38,076 27,796

Details of the distributions per share are set out in the distribution tables on pages 75 to 82.

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 4,075 1,500 Accrued Manager’s charge rebates 138 138 Amounts receivable for issue of shares 11,692 6,628 Currency sales awaiting settlement 25,218 – Overseas withholding tax reclaimable 1,376 308 Sales awaiting settlement 17,561 6,476

Total debtors 60,060 15,050

9. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 23,852 30,104

Total cash and bank balances 23,852 30,104

70 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 41 – Accrued Annual Management Charge 438 300 Accrued Safe custody fees 26 – Accrued Depositary fee –24 Accrued other expenses 213 74 Amounts payable for cancellation of shares 2,743 1,630 Collateral Payable 210 – Corporation tax payable –(26) Currency purchases awaiting settlement 25,213 – Purchases awaiting settlement 14,562 19,284

Total other creditors 43,446 21,286

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 66 and 67 and notes 4, 8 and 10 on pages 68 to 71 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Accumulation (Hedged) 1.00% Class A Income 1.00% Class A Income (Hedged) 1.00% Class S Accumulation 0.40% Class S Accumulation (Hedged) 0.40% Class S Income 0.40% Class S Income (Hedged) 0.40% Class X Accumulation 0.75% Class X Accumulation (Hedged) 0.75% Class X Income 0.75% Class X Income (Hedged) 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 60 to 65. The distribution per share class is given in the distribution table on pages 75 to 82. All share classes have the same rights on winding up.

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the

71 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments (continued)

(a) Currency exposure (continued)

year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Australian Dollar 107,377 62,390 Brazilian Real 32,351 6,137 Canadian Dollar 58,599 65,461 Chilean Peso 12,151 12,286 Euro 148,992 86,399 Hong Kong Dollar – 12,411 Mexican Peso 19,597 15,013 United States Dollar 145,143 119,595 To t a l 524,210 379,692

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £27,590k decrease and £24,962k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

15. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of New York Mellon International – 1,331 – 1,331

Total – 1,331 – 1,331

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 State Street Global Advisors Limited – 282 – 282

Total – 282 – 282

As at 28 February 2021, Collateral received from counterparties in respect of derivative contracts was £210K (2020 - £0K) in the form of cash.

72 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 825,250 322 0.04 828 0.10

Total purchases 825,250 322 828

Total purchases including transaction costs 826,400

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 656,905 237 0.04 24 0.00

Total sales 656,905 237 24

Total sales net of transaction costs 656,644

Derivative transaction costs – –

Total transaction costs 559 852

Total transaction costs as a % of average net assets 0.08 0.13

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 490,276 251 0.05 407 0.08

Total purchases 490,276 251 407

Total purchases including transaction costs 490,934

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 347,888 196 0.06 24 0.01

Total sales 347,888 196 24

Total sales net of transaction costs 347,668

Derivative transaction costs – –

Total transaction costs 447 431

Total transaction costs as a % of average net assets 0.09 0.09

The average portfolio dealing spread as at the year end was 0.16% (2020 : 0.24%).

73 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

17. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 272,382 458,498 (225,284) - 505,596 Class A Accumulation (Hedged) 3,000 - - - 3,000 Class A Income 620,847 125,820 (91,001) - 655,666 Class A Income (Hedged) 3,157 176 - - 3,333 Class S Accumulation 36,790,581 2,473,971 (31,203,382) 14,523 8,075,693 Class S Accumulation (Hedged) 998,864 - (156,752) - 842,112 Class S Income 60,118,758 15,539,218 (23,273,550) (10,230) 52,374,196 Class S Income (Hedged) 46,867,173 2,425,261 (3,672,739) - 45,619,695 Class X Accumulation 123,597,873 66,454,569 (25,707,927) 33,226 164,377,741 Class X Accumulation (Hedged) 7,821,748 26,986,565 (2,607,749) - 32,200,564 Class X Income 158,561,833 127,616,551 (8,380,573) (48,479) 277,749,332 Class X Income (Hedged) 39,675,936 19,160,982 (21,972,461) - 36,864,457

18. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 699,798 – 571,665 – Valuation techniques using observable market data 1,351 (20) 939 (657) Valuation techniques using non-observable market data – – – – Total 701,149 (20) 572,604 (657)

74 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.5976 - 1.5976 2.3272 Group 2 1.2038 0.3938 1.5976 2.3272

Class A Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.4583 - 1.4583 2.1316 Group 2 1.4583 - 1.4583 2.1316

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.3879 - 1.3879 2.0733 Group 2 0.9445 0.4434 1.3879 2.0733

Class A Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.3734 - 1.3734 2.1219 Group 2 0.9295 0.4439 1.3734 2.1219

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.6969 - 1.6969 2.3711 Group 2 1.3884 0.3085 1.6969 2.3711

Class S Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.5764 - 1.5764 2.2325 Group 2 1.5764 - 1.5764 2.2325

Class S Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.4231 - 1.4231 2.0997 Group 2 0.4572 0.9659 1.4231 2.0997

Class S Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.3279 - 1.3279 1.9912 Group 2 0.7392 0.5887 1.3279 1.9912

75 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.6717 - 1.6717 2.3437 Group 2 1.0818 0.5899 1.6717 2.3437

Class X Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.5649 - 1.5649 2.2459 Group 2 0.7588 0.8061 1.5649 2.2459

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.4025 - 1.4025 2.0764 Group 2 0.8439 0.5586 1.4025 2.0764

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.3228 - 1.3228 2.0278 Group 2 0.9016 0.4212 1.3228 2.0278

76 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.8803 - 2.8803 2.4481 Group 2 0.9012 1.9791 2.8803 2.4481

Class A Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.3793 - 2.3793 2.0443 Group 2 2.3793 - 2.3793 2.0443

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.2574 - 2.2574 2.1011 Group 2 1.0216 1.2358 2.2574 2.1011

Class A Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.2043 - 2.2043 1.9997 Group 2 0.3523 1.8520 2.2043 1.9997

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.8081 - 2.8081 2.4538 Group 2 0.4118 2.3963 2.8081 2.4538

Class S Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.5729 - 2.5729 2.2415 Group 2 2.5729 - 2.5729 2.2415

Class S Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.3179 - 2.3179 2.1434 Group 2 0.6620 1.6559 2.3179 2.1434

Class S Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.1334 - 2.1334 1.9613 Group 2 0.9120 1.2214 2.1334 1.9613

77 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.7625 - 2.7625 2.4156 Group 2 1.1508 1.6117 2.7625 2.4156

Class X Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.5493 - 2.5493 2.2117 Group 2 1.1074 1.4419 2.5493 2.2117

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.2823 - 2.2823 2.1165 Group 2 0.9187 1.3636 2.2823 2.1165

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 2.1243 - 2.1243 1.9318 Group 2 0.8836 1.2407 2.1243 1.9318

78 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.6784 - 1.6784 1.6044 Group 2 1.1462 0.5322 1.6784 1.6044

Class A Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.4643 - 1.4643 1.4166 Group 2 1.4643 - 1.4643 1.4166

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3357 - 1.3357 1.3743 Group 2 0.4819 0.8538 1.3357 1.3743

Class A Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3316 - 1.3316 1.3605 Group 2 0.9087 0.4229 1.3316 1.3605

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.6976 - 1.6976 1.6415 Group 2 1.0775 0.6201 1.6976 1.6415

Class S Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.5860 - 1.5860 1.5168 Group 2 1.5860 - 1.5860 1.5168

Class S Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3737 - 1.3737 1.4044 Group 2 0.8670 0.5067 1.3737 1.4044

Class S Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2892 - 1.2892 1.3028 Group 2 0.8520 0.4372 1.2892 1.3028

79 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.6683 - 1.6683 1.6186 Group 2 1.0643 0.6040 1.6683 1.6186

Class X Accumulation (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.5692 - 1.5692 1.5099 Group 2 1.0148 0.5544 1.5692 1.5099

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3498 - 1.3498 1.3886 Group 2 0.9534 0.3964 1.3498 1.3886

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2852 - 1.2852 1.2888 Group 2 0.6861 0.5991 1.2852 1.2888

80 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.9698 - 1.9698 2.1844 Group 2 0.8831 1.0867 1.9698 2.1844

Class A Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.7173 - 1.7173 1.3056 Group 2 1.7173 - 1.7173 1.3056

Class A Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.5470 - 1.5470 1.2194 Group 2 0.4898 1.0572 1.5470 1.2194

Class A Income (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.5454 - 1.5454 1.2408 Group 2 0.2982 1.2472 1.5454 1.2408

Class S Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.9899 - 1.9899 1.4638 Group 2 1.9899 - 1.9899 1.4638

Class S Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.8646 - 1.8646 1.3649 Group 2 1.8646 - 1.8646 1.3649

Class S Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.5926 - 1.5926 1.1955 Group 2 1.2591 0.3335 1.5926 1.1955

Class S Income (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.5000 - 1.5000 1.1571 Group 2 0.6964 0.8036 1.5000 1.1571

81 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.9562 - 1.9562 1.4626 Group 2 0.6779 1.2783 1.9562 1.4626

Class X Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.8512 - 1.8512 1.4049 Group 2 1.1924 0.6588 1.8512 1.4049

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.5660 - 1.5660 1.2430 Group 2 0.8321 0.7339 1.5660 1.2430

Class X Income (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.4932 - 1.4932 1.2086 Group 2 0.7092 0.7840 1.4932 1.2086

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

82 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund

General Information Investment Objective and Policy Investment ClearBridge The objective of this Fund is to achieve capital growth, through investment of at least 80% of Manager Investments, LLC the net asset value of the Fund in securities of US issuers. The Fund seeks to achieve its Fund Size £27.5m objective by investing at least 80% in securities of US issuers which the investment manager Sector North America believes are undervalued. The Fund may also invest up to 20% of its assets in securities of Fund Launch 01 January 2003 non-US issuers. At least 50% of the net asset value of the Fund will be invested in equity securities. The Fund may also invest in other investments to the extent permitted by the FCA Rules as applicable from time to time, which may include: units or shares in other collective investment schemes (up to a maximum of 10% of the net asset value of the Fund) and warrants (up to a maximum of 5% of the net asset value of the Fund).The Fund may also use derivatives for efficient portfolio management as explained in the Prospectus. The Fund will usually be invested in a concentrated portfolio (typically 40-60 holdings).

Legg Mason IF ClearBridge US Equity Fund The Legg Mason IF ClearBridge US Equity Fund (Class X Accumulation) increased by 35.04% in sterling terms over the period under review, while its index, the S&P 500 Index, recorded a gain in sterling terms of 19.95%. The Peer Group Comparator, the Investment Association North America fund sector, returned 24.16% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. On a sector basis relative to the S&P 500 Index benchmark, overall stock selection contributed to performance. In particular, stock selection in the energy, communication services, materials, industrials and consumer discretionary sectors as well as underweights to the consumer staples and industrials sectors and an overweight to the consumer discretionary sector drove relative results over the period. On an individual security basis, the leading contributors included EQT in the energy sector, Amazon.com in the consumer discretionary sector, Microsoft in the IT sector, Alexion Pharmaceuticals in the health care sector and Wheaton Precious Metals in the materials sector.

Q.What were the leading detractors from performance during the reporting period? A. On a sector basis relative to the S&P 500 Index benchmark, overall sector allocation detracted from performance. In particular, an underweight to the information technology (IT) sector, an overweight to the energy sector and stock selection in the IT sector hurt results. The leading individual detractors included Capri Holdings in the consumer discretionary sector, Wells Fargo and American International Group in the financials sector as well as Ovintiv and Suncor Energy in the energy sector.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. During the reporting period, the Fund initiated several new positions, including Bank of America, Goldman Sachs and Charles Schwab in the financials sector, Freeport-McMoRan in the materials sector , General Electric in the industrials sector, Carnival in the consumer discretionary sector and Eli Lilly in the health care sector. It closed positions in several positions, the most significant of which were Microsoft and Qualcomm in the IT sector, Alexion Pharmaceuticals and Bristol Myers Squibb and Exelon in the utilities sector. The Fund’s largest active overweight positions include the financials, energy and consumer discretionary sectors. The Fund’s most significant underweights are in the IT and consumer staples sectors. We feel the Fund is very well-positioned for the likelihood of nominal GDP accelerating well above current consensus in 2021 to multi-decade highs.The resulting rotation into value has been a welcome tailwind to our valuation-driven strategy, and we will make the most of it as value has the potential to recover much more fully as economy improves. Beyond this current outlook and positioning, our decision-making process embraces a world that will continue to surprise us well after the shock of COVID-19 and recovery wear off. After all, these surprises are often what create the biggest opportunities for active, valuation-driven investors like us.

83 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Bank of America 823 Microsoft 2,208 Amazon.com 784 Alphabet 1,408 DXC Technology 604 Alexion Pharmaceuticals 1,173 Goldman Sachs 522 Amazon.com 1,019 Walt Disney 476 Bristol-Myers Squibb 801 Sony ADR 460 ViacomCBS 761 Gilead Sciences 452 DXC Technology 632 UnitedHealth 441 Intercontinental Exchange 613 Eli Lilly 437 Wheaton Precious Metals 591 Freeport-McMoRan 435 Exelon 572 T-Mobile US 425 Facebook 564 Medtronic 419 Delta Air Lines 519 Parsley Energy 416 Mondelez International 493 Tot al ADR 412 Conagra Brands 479 General Electric 408 American Homes 4 Rent 462 FedEx 405 Qualcomm 461 Charles Schwab 390 Baidu 457 MGM Resorts International 387 Alibaba ADR 453 Baidu 381 Pioneer Natural Resources 438 Carnival 377 Arista Networks 381

Other purchases 11,604 Other sales 10,072 Total purchases for the year 21,058 Total sales for the year 24,557

84 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of US companies from various sectors have historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in the United States, which means that it is more sensitive to local economic, market, political or regulatory events in the United States, and will be more affected by these events than other funds that invest in a broader range of regions. Concentrated Fund: The Fund invests in fewer companies than other funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the fund’s base currency may negatively affect the value of an investment and any income received from it. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

85 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 213.19 216.26 214.63 212.84 215.35 213.22 Return before operating charges*^ 74.79 (0.09) 4.39 74.79 (0.13) 4.33 Operating charges (2.97) (2.98) (2.76) (2.39) (2.38) (2.20) Return after operating charges* 71.82 (3.07) 1.63 72.40 (2.51) 2.13 Distributions (1.06) (0.79) (0.35) (1.64) (1.37) (0.89) Retained distributions on accumulation shares 1.06 0.79 0.35 1.64 1.37 0.89 Closing net asset value per share 285.01 213.19 216.26 285.24 212.84 215.35 ^ after direct transaction costs of: 0.09 0.05 0.04 0.09 0.05 0.04 Performance Return after operating charges* 33.69% (1.42%) 0.76% 34.02% (1.17%) 1.00%

Other information Closing net asset value (£000’s) 11,292 11,959 14,911 16,200 13,684 14,494 Closing number of shares 3,961,859 5,609,315 6,895,019 5,679,496 6,429,291 6,730,534 Operating charges** 1.28% 1.27% 1.26% 1.03% 1.02% 1.01% Direct transaction costs*** 0.04% 0.02% 0.02% 0.04% 0.02% 0.02% Prices Highest share price 291.65 250.40 239.00 291.89 249.60 237.70 Lowest share price 171.29 213.20 196.50 171.03 212.90 195.60

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

86 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 7,171 (170) Revenue 3 503 554 Expenses 4 (278) (336)

Net revenue before taxation 225 218 Taxation 5 (73) (79)

Net revenue after taxation 152 139

Total return before distributions 7,323 (31) Distributions 6 (152) (141)

Change in net assets attributable to shareholders from investment activities 7,171 (172)

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 25,643 29,405 Amounts receivable on issue of shares 1,946 4,519 Amounts payable on cancellation of shares (7,404) (8,241) (5,458) (3,722) Change in net assets attributable to shareholders from investment activities 7,171 (172) Retained distribution on accumulation shares 136 132

Closing net assets attributable to shareholders 27,492 25,643

87 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 27,337 23,657 Current assets Debtors 72633 Cash and bank balances 8 218 2,009

Total assets 27,581 25,699

Liabilities: Creditors Other creditors 9 (89) (56)

Total liabilities (89) (56)

Net assets attributable to shareholders 27,492 25,643

88 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020 £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 7,182 (241) Currency (losses)/gains (6) 75 Transaction charges (5) (4)

Net capital gains/(losses) 7,171 (170)

3. Revenue

2021 2020 £’000 £’000 Bank interest –5 Overseas dividends 496 546 UK dividends 53 US REIT dividends 2–

Total revenue 503 554

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 212 259 General Administration Charge (GAC) 5 68 Expenses refundable by ACD (44) – 173 327

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 7 20 7

Other expenses ADR fee –2 Administration fees 27 – Audit fees* 13 – Audit fees - non-audit services 1– Safe custody fees 6– Transfer agent fees 29 – Other expenses 9– 85 2

Total expenses 278 336

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489).

89 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 73 79

Total taxation for the year Note (b) 73 79

(b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 225 218

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 45 44

Effects of: Movement in excess management expenses 55 65 Overseas tax 73 79 Revenue not subject to corporation tax (100) (109)

Total tax charge for the year 73 79

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £3,625K (2020: £3,570K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution 136 132 Add: Revenue deducted on cancellation of shares 21 20 Deduct: Revenue received on issue of shares (5) (11)

Net distribution for the year 152 141 Net revenue after taxation for the year 152 139 Equalisation on conversion of shares – 2

Distributions for the year 152 141

Details of the distributions per share are set out in the distribution tables on page 95.

90 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 730 Amounts receivable for issue of shares – 1 Currency sales awaiting settlement 7 – Expense rebate due from the ACD 4 – Overseas withholding tax reclaimable 8 2

Total debtors 26 33

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 218 2,009

Total cash and bank balances 218 2,009

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 19 19 Accrued Depositary fee 21 Accrued other expenses 27 5 Amounts payable for cancellation of shares 21 31 Currency purchases awaiting settlement 6 –

Total other creditors 89 56

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 87 and 88 and notes 4, 7 and 9 on pages 89 to 91 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class X Accumulation 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 86. The distribution per share class is given in the distribution table on page 95. All share classes havethesamerightsonwindingup.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency

91 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued)

(a) Currency exposure (continued)

movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Euro 862 658 United States Dollar 26,510 24,455 To t a l 27,372 25,113

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £1,441k decrease and £1,303k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 21,053 4 0.02 1 0.00

Total purchases 21,053 4 1

Total purchases including transaction costs 21,058

92 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 24,561 3 0.01 1 0.00

Total sales 24,561 3 1

Total sales net of transaction costs 24,557

Derivative transaction costs – –

Total transaction costs 7 2

Total transaction costs as a % of average net assets 0.03 0.01

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 10,781 3 0.03 2 0.02

Total purchases 10,781 3 2

Total purchases including transaction costs 10,786

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 14,579 2 0.01 – –

Total sales 14,579 2 –

Total sales net of transaction costs 14,577

Derivative transaction costs – –

Total transaction costs 5 2

Total transaction costs as a % of average net assets 0.01 0.01

The average portfolio dealing spread as at the year end was 0.07% (2020 : 0.04%).

15. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 5,609,315 194,096 (1,827,342) (14,210) 3,961,859 Class X Accumulation 6,429,291 675,534 (1,439,549) 14,220 5,679,496

93 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 27,337 – 23,657 – Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 27,337 – 23,657 –

94 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0645 - 1.0645 0.7864 Group 2 0.5388 0.5257 1.0645 0.7864

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.6440 - 1.6440 1.3706 Group 2 0.8802 0.7638 1.6440 1.3706

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

95 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund

General Information Investment Objective and Policy Investment ClearBridge The objective of this Fund is to provide total return by seeking to provide income as well as Manager Investments, LLC long-term capital growth over a rolling three to five year period. Although the Fund seeks to Fund Size £37.6m provide total return through income generation and capital growth over a rolling three to five Sector North America year period, there is no guarantee that this will be achieved over such a time period, or any Fund Launch 17 October 2011 time period.The Fund’s capital is at risk.The Fund seeks to achieve its objective by investing at least 70% of its net assets in US equity or US equity related securities, which the investment manager believes have the ability to maintain or increase dividends or income distributions over the longer term.The Fund may from time to time invest in preferred and convertibles securities as well as fixed-income securities of any quality when the investment manager believes such securities provide a compelling yield opportunity consistent with the Fund’s overall objective of total return. The total amount invested in such assets will not exceed 30% of the Fund’s net assets. The Fund may invest up to 20% of its net assets in equity or equity related securities of non-US issuers (with market capitalisations generally of at least $10 billion). The Fund may also invest in other transferable securities, money market instruments, deposits and collective investment schemes. The investment manager’s investment process emphasises the individual security selection of companies which it believes have assets or earnings power that are either unrecognized or undervalued.

Legg Mason IF ClearBridge US Equity Income Fund The Legg Mason IF ClearBridge US Equity Income Fund (Class X Accumulation) increased by 10.52% in sterling terms during the period under review, while its index, the S&P 500 Index, rose in sterling terms by 19.95%. The Peer Group Comparator, the Investment Association North America fund sector, returned 24.16% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. On a sector basis relative to the S&P 500 Index benchmark, underweights to the materials and health care sectors contributed to relative performance over the period. On an individual security basis, the leading absolute contributors included Apple, Microsoft, Broadcom and Texas Instruments in the information technology (IT) sector as well as United Parcel Service in the industrials sector.

Q.What were the leading detractors from performance during the reporting period? A. On a sector basis relative to the benchmark, overall stock selection and sector allocation detracted from results. In particular, stock selection in the consumer staples, health care, materials and industrials sectors as well as an underweights to the information technology (IT) and consumer discretionary sectors and overweights to the utilities, energy and consumer staples sector had the most significant negative impacts on performance. The leading individual detractors included Raytheon in the industrials sector, Anheuser-Busch InBev in the consumer staples sector, Kinder Morgan in the energy sector, Edison International in the utilities sector and Wells Fargo in the financials sector.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. During the reporting period, the Fund initiated a number of new positions, the largest being Broadcom and Oracle in the IT sector, Becton, Dickinson in the health care sector, Public Service Enterprise Group and Sempra Energy in the utilities sector and Northrop Grumman in the industrials sector. It closed positions in Kinder Morgan in the energy sector, Anheuser-Busch InBev in the consumer staples sector, McDonald’s in the consumer discretionary sector and 3M in the industrials sector. The Fund’s largest active overweight positions include the materials, consumer staples and financials sectors. The Fund’s most significant underweights are in consumer discretionary and IT. As the prospects of a full economic reopening improve, we believe our portfolio is well-positioned for 2021. Despite a tremendous economic contraction, many of our portfolio companies continued to pay and grow their dividends. While the S&P 500 saw 15% of its dividend payers cut their dividend in 2020, our portfolio saw only one dividend suspension — that of Disney, whose theme parks were closed. And in a year where earnings for the S&P 500 were down 23%, our dividends grew on average 7%. Our companies are well-positioned for an economic recovery and their valuations screen favourably compared to many other asset classes and sectors. Amid a world so full of uncertainty, we continue to believe in the soundness of investing in high-quality dividend growers.

96 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Microsoft 907 Kinder Morgan 633 Apple 843 Apple 582 Becton Dickinson 670 Microsoft 578 Public Service Enterprise 544 McDonald’s 454 Sempra Energy 530 Mastercard 398 PPG Industries 494 Anheuseur-Busch InBev ADR 369 Northrop Grumman 476 3M 335 Procter & Gamble 462 International Paper 315 Raytheon Technologies 459 Home Depot 312 Comcast 456 Walt Disney 299 Broadcom 441 United Parcel Service 289 Nestle 440 American Tower 283 Mondelez International 430 NextEra Energy 281 United Parcel Service 408 Comcast 274 Blackstone 403 JPMorgan Chase 267 Pfizer 399 Raytheon Technologies 252 Travelers 398 Blackstone 239 Oracle 393 Nestle 235 Mastercard 383 Procter & Gamble 226 Home Depot 370 Intel 218

Other purchases 9,125 Other sales 5,074 Total purchases for the year 19,031 Total sales for the year 11,913

97 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

12345 67

Risk and Reward Profile - Share Class S Income & Share Class X Income (Hedged)

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in shares of US companies from various sectors have historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Bonds:There is a risk that issuers of bonds held by the Fund may not be able to repay the investment or pay the interest due on it, leading to losses for the Fund. Bond values are affected by the market’s view of the above risk, and by changes in interest rates and inflation. Geographical focus: This Fund invests primarily in the United States, which means that it is more sensitive to local economic, market, political or regulatory events in the United States, and will be more affected by these events than other Funds that invest in a broader range of regions. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. Annual management charge from capital: The Fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth. Hedged class currency: The value of your investment may fall due to changes in the exchange rates between the currencies that are significant to the Fund’s investment strategy and the currency of your share class, pound sterling.The Fund manager will try to protect the value of your investment against such changes, but it may not succeed. Derivatives: The use of derivatives can result in greater fluctuations of the share classes value and may cause the share class to lose as much as or more than the amount invested in the derivatives. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

98 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Performance Record As at 28 February 2021 Share Class A Income Share Class S Income**** 28.02.21 29.02.20 28.02.19 28.02.21 Change in net assets per Share (p) (p) (p) (p) Opening net asset value per share 227.77 215.99 201.78 100.00 Return before operating charges*^ 23.73 19.29 20.64 0.33 Operating charges (3.09) (3.16) (2.76) (0.23) Return after operating charges* 20.64 16.13 17.88 0.10 Distributions (4.67) (4.35) (3.67) (0.74) Retained distributions on accumulation shares ---- Closing net asset value per share 243.74 227.77 215.99 99.36 ^ after direct transaction costs of: 0.02 0.01 0.01 0.00 Performance Return after operating charges* 9.06% 7.47% 8.86% 0.10%

Other information Closing net asset value (£000’s) 612 730 852 15,385 Closing number of shares 251,181 320,366 394,421 15,485,128 Operating charges** 1.29% 1.29% 1.31% 0.60% Direct transaction costs*** 0.01% 0.01% 0.01% 0.02% Prices Highest share price 256.44 262.70 226.60 104.50 Lowest share price 194.07 217.10 187.00 94.92

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 14th October 2020.

99 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation Share Class X Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 280.39 260.14 238.08 238.07 225.19 209.81 Return before operating charges*^ 29.37 22.99 24.39 24.83 20.08 21.52 Operating charges (2.74) (2.74) (2.33) (2.30) (2.35) (2.04) Return after operating charges* 26.63 20.25 22.06 22.53 17.73 19.48 Distributions (6.16) (5.64) (4.69) (5.19) (4.85) (4.10) Retained distributions on accumulation shares 6.16 5.64 4.69 - - - Closing net asset value per share 307.02 280.39 260.14 255.41 238.07 225.19 ^ after direct transaction costs of: 0.02 0.01 0.02 0.02 0.01 0.02 Performance Return after operating charges* 9.50% 7.78% 9.27% 9.46% 7.87% 9.28%

Other information Closing net asset value (£000’s) 3,650 6,819 6,740 17,142 21,320 23,088 Closing number of shares 1,188,721 2,431,905 2,591,011 6,711,481 8,955,579 10,252,351 Operating charges** 0.92% 0.92% 0.93% 0.92% 0.92% 0.93% Direct transaction costs*** 0.01% 0.01% 0.01% 0.01% 0.01% 0.01% Prices Highest share price 321.47 321.80 271.50 268.66 274.60 236.00 Lowest share price 238.77 261.50 220.90 202.90 226.30 194.50

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

100 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income (Hedged) 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 183.54 183.12 179.90 Return before operating charges*^ 31.47 5.97 8.20 Operating charges (1.78) (2.01) (1.83) Return after operating charges* 29.69 3.96 6.37 Distributions (3.95) (3.54) (3.15) Retained distributions on accumulation shares --- Closing net asset value per share 209.28 183.54 183.12 ^ after direct transaction costs of: 0.02 0.01 0.01 Performance Return after operating charges* 16.18% 2.16% 3.54%

Other information Closing net asset value (£000’s) 827 921 778 Closing number of shares 395,249 501,758 424,909 Operating charges** 0.93% 1.02% 1.03% Direct transaction costs*** 0.01% 0.01% 0.01% Prices Highest share price 217.94 212.70 187.80 Lowest share price 138.15 179.90 161.30

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

101 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 1,574 2,169 Revenue 3 789 807 Expenses 4 (267) (306) Interest payable and similar charges 5 (1) –

Net revenue before taxation 521 501 Taxation 6 (103) (122)

Net revenue after taxation 418 379

Total return before distributions 1,992 2,548 Distributions 7 (643) (630)

Change in net assets attributable to shareholders from investment activities 1,349 1,918

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 29,790 31,458 Amounts receivable on issue of shares 16,874 5,281 Amounts payable on cancellation of shares (10,497) (9,000) 6,377 (3,719) Change in net assets attributable to shareholders from investment activities 1,349 1,918 Retained distribution on accumulation shares 100 133

Closing net assets attributable to shareholders 37,616 29,790

102 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 37,402 28,795 Current assets Debtors 89194 Cash and bank balances 9 440 1,256

Total assets 37,933 30,145

Liabilities: Investment liabilities (7) (12) Creditors Distributions payable (162) (114) Other creditors 10 (148) (229)

Total liabilities (317) (355)

Net assets attributable to shareholders 37,616 29,790

103 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities 1,488 2,245 Forward currency contracts on hedge share classes 94 (59) Currency losses (4) (14) Transaction charges (4) (3)

Net capital gains 1,574 2,169

3. Revenue

2021 2020 £’000 £’000 Bank interest –2 Overseas dividends 769 805 US REIT dividends 20 –

Total revenue 789 807

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 218 251 General Administration Charge (GAC) 3 45 Expenses refundable by ACD (86) – 135 296

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 8 20 8

Other expenses ADR fee –2 Administration fees 30 – Audit fees* 13 – Audit fees - non-audit services 1– Safe custody fees 6– Transfer agent fees 50 – Other expenses 12 – 112 2

Total expenses 267 306

* The audit fee for the year, excluding VAT, was £11,290 (2020: £12,064). 5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 1–

Total interest payable and similar charges 1 –

104 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 103 122

Total taxation for the year Note (b) 103 122

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 521 501

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 104 100

Effects of: Movement in excess management expenses 50 59 Overseas tax 103 122 Relief on overseas tax expensed (1) (1) Revenue not subject to corporation tax (153) (158)

Total tax charge for the year 103 122

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £817K (2020: £767K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 159 165 Second distribution 127 154 Third distribution 158 155 Final distribution 179 148 Add: Revenue deducted on cancellation of shares 23 19 Deduct: Revenue received on issue of shares (3) (11)

Net distribution for the year 643 630

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 418 379 Add: Management expenses reimbursed by capital 218 251 Add: Other expenses reimbursed by capital 7 –

Distributions for the year 643 630

Details of the distributions per share are set out in the distribution tables on pages 110 to 113.

105 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 56 56 Amounts receivable for issue of shares 3 25 Currency sales awaiting settlement 12 – Expense rebate due from the ACD 9 – Overseas withholding tax reclaimable 11 13

Total debtors 91 94

9. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 440 1,256

Total cash and bank balances 440 1,256

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 20 20 Accrued Depositary fee 21 Accrued other expenses 42 5 Amounts payable for cancellation of shares 58 203 Currency purchases awaiting settlement 12 –

Total other creditors 148 229

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 102 and 103 and notes 4, 8 and 10 on pages 104 to 106 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Income 1.00% Class S Income 0.45% Class X Accumulation 0.75% Class X Income 0.75% Class X Income (Hedged) 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in thecomparativetableonpages99to101.Thedistributionpershareclassisgiveninthedistributiontableonpages110to113.All share classes have the same rights on winding up.

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

106 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Canadian Dollar 10 6 United States Dollar 36,777 27,908 To t a l 36,787 27,914

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £1,936k decrease and £1,752k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

15. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of New York Mellon International – (7) – (7)

Total – (7) – (7)

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 State Street Global Advisors Limited – (11) – (11)

Total – (11) – (11)

107 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 19,030 1 0.01 – –

Total purchases 19,030 1 –

Total purchases including transaction costs 19,031

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 11,914 1 0.01 – –

Total sales 11,914 1 –

Total sales net of transaction costs 11,913

Derivative transaction costs – –

Total transaction costs 2 –

Total transaction costs as a % of average net assets 0.01 –

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 6,208 1 0.01 - -

Total purchases 6,208 1 -

Total purchases including transaction costs 6,209

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 10,326 1 0.01 – –

Total sales 10,326 1 –

Total sales net of transaction costs 10,325

Derivative transaction costs – –

Total transaction costs 2 –

Total transaction costs as a % of average net assets 0.01 –

The average portfolio dealing spread as at the year end was 0.03% (2020 : 0.03%).

108 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

17. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Income 320,366 23,055 (87,869) (4,371) 251,181 Class S Income* - 15,955,928 (470,800) - 15,485,128 Class X Accumulation 2,431,905 61,055 (1,304,239) - 1,188,721 Class X Income 8,955,579 157,445 (2,405,724) 4,181 6,711,481 Class X Income (Hedged) 501,758 13,831 (120,340) - 395,249

* Launched on 14th October 2020. 18. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 37,402 – 28,794 – Valuation techniques using observable market data – (7) 1 (12) Valuation techniques using non-observable market data – – – – Total 37,402 (7) 28,795 (12)

109 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.2961 - 1.2961 1.1371 Group 2 0.6967 0.5994 1.2961 1.1371

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.6778 - 1.6778 1.4523 Group 2 0.5738 1.1040 1.6778 1.4523

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.4252 - 1.4252 1.2575 Group 2 0.7803 0.6449 1.4252 1.2575

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.0396 - 1.0396 0.9484 Group 2 0.3271 0.7125 1.0396 0.9484

110 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.1121 - 1.1121 1.0986 Group 2 0.7502 0.3619 1.1121 1.0986

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.4676 - 1.4676 1.4200 Group 2 0.8523 0.6153 1.4676 1.4200

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.2390 - 1.2390 1.2232 Group 2 0.7088 0.5302 1.2390 1.2232

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.9343 - 0.9343 0.8672 Group 2 0.1700 0.7643 0.9343 0.8672

111 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.2228 - 1.2228 1.0591 Group 2 0.2740 0.9488 1.2228 1.0591

Class S Income Shares* Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2439 - 0.2439 - Group 2 0.2439 - 0.2439 -

* Launched on 14th October 2020.

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.5899 - 1.5899 1.3819 Group 2 0.4444 1.1455 1.5899 1.3819

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3348 - 1.3348 1.1845 Group 2 0.6767 0.6581 1.3348 1.1845

Class X Income (Hedged) Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.0241 - 1.0241 0.8486 Group 2 0.7753 0.2488 1.0241 0.8486

112 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0363 - 1.0363 1.0589 Group 2 0.4223 0.6140 1.0363 1.0589

Class S Income Shares* Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.4923 - 0.4923 - Group 2 0.3423 0.1500 0.4923 -

* Launched on 14th October 2020.

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.4205 - 1.4205 1.3896 Group 2 0.8276 0.5929 1.4205 1.3896

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.1871 - 1.1871 1.1859 Group 2 0.6521 0.5350 1.1871 1.1859

Class X Income (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.9502 - 0.9502 0.8751 Group 2 0.4864 0.4638 0.9502 0.8751

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

113 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of the Fund is to achieve capital growth through investment in securities of Manager Investment Japanese companies. The Fund seeks to achieve its objective by investing at least 80% of its Management Limited net asset value in the securities of Japanese companies, which have above average growth Sub-Investment Shiozumi Asset prospects relative to the shares of Japanese companies as a whole. The Fund may hold up to Manager Management Company 10% of its net asset value in cash or near cash where, in the Investment Manager’s opinion, Limited attractive investment opportunities cannot be found. In exceptional market conditions and/or Fund Size £1,380.9m for liquidity management purposes, the Fund may hold cash or near cash in excess of 10% of Sector Japan its net asset value. Fund Launch 22 October 1996

Legg Mason IF Japan Equity Fund The Legg Mason IF Japan Equity Fund (Class X Accumulation) increased by 54.66% in sterling terms during the period under review, while its index, the Japan TSE 1st Section (TOPIX) Index, increased in sterling terms by 16.92%. The Peer Group Comparator, the Investment Association Japan fund sector, returned 23.97% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. The leading contributors were M3, operator of medical platform business mainly providing marketing support to pharmaceutical companies, Nihon M&A Center, the M&A consultancy specialized for smaller companies, GMO Payment Gateway, provider of credit card settlement services to e-commerce companies and public agencies, Nintendo, developer, manufacturer, and seller of home-use game hardware and software in the home entertainment business, and SMS, a website operator regarding elderly care.

Q.What were the leading detractors from performance during the reporting period? A. The only notable detractors were Oisix ra Daichi, an online and catalog retailer specializing in the sale and delivery of fresh organic food products, and Bengo4, a company providing web-based services for lawyers and tax accountants. Their impact on the portfolio, however, was very small.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. There have been no significant changes in positioning, with the Fund being most heavily weighted in the services sector and retail/wholesale companies. The Fund has meaningful exposures to pharmaceutical companies and information and communications-related stocks. Over the reporting period, the fund’s exposure to Internet Service and Health care names has increased and HR & Outsourcing decreased, driven by bottom-up stock decisions.

114 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 FUJIFILM 41,835 M3 64,060 Change 37,613 Nihon M&A Center 18,220 Bengo4.com 23,013 Welcia 9,680 ZOZO 22,766 GMO Payment Gateway 7,892 Oisix ra daichi 22,077 Asahi Intecc 6,370 FANUC 21,517 en-japan 5,631 MedPeer 18,874 SMS 4,230 Medley 18,842 Welbe 3,947 Nintendo 14,706 TKP 3,780 BayCurrent Consulting 11,574 Persol 3,093 JMDC 8,064 Sansan 3,003 Bic Camera 6,800 Fancl 2,983 Medical Data Vision 5,583 Tosho 2,878 ValueCommerce 4,320 Pan Pacific International 2,514 M3 4,034 CYBERDYNE 2,453 CYBERDYNE 3,680 Outsourcing 2,432 PeptiDream 3,402 Goldwin 2,078 Takara Bio 3,228 BayCurrent Consulting 2,037 UT 3,205 Dip 1,950 Persol 3,024 Carna Biosciences 1,494

Other purchases 14,575 Other sales 8,356 Total purchases for the year 292,732 Total sales for the year 159,081

115 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

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The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of small cap Japanese companies from various sectors have historically been subject to large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Liquidity: In certain circumstances it may be difficult to sell the Fund’s investments because there may not be enough demand for them in the markets, in which case the Fund may not be able to minimise a loss on such investments. Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in Japan, which means that it is more sensitive to local economic, market, political or regulatory events in Japan, and will be more affected by these events than other Funds that invest in a broader range of regions. Investment in smaller company shares: The Fund buys shares in smaller companies. It may be difficult to sell these shares, in which case the Fund may not be able to minimise a loss on such shares. Concentrated Fund: The Fund invests in fewer companies than other Funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. Fund currency: Changes in exchange rates between the currencies of investments held by the fund and the fund’s base currency may negatively affect the value of an investment and any income received from it. Hedged class currency: The value of your investment may fall due to changes in the exchange rates between the currencies that are significant to the Fund’s investment strategy and the currency of your share class, pound sterling. The investment manager will try to protect the value of your investment against such changes, but it may not succeed. Derivatives: The use of derivatives can result in greater fluctuations of the share classes value and may cause the share class to lose as much as or more than the amount invested in the derivatives. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

116 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 599.97 611.01 697.74 196.29 209.56 237.90 Return before operating charges*^ 326.51 (3.01) (78.21) 122.95 (10.44) (25.21) Operating charges (9.31) (8.03) (8.52) (2.97) (2.83) (3.13) Return after operating charges* 317.20 (11.04) (86.73) 119.98 (13.27) (28.34) Distributions ------Retained distributions on accumulation shares ------Closing net asset value per share 917.17 599.97 611.01 316.27 196.29 209.56 ^ after direct transaction costs of: 0.50 0.43 0.59 0.16 0.14 0.20 Performance Return after operating charges* 52.87% (1.81%) (12.43%) 61.12% (6.33%) (11.91%)

Other information Closing net asset value (£000’s) 92,936 65,727 85,608 1,115 854 1,911 Closing number of shares 10,132,947 10,955,000 14,010,943 352,629 434,980 911,689 Operating charges** 1.08% 1.17% 1.27% 1.08% 1.27% 1.37% Direct transaction costs*** 0.06% 0.06% 0.09% 0.06% 0.06% 0.09% Prices Highest share price 1,052.00 742.30 742.90 341.22 247.50 253.00 Lowest share price 538.22 601.10 566.30 162.50 196.70 183.40

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

117 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation Share Class X Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 395.01 401.29 457.10 303.46 322.90 369.37 Return before operating charges*^ 215.08 (2.15) (51.34) 190.43 (15.93) (42.55) Operating charges (4.72) (4.13) (4.47) (3.53) (3.51) (3.92) Return after operating charges* 210.36 (6.28) (55.81) 186.90 (19.44) (46.47) Distributions ------Retained distributions on accumulation shares ------Closing net asset value per share 605.37 395.01 401.29 490.36 303.46 322.90 ^ after direct transaction costs of: 0.33 0.28 0.39 0.25 0.21 0.31 Performance Return after operating charges* 53.25% (1.56%) (12.21%) 61.59% (6.02%) (12.58%)

Other information Closing net asset value (£000’s) 1,116,219 587,746 658,757 170,619 133,474 179,264 Closing number of shares 184,386,940 148,791,688 164,161,305 34,794,838 43,983,624 55,517,586 Operating charges** 0.83% 0.91% 1.02% 0.83% 1.02% 1.12% Direct transaction costs*** 0.06% 0.06% 0.09% 0.06% 0.06% 0.09% Prices Highest share price 693.94 488.50 487.20 528.94 382.60 391.30 Lowest share price 354.40 395.70 371.80 251.56 304.00 282.90

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

118 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 399,991 (6,986) Revenue 3 7,402 7,953 Expenses 4 (9,868) (9,237)

Net expense before taxation (2,466) (1,284) Taxation 5 (743) (776)

Net expense after taxation (3,209) (2,060)

Total return before distributions 396,782 (9,046) Distributions 6 52 (53)

Change in net assets attributable to shareholders from investment activities 396,834 (9,099)

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 787,801 925,540 Amounts receivable on issue of shares 391,340 64,263 Amounts payable on cancellation of shares (195,193) (192,903) 196,147 (128,640) Dilution adjustment 107 – Change in net assets attributable to shareholders from investment activities 396,834 (9,099)

Closing net assets attributable to shareholders 1,380,889 787,801

119 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 1,295,252 774,156 Current assets Debtors 7 5,417 15,828 Cash and bank balances 8 113,259 18,005

Total assets 1,413,928 807,989

Liabilities: Investment liabilities – (2,191) Creditors Other creditors 9 (33,039) (17,997)

Total liabilities (33,039) (20,188)

Net assets attributable to shareholders 1,380,889 787,801

120 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020 £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 386,961 1,964 Forward currency contracts – (508) Forward currency contracts on hedge share classes 17,866 (8,886) Currency (losses)/gains (4,832) 105 Transaction charges (4) (5) ACD’s reimbursement of research costs – 344

Net capital gains/(losses) 399,991 (6,986)

3. Revenue

2021 2020 £’000 £’000 Bank interest 45 Overseas dividends 7,398 7,948

Total revenue 7,402 7,953

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 8,970 7,485 General Administration Charge (GAC) 79 1,508 9,049 8,993

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 130 244 130 244

Other expenses Administration fees 129 – Audit fees* 13 – Audit fees - non-audit services 53 – Registration fees 1– Safe custody fees 59 – Transfer agent fees 301 – Other expenses 133 – 689 –

Total expenses 9,868 9,237

* The audit fee for the year, excluding VAT, was £11,290 (2020: £12,064).

121 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 743 776

Total taxation for the year Note (b) 743 776

(b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net expense before taxation (2,466) (1,284)

Net expense for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) (493) (257)

Effects of: Movement in excess management expenses 1,973 1,850 Overseas tax 743 776 Revenue not subject to corporation tax (1,480) (1,593)

Total tax charge for the year 743 776

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £13,513K (2020: £11,540K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution –– Add: Revenue deducted on cancellation of shares 50 82 Deduct: Revenue received on issue of shares (102) (29)

Net distribution for the year (52) 53

Reconciliation of net expense after taxation to distributions for the year Net expense after taxation for the year (3,209) (2,060) Equalisation on conversion of shares – 1 Revenue deficit 3,157 2,112

Distributions for the year (52) 53

Details of the distributions per share are set out in the distribution tables on page 127.

122 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 707 993 Amounts receivable for issue of shares 1,828 1,304 Currency sales awaiting settlement 2,567 – Overseas withholding tax reclaimable 315 – Sales awaiting settlement – 13,531

Total debtors 5,417 15,828

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 113,259 18,005

Total cash and bank balances 113,259 18,005

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 60 – Accrued Annual Management Charge 944 544 Accrued Depositary fee 13 39 Accrued other expenses 276 85 Amounts payable for cancellation of shares 26,609 17,329 Currency purchases awaiting settlement 2,571 – Purchases awaiting settlement 2,566 –

Total other creditors 33,039 17,997

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 119 and 120 and notes 4, 7 and 9 on pages 121 to 123 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Accumulation (Hedged) 1.00% Class X Accumulation 0.75% Class X Accumulation (Hedged) 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 117 to 118. The distribution per share class is given in the distribution table on page 127. All share classes have the same rights on winding up.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

123 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Japanese Yen 1,123,778 643,950 To t a l 1,123,778 643,950

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £59,146k decrease and £53,513k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of New York Mellon International – 1,008 – 1,008

Total – 1,008 – 1,008

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 State Street Global Advisors Limited – (1,666) – (1,666)

Total – (1,666) – (1,666)

124 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 292,294 438 0.15 – –

Total purchases 292,294 438 –

Total purchases including transaction costs 292,732

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 159,320 239 0.15 – –

Total sales 159,320 239 –

Total sales net of transaction costs 159,081

Derivative transaction costs – –

Total transaction costs 677 –

Total transaction costs as a % of average net assets 0.06 –

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 101,541 171 0.17 – –

Total purchases 101,541 171 –

Total purchases including transaction costs 101,712

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 255,309 432 0.17 – –

Total sales 255,309 432 –

Total sales net of transaction costs 254,877

Derivative transaction costs – –

Total transaction costs 603 –

Total transaction costs as a % of average net assets 0.06 –

The average portfolio dealing spread as at the year end was 0.34% (2020 : 0.37%).

125 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 10,955,000 1,648,522 (2,403,970) (66,605) 10,132,947 Class A Accumulation (Hedged) 434,980 62,714 (145,065) - 352,629 Class X Accumulation 148,791,688 58,971,402 (22,896,951) (479,199) 184,386,940 Class X Accumulation (Hedged) 43,983,624 3,657,062 (13,623,874) 778,026 34,794,838

17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 1,294,244 – 773,631 – Valuation techniques using observable market data 1,008 – 525 (2,191) Valuation techniques using non-observable market data – – – – Total 1,295,252 – 774,156 (2,191)

126 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class A Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

127 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of the Fund is to provide long-term (over five or more years) growth through Manager Investment investment in Asian (excluding Japan) equities and equity-related securities. The Fund seeks Management Limited to achieve its objective by investing at least 80% of its net asset value in equities and equity- Fund Size £80.1m related securities, that are: (i) listed or traded on markets located in mainland China, Hong Sector Asia Pacific excluding Kong, India, Indonesia, Malaysia, Pakistan, Philippines, Singapore, South Korea, Taiwan and Japan Thailand (collectively, the “Primary Countries”) or (ii) listed or traded on markets located in Fund Launch 27 September 2019 countries other than the Primary Countries but which are issued by companies whose principal activities are conducted, or which derive the majority of their business profits from, the Primary Countries. The Fund invests in businesses which, in the opinion of the ACD and/or the investment manager, are able to grow with the region and which have the potential to translate the potential growth of Asian economies into returns for shareholders. The investment manager will typically focus on companies with a franchise which the investment manager believes can grow value, as measured by the free cash flow available to shareholders (of the companies) and retained earnings. The Fund looks to buy securities of such companies at a valuation considered reasonable by the investment manager and to make a long-term capital commitment. The investment manager will focus on finding companies for investment which appear in the Manager’s opinion to offer sustainable growth, strong management and a strategic market position.To assist in asset selection for the Fund, the investment manager has developed a valuation method based on an assessment of the long-term fundamental value of a business’s cash-generating ability. A due diligence approach is also employed that includes an accounting diagnostic review of a company’s historical financials and an assessment of its corporate governance. The Fund may invest up to 20% of its net asset value in aggregate in: money market instruments; deposits; derivatives; and units or shares of other collective investment schemes (and which may include those managed by the ACD or by one or more of its associates), provided that the Fund may invest no more than 10% of its net asset value in units or shares of such other collective investment schemes, and investment in such schemes will be for the purposes of gaining exposure to the types of instruments described in this investment policy or otherwise to pursue the investment objective and policies of the Fund. The Fund may also invest in certain types of derivatives, including low exercise price warrants, futures (equity and index), options on equity indices, and forward currency exchange contracts, for investment purposes and efficient portfolio management. The Fund may be leveraged up to 100% of its net asset value as a result of its use of derivatives. The investment manager may, from time to time, look to hedge certain currency exposure for the purposes of efficient portfolio management, with the aim of reducing risk. However, the investment manager is not obliged to routinely seek to hedge the portfolio back to Pound Sterling, meaning that the Fund may be exposed to exchange rate risk where the Fund is invested in securities denominated in currencies other than sterling. The Fund will usually invest in a concentrated portfolio (typically 20-40 holdings).

Legg Mason IF Martin Currie Asia Unconstrained Fund The Legg Mason IF Martin Currie Asia Unconstrained Fund (Class X Accumulation) increased by 22.43% in sterling terms during the period under review, while its index, the MSCI AC Asia Pacific ex Japan Index (Net) (GBP), rose in sterling terms by 29.69%. The Peer Group Comparator, the Investment Association Asia Pacific Excluding Japan fund sector, returned 31.45% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. The biggest absolute contribution from a regional perspective came from China, while sector wise, IT was the best. At a stock level, Taiwan Semiconductor Manufacturing Company along with Chinese internet giant Tencent and Korea’s Samsung Electronics were among the most notable positives.

Q.What were the leading detractors from performance during the reporting period? A. Holdings inThailand and Singapore were a drag on performance, and from a sector perspective healthcare was the worst performer.Within the portfolio, among there notable detractors were Singapore Technologies Engineering, China Mobile and CSPC Pharmaceutical.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. At the end of the reporting period, in sector terms the largest absolute weights were to IT, consumer discretionary and financials; looking regionally, China had by far the largest weighting. Notable purchases over the period included sporting and athletic goods manufacturer FengTay, Korean confectionary maker Orion Corp, and Indian fast-moving consumer goods (FMCG) manufacturer Godrej. Sales included China Mobile, HSBC, Siam Commercial Bank and Hong Kong retailer Dairy Farm International.

128 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Tencent 4,400 Taiwan Semiconductor Manufacturing ADR 3,144 Alibaba 3,981 China Mobile 1,663 Taiwan Semiconductor Manufacturing ADR 3,579 Samsung Electronics ’S’ 1,376 Samsung Electronics ’S’ 3,035 Lyxor MSCI India 1,373 Orion 2,509 HDFC Bank 1,130 HDFC Bank ADR 2,436 Tencent 1,000 Hero MotoCorp 2,427 HSBC 909 Venture 2,411 AIA 620 AIA 2,226 Coway 598 Tata Consultancy Services 2,142 Siam Commercial Bank 558 Minth 1,916 Alibaba ADR 470 Ping An Insurance of China 1,850 Singapore Technologies Engineering 457 Shenzhou International 1,844 Jardine Matheson 434 Coway 1,717 Alibaba 421 Guangdong Investment 1,704 TravelSky Technology 350 Techtronic Industries 1,644 ENN Energy 323 ENN Energy 1,569 Dairy Farm International 243 Singapore Technologies Engineering 1,563 Tata Consultancy Services 168 Taiwan Semiconductor Manufacturing 1,536 Guangdong Investment 123 United Overseas Bank 1,486 United Overseas Bank 72

Other purchases 11,337 Other sales 339 Total purchases for the year 57,312 Total sales for the year 15,771

129 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

12345 67

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of companies from various Asian countries and sectors has historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in Asia, which means that it is more sensitive to local economic, market, political or regulatory events in Asia, and will be more affected by these events than other Funds that invest in a broader range of regions. Investment in smaller company shares: The Fund buys shares in smaller companies. It may be difficult to sell these shares, in which case the Fund may not be able to minimise a loss on such shares. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Concentrated Fund: The Fund invests in fewer companies than other Funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

130 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation**** Share Class X Accumulation**** 28.02.21 29.02.20 28.02.21 29.02.20 Change in net assets per Share (p) (p) (p) (p) Opening net asset value per share 94.72 100.00 94.82 100.00 Return before operating charges*^ 21.73 (4.75) 21.84 (4.76) Operating charges (1.19) (0.53) (0.98) (0.42) Return after operating charges* 20.54 (5.28) 20.86 (5.18) Distributions (0.86) - (1.03) - Retained distributions on accumulation shares 0.86 - 1.03 - Closing net asset value per share 115.26 94.72 115.68 94.82 ^ after direct transaction costs of: 0.08 0.06 0.08 0.06 Performance Return after operating charges* 21.68% (5.28%) 22.00% (5.18%)

Other information Closing net asset value (£000’s) 9,946 9 70,109 28,614 Closing number of shares 8,628,718 10,000 60,606,983 30,177,741 Operating charges** 1.14% 1.25% 0.93% 1.00% Direct transaction costs*** 0.08% 0.06% 0.08% 0.06% Prices Highest share price 125.78 106.10 126.20 106.20 Lowest share price 83.27 94.89 83.37 94.99

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 27 September 2019.

131 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income**** 28.02.21 29.02.20 Change in net assets per Share (p) (p) Opening net asset value per share 94.22 100.00 Return before operating charges*^ 21.54 (5.35) Operating charges (0.98) (0.43) Return after operating charges* 20.56 (5.78) Distributions (1.03) - Retained distributions on accumulation shares -- Closing net asset value per share 113.75 94.22 ^ after direct transaction costs of: 0.08 0.09 Performance Return after operating charges* 21.82% (5.78%)

Other information Closing net asset value (£000’s) 32 27 Closing number of shares 28,458 28,458 Operating charges** 0.95% 1.00% Direct transaction costs*** 0.08% 0.06% Prices Highest share price 124.13 105.50 Lowest share price 82.84 94.38

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 6 November 2019.

132 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020* Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 9,158 (1,514) Revenue 3 858 93 Expenses 4 (472) (127) Interest payable and similar charges 5 (2) –

Net revenue/(expense) before taxation 384 (34) Taxation 6 (390) (9)

Net expense after taxation (6) (43)

Total return before distributions 9,152 (1,557) Distributions 7 (295) (1)

Change in net assets attributable to shareholders from investment activities 8,857 (1,558)

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020.

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020* £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 28,650 – Amounts receivable on inspecie issue of shares 39,054** 33,179*** Amounts receivable on issue of shares 9,181 2,038 Amounts payable on cancellation of shares (6,029) (5,009) 3,152 (2,971) Dilution adjustment 12 – Change in net assets attributable to shareholders from investment activities 8,857 (1,558) Retained distribution on accumulation shares 362 –

Closing net assets attributable to shareholders 80,087 28,650

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. ** Relating to the transfer of assets from the Legg Mason IF Martin Currie Asia Pacific Fund. *** Relating to the transfer of assets from Martin Currie Asia Unconstrained Trust.

133 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 78,301 27,496 Current assets Debtors 8 860 29 Cash and bank balances 9 1,788 1,224

Total assets 80,949 28,749

Liabilities: Creditors Other creditors 10 (862) (99)

Total liabilities (862) (99)

Net assets attributable to shareholders 80,087 28,650

134 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020* £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 9,226 (1,501) Currency losses (65) (14) Transaction charges (3) (9) ACD’s reimbursement of research costs – 10

Net capital gains/(losses) 9,158 (1,514)

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. 3. Revenue

2021 2020* £’000 £’000 Overseas dividends 832 75 Stock dividends 26 – UK dividends –18

Total revenue 858 93

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. 4. Expenses

2021 2020* £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 386 101 General Administration Charge (GAC) 6 34 Expenses refundable by ACD (34) (12) 358 123

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 3 20 3

Other expenses ADR fee –1 Administration fees 30 – Audit fees** 12 – Audit fees - non-audit services 2– Safe custody fees 18 – Transfer agent fees 24 – Other expenses 8– 94 1

Total expenses 472 127

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. ** The audit fee for the year, excluding VAT, was £10,290 (2020: £10,914).

135 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Interest payable and similar charges

2021 2020* £’000 £’000 Interest on bank overdrafts 2–

Total interest payable and similar charges 2 –

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. 6. Taxation

2021 2020* £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 98 9 Overseas capital gains tax 292 –

Total taxation for the year Note (b) 390 9

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. (b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020* £’000 £’000 Net revenue/(expense) before taxation 384 (34)

Net revenue/(expense) for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 77 (7)

Effects of: Movement in excess management expenses 95 25 Overseas tax 98 9 Overseas capital gain tax 292 – Revenue not subject to corporation tax (172) (18)

Total tax charge for the year 390 9

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £120K (2020: £25K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

136 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020* £’000 £’000 First distribution 123 – Second distribution 203 – Third distribution 20 – Final distribution 16 – Add: Revenue deducted on cancellation of shares 5 1 Deduct: Revenue received on inspecie issue of shares** (41) – Deduct: Revenue received on issue of shares (31) –

Net distribution for the year 295 1

Reconciliation of net expense after taxation to distributions for the year Net expense after taxation for the year (6) (43) Revenue deficit 944 Add: Overseas capital gains tax 292 –

Distributions for the year 295 1

* The fund launched on 27 September 2019, therefore the comparative period is from 27 September 2019 to 29 February 2020. ** Relating to the transfer of assets from the Legg Mason IF Martin Currie Asia Pacific Fund. Details of the distributions per share are set out in the distribution tables on pages 142 to 145.

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 141 17 Currency sales awaiting settlement 330 – Expense rebate due from the ACD 13 12 Sales awaiting settlement 376 –

Total debtors 860 29

9. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 1,788 1,224

Total cash and bank balances 1,788 1,224

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 54 17 Accrued Depositary fee 21 Accrued other expenses 35 15 Amounts payable for cancellation of shares 136 66 Currency purchases awaiting settlement 329 – Overseas capital gains tax provision 292 –

Total other creditors 862 99

137 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 133 and 134 and notes 4, 8 and 10 on pages 135 to 137 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation* 1.25% Class X Accumulation* 1.00% Class X Income* 1.00%

* The ACD may in its discretion charge a lower AMC to that stated in the table above. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 131 to 132. The distribution per share class is given in the distribution table on pages 142 to 145. All share classes have the same rights on winding up.

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

138 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 China Yuan Renminbi 2– Euro –1,751 Hong Kong Dollar 35,327 12,566 Indian Rupee 6,398 – New Taiwan Dollar 3,098 – Singapore Dollar 7,501 2,654 South Korean Won 12,054 3,869 Thailand Baht – 584 United States Dollar 14,109 6,090 To t a l 78,489 27,514

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £4,131k decrease and £3,738k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 25,517 11 0.04 13 0.05 Inspecie transfers* 31,771 - - - -

Total purchases 57,288 11 13

Total purchases including transaction costs 57,312

* Relating to the transfer of assets from the Legg Mason IF Martin Currie Asia Pacific Fund.

139 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 14,412 6 0.04 9 0.06 Collective investment schemes 1,374 1 0.07 – –

Total sales 15,786 7 9

Total sales net of transaction costs 15,770

Derivative transaction costs – –

Total transaction costs 18 22

Total transaction costs as a % of average net assets 0.04 0.04

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 6,719 9 0.13 1 0.02 Collectiveinvestmentschemes–––––

Total purchases 6,719 9 1

Total purchases including transaction costs 6,729

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 8,150 3 0.04 6 0.07 Debt securities ––––– Collective investment schemes 2,770 2 0.06 – – Corporateactions –––––

Total sales 10,920 5 6

Total sales net of transaction costs 10,909

Derivative transaction costs – –

Total transaction costs 14 7

Total transaction costs as a % of average net assets 0.04 0.02

The average portfolio dealing spread as at the year end was 0.15% (2020 : 0.14%).

140 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation* 10,000 9,780,250 (1,149,006) (12,526) 8,628,718 Class X Accumulation* 30,177,741 34,846,860 (4,430,111) 12,493 60,606,983 Class X Income 28,458 - - - 28,458

* The share movements in the year includes dealing relating to the transfer of assets from the Legg Mason IF Martin Currie Asia Pacific Fund. 17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 78,301 – 27,496 – Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 78,301 – 27,496 –

141 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Accumulation Shares* Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3684 - 0.3684 - Group 2 0.3684 - 0.3684 -

* Launched on 27 September 2019.

Class X Accumulation Shares* Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.4239 - 0.4239 - Group 2 0.3493 0.0746 0.4239 -

* Launched on 27 September 2019.

Class X Income Shares** Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.4384 - 0.4384 - Group 2 0.4384 - 0.4384 -

** Launched on 6th November 2019.

142 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Accumulation Shares* Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.4871 - 0.4871 - Group 2 0.4871 - 0.4871 -

* Launched on 27 September 2019.

Class X Accumulation Shares* Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.5490 - 0.5490 - Group 2 0.1820 0.3670 0.5490 -

* Launched on 27 September 2019.

Class X Income Shares** Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.5335 - 0.5335 - Group 2 0.5335 - 0.5335 -

** Launched on 6th November 2019.

143 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.0325 - 0.0325 - Group 2 0.0323 0.0002 0.0325 -

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.0306 - 0.0306 - Group 2 0.0306 - 0.0306 -

144 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.0268 - 0.0268 - Group 2 0.0152 0.0116 0.0268 -

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.0271 - 0.0271 - Group 2 0.0271 - 0.0271 - Fund launched on 27 September 2019

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

145 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of the Fund is to achieve long-term (over five or more years) capital growth Manager Investment through investment in emerging markets and seek to outperform the MSCI Emerging Management Limited Markets Index over rolling 3-year periods (net of fees).The Fund seeks to achieve its objective Fund Size £34.1m by investing at least 80% of its net asset value in securities of companies domiciled or having Sector Emerging Markets their principal activities in emerging market countries. Fund Launch 09 September 1991 The Fund will invest principally (being at least 80% of the Fund’s net asset value) in equity securities but may also invest in other transferable securities, money market instruments, derivatives and forward transactions (for investment purposes as well as efficient portfolio management purposes), deposits and collective investment schemes. The collective investment schemes in which the Fund may invest may include those managed or operated by the ACD and/or one or more of its associates. No more than 10% in value of the scheme property of the Fund may consist of units in collective investment schemes. The Fund will usually invest in a concentrated portfolio (typically 40-60 holdings).

Legg Mason IF Martin Currie Emerging Markets Fund The Legg Mason IF Martin Currie Emerging Markets Fund (Class X Accumulation) increased by 32.97% in sterling terms during the period under review, while its index, the MSCI Emerging Markets Index (GBP), rose in sterling terms by 24.29%. The Peer Group Comparator, the Investment Association Global Emerging Markets fund sector, returned 25.44% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. At a regional level, Korea was the largest positive for the portfolio in relative term over the 12 months. At a sector level, IT and materials were the strongest contributors. In stock terms, Korean chemical company and electric vehicle battery producer LG Chem was the top performer. Taiwan Semiconductor Manufacturing Company and Meituan, a Chinese e-commerce platform, also fared well.

Q.What were the leading detractors from performance during the reporting period? A. India was the biggest detractor in regional terms over the period. Consumer discretionary was the most notable negative at a sector level. Within the portfolio, Hungarian Bank OTP was the worst-performing stock, with Brazilian dental benefits company OdontoPrev and Mexican financial services firm Banorte also significant detractors.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. At the end of the reporting period, the portfolio’s largest weights were to China and Korea at a regional level, and IT and consumer discretionary at a sector level. Purchases over the period included Chinese e-commerce platforms JD Com and Meituan, as well as Indian conglomerate Reliance Industries. Notable sales were gaming firm Genting Malaysia, Banorte and Brazilian bank Itaú Unibanco.

146 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Taiwan Semiconductor Manufacturing 1,605 Taiwan Semiconductor Manufacturing 1,743 Alibaba 1,564 Alibaba ADR 1,228 Tencent 1,552 Samsung Electronics 949 Samsung Electronics 1,316 Tencent 937 Meituan 1,008 LG Chem 783 LG Chem 668 Southern Copper 572 Reliance Industries 660 CNOOC 482 JD.com 644 Samsung SDI 467 Ping An Insurance of China 614 Industrial & Commercial Bank of China 402 B3 - Brasil Bolsa Balcao 584 Ping An Insurance of China 298 Contemporary Amperex Technology 572 Prosus 294 Antofagasta 482 EPAM Systems 287 EPAM Systems 475 SK Hynix 283 Prosus 469 AIA 243 NAVER 421 Cosan 240 Xinyi Solar 400 Itau Unibanco 230 Titan 377 OTP Bank 223 AIA 376 Credicorp 208 Ping An Bank 358 China Gas 200 OTP Bank 351 Meituan 200

Other purchases 6,394 Other sales 3,541 Total purchases for the year 20,890 Total sales for the year 13,810

147 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other funds) in shares of small cap companies from various emerging market countries and sectors has historically been subject to large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Investment in smaller company shares: The Fund buys shares in smaller companies. It may be difficult to sell these shares, in which case the Fund may not be able to minimise a loss on such shares. Concentrated Fund: The Fund invests in fewer companies than other funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

148 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class S Accumulation**** 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 325.40 301.59 325.16 113.49 104.54 100.00 Return before operating charges*^ 109.73 28.11 (19.09) 38.42 9.75 5.06 Operating charges (4.81) (4.30) (4.48) (0.90) (0.80) (0.52) Return after operating charges* 104.92 23.81 (23.57) 37.52 8.95 4.54 Distributions (1.39) (2.86) (1.86) (1.25) (1.69) (0.27) Retained distributions on accumulation shares 1.39 2.86 1.86 1.25 1.69 0.27 Closing net asset value per share 430.32 325.40 301.59 151.01 113.49 104.54 ^ after direct transaction costs of: 0.66 0.12 0.20 0.23 0.04 0.06 Performance Return after operating charges* 32.24% 7.89% (7.25%) 33.06% 8.56% 4.54%

Other information Closing net asset value (£000’s) 6,269 5,021 5,319 55 3 3 Closing number of shares 1,456,754 1,542,973 1,763,442 36,235 3,000 3,000 Operating charges** 1.31% 1.32% 1.47% 0.70% 0.71% 0.70% Direct transaction costs*** 0.17% 0.04% 0.07% 0.17% 0.04% 0.07% Prices Highest share price 473.59 365.80 337.00 166.16 127.50 107.60 Lowest share price 275.19 296.90 266.30 96.02 103.10 82.93

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched 9 May 2018.

149 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 362.21 334.86 360.06 Return before operating charges*^ 122.31 31.21 (21.14) Operating charges (4.33) (3.86) (4.06) Return after operating charges* 117.98 27.35 (25.20) Distributions (2.57) (4.09) (2.93) Retained distributions on accumulation shares 2.57 4.09 2.93 Closing net asset value per share 480.19 362.21 334.86 ^ after direct transaction costs of: 0.74 0.14 0.23 Performance Return after operating charges* 32.57% 8.17% (7.00%)

Other information Closing net asset value (£000’s) 27,782 16,637 15,932 Closing number of shares 5,785,740 4,593,160 4,757,852 Operating charges** 1.06% 1.07% 1.20% Direct transaction costs*** 0.17% 0.04% 0.07% Prices Highest share price 528.43 407.10 373.20 Lowest share price 306.35 329.90 295.40

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

150 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 5,729 1,513 Revenue 3 433 549 Expenses 4 (260) (244) Interest payable and similar charges 5 (1) –

Net revenue before taxation 172 305 Taxation 6 (73) (123)

Net revenue after taxation 99 182

Total return before distributions 5,828 1,695 Distributions 7 (110) (243)

Change in net assets attributable to shareholders from investment activities 5,718 1,452

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 21,661 21,254 Amounts receivable on issue of shares 19,271 1,953 Amounts payable on cancellation of shares (12,753) (3,230) 6,518 (1,277) Dilution adjustment 40 – Change in net assets attributable to shareholders from investment activities 5,718 1,452 Retained distribution on accumulation shares 169 232

Closing net assets attributable to shareholders 34,106 21,661

151 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 33,811 21,061 Current assets Debtors 8 1,997 297 Cash and bank balances 9 574 468

Total assets 36,382 21,826

Liabilities: Creditors Other creditors 10 (2,276) (165)

Total liabilities (2,276) (165)

Net assets attributable to shareholders 34,106 21,661

152 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities 5,747 1,522 Currency losses (11) (5) Transaction charges (7) (7) Merger transaction costs –3

Net capital gains 5,729 1,513

3. Revenue

2021 2020 £’000 £’000 Overseas dividends 433 549

Total revenue 433 549

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 194 181 General Administration Charge (GAC) 4 55 Expenses refundable by ACD (68) – 130 236

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 7 20 7

Other expenses ADR fee 11 Administration fees 27 – Audit fees* 13 – Audit fees - non-audit services 1– Safe custody fees 21 – Transfer agent fees 38 – Other expenses 9– 110 1

Total expenses 260 244

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489). 5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 1–

Total interest payable and similar charges 1 –

153 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 62 62 Overseas capital gains tax 11 61

Total taxation for the year Note (b) 73 123

(b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 172 305

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 34 61

Effects of: Movement in excess management expenses 44 37 Overseas tax 62 62 Overseas capital gain tax 11 61 Relief on overseas tax expensed (1) (1) Revenue not subject to corporation tax (77) (97)

Total tax charge for the year 73 123

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £231K (2020: £187K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution 169 232 Add: Revenue deducted on cancellation of shares 34 22 Deduct: Revenue received on issue of shares (93) (11)

Net distribution for the year 110 243

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 99 182 Add: Overseas capital gains tax 11 61

Distributions for the year 110 243

Details of the distributions per share are set out in the distribution tables on page 159.

154 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 77 41 Amounts receivable for issue of shares 16 74 Currency sales awaiting settlement 844 – Expense rebate due from the ACD 4 – Sales awaiting settlement 1,056 182

Total debtors 1,997 297

9. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 574 468

Total cash and bank balances 574 468

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 24 15 Accrued Depositary fee 21 Accrued other expenses 37 6 Amounts payable for cancellation of shares 1,211 51 Currency purchases awaiting settlement 849 – Overseas capital gains tax provision 84 72 Purchases awaiting settlement 55 20

Total other creditors 2,276 165

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 151 and 152 and notes 4, 8 and 10 on pages 153 to 155 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class S Accumulation* 0.65% Class X Accumulation 0.75%

* The ACD may in its discretion charge a lower AMC to that stated in the table above. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 149 to 150. The distribution per share class is given in the distribution table on page 159. All share classes have the same rights on winding up.

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

155 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Brazilian Real 620 718 Chinese Yuan (offshore) 1,065 – Euro 929 486 Hong Kong Dollar 10,102 5,137 Hungarian Forint 666 634 Indian Rupee 3,850 2,613 Indonesian Rupiah 805 655 Malaysian Ringgit – 189 Mexican Peso 207 443 New Taiwan Dollar 4,334 2,324 Philippines Peso 152 148 South African Rand – 182 South Korean Won 6,104 3,325 Turkish Lira 154 141 United States Dollar 4,627 4,283 To t a l 33,615 21,278

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £1,769k decrease and £1,601k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

156 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 20,871 8 0.04 11 0.05

Total purchases 20,871 8 11

Total purchases including transaction costs 20,890

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 13,833 5 0.04 18 0.13

Total sales 13,833 5 18

Total sales net of transaction costs 13,810

Derivative transaction costs – –

Total transaction costs 13 29

Total transaction costs as a % of average net assets 0.05 0.12

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 2,425 2 0.08 1 0.05 Collective investment schemes 2 – 0.04 – –

Total purchases 2,427 2 1

Total purchases including transaction costs 2,430

157 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 3,103 2 0.06 3 0.11 Collective investment schemes 221 – 0.06 – –

Total sales 3,324 2 3

Total sales net of transaction costs 3,319

Derivative transaction costs – –

Total transaction costs 4 4

Total transaction costs as a % of average net assets 0.02 0.02

The average portfolio dealing spread as at the year end was 0.13% (2020 : 0.16%).

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 1,542,973 13,217 (89,087) (10,349) 1,456,754 Class S Accumulation 3,000 43,360 (10,125) - 36,235 Class X Accumulation 4,593,160 4,588,654 (3,405,351) 9,277 5,785,740

17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 33,811 – 21,061 – Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 33,811 – 21,061 –

158 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.3929 - 1.3929 2.8583 Group 2 0.4292 0.9637 1.3929 2.8583

Class S Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.2479 - 1.2479 1.6880 Group 2 0.8155 0.4324 1.2479 1.6880

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 2.5689 - 2.5689 4.0881 Group 2 0.5367 2.0322 2.5689 4.0881

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

159 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of the Fund is to provide long-term (over five or more years) capital appreciation Manager Investment through investment in a concentrated portfolio comprised of at least 80% of its net asset Management Limited value in European (excluding UK) equities.The Fund seeks to achieve its objective by investing Fund Size £77.7m at least 80% of its net asset value in shares of companies domiciled or listed in Europe Sector Europe excluding the United Kingdom, or which conduct the predominant part of their economic Fund Launch 06 May 1985 activity in Europe (ex. UK).The Fund may invest both directly and indirectly in such companies. Where the Fund invests indirectly in the shares of companies it may do so through investment in equity related securities, such as depositary receipts (including American depositary receipts and global depositary receipts), collective investment schemes or by using derivative instruments (such as index futures and low exercise price warrants). The collective investment schemes in which the Fund may invest include those in respect of which the ACD has been appointed as the authorised corporate director and/or that are managed by one or more associates of the ACD. The Fund will invest in companies that, in the opinion of the ACD and/or the investment manager, (i) have the potential to generate or sustain a return on invested capital (ROIC) where the return is higher than the cost of capital; (ii) have the potential to develop an attractive growth profile and/or cash flow generation over the long term; and (iii) are expected to have supportive accounting practices and environmental, social and governance (ESG) practices. The Fund’s portfolio is not expected to have a particular sectoral, industry or market capitalisation focus. The investment manager uses a number of methods and tools to select investments for the Fund. This includes screening for companies which exhibit the characteristics described above and running an in-depth fundamental analysis on them. In particular, the investment manager focuses on forecasting a company’s growth and returns outlook with the use of the investment manager’s proprietary research platform, while also using various valuation methodologies to assess potential long-term share price appreciation. The investment manager also seeks to identify attractive compounding growth and/or return dynamics in specific areas of the market by using detailed industry analysis. It is the investment manager’s preference for the Fund to hold investments for the long term, as in the investment manager’s view, this provides the Fund with the opportunity to benefit from the full growth potential of its investments. The Fund is therefore expected to have a relatively low level of portfolio turnover. The investment manager may also engage with the management of the companies in which the Fund invests, or may invest in, to establish a constructive dialogue on sources of value creation, socially responsible investing and any other stewardship related matters. The ACD and the investment manager expect that the Fund’s portfolio will typically consist of between 20 to 40 different issuers, though the Fund may hold less than 20 issuers (provided that the Fund remains sufficiently diversified in accordance with the FCA Rules) or more than 40 issuers if this is deemed to be in the best interests of the Fund by the investment manager. The Fund may invest in derivatives for efficient portfolio management (including hedging) and investment purposes (i.e. to meet its investment objectives, as described above). The Fund may have global exposure, as measured using the commitment approach, of up to 100% of its Net Asset Value as a result of its use of derivatives. The Fund will not take any short positions. The Fund may also invest up to 20% of its net asset value in aggregate directly, or indirectly, in investments other than European equities (as described above) including, the shares of non-European companies (which, for these purposes, includes UK companies) and equity related securities, money market instruments and deposits. Where using such powers, the Fund may seek exposure to investments other than European equities through investment in other collective investment schemes. Subject to the FCA Rules and applicable laws, the Fund may invest up to 10% of its net asset value in securities issued by Russian issuers. No more than 10% in value of the scheme property of the Fund may consist of units in collective investment schemes.The collective investment schemes in which the Fund may invest may include those managed or operated by the ACD and/or one or more of its associates. The Fund does not use a benchmark for the purposes of the Benchmarks Regulation.

Legg Mason IF Martin Currie European Unconstrained Fund The Legg Mason IF Martin Currie European Unconstrained Fund (Class X Accumulation) increased by 29.00% in sterling terms during the period under review, while its index, the MSCI Europe ex UK Net Dividends Index (GBP), rose in sterling terms by 13.20%.The Peer Group Comparator, the Investment Association Europe (excluding UK) fund sector, returned 17.73% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. At a country level, Sweden was the largest absolute contributor over the 12 months. At a sector level, IT gave the most in absolute terms. At a stock level, semiconductor firms ASML (Dutch) and Infineon (German), and Swedish investment company EQT were the most notable positives.

Q.What were the leading detractors from performance during the reporting period? A. Spain and Ireland were among the lowest regional contributors within the portfolio. Consumer staples was the weakest sector. In portfolio terms, Spanish IT provider Amadeus was the worst performer, with Irish-based building materials firm Kingspan and German software company Nemetschek also weighing on performance.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. By the end of the period, the portfolio’s largest sector exposures were in IT and consumer discretionary. At a country level, France represented the portfolio’s biggest country weight in absolute terms. Purchases included Kingspan, French software corporation Dassault Systèmes and British e-commerce company, The Hut Group. Meanwhile, there were sales of Amadeus and EQT.

160 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Sartorius Stedim Biotech 3,924 Straumann 5,854 Kingspan 3,904 EQT 4,432 ASML 3,395 Ferrari 1,312 Ferrari 3,269 ASML 1,259 Dassault Systemes 3,191 Hexagon 1,049 Kering 3,021 Moncler 1,035 Moncler 2,962 Kering 1,024 Straumann 2,953 Infineon Technologies 979 adidas 2,822 Mettler-Toledo International 937 Nemetschek 2,748 Coloplast 927 Mettler-Toledo International 2,373 adidas 894 Linde 2,333 Atlas Copco 833 Assa Abloy 2,326 Amadeus IT 811 L’Oreal 2,275 L’Oreal 754 Infineon Technologies 2,234 Linde 645 Atlas Copco 2,215 Assa Abloy 620 Hexagon 2,199 Kerry 596 THG 2,024 Sartorius Stedim Biotech 522 Kerry 1,962 Dassault Systemes 471 EQT 1,723 Partners 429

Other purchases 7,607 Other sales 1,549 Total purchases for the year 61,460 Total sales for the year 26,932

161 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of companies from various European, excluding the UK, countries and sectors has historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in Europe, which means that it is more sensitive to local economic, market, political or regulatory events in Europe, and will be more affected by these events than other Funds that invest in a broader range of regions. Concentrated Fund: The Fund invests in fewer companies than other Funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

162 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 499.72 438.12 444.83 392.75 346.09 363.93 Return before operating charges*^ 148.08 68.20 (0.87) 116.25 53.72 (0.74) Operating charges (7.42) (6.60) (5.84) (5.82) (5.20) (4.66) Return after operating charges* 140.66 61.60 (6.71) 110.43 48.52 (5.40) Distributions (0.78) (2.36) (15.31) (0.61) (1.86) (12.44) Retained distributions on accumulation shares 0.78 2.36 15.31 - - - Closing net asset value per share 640.38 499.72 438.12 502.57 392.75 346.09 ^ after direct transaction costs of: 1.53 0.43 0.61 1.20 0.34 0.49 Performance Return after operating charges* 28.15% 14.06% (1.51%) 28.12% 14.02% (1.48%)

Other information Closing net asset value (£000’s) 10,433 8,565 7,550 197 166 126 Closing number of shares 1,629,129 1,713,958 1,723,231 39,108 42,149 36,473 Operating charges** 1.28% 1.30% 1.35% 1.28% 1.30% 1.35% Direct transaction costs*** 0.26% 0.09% 0.14% 0.26% 0.09% 0.14% Prices Highest share price 678.56 560.70 457.60 532.53 440.70 373.60 Lowest share price 406.51 439.00 392.10 319.50 346.80 309.80

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

163 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class S Accumulation**** Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 124.42 108.24 100.00 557.44 487.50 493.73 Return before operating charges*^ 36.98 16.91 8.36 165.36 75.96 (0.96) Operating charges (0.77) (0.73) (0.12) (6.67) (6.02) (5.27) Return after operating charges* 36.21 16.18 8.24 158.69 69.94 (6.23) Distributions (0.67) (0.90) - (1.18) (2.94) (17.00) Retained distributions on accumulation shares 0.67 0.90 - 1.18 2.94 17.00 Closing net asset value per share 160.63 124.42 108.24 716.13 557.44 487.50 ^ after direct transaction costs of: 0.38 0.11 0.14 1.71 0.49 0.67 Performance Return after operating charges* 29.10% 14.95% 8.24% 28.47% 14.35% (1.26%)

Other information Closing net asset value (£000’s) 49,197 1,738 3 15,451 17,447 6,870 Closing number of shares 30,627,056 1,396,607 3,000 2,157,626 3,129,826 1,409,153 Operating charges** 0.53% 0.57% 0.61% 1.03% 1.06% 1.10% Direct transaction costs*** 0.26% 0.09% 0.14% 0.26% 0.09% 0.14% Prices Highest share price 170.17 139.50 110.80 758.76 625.30 508.50 Lowest share price 101.25 108.50 96.78 453.51 488.50 436.20

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched 20 December 2018.

164 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 438.64 385.88 404.75 Return before operating charges*^ 129.94 59.94 (0.78) Operating charges (5.24) (4.75) (4.25) Return after operating charges* 124.70 55.19 (5.03) Distributions (0.94) (2.43) (13.84) Retained distributions on accumulation shares --- Closing net asset value per share 562.40 438.64 385.88 ^ after direct transaction costs of: 1.35 0.38 0.54 Performance Return after operating charges* 28.43% 14.30% (1.24%)

Other information Closing net asset value (£000’s) 2,381 2,222 604 Closing number of shares 423,408 506,654 156,537 Operating charges** 1.03% 1.06% 1.10% Direct transaction costs*** 0.26% 0.09% 0.14% Prices Highest share price 595.88 492.00 415.80 Lowest share price 356.86 386.70 345.30

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

165 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 12,640 1,590 Revenue 3 443 249 Expenses 4 (433) (247)

Net revenue before taxation 10 2 Taxation 5 14 (40)

Net revenue/(expense) after taxation 24 (38)

Total return before distributions 12,664 1,552 Distributions 6 (108) (89)

Change in net assets attributable to shareholders from investment activities 12,556 1,463

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 30,138 15,153 Amounts receivable on issue of shares 58,556 17,289 Amounts payable on cancellation of shares (23,770) (3,852) 34,786 13,437 Dilution adjustment 48 – Change in net assets attributable to shareholders from investment activities 12,556 1,463 Retained distribution on accumulation shares 131 85

Closing net assets attributable to shareholders 77,659 30,138

166 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 75,962 28,621 Current assets Debtors 7 266 37 Cash and bank balances 8 1,573 1,629

Total assets 77,801 30,287

Liabilities: Creditors Other creditors 9 (142) (149)

Total liabilities (142) (149)

Net assets attributable to shareholders 77,659 30,138

167 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities 12,813 1,601 Currency losses (165) (9) Transaction charges (8) (5) Merger transaction costs –3

Net capital gains 12,640 1,590

3. Revenue

2021 2020 £’000 £’000 Bank interest –1 Overseas dividends 443 248

Total revenue 443 249

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 319 185 General Administration Charge (GAC) 6 54 Expenses refundable by ACD (47) – 278 239

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 7 20 7

Other expenses Administration fees 27 – Audit fees* 13 – Audit fees - non-audit services 2– Safe custody fees 13 – Transfer agent fees 67 – Other expenses 13 – 135 –

Expenses 433 246 Overdraft interest –1

Total expenses 433 247

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489).

168 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a) Analysis of the tax (credit)/charge in the year: Overseas tax (14) 40

Total taxation for the year Note (b) (14) 40

(b) Factors affecting the tax (credit)/charge for the year: The tax assessed for the year is lower than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 10 2

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 2–

Effects of: Movement in excess management expenses 87 50 Overseas tax (14) 40 Revenue not subject to corporation tax (89) (50)

Total tax (credit)/charge for the year (14) 40

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £327K (2020: £240K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 83 89 Second distribution 19 – Third distribution 28 1 Final distribution 6– Add: Revenue deducted on cancellation of shares 6 1 Deduct: Revenue received on issue of shares (34) (2)

Net distribution for the year 108 89

Reconciliation of net revenue/(expense) after taxation to distributions for the year Net revenue/(expense) after taxation for the year 24 (38) Revenue deficit 84 127

Distributions for the year 108 89

Details of the distributions per share are set out in the distribution tables on pages 174 to 177.

169 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 23 2 Amounts receivable for issue of shares 211 15 Expense rebate due from the ACD 4 – Overseas withholding tax reclaimable 28 20

Total debtors 266 37

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 1,573 1,629

Total cash and bank balances 1,573 1,629

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 35 20 Accrued Depositary fee 21 Accrued other expenses 48 7 Amounts payable for cancellation of shares 43 121

Total other creditors 142 149

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 166 and 167 and notes 4, 7 and 9 on pages 168 to 170 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Income 1.00% Class S Accumulation* 0.55% Class X Accumulation 0.75% Class X Income 0.75%

* The ACD may in its discretion charge a lower AMC to that stated in the table above. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 163 to 165. The distribution per share class is given in the distribution table on pages 174 to 177. All share classes have the same rights on winding up.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

170 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Danish Krone 2,216 1,494 Euro 51,593 15,661 Norway Krone 36 Swedish Krona 10,582 5,510 Swiss Franc 4,357 4,077 United States Dollar 5,404 1,930 To t a l 74,155 28,678

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £3,903k decrease and £3,531k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 61,331 22 0.04 107 0.17

Total purchases 61,331 22 107

Total purchases including transaction costs 61,460

171 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 26,943 11 0.04 – –

Total sales 26,943 11 –

Total sales net of transaction costs 26,932

Derivative transaction costs – –

Total transaction costs 33 107

Total transaction costs as a % of average net assets 0.06 0.20

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 17,431 6 0.03 12 0.07

Total purchases 17,431 6 12

Total purchases including transaction costs 17,449

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 5,211 2 0.03 – –

Total sales 5,211 2 –

Total sales net of transaction costs 5,209

Derivative transaction costs – –

Total transaction costs 8 12

Total transaction costs as a % of average net assets 0.03 0.06

The average portfolio dealing spread as at the year end was 0.11% (2020 : 0.06%).

172 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 1,713,958 76,935 (149,426) (12,338) 1,629,129 Class A Income 42,149 1,161 (4,202) - 39,108 Class S Accumulation 1,396,607 37,711,998 (8,481,549) - 30,627,056 Class X Accumulation 3,129,826 456,396 (1,439,642) 11,046 2,157,626 Class X Income 506,654 59,867 (143,113) - 423,408

16. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 75,962 – 28,621 – Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 75,962 – 28,621 –

173 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.7787 - 0.7787 2.3639 Group 2 0.5649 0.2138 0.7787 2.3639

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.6136 - 0.6136 1.8649 Group 2 0.4470 0.1666 0.6136 1.8649

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.4238 - 0.4238 0.8410 Group 2 0.1072 0.3166 0.4238 0.8410

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.1802 - 1.1802 2.9358 Group 2 0.8142 0.3660 1.1802 2.9358

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.9430 - 0.9430 2.4275 Group 2 0.5776 0.3654 0.9430 2.4275

174 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group1 ---- Group2 ----

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group1 ---- Group2 ----

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.1440 - 0.1440 - Group 2 0.0049 0.1391 0.1440 -

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group1 ---- Group2 ----

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group1 ---- Group2 ----

175 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group1 ---- Group2 ----

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group1 ---- Group2 ----

Class S Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.0853 - 0.0853 0.0419 Group 2 0.0850 0.0003 0.0853 0.0419

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group1 ---- Group2 ----

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group1 ---- Group2 ----

176 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class A Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class S Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.0201 - 0.0201 0.0164 Group 2 - 0.0201 0.0201 0.0164

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

177 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of this Fund is to provide long-term (over five or more years) capital appreciation, Manager Investment through investment of at least 80% of the net asset value of the Fund in a portfolio of global Management Limited equity and equity related securities. Fund Size £65.0m The Fund seeks to achieve its objective by investing at least 80% of its net asset value, Sector Global directly or indirectly, in the shares of companies incorporated or domiciled anywhere in the Fund Launch 01 November 2010 world. The Fund may invest in a variety of developed and emerging market countries. For these purposes, emerging market countries include such countries as are included within the MSCI Emerging Markets Index. Whilst the Fund will typically invest at least 80% of its assets directly in the shares of companies, where the Fund invests indirectly in the shares of companies it may do so through investment in equity related securities such as depositary receipts (including American depositary receipts and global depositary receipts), collective investment schemes (up to 10% in value of the scheme property of the Fund) or by using derivative instruments (such as futures (equity and index), forward currency exchange contracts and low exercise price warrants).The collective investment schemes in which the Fund may invest may include those managed or operated by the ACD and/or one or more of its associates. The Fund will invest typically in companies that, in the opinion of the investment manager: (i) have the potential to generate a return on invested capital where the return is higher than the cost of capital; and (ii) have the potential to develop an attractive growth profile and/or cash flow generation. The investment manager uses several methods and tools to select investments for the Fund. This includes screening companies for return on capital, growth and balance sheet metrics and undertaking in-depth fundamental analysis on these companies. As part of this analysis, the investment manager will perform a detailed assessment of a company’s accounting and environmental, social and governance (ESG) practices. Such assessments may, for example, be undertaken in respect of a company’s: board of directors, management, remuneration policies, culture, environmental and social risks, ESG integration and other sustainability factors (such as, cyber security, human capital, customer trust and taxation). The investment manager does not place any ESG restrictions on the portfolio, but the assessment forms an integral part of the investment selection process. In particular, the investment manager focuses on forecasting a company’s growth and returns outlook with the use of the investment manager’s proprietary research platform, while also using various valuation methodologies to assess potential share price appreciation. The ACD and the investment manager expect that the Fund’s portfolio will typically consist of between 20 to 40 different issuers, though the Fund may hold less than 20 issuers (provided that the Fund remains sufficiently diversified in accordance with the FCA Rules) or more than 40 issuers if this is deemed to be in the best interests of the Fund by the investment manager. The Fund’s portfolio is not expected to have a sectoral, industry or market capitalisation focus. The Fund may invest up to 20% of its net asset value in aggregate in: money market instruments; deposits; and units or shares of other collective investment schemes, provided that the Fund invests no more than 10% in value of its scheme property in units or shares of such other collective investment schemes. Subject to the FCA Rules, there is no limit on the Fund’s maximum exposure to Chinese equities (including through the Stock Connects). However, the Fund’s maximum indirect investment in China A-Shares (including, through investments in structured notes, participation notes and low exercise price warrants) is limited to 10% of the Fund’s net asset value. Subject to the FCA Rules and applicable laws, the Fund may invest up to 10% of its net asset value in securities issued by Russian issuers. The Fund may invest in derivative instruments for efficient portfolio management (including hedging) and investment purposes (i.e. to meet its investment objectives, as described above). The Fund will not take any short positions.

Legg Mason IF Martin Currie Global Unconstrained Fund The Legg Mason IF Martin Currie Global Unconstrained Fund (Class X Accumulation) increased by 11.53% in sterling terms during the period under review, while its index, the MSCI AC WORLD (NET) (GBP), rose in sterling terms by 19.00%.The Peer Group Comparator, the Investment Association Global Equity Income fund sector, returned 22.77% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. At a regional level, US holdings made the largest absolute contribution to returns over the period. In sector terms IT was the most beneficial. In stock terms, and chip maker Taiwan Semiconductor Manufacturing Company, US IT giant Microsoft and Samsung Electronic were the top performers.

Q.What were the leading detractors from performance during the reporting period? A. UK holdings made the weakest absolute contribution from a regional perspective. Consumer discretionary stocks weighed the most on returns at a sector level. In stock terms, German automotive manufacturing company Continental, airliner manufacturer Airbus and Irish-based building materials firm Kingspan were the main detractors.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. The fund’s portfolio’s configuration altered wholesale during the period with the change in mandate to the Global Unconstrained. By the end of the period, the portfolio’s largest sector exposure was in IT. At a country level, the US represented the portfolio’s biggest country weight in absolute terms.

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Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Muenchener Rueckversicherungs-Gesellschaft in Muenchen 4,078 Taiwan Semiconductor Manufacturing ADR 6,066 Taiwan Semiconductor Manufacturing 3,363 Crown Castle International 5,495 Kingspan 3,063 Samsung Electronics 5,174 Masimo 2,968 Muenchener Rueckversicherungs-Gesellschaft in 4,803 Cisco Systems 2,953 Muenchen Broadcom 2,840 Microsoft 4,783 Vivendi 2,654 Sanofi 4,692 Atlas Copco 2,624 Verizon Communications 4,351 Sanofi 2,620 SSE 4,170 ResMed 2,590 Zurich Insurance 4,117 Linde 2,477 Lockheed Martin 4,084 L’Oreal 2,459 Koninklijke DSM 3,982 Mastercard 2,396 Transurban 3,941 Alibaba 2,309 Eaton 3,531 Tencent 2,273 Broadcom 3,482 CSL 2,192 Air Products and Chemicals 3,245 Moncler 2,181 PepsiCo 3,240 ANSYS 2,177 Koninklijke Philips 3,226 Hexagon 2,157 Danone 3,148 Adobe 2,156 Bank OZK 3,143 Vivendi 3,137

Other purchases 32,923 Other sales 55,560 Total purchases for the year 85,453 Total sales for the year 137,370

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Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

12345 67

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of companies from various countries and sectors has historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Concentrated fund: The Fund invests in fewer companies than other funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the fund to lose as much as or more than the amount invested. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

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Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 193.90 179.63 174.43 128.13 123.16 123.85 Return before operating charges*^ 23.59 16.71 7.35 15.24 11.52 5.23 Operating charges (2.46) (2.44) (2.15) (1.60) (1.65) (1.51) Return after operating charges* 21.13 14.27 5.20 13.64 9.87 3.72 Distributions (5.56) (7.24) (6.29) (3.66) (4.90) (4.41) Retained distributions on accumulation shares 5.56 7.24 6.29 - - - Closing net asset value per share 215.03 193.90 179.63 138.11 128.13 123.16 ^ after direct transaction costs of: 0.52 0.22 0.19 0.34 0.15 0.14 Performance Return after operating charges* 10.90% 7.94% 2.98% 10.65% 8.02% 3.00%

Other information Closing net asset value (£000’s) 16,058 16,567 16,893 3,375 3,603 3,691 Closing number of shares 7,467,823 8,544,029 9,404,490 2,443,631 2,811,984 2,996,606 Operating charges** 1.21% 1.22% 1.22% 1.21% 1.22% 1.22% Direct transaction costs*** 0.26% 0.11% 0.11% 0.26% 0.11% 0.11% Prices Highest share price 232.43 217.70 189.50 149.28 145.10 132.60 Lowest share price 159.99 180.30 164.50 106.30 123.60 114.20

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

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Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class I Income Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 105.03 100.95 100.90 210.69 194.69 188.58 Return before operating charges*^ 12.63 7.87 4.28 25.61 18.11 7.96 Operating charges (0.66) (0.66) (0.62) (2.12) (2.11) (1.85) Return after operating charges* 11.97 7.21 3.66 23.49 16.00 6.11 Distributions (3.01) (3.13) (3.61) (6.08) (7.87) (6.81) Retained distributions on accumulation shares - - - 6.08 7.87 6.81 Closing net asset value per share 113.99 105.03 100.95 234.18 210.69 194.69 ^ after direct transaction costs of: 0.28 0.12 0.11 0.56 0.24 0.21 Performance Return after operating charges* 11.40% 7.14% 3.63% 11.15% 8.22% 3.24%

Other information Closing net asset value (£000’s) 1,377 1,933 40,090 20,924 44,731 42,723 Closing number of shares 1,208,332 1,840,297 39,712,635 8,935,113 21,230,450 21,944,229 Operating charges** 0.61% 0.60% 0.62% 0.96% 0.97% 0.97% Direct transaction costs*** 0.26% 0.11% 0.11% 0.26% 0.11% 0.11% Prices Highest share price 123.19 119.80 108.30 253.11 236.60 205.20 Lowest share price 86.69 101.30 93.51 173.87 195.40 177.90

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

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Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 143.48 137.57 137.99 Return before operating charges*^ 17.08 12.85 5.83 Operating charges (1.42) (1.46) (1.33) Return after operating charges* 15.66 11.39 4.50 Distributions (4.20) (5.48) (4.92) Retained distributions on accumulation shares --- Closing net asset value per share 154.94 143.48 137.57 ^ after direct transaction costs of: 0.38 0.17 0.15 Performance Return after operating charges* 10.91% 8.28% 3.26%

Other information Closing net asset value (£000’s) 23,280 46,479 48,255 Closing number of shares 15,024,935 32,394,207 35,077,027 Operating charges** 0.96% 0.97% 0.97% Direct transaction costs*** 0.26% 0.11% 0.11% Prices Highest share price 167.47 162.50 147.90 Lowest share price 119.06 138.10 127.50

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

183 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 5,624 11,022 Revenue 3 2,824 6,035 Expenses 4 (792) (1,394) Interest payable and similar charges 5 (4) –

Net revenue before taxation 2,028 4,641 Taxation 6 (262) (542)

Net revenue after taxation 1,766 4,099

Total return before distributions 7,390 15,121 Distributions 7 (2,488) (5,506)

Change in net assets attributable to shareholders from investment activities 4,902 9,615

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 113,313 151,652 Amounts receivable on issue of shares 3,259 2,231 Amounts payable on cancellation of shares (57,662) (52,531) (54,403) (50,300) Dilution adjustment 44 – Change in net assets attributable to shareholders from investment activities 4,902 9,615 Retained distribution on accumulation shares 1,158 2,345 Unclaimed distributions over 6 years old – 1

Closing net assets attributable to shareholders 65,014 113,313

184 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 63,701 110,439 Current assets Debtors 8 215 338 Cash and bank balances 9 1,375 3,593

Total assets 65,291 114,370

Liabilities: Investment liabilities – (397) Creditors Bank overdrafts 11 – (42) Distributions payable – (427) Other creditors 10 (277) (191)

Total liabilities (277) (1,057)

Net assets attributable to shareholders 65,014 113,313

185 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities 4,796 11,534 Derivative contracts 793 (373) Currency losses (70) (136) Transaction charges (3) (4) Merger transaction costs –1 Compensation bridge 20 – Portfolio repositioning costs refunded by ACD 88 –

Net capital gains 5,624 11,022

3. Revenue

2021 2020 £’000 £’000 Bank interest 22 Income received on derivatives –(2) Option premiums 340 573 Overseas dividends 2,158 4,517 Stock dividends 49 – UK dividends 151 909 UK property income dividends 63 36 US REIT dividends 61 –

Total revenue 2,824 6,035

186 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

4. Expenses

2021* 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 630 1,074 General Administration Charge (GAC) 17 284 Expenses refundable by ACD (29) (5) 618 1,353

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 38 20 38

Other expenses Administration fees 27 – Audit fees** 13 – Audit fees - non-audit services 4– Safe custody fees 17 – Transfer agent fees 80 – Other expenses 13 – 154 –

Expenses 792 1,391 Overdraft interest –3

Total expenses 792 1,394

* From the 27 November 2020 the expenses were charged to revenue. ** The audit fee for the year, excluding VAT, was £11,290 (2020: £12,064). 5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 4–

Total interest payable and similar charges 4 –

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 262 542

Total taxation for the year Note (b) 262 542

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%).

187 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

6. Taxation (continued) The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 2,028 4,641

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 406 928

Effects of: Movement in excess management expenses 62 99 Overseas tax 262 542 Relief on overseas tax expensed (2) (5) Revenue not subject to corporation tax (466) (1,022)

Total tax charge for the year 262 542

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £522K (2020: £460K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 1,171 2,141 Second distribution 530 1,155 Third distribution 530 948 Final distribution – 948 Add: Revenue deducted on cancellation of shares 281 328 Deduct: Revenue received on issue of shares (24) (14)

Net distribution for the year 2,488 5,506

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 1,766 4,099 Revenue deficit 98 16 Add: Management expenses reimbursed by capital 496 1,074 Add: Other expenses reimbursed by capital 128 317

Distributions for the year 2,488 5,506

Details of the distributions per share are set out in the distribution tables on pages 193 to 196.

188 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 20 213 Accrued Manager’s charge rebates – 5 Amounts receivable for issue of shares 26 – Expense rebate due from the ACD 13 – Overseas withholding tax reclaimable 156 70 Sales awaiting settlement –50

Total debtors 215 338

9. Cash and bank balances

2021 2020 £’000 £’000 Amount held at futures clearing houses and brokers – 1,535 Cash and bank balances 1,375 2,058

Total cash and bank balances 1,375 3,593

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 17 – Accrued Annual Management Charge 46 76 Accrued Depositary fee 25 Accrued other expenses 57 20 Amounts payable for cancellation of shares 155 90

Total other creditors 277 191

11. Bank overdrafts

2021 2020 £’000 £’000 Bank overdrafts –42

Total bank overdrafts –42

12. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

13. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 184 and 185 and notes 4, 8 and 10 on pages 187 to 189 including all creations and cancellations where the ACD acted as a principal.

189 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Income 1.00% Class I Income* 0.65% Class X Accumulation 0.75% Class X Income 0.75%

* The ACD may in its discretion charge a lower AMC to that stated in the table above. The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 181 to 183. The distribution per share class is given in the distribution table on pages 193 to 196. All share classes have the same rights on winding up.

15. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Australian Dollar 1,838 3,838 Canadian Dollar 43,016 Danish Krone 1,867 – Euro 14,386 22,114 Hong Kong Dollar 6,821 1,872 New Taiwan Dollar 3,937 – Singapore Dollar –2,054 South Korean Won –4,177 Swedish Krona 6,518 2,166 Swiss Franc –5,109 United States Dollar 27,904 48,417 To t a l 63,275 92,763

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £3,330k decrease and £3,013k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

190 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Counterparty exposure risk

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 UBS – – (397) (397)

Total – – (397) (397)

As at 28 February 2021, Collateral pledged to counterparties in respect of derivative contracts was £0K (2020 - £1,547K) in the form of cash.

17. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 85,325 30 0.04 98 0.11

Total purchases 85,325 30 98

Total purchases including transaction costs 85,453

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 137,435 48 0.03 17 0.01

Total sales 137,435 48 17

Total sales net of transaction costs 137,370

Derivative transaction costs 6 0

Total transaction costs* 84 115

Total transaction costs as a % of average net assets 0.11 0.15

* Excluded from the above are repositioning costs of £88K refunded by the ACD 2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 58,678 24 0.04 88 0.15

Total purchases 58,678 24 88

Total purchases including transaction costs 58,790

191 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

17. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 108,693 40 0.04 8 0.01

Total sales 108,693 40 8

Total sales net of transaction costs 108,645

Derivative transaction costs 6 –

Total transaction costs 70 96

Total transaction costs as a % of average net assets 0.05 0.06

The average portfolio dealing spread as at the year end was 0.09% (2020 : 0.11%).

18. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 8,544,029 150,263 (1,158,821) (67,648) 7,467,823 Class A Income 2,811,984 35,627 (399,940) (4,040) 2,443,631 Class I Income 1,840,297 329,200 (961,165) - 1,208,332 Class X Accumulation 21,230,450 1,089,421 (13,446,987) 62,229 8,935,113 Class X Income 32,394,207 231,082 (17,603,956) 3,602 15,024,935

19. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 63,701 – 110,439 (397) Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 63,701 – 110,439 (397)

20. Post balance sheet events Between 28 February 2021 and 16 June 2021 the Net Asset Value and Net Asset Value per share have fallen by the values indicated in the table below. The fall in Net Asset Values stems from a fall in the value of investments or an increase in share redemptions.

28.02.2021* 16.06.2021 Change I Income 113.99 124.83 9.51% X Accumulation 234.18 256.71 9.62% X Income 154.94 169.74 9.55% Net Asset Value (£’000) 65,014 53,368 -17.91%

* Class A shares converted to Class X shares on 10 May 2021, therefore no analysis has been provided.

192 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

DistributionTable As at 28 February 2021 First Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 May 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 2.2662 - 2.2662 2.5962 Group 2 1.0889 1.1773 2.2662 2.5962

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.5043 - 1.5043 1.7796 Group 2 0.7287 0.7756 1.5043 1.7796

Class I Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.2220 - 1.2220 1.4651 Group 2 0.9606 0.2614 1.2220 1.4651

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 2.4637 - 2.4637 2.8106 Group 2 0.4059 2.0578 2.4637 2.8106

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.07.20 31.07.19 Group 1 1.6846 - 1.6846 1.9850 Group 2 0.6213 1.0633 1.6846 1.9850

193 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 31 August 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.6475 - 1.6475 1.3481 Group 2 0.7250 0.9225 1.6475 1.3481

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.0755 - 1.0755 1.0584 Group 2 - 1.0755 1.0755 1.0584

Class I Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.8906 - 0.8906 0.8318 Group 2 0.8906 - 0.8906 0.8318

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.7884 - 1.7884 1.4561 Group 2 0.7947 0.9937 1.7884 1.4561

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.10.20 31.10.19 Group 1 1.2048 - 1.2048 1.1900 Group 2 0.2708 0.9340 1.2048 1.1900

194 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 November 2020

Class A Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.6509 - 1.6509 1.6564 Group 2 0.2893 1.3616 1.6509 1.6564

Class A Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.0839 - 1.0839 0.9697 Group 2 0.1206 0.9633 1.0839 0.9697

Class I Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.8954 - 0.8954 0.8350 Group 2 0.8954 - 0.8954 0.8350

Class X Accumulation Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.8248 - 1.8248 1.8038 Group 2 0.3979 1.4269 1.8248 1.8038

Class X Income Shares Distribution Distribution Net paid paid Income Equalisation 31.01.21 31.01.20 Group 1 1.3116 - 1.3116 1.0776 Group 2 0.2701 1.0415 1.3116 1.0776

195 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 - - - 1.6433 Group 2 - - - 1.6433

Class A Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 - - - 1.0950 Group 2 - - - 1.0950

Class I Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 - - - 1.7950 Group 2 - - - 1.7950

Class X Income Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 - - - 1.2229 Group 2 - - - 1.2229

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

196 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund

General Information Investment Objective and Policy Investment Martin Currie The objective of the Fund is to achieve capital growth over periods of five or more years, Manager Investment through investment of at least 80% of the net asset value of the Fund in a portfolio of US Management Limited equities. The Fund seeks to achieve its objective by investing at least 80% of its net asset Fund Size £180.3m value directly or indirectly in the shares of companies incorporated, domiciled or conducting Sector North America the predominant part of their economic activity in the US. Fund Launch 01 September 1983 Where the Fund invests indirectly in the shares of companies it may do so through investment in equity related securities such as depositary receipts (including American depositary receipts and global depositary receipts), collective investment schemes or by using derivative instruments (such as index futures and low exercise price warrants). The collective investment schemes in which the Fund may invest may include those managed or operated by the ACD and/or one or more of its associates. No more than 10% in value of the scheme property of the Fund may consist of units in collective investment schemes. The Fund will invest typically in companies that, in the opinion of the investment manager: (i) have the potential to generate a return on invested capital where the return is higher than the cost of capital; and (ii) have the potential to develop an attractive growth profile and/or cash flow generation. The investment manager uses several methods and tools to select investments for the Fund. This includes screening companies for return on capital, growth and balance sheet metrics and undertaking in-depth fundamental analysis on these companies. As part of this analysis, the investment manager will perform a detailed assessment of a company’s accounting and environmental, social and governance (ESG) practices. The investment manager does not place any ESG restrictions on the portfolio, but the assessment forms an integral part of the investment selection process. In particular, the investment manager focuses on forecasting a company’s growth and returns outlook with the use of the investment manager’s proprietary research platform, while also using various valuation methodologies to assess potential share price appreciation. The ACD and the investment manager expect that the Fund’s portfolio will typically consist of between 20 to 40 different issuers, though the Fund may hold less than 20 issuers (provided that the Fund remains sufficiently diversified in accordance with the FCA Rules) or more than 40 issuers if this is deemed to be in the best interests of the Fund by the investment manager. The Fund’s portfolio is not expected to have a sectoral, industry or market capitalisation focus. The Fund may invest up to 20% of its net asset value in aggregate in money market instruments and deposits. The Fund may invest in derivative instruments for efficient portfolio management (including hedging) and investment purposes (i.e. to meet its investment objectives, as described above). The Fund may have global exposure, as measured using the commitment approach, of up to 100% of its net asset value as a result of its use of derivatives. The Fund will not take any short positions.

Legg Mason IF Martin Currie US Unconstrained Fund The Legg Mason IF Martin Currie US Unconstrained Fund (Class X Accumulation) returned 25.00% in sterling terms during the period under review, while its index, the MSCI USA Net Dividends Index GBP & MSCI North America Net Dividends GBP Prior to 20 Dec 2019, rose in sterling terms by 21.88%.The Peer Group Comparator, the Investment Association North America fund sector, returned 24.16% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. IT was the top-performing sector within the portfolio, with healthcare also notably aiding performance. At a stock level, medical device group Masimo was the biggest absolute contributor; elsewhere, Estee Lauder and Amazon were also notable positives.

Q.What were the leading detractors from performance during the reporting period? A. Financials was the notable drag on performance in sector terms. Automatic Data Processing, a provider of human resources management software, was the largest negative at a stock level. Medical device companies Cooper and Align Technology were also notable detractors.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. At the end of the reporting period, the largest absolute weights were to IT and healthcare. Purchases over the period included Illumina, which specialises in next-generation sequencing (NGS) and Veeva, which provides cloud-based solutions for the global life sciences industry. Sales included laboratory instrument manufacturing company Agilent Technologies, insurer AON, Automatic Data Processing, Cooper and Align Technology.

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Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 Illumina 7,004 Automatic Data Processing 8,361 Veeva Systems 6,872 Aon 7,029 ANSYS 4,563 Agilent Technologies 5,528 Masimo 3,483 Cooper 5,225 Estee Lauder 2,534 NIKE 4,024 Ecolab 2,269 Mettler-Toledo International 3,856 Mettler-Toledo International 2,219 Align Technology 3,487 Mastercard 1,981 Adobe 2,875 ResMed 1,903 Masimo 2,353 NIKE 1,584 Mastercard 1,805 Adobe 1,435 Microsoft 1,798 Amazon.com 1,288 ResMed 1,783 Automatic Data Processing 1,213 Estee Lauder 1,698 Starbucks 1,205 ANSYS 1,478 Linde 1,196 Amazon.com 1,232 Accenture 1,171 Starbucks 1,222 Microsoft 1,168 Linde 1,142 Canadian National Railway 1,048 Accenture 1,137 Zoetis 975 Ecolab 1,102 Constellation Software 927 Canadian National Railway 1,018

Other purchases 3,848 Other sales 5,950 Total purchases for the year 49,886 Total sales for the year 64,103

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Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

12345 67

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because a concentrated investment (the Fund holds fewer investments than many other Funds) in shares of US companies across various sectors has historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in the United States, which means that it is more sensitive to local economic, market, political or regulatory events in the United States, and will be more affected by these events than other Funds that invest in a broader range of regions. Investment in smaller company shares: The Fund buys shares in smaller companies. It may be difficult to sell these shares, in which case the Fund may not be able to minimise a loss on such shares. Concentrated Fund: The Fund invests in fewer companies than other Funds which invest in shares usually do. This means that the Fund does not spread its risk as widely as other Funds and will therefore be affected more if an individual company has significant losses. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Hedged class currency: The value of your investment may fall due to changes in the exchange rates between the currencies that are significant to the Fund’s investment strategy and the currency of your share class, pound sterling. The investment manager will try to protect the value of your investment against such changes, but it may not succeed. Derivatives: The use of derivatives can result in greater fluctuations of the share classes value and may cause the share class to lose as much as or more than the amount invested in the derivatives. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

199 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 477.28 416.54 370.08 534.60 465.40 412.45 Return before operating charges*^ 124.32 66.42 51.15 139.36 74.23 57.08 Operating charges (6.31) (5.68) (4.69) (5.50) (5.03) (4.13) Return after operating charges* 118.01 60.74 46.46 133.86 69.20 52.95 Distributions - - (0.67) - - (1.87) Retained distributions on accumulation shares - - 0.67 - - 1.87 Closing net asset value per share 595.29 477.28 416.54 668.46 534.60 465.40 ^ after direct transaction costs of: 0.13 0.15 0.10 0.15 0.17 0.11 Performance Return after operating charges* 24.73% 14.58% 12.55% 25.04% 14.87% 12.84%

Other information Closing net asset value (£000’s) 27,631 23,734 22,706 152,029 130,345 110,861 Closing number of shares 4,641,530 4,972,841 5,451,071 22,743,189 24,381,749 23,820,290 Operating charges** 1.12% 1.19% 1.18% 0.87% 0.94% 0.93% Direct transaction costs*** 0.02% 0.03% 0.02% 0.02% 0.03% 0.02% Prices Highest share price 635.16 551.90 433.60 713.17 618.20 484.00 Lowest share price 424.17 415.20 348.10 475.19 464.00 388.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

200 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 297.96 272.33 255.24 Return before operating charges*^ 100.80 28.72 19.77 Operating charges (3.05) (3.09) (2.68) Return after operating charges* 97.75 25.63 17.09 Distributions - - (0.83) Retained distributions on accumulation shares - - 0.83 Closing net asset value per share 395.71 297.96 272.33 ^ after direct transaction costs of: 0.08 0.09 0.06 Performance Return after operating charges* 32.81% 9.41% 6.70%

Other information Closing net asset value (£000’s) 603 464 353 Closing number of shares 152,417 155,752 129,625 Operating charges** 0.87% 1.04% 1.03% Direct transaction costs*** 0.02% 0.03% 0.02% Prices Highest share price 420.41 344.50 278.60 Lowest share price 235.91 267.00 230.90

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

201 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 39,538 20,525 Revenue 3 1,228 1,652 Expenses 4 (1,672) (1,535) Interest payable and similar charges 5 (2) –

Net (expense)/revenue before taxation (446) 117 Taxation 6 (147) (219)

Net expense after taxation (593) (102)

Total return before distributions 38,945 20,423 Distributions 7 (3) 6

Change in net assets attributable to shareholders from investment activities 38,942 20,429

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 154,543 133,920 Amounts receivable on issue of shares 39,771 21,827 Amounts payable on cancellation of shares (52,992) (21,633) (13,221) 194 Dilution adjustment (1) – Change in net assets attributable to shareholders from investment activities 38,942 20,429

Closing net assets attributable to shareholders 180,263 154,543

202 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 178,205 152,861 Current assets Debtors 8 179 936 Cash and bank balances 9 2,938 3,720

Total assets 181,322 157,517

Liabilities: Investment liabilities (5) (5) Creditors Other creditors 10 (1,054) (2,969)

Total liabilities (1,059) (2,974)

Net assets attributable to shareholders 180,263 154,543

203 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities 39,598 20,517 Forward currency contracts on hedge share classes 61 (19) Currency (losses)/gains (119) 14 Transaction charges (2) (4) Merger transaction costs –1 ACD’s reimbursement of research costs – 16

Net capital gains 39,538 20,525

3. Revenue

2021 2020 £’000 £’000 Bank interest 13 Overseas dividends 1,227 1,590 UK dividends –59

Total revenue 1,228 1,652

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 1,458 1,242 General Administration Charge (GAC) 20 252 1,478 1,494

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 31 40 31 40

Other expenses Administration fees 34 – Audit fees 13 – Audit fees - non-audit services 9– Safe custody fees 6– Transfer agent fees 72 – Other expenses 29 – 163 –

Expenses 1,672 1,534 Overdraft interest –1

Total expenses 1,672 1,535

204 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 2–

Total interest payable and similar charges 2 –

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 147 219

Total taxation for the year Note (b) 147 219

(b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net (expense)/revenue before taxation (446) 117

Net (expense)/revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) (89) 23

Effects of: Movement in excess management expenses 334 307 Overseas tax 147 219 Revenue not subject to corporation tax (245) (330)

Total tax charge for the year 147 219

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £1,579K (2020: £1,245K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

205 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution –– Add: Revenue deducted on cancellation of shares 3 6 Deduct: Revenue received on issue of shares – (12)

Net distribution for the year 3(6)

Reconciliation of net expense after taxation to distributions for the year Net expense after taxation for the year (593) (102) Equalisation on conversion of shares – 1 Revenue deficit 596 95

Distributions for the year 3(6)

Details of the distributions per share are set out in the distribution tables on page 210.

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 115 69 Amounts receivable for issue of shares 21 93 Currency sales awaiting settlement 14 – Overseas withholding tax reclaimable 29 – Sales awaiting settlement – 774

Total debtors 179 936

9. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 2,938 3,720

Total cash and bank balances 2,938 3,720

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 21 – Accrued Annual Management Charge 122 107 Accrued Depositary fee 37 Accrued other expenses 59 23 Amounts payable for cancellation of shares 835 2,068 Currency purchases awaiting settlement 14 764

Total other creditors 1,054 2,969

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in

206 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

12. Related party transactions (continued) net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 202 and 203 and notes 4, 8 and 10 on pages 204 to 206 including all creations and cancellations where the ACD acted as a principal.

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class X Accumulation 0.75% Class X Accumulation (Hedged) 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 200 to 201. The distribution per share class is given in the distribution table on page 210. All share classes have the same rights on winding up.

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Canadian Dollar 12,692 10,435 United States Dollar 165,029 142,008 To t a l 177,721 152,443

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £9,354k decrease and £8,463k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

207 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of New York Mellon International – (5) – (5)

Total – (5) – (5)

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 State Street Global Advisors Limited – (5) – (5)

Total – (5) – (5)

16. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 49,868 18 0.04 – –

Total purchases 49,868 18 –

Total purchases including transaction costs 49,886

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 64,128 24 0.04 1 0.00

Total sales 64,128 24 1

Total sales net of transaction costs 64,103

Derivative transaction costs – –

Total transaction costs 42 1

Total transaction costs as a % of average net assets 0.02 0.00

208 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 93,728 24 0.03 – –

Total purchases 93,728 24 –

Total purchases including transaction costs 93,752

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 91,865 24 0.03 2 –

Total sales 91,865 24 2

Total sales net of transaction costs 91,839

Derivative transaction costs – –

Total transaction costs 48 2

Total transaction costs as a % of average net assets 0.03 –

The average portfolio dealing spread as at the year end was 0.10% (2020 : 0.15%).

17. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 4,972,841 493,358 (758,599) (66,070) 4,641,530 Class X Accumulation 24,381,749 6,087,056 (7,784,484) 58,868 22,743,189 Class X Accumulation (Hedged) 155,752 25,224 (28,559) - 152,417

18. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 178,205 – 152,861 – Valuation techniques using observable market data – (5) – (5) Valuation techniques using non-observable market data – – – – Total 178,205 (5) 152,861 (5)

209 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

210 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund

General Information Investment Objective and Policy On 9th March 2018, shareholders in the Legg Mason IF QS Emerging Markets Equity Fund Investment were notified of the intention to terminate the Fund. Legg Mason Investment Funds Limited Manager QS Investors, LLC (as ACD of the Fund) decided that the Fund had no long-term future and approved its Fund Size £0.0m termination subject to approval by the Financial Conduct Authority.The Fund was closed with Sector Global Emerging effect from 23 April 2018. Markets Fund Launch 16 February 2004

211 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

There were no purchases or sales during the period.

212 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class X Accumulation 28.02.19 28.02.19 Change in net assets per Share (p) (p) Opening net asset value per share 303.53 131.66 Return before operating charges*^ (13.88) (6.02) Operating charges (0.98) (0.33) Return after operating charges* (14.86) (6.35) Distributions - - Retained distributions on accumulation shares - - Closing net asset value per share 288.67**** 125.31**** ^ after direct transaction costs of: 0.56 0.24 Performance Return after operating charges* (4.90%)**** 4.82%****

Other information Closing net asset value (£000’s) - - Closing number of shares - - Operating charges** 2.24% 1.75% Direct transaction costs*** 0.19% 0.19% Prices Highest share price 315.40 136.70 Lowest share price 285.30 123.80

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** The Fund closed on 23 April 2018.The closing net asset value per share and return after operating charges figures shown above are calculated to the closure date.

213 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 – – Revenue 3 – – Expenses 4 – –

Net revenue before taxation – – Taxation 5 – –

Total returns before distributions – – Distributions 6 – –

Change in net assets attributable to shareholders from investment activities – –

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders –– Amounts receivable on issue of shares – – Amounts payable on cancellation of shares – – –– Change in net assets attributable to shareholders from investment activities – –

Closing net assets attributable to shareholders – –

214 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets –– Current assets Debtors 7–2 Cash and bank balances 8 13 17

Total assets 13 19

Liabilities: Creditors Other creditors 9 (13) (19)

Total liabilities (13) (19)

Net assets attributable to shareholders – –

215 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities ––

Net capital gains ––

3. Revenue

2021 2020 £’000 £’000 Overseas dividends ––

Total revenue ––

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge –– General Administration Charge (GAC)* – – ––

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees –– ––

Other expenses ––

Total expenses ––

* The audit fee for the year, excluding VAT, was £7,865 (2020: £8,125). 5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax ––

Total taxation for the year Note (b) – –

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%).

216 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation (continued) The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation ––

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) ––

Total tax charge for the year ––

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £237K (2020: £237K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution ––

Net distribution for the year ––

Details of the distributions per share are set out in the distribution tables on page 220.

7. Debtors

2021 2020 £’000 £’000 Accrued Manager’s charge rebates – 2

Total debtors –2

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 13 17

Total cash and bank balances 13 17

9. Other creditors

2021 2020 £’000 £’000 Accrued other expenses 12 15 Amounts payable for cancellation of shares 1 4

Total other creditors 13 19

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

217 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 214 and 215 and notes 4, 7 and 9 on pages 216 to 217 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class X Accumulation 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 213. The distribution per share class is given in the distribution table on page 220. All share classes havethesamerightsonwindingup.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure There was no currency exposure in the current or prior year.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Portfolio transaction costs Analysis of total trade costs There were no Portfolio transaction costs in the current or prior year. The average portfolio dealing spread as at the year end was 0.00% (2020 : 0.00%).

15. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation ----- ClassXAccumulation-----

218 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quotedpricesforidenticalinstrumentsinactivemarkets–––– Valuationtechniquesusingobservablemarketdata–––– Valuationtechniquesusingnon-observablemarketdata–––– Total ––––

219 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group1 ---- Group2 ----

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

220 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund

General Information Investment Objective and Policy Investment The objective of this Fund is to achieve capital growth through investment in quoted securities Manager QS Investors, LLC of UK companies. The Fund seeks to achieve its objective by investing at least 80% of its net Fund Size £28.3m asset value in dividend paying stocks issued by large and mid-cap UK companies listed on the Sector UK All Companies London Stock Exchange and being constituents of the FTSE All Share Index. For these Fund Launch 31 October 1995 purposes, a UK company is defined as a company domiciled, incorporated or having a significant part of its business in the UK. The Fund may also invest in other investments as permitted by the FCA Rules as applicable from time to time, which may include collective investment schemes (up to a maximum of 10% of the net asset value of the Fund). The Fund may also use derivatives for efficient portfolio management as explained in the Prospectus.

Legg Mason IF QS UK Equity Fund The Legg Mason IF QS UK Equity Fund (Class X Accumulation) increased by 10.74% in sterling on a net of fee basis terms over the period under review while its index, the FTSE All-Share Index returned 3.50% in sterling terms. The Peer Group Comparator, the Investment Association UK All Companies fund sector, increased 8.09% over the same period. The Fund, a managed volatility portfolio, is designed to provide attractive yields and equity-like returns with lower volatility than traditional equity portfolios, combining downside protection with upside return potential. This product uses diverse risk perspectives, including a fundamental view, while investing only in stocks that are expected to pay dividends. One of the benefits of this product is potential for favorable relative returns in down markets, which effectively enhances their longer-term performance despite a tendency to lag in up markets. The result is stronger risk-adjusted returns relative to higher-volatility strategies. For the twelve months ending February 28, 2021, the portfolio outperformed the FTSE All Share Index (FTSE Index) and achieved its investment objective of offering attractive yields and lower volatility than the FTSE Index.

Q.What were the leading contributors to performance during the reporting period? A. Stock selection in Financials ex Banks was the largest positive contributor to the Fund for the twelve-month period. Positive stock selection within Materials and Communication Services also provided a strong contribution. Allocation across sectors contributed positively overall to active performance, primarily from underweights to Energy and Banks.

Q.What were the leading detractors from performance during the reporting period? A. Leading detractors within stock selection included Industrials and Consumer Discretionary. From an allocation perspective, an overweight to Real Estate detracted some value.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. The most significant changes to the portfolio over the twelve-month reporting period were the decreased overweight to Real Estate and Financials ex Banks moving from an underweight to a small overweight. Other notable changes included materials moving to a small underweight and Communication Services moving to a small overweight. Portfolio beta to the FTSE Index as of February month end was 0.93, and dividend yield was 4.9%, higher than the 3.7% yield of the FTSE Index. The portfolio is most overweight Real Estate and Information Technology, and most underweight Energy and Banks.

221 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 B&M European Value Retail 786 Highland Gold Mining 1,180 J Sainsbury 736 Hastings 785 666 610 Hastings 637 Smith & Nephew 568 Admiral 454 Empiric Student Property 556 Kingfisher 433 Centamin 548 429 Diageo 472 British American Tobacco 417 Royal Mail 449 415 Nova Ljubljanska Banka dd 448 316 Halfords 430 Vodafone 314 PayPoint 419 279 McCarthy & Stone 418 Communications 261 Hikma Pharmaceuticals 402 BAE Systems 256 401 PZ Cussons 250 Barr 382 Glencore 225 Avast 368 DCC 223 Rio Tinto 357 RSA Insurance 220 Glencore 351 Hargreaves Lansdown 219 RSA Insurance 338 Reach 218 IG 337

Other purchases 4,631 Other sales 3,915 Total purchases for the year 12,385 Total sales for the year 13,734

222 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in shares of UK companies from various sectors have historically been subject to relatively large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in the United Kingdom, which means that it is more sensitive to local economic, market, political or regulatory events in the United Kingdom, and will be more affected by these events than other funds that invest in a broader range of regions. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

223 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 315.64 319.86 322.12 139.37 140.89 141.53 Return before operating charges*^ 35.46 0.01 2.17 15.73 (0.02) 0.95 Operating charges (3.98) (4.23) (4.43) (1.42) (1.50) (1.59) Return after operating charges* 31.48 (4.22) (2.26) 14.31 (1.52) (0.64) Distributions (9.41) (14.59) (13.32) (4.52) (6.80) (6.22) Retained distributions on accumulation shares 9.41 14.59 13.32 4.52 6.80 6.22 Closing net asset value per share 347.12 315.64 319.86 153.68 139.37 140.89 ^ after direct transaction costs of: 0.76 0.79 0.20 0.34 0.35 0.09 Performance Return after operating charges* 9.97% (1.32%) (0.70%) 10.27% (1.08%) (0.45%)

Other information Closing net asset value (£000’s) 23,290 22,832 25,144 5,047 5,040 5,575 Closing number of shares 6,709,641 7,233,685 7,860,989 3,283,817 3,615,716 3,956,860 Operating charges** 1.28% 1.28% 1.35% 1.03% 1.03% 1.10% Direct transaction costs*** 0.25% 0.24% 0.06% 0.25% 0.24% 0.06% Prices Highest share price 358.84 360.10 355.10 158.81 159.00 156.10 Lowest share price 225.20 313.90 290.80 99.45 138.30 128.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

224 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 1,799 (1,651) Revenue 3 1,170 1,761 Expenses 4 (323) (373)

Net revenue before taxation 847 1,388 Taxation 5 (32) (24)

Net revenue after taxation 815 1,364

Total return before distributions 2,614 (287) Distributions 6 (815) (1,364)

Change in net assets attributable to shareholders from investment activities 1,799 (1,651)

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 27,872 30,719 Amounts receivable on issue of shares 1,335 77 Amounts payable on cancellation of shares (3,454) (2,574) (2,119) (2,497) Dilution adjustment 5– Change in net assets attributable to shareholders from investment activities 1,799 (1,651) Retained distribution on accumulation shares 780 1,301

Closing net assets attributable to shareholders 28,337 27,872

225 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 28,135 27,664 Current assets Debtors 7 114 163 Cash and bank balances 8 218 162

Total assets 28,467 27,989

Liabilities: Creditors Other creditors 9 (130) (117)

Total liabilities (130) (117)

Net assets attributable to shareholders 28,337 27,872

226 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020 £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 1,803 (1,649) Currency (losses)/gains (1) 1 Transaction charges (3) (3)

Net capital gains/(losses) 1,799 (1,651)

3. Revenue

2021 2020 £’000 £’000 Overseas dividends 201 196 Overseas REIT dividends 24 – Stock dividends 18 – UK dividends 872 1,473 UK property income dividends 55 92

Total revenue 1,170 1,761

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 253 289 General Administration Charge (GAC) 5 76 Expenses refundable by ACD (60) – 198 365

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 8 20 8

Other expenses Administration fees 28 – Audit fees* 12 – Audit fees - non-audit services 1– Safe custody fees 6– Transfer agent fees 50 – Other expenses 8– 105 –

Total expenses 323 373

* The audit fee for the year, excluding VAT, was £10,290 (2020: £10,914).

227 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 32 24

Total taxation for the year Note (b) 32 24

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 847 1,388

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 169 278

Effects of: Movement in excess management expenses 47 47 Overseas tax 32 24 Relief on overseas tax expensed (2) (2) Revenue not subject to corporation tax (214) (323)

Total tax charge for the year 32 24

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £2,158K (2020: £2,111K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution 780 1,301 Add: Revenue deducted on cancellation of shares 44 65 Deduct: Revenue received on issue of shares (9) (2)

Net distribution for the year 815 1,364

Details of the distributions per share are set out in the distribution tables on page 233.

228 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 112 158 Amounts receivable for issue of shares – 1 Expense rebate due from the ACD 1 – Overseas withholding tax reclaimable 1 4

Total debtors 114 163

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 218 162

Total cash and bank balances 218 162

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 13 – Accrued Annual Management Charge 23 23 Accrued Depositary fee 21 Accrued other expenses 45 6 Amounts payable for cancellation of shares 47 87

Total other creditors 130 117

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 225 and 226 and notes 4, 7 and 9 on pages 227 to 229 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class X Accumulation 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on page 224. The distribution per share class is given in the distribution table on page 233. All share classes havethesamerightsonwindingup.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency

229 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued)

(a) Currency exposure (continued)

movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Euro 128 767 United States Dollar 39 58 To t a l 167 825

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £9k decrease and £8k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 12,327 6 0.05 52 0.42

Total purchases 12,327 6 52

Total purchases including transaction costs 12,385

230 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 13,740 6 0.04 – –

Total sales 13,740 6 –

Total sales net of transaction costs 13,734

Derivative transaction costs – –

Total transaction costs 12 52

Total transaction costs as a % of average net assets 0.05 0.20

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 15,695 8 0.05 56 0.36

Total purchases 15,695 8 56

Total purchases including transaction costs 15,759

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 16,934 8 0.05 – –

Total sales 16,934 8 –

Total sales net of transaction costs 16,926

Derivative transaction costs – –

Total transaction costs 16 56

Total transaction costs as a % of average net assets 0.05 0.19

The average portfolio dealing spread as at the year end was 0.16% (2020 : 0.21%).

15. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 7,233,685 10,856 (525,950) (8,950) 6,709,641 Class X Accumulation 3,615,716 1,031,436 (1,383,576) 20,241 3,283,817

231 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 28,135 – 27,664 – Valuation techniques using observable market data – – – – Valuation techniques using non-observable market data – – – – Total 28,135 – 27,664 –

232 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 9.4059 - 9.4059 14.5889 Group 2 5.2265 4.1794 9.4059 14.5889

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 4.5188 - 4.5188 6.7960 Group 2 2.3451 2.1737 4.5188 6.7960

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

233 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund

General Information Investment Objective and Policy Investment The objective of this Fund is to achieve capital growth, through investment of at least 80% of Manager Royce & Associates, LP the net asset value of the Fund in securities of smaller US companies. The Fund seeks to Fund Size £205.4m achieve its objective by investing at least 80% of its net asset value in the securities of US Sector North American smaller companies, measured at the time of investment, with emphasis placed on finding Smaller Companies companies that possess excellent business strengths and/or prospects, high internal rates of Fund Launch 29 March 2004 return and low leverage, and whose securities are trading significantly below the investment manager’s estimate of their current worth. The Fund may also invest in other investments to the extent permitted by the FCA Rules as applicable from time to time, which may include: collective investment schemes (up to a maximum of 10% of the net asset value of the Fund) and convertible securities of companies with market capitalisations above US$ 5 billion.

Legg Mason IF Royce US Smaller Companies Fund The Legg Mason IF Royce US Smaller Companies Fund (Class X Accumulation) increased by 35.66% in sterling terms over the period under review while its index, the Russell 2000 Index, increased in sterling terms by 37.95%.The Peer Group Comparator, the Investment Association North American Smaller Companies fund sector, returned 39.77% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. For the one-year period ended 28 February, 2021, seven of the Fund’s nine equity sectors made a positive contribution to performance. The largest by far came from Information Technology and Industrials.

Q.What were the leading detractors from performance during the reporting period? A. Energy and Real Estate detracted modestly and were the only sectors to detract from performance for the period.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. As of 28 February, 2021, the Fund’s largest weightings remained in Industrials and Information Technology—each was also overweighted versus the Russell 2000. The portfolio also maintained a sizable weight in Consumer Discretionary at the end of the period. This positioning in consistent with the portfolio manager’s focus on high-quality small-cap companies, primarily in more cyclical industries. The transition over the past twelve months from recession to recovery and into expansion is seemingly priced into many small-cap companies. Yet, as the shift to a sustained economic expansion continues, the tug of war between expectations and underlying fundamentals is likely to be the critical factor in determining further multiple expansion. As we move into the second year of the bull market, earnings will be key. And for many sectors within the small cap universe, the earnings recovery is just beginning. So while we suspect that the very dynamic small-cap cycle has further to go, history also suggests a 10-15% correction is more probable than not at some point in 2021. We look forward to taking advantage of whatever volatility the market provides and are ready to invest in what we regard as superior businesses at temporarily depressed prices.

234 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 iShares Russell 2000 Value ETF 3,620 Sagen MI Canada 3,915 ESCO Technologies 3,188 iShares Russell 2000 Value ETF 3,548 John Bean Technologies 3,070 John Bean Technologies 3,039 Meridian Bioscience 2,959 Meritor 3,024 Kennedy-Wilson 2,934 FBL Financial 2,877 Vectrus 2,883 Insight Enterprises 2,858 Miller Industries 2,855 Simulations Plus 2,807 Air Lease 2,571 Gibraltar Industries 2,742 Meritor 2,461 MKS Instruments 2,512 Wolverine World Wide 2,448 Comfort Systems USA 2,426 MKS Instruments 2,373 SPDR S&P 600 Small CapValue ETF 2,410 Insight Enterprises 2,219 BioSpecifics Technologies 2,333 Gibraltar Industries 2,072 Bio-Techne 2,315 Heidrick & Struggles International 2,042 Sterling Construction 2,298 Northwest Pipe 2,024 Tootsie Roll Industries 2,258 MasterCraft Boat 1,936 Industrias Bachoco 2,246 Vishay Intertechnology 1,930 MasterCraft Boat 2,185 Kulicke & Soffa Industries 1,899 Korn Ferry 2,155 Comfort Systems USA 1,840 Patrick Industries 2,133 Cass Information Systems 1,784 Coherent 2,063

Other purchases 60,024 Other sales 65,463 Total purchases for the year 109,132 Total sales for the year 117,607

235 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123456 7

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in shares of small cap US companies from various sectors have historically been subject to large fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Investment in company shares: The Fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates. Geographical focus: This Fund invests primarily in the United States, which means that it is more sensitive to local economic, market, political or regulatory events in the United States, and will be more affected by these events than other funds that invest in a broader range of regions. Investment in smaller company shares: The Fund buys shares in smaller companies. It may be difficult to sell these shares, in which case the Fund may not be able to minimise a loss on such shares. Fund currency: Changes in exchange rates between the currencies of investments held by the Fund and the Fund’s base currency may negatively affect the value of an investment and any income received from it. Hedged class currency: The value of your investment may fall due to changes in the exchange rates between the currencies that are significant to the Fund’s investment strategy and the currency of your share class, pound sterling.The Fund manager will try to protect the value of your investment against such changes, but it may not succeed. Derivatives: The use of derivatives can result in greater fluctuations of the share classes value and may cause the share class to lose as much as or more than the amount invested in the derivatives. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

236 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Performance Record As at 28 February 2021 Share Class A Accumulation Share Class A Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 366.48 370.62 351.02 150.33 159.41 159.61 Return before operating charges*^ 133.52 0.79 24.23 65.70 (6.89) 1.94 Operating charges (4.43) (4.93) (4.63) (1.81) (2.19) (2.14) Return after operating charges* 129.09 (4.14) 19.60 63.89 (9.08) (0.20) Distributions (1.07) (1.24) (0.02) (0.41) (0.35) - Retained distributions on accumulation shares 1.07 1.24 0.02 0.41 0.35 - Closing net asset value per share 495.57 366.48 370.62 214.22 150.33 159.41 ^ after direct transaction costs of: 0.62 0.52 0.54 0.25 0.21 0.23 Performance Return after operating charges* 35.22% (1.12%) 5.58% 42.50% (5.70%) (0.13%)

Other information Closing net asset value (£000’s) 42,009 36,209 45,448 44 36 49 Closing number of shares 8,476,923 9,880,214 12,262,800 20,309 23,720 30,684 Operating charges** 1.14% 1.24% 1.24% 1.15% 1.35% 1.34% Direct transaction costs*** 0.16% 0.13% 0.14% 0.16% 0.13% 0.14% Prices Highest share price 508.66 432.10 418.00 222.12 179.20 175.60 Lowest share price 274.14 355.90 322.60 99.91 143.70 132.70

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

237 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation Share Class X Accumulation (Hedged) 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 192.75 194.44 183.70 132.91 140.50 140.27 Return before operating charges*^ 70.36 0.38 12.68 58.14 (6.02) 1.78 Operating charges (1.82) (2.07) (1.94) (1.26) (1.57) (1.55) Return after operating charges* 68.54 (1.69) 10.74 56.88 (7.59) 0.23 Distributions (1.07) (1.17) (0.51) (0.71) (0.67) (0.21) Retained distributions on accumulation shares 1.07 1.17 0.51 0.71 0.67 0.21 Closing net asset value per share 261.29 192.75 194.44 189.79 132.91 140.50 ^ after direct transaction costs of: 0.33 0.27 0.28 0.22 0.19 0.21 Performance Return after operating charges* 35.56% (0.87%) 5.85% 42.80% (5.40%) 0.16%

Other information Closing net asset value (£000’s) 162,901 124,789 145,427 470 314 348 Closing number of shares 62,345,607 64,740,645 74,791,319 247,580 236,486 247,657 Operating charges** 0.89% 0.99% 0.99% 0.90% 1.09% 1.09% Direct transaction costs*** 0.16% 0.13% 0.14% 0.16% 0.13% 0.14% Prices Highest share price 268.19 227.20 219.00 196.84 158.40 154.80 Lowest share price 144.21 186.80 169.20 88.32 126.80 116.90

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

238 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains/(losses) 2 51,454 (1,442) Revenue 3 2,493 3,198 Expenses 4 (1,497) (1,890)

Net revenue before taxation 996 1,308 Taxation 5 (220) (392)

Net revenue after taxation 776 916

Total return before distributions 52,230 (526) Distributions 6 (776) (919)

Change in net assets attributable to shareholders from investment activities 51,454 (1,445)

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 161,348 191,272 Amounts receivable on issue of shares 19,424 10,472 Amounts payable on cancellation of shares (27,562) (39,832) (8,138) (29,360) Dilution adjustment (1) – Change in net assets attributable to shareholders from investment activities 51,454 (1,445) Retained distribution on accumulation shares 761 881

Closing net assets attributable to shareholders 205,424 161,348

239 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 203,154 160,248 Current assets Debtors 7 3,133 216 Cash and bank balances 8 3,224 2,314

Total assets 209,511 162,778

Liabilities: Investment liabilities (4) (4) Creditors Other creditors 9 (4,083) (1,426)

Total liabilities (4,087) (1,430)

Net assets attributable to shareholders 205,424 161,348

240 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains/(losses)

2021 2020 £’000 £’000 The net capital gains/(losses) during the year were: Non-derivative securities 51,286 (1,440) Forward currency contracts on hedge share classes 35 (19) Currency losses (39) (53) Transaction charges (5) (32) ACD’s reimbursement of research costs 177 102

Net capital gains/(losses) 51,454 (1,442)

3. Revenue

2021 2020 £’000 £’000 Bank interest 13 Overseas dividends 2,427 3,195 Stock dividends 62 – US REIT dividends 3–

Total revenue 2,493 3,198

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 1,281 1,477 General Administration Charge (GAC) 24 366 1,305 1,843

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 27 46 27 46

Other expenses ADR fee –1 Administration fees 30 – Audit fees* 14 – Audit fees - non-audit services 7– Safe custody fees 3– Transfer agent fees 82 – Other expenses 29 – 165 1

Total expenses 1,497 1,890

* The audit fee for the year, excluding VAT, was £10,790 (2020: £11,489).

241 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 220 392

Total taxation for the year Note (b) 220 392

(b) Factors affecting the tax charge for the year: The tax assessed for the year is higher than (2020: higher than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 996 1,308

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 199 262

Effects of: Movement in excess management expenses 61 330 Overseas tax 220 392 Capitalised income subject to tax 238 20 Relief on overseas tax expensed –(1) Revenue not subject to corporation tax (498) (611)

Total tax charge for the year 220 392

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year. (d) Factors that may affect future tax charges: At the year end, after offset against revenue taxable on receipt, there is a potential deferred tax asset of £4,729K (2020: £4,668K) in relation to surplus management expenses. It is unlikely that the Fund will generate sufficient taxable profits in the future to utilise this amount and therefore no deferred tax asset has been recognised in the year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 Final distribution 761 881 Add: Revenue deducted on cancellation of shares 100 62 Deduct: Revenue received on issue of shares (85) (24)

Net distribution for the year 776 919 Net revenue after taxation for the year 776 916 Equalisation on conversion of shares – 3

Distributions for the year 776 919

Details of the distributions per share are set out in the distribution tables on page 247.

242 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 86 106 ACD’s reimbursement of research costs 9 – Amounts receivable for issue of shares 435 86 Currency sales awaiting settlement 720 – Overseas withholding tax reclaimable 40 24 Sales awaiting settlement 1,843 –

Total debtors 3,133 216

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 3,224 2,314

Total cash and bank balances 3,224 2,314

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 20 – Accrued Annual Management Charge 133 114 Accrued Depositary fee 38 Accrued other expenses 64 36 Amounts payable for cancellation of shares 276 1,268 Currency purchases awaiting settlement 721 – Purchases awaiting settlement 2,866 –

Total other creditors 4,083 1,426

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 239 and 240 and notes 4, 7 and 9 on pages 241 to 243 including all creations and cancellations where the ACD acted as a principal.

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Accumulation 1.00% Class A Accumulation (Hedged) 1.00% Class X Accumulation 0.75% Class X Accumulation (Hedged) 0.75%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 237 to 238. The distribution per share class is given in the distribution table on page 247. All share classes have the same rights on winding up.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

243 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued) (a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Canadian Dollar 7,878 9,403 Norway Krone 1,833 2,697 United States Dollar 192,712 148,070 To t a l 202,423 160,170

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £10,654k decrease and £9,639k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities As the Fund seeks to obtain its return from investing in equities and has no material exposure to interest rate risk, the risk is not actively managed. A 1% movement in interest rates would not have a significant impact on the Fund.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Fair value of financial assets and financial liabilities There is no material difference between the carrying values and the fair values of the financial assets and liabilities of the Fund disclosed in the Balance Sheet.

14. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of New York Mellon International – (4) – (4)

Total – (4) – (4)

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 State Street Global Advisors Limited – (4) – (4)

Total – (4) – (4)

244 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 104,241 128 0.12 – – Collective investment schemes 4,761 2 0.04 – –

Total purchases 109,002 130 –

Total purchases including transaction costs 109,132

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 111,772 120 0.11 2 0.00 Collective investment schemes 5,960 3 0.05 – –

Total sales 117,732 123 2

Total sales net of transaction costs 117,607

Derivative transaction costs – –

Total transaction costs 253 2

Total transaction costs as a % of average net assets 0.16 0.00

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Equities 102,680 108 0.11 – – Collective investment schemes 10,787 3 0.03 – –

Total purchases 113,467 111 –

Total purchases including transaction costs 113,578

245 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Equities 125,938 124 0.10 2 – Collective investment schemes 6,341 2 0.03 – –

Total sales 132,279 126 2

Total sales net of transaction costs 132,151

Derivative transaction costs – –

Total transaction costs 237 2

Total transaction costs as a % of average net assets 0.13 –

The average portfolio dealing spread as at the year end was 0.30% (2020 : 0.15%).

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Accumulation 9,880,214 435,687 (1,610,230) (228,748) 8,476,923 Class A Accumulation (Hedged) 23,720 3,528 (6,939) - 20,309 Class X Accumulation 64,740,645 8,688,989 (11,518,632) 434,605 62,345,607 Class X Accumulation (Hedged) 236,486 146,345 (135,251) - 247,580

17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 203,154 – 155,356 – Valuation techniques using observable market data – (4) 4,892 (4) Valuation techniques using non-observable market data – – – – Total 203,154 (4) 160,248 (4)

246 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

DistributionTable As at 28 February 2021 Final Dividend Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 28 February 2021

Class A Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0686 - 1.0686 1.2367 Group 2 - 1.0686 1.0686 1.2367

Class A Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.4104 - 0.4104 0.3468 Group 2 - 0.4104 0.4104 0.3468

Class X Accumulation Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 1.0725 - 1.0725 1.1689 Group 2 0.2212 0.8513 1.0725 1.1689

Class X Accumulation (Hedged) Shares Distribution Distribution Net payable paid Income Equalisation 30.04.21 30.04.20 Group 1 0.7089 - 0.7089 0.6661 Group 2 0.0678 0.6411 0.7089 0.6661

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

247 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund

General Information Investment Objective and Policy Investment Western Asset The objective of the Fund is to maximise total return through income and capital appreciation Manager Management Company by diversifying across a range of fixed income securities, sectors and currencies. The Fund Limited seeks to achieve its objective by investing globally in debt and fixed income securities Fund Size £155.0m denominated in currencies of a variety of developed and emerging market countries. A Sector Global Bond minimum of 80% of the Fund’s net asset value will be invested in debt and fixed income Fund Launch 23 May 2008 securities that are either denominated in Pounds sterling or, if denominated in other currencies, hedged to Pounds sterling. Consequently, no more than 20% of the Fund’s net asset value may be exposed to currencies other than Pounds sterling.The Fund will invest more than 40% (and up to 100%) of the assets of the Fund in debt securities rated Investment Grade at the time of purchase, or if not rated, deemed by the investment manager to be of comparable quality.The Fund invests across the major fixed income sectors including high yielding, emerging market debt securities and loans (in each case to the extent permitted by the FCA Rules).The Fund may also invest in other investments to the extent permitted by the FCA Rules as applicable from time to time, which may include: units or shares in other collective investment schemes (up to a maximum of 10% of the net asset value of the Fund), preferred shares and equity securities acquired via conversions of convertible debt securities (up to a maximum of 10% the net asset value of the Fund) and derivatives for investment purposes as well as efficient portfolio management purposes.

Legg Mason IF Western Asset Global Multi Strategy Bond Fund The Legg Mason IF Western Asset Global Multi Strategy Bond Fund (Class X Accumulation) increased by 2.29% in sterling terms over the period under review, while the GBP 3 Month LIBOR Interest Rate recorded an increase in sterling terms of 0.18%.The Peer Group Comparator, the Investment Association Sterling Strategic Bond fund sector, returned 3.78% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. Allocations to investment-grade corporate bonds, as well as high-yield corporate bonds and bank loans, contributed to returns.

Q.What were the leading detractors from performance during the reporting period? A. The main detractor from returns was the Fund’s emerging market currency exposure and an underweight to the US dollar. Long US, UK and Australian duration stances were also headwinds for performance as their yields rose.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A. Throughout the period, the portfolio maintained an overweight to longer-dated US government duration, whereas its yield curve exposure was managed tactically. Some of the US duration exposure was diversified into Australian and UK government bonds. On the credit side, at the start of the reporting period allocations were made to high-yield and investment-grade corporates as their spreads widened, as well as to emerging market sovereign and corporate issues. Some profits were taken on long dated investment grade corporates as their spreads subsequently tightened later in the reporting period. The Fund currently has significant exposures to investment-grade and high-yield corporate bonds, as well as to US dollar-denominated and local currency emerging market bonds. The Fund’s average credit quality is BBB-. Looking ahead, our focus remains on longer-term global economic and company fundamentals, with a focus on spread product given extraordinary global central bank monetary accommodation. We will also diversify the assets held in the portfolio in order to help manager spread risk.

248 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 United Kingdom Gilt 3.75% 07/09/2021 8,130 United States Treasury Note 3.125% 15/02/2043 4,836 United States Treasury Note 0.875% 15/11/2030 4,973 United Kingdom Gilt 3.75% 07/09/2021 4,642 Italy Buoni Poliennali Del Tesoro 1.35% 01/04/2030 2,767 Mexico 7.5% 03/6/2027 7.5% 03/06/2027 3,362 Legg Mason Qualified Investors (II) - Western Asset 1,694 United States Treasury Note 3% 15/11/2045 3,325 European Loan Fund Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2023 3,278 Australia Government Bond 1.75% 21/06/2051 1,615 Russian Federal Bond - OFZ 7.05% 19/01/2028 3,106 Intesa Sanpaolo 5.5% 01/03/2170 987 Russian Federal Bond - OFZ 7.25% 10/05/2034 3,057 Cooperatieve Rabobank UA 6.625% 29/06/2169 884 Italy Buoni Poliennali Del Tesoro 1.35% 01/04/2030 2,799 Ardagh Packaging Finance / Ardagh USA 5.25% 15/08/2027 839 Legg Mason Global Funds - Western Asset Euro High 2,673 Suzano Austria 3.75% 15/01/2031 834 Yield Fund China Government Bond 3.85% 12/12/2026 833 Legg Mason Global Funds - Western Asset US High Yield 2,029 Ford Motor 8.5% 21/04/2023 812 Fund China Government Bond 4.29% 22/05/2029 795 CVS Health 4.1% 25/03/2025 1,915 Abu Dhabi Government International Bond 2.5% 16/04/2025 779 Lone Star Portfolio Trust 2015-LSP 8.8085% 15/09/2028 1,783 Qatar Government International Bond 3.4% 16/04/2025 779 Freeport-McMoRan 5.45% 15/03/2043 1,695 Teva Pharmaceutical Finance Netherlands II 6% 31/01/2025 657 Ardagh Packaging Finance / Ardagh USA 6% 15/02/2025 1,635 Bertelsmann 3% 23/04/2075 620 Fannie Mae Pool 3% 01/02/2050 1,628 Israel Government International Bond 3.875% 03/07/2050 591 Legg Mason Global Funds - Western Asset Emerging 1,568 Global Medical Response FRN TL 5.75% 24/09/2025 582 Markets Corporate Bond Fund BNP Paribas 7.375% 19/02/2170 560 Transportadora de Gas del Peru 4.25% 30/04/2028 1,451 Turkey Government International Bond 4.75% 26/01/2026 555 Telecom Italia Finance 7.75% 24/01/2033 1,445 Lamb Weston 4.625% 01/11/2024 1,264 Fannie Mae Connecticut Avenue Securities 5.17675% 1,200 25/07/2029

Other purchases 37,181 Other sales 49,651 Total purchases for the year 67,467 Total sales for the year 98,342

249 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

1234 567

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because investments in a diversified portfolio of bonds from various countries and sectors have historically been subject to relatively small fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Bonds: There is a risk that issuers of bonds held by the Fund may not be able to repay the investment or pay the interest due on it, leading to losses for the Fund. Bond values are affected by the market’s view of the above risk, and by changes in interest rates and inflation. Liquidity: In certain circumstances it may be difficult to sell the Fund’s investments because there may not be enough demand for them in the markets, in which case the Fund may not be able to minimise a loss on such investments. Emerging markets investment: The Fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries. Asset-backed securities:The timing and size of the cash-flow from asset-backed securities is not fully assured and could result in loss for the Fund. These types of investments may also be difficult for the Fund to sell quickly. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Hedging:The Fund may use derivatives to reduce the risk of movements in exchange rates between the currency of the investments held by the Fund and base currency of the Fund itself (hedging). However, hedging transactions can also expose the Fund to additional risks, such as the risk that the counterparty to the transaction may not be able to make its payments, which may result in loss to the Fund. Interest rates: Changes in interest rates may negatively affect the value of the Fund. Typically as interest rates rise, bond values fall. Interbank offered rates: The use of IBORs (the rates at which banks are prepared to lend to one another) is changing and may affect the value of the Fund, or investments held by the Fund.The transition away from IBORs may impact markets that rely on IBORs to determine interest rates and may reduce the value of IBOR-based investments. Fund counterparties: The Fund may suffer losses if the parties that it trades with cannot meet their financial obligations. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets, especially to the extent that it invests in developing countries. Annual management charge from capital: The Fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

250 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Performance Record As at 28 February 2021 Share Class A Income Share Class I Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 84.67 84.64 90.43 141.03 132.70 132.93 Return before operating charges*^ 2.40 5.71 0.31 4.31 9.11 0.50 Operating charges (0.76) (0.84) (0.85) (0.73) (0.78) (0.73) Return after operating charges* 1.64 4.87 (0.54) 3.58 8.33 (0.23) Distributions (3.59) (4.84) (5.25) (6.12) (7.82) (7.97) Retained distributions on accumulation shares - - - 6.12 7.82 7.97 Closing net asset value per share 82.72 84.67 84.64 144.61 141.03 132.70 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 0.00 0.01 Performance Return after operating charges* 1.94% 5.75% (0.60%) 2.54% 6.28% (0.17%)

Other information Closing net asset value (£000’s) 961 1,064 1,322 18,895 16,248 70,932 Closing number of shares 1,162,287 1,256,884 1,561,457 13,066,236 11,521,067 53,451,806 Operating charges** 0.93% 0.98% 0.98% 0.52% 0.56% 0.56% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 85.47 87.75 90.55 147.32 143.70 133.20 Lowest share price 70.31 84.52 82.57 117.15 132.70 127.50

Share Class I Income Share Class X Accumulation 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 108.84 108.37 115.41 108.77 102.68 100.00 Return before operating charges*^ 3.11 7.32 0.31 3.33 6.95 3.03 Operating charges (0.55) (0.62) (0.62) (0.83) (0.86) (0.35) Return after operating charges* 2.56 6.70 (0.31) 2.50 6.09 2.68 Distributions (4.63) (6.23) (6.73) (4.71) (6.02) (2.91) Retained distributions on accumulation shares - - - 4.71 6.02 2.91 Closing net asset value per share 106.77 108.84 108.37 111.27 108.77 102.68 ^ after direct transaction costs of: 0.00 0.00 0.01 0.00 0.00 0.00 Performance Return after operating charges* 2.35% 6.18% (0.27%) 2.30% 5.93% 2.68%

Other information Closing net asset value (£000’s) 125,326 137,445 201,383 115 196 16 Closing number of shares 117,384,099 126,276,860 185,820,669 103,569 179,979 15,804 Operating charges** 0.52% 0.56% 0.56% 0.77% 0.81% 0.76% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 109.88 112.50 115.60 113.39 110.90 103.20 Lowest share price 90.41 108.30 105.70 90.33 102.60 98.78

251 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Income 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) Opening net asset value per share 84.27 84.10 89.75 Return before operating charges*^ 2.41 5.67 0.25 Operating charges (0.63) (0.69) (0.69) Return after operating charges* 1.78 4.98 (0.44) Distributions (3.57) (4.81) (5.21) Retained distributions on accumulation shares --- Closing net asset value per share 82.48 84.27 84.10 ^ after direct transaction costs of: 0.00 0.00 0.00 Performance Return after operating charges* 2.11% 5.92% (0.49%)

Other information Closing net asset value (£000’s) 9,669 34,755 36,338 Closing number of shares 11,722,996 41,239,910 43,208,570 Operating charges** 0.77% 0.81% 0.80% Direct transaction costs*** 0.00% 0.00% 0.00% Prices Highest share price 85.08 87.25 89.88 Lowest share price 69.99 84.06 82.02

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year.

252 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital (losses)/gains 2 (3,826) 3,263 Revenue 3 7,751 14,892 Expenses 4 (907) (1,513) Interest payable and similar charges 5 (277) –

Net revenue before taxation 6,567 13,379 Taxation 6 (101) (95)

Net revenue after taxation 6,466 13,284

Total return before distributions 2,640 16,547 Distributions 7 (7,169) (14,387)

Change in net assets attributable to shareholders from investment activities (4,529) 2,160

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 189,708 309,991 Amounts receivable on issue of shares 14,955 19,085 Amounts payable on cancellation of shares (45,922) (145,252) (30,967) (126,167) Dilution adjustment 17 – Change in net assets attributable to shareholders from investment activities (4,529) 2,160 Retained distribution on accumulation shares 737 3,724

Closing net assets attributable to shareholders 154,966 189,708

253 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 143,676 182,469 Current assets Debtors 8 1,760 2,255 Cash and bank balances 9 12,064 10,487

Total assets 157,500 195,211

Liabilities: Investment liabilities (622) (3,598) Creditors Distributions payable (372) (694) Other creditors 10 (1,540) (1,211)

Total liabilities (2,534) (5,503)

Net assets attributable to shareholders 154,966 189,708

254 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital (losses)/gains

2021 2020 £’000 £’000 The net capital (losses)/gains during the year were: Non-derivative securities (10,732) 15,780 Derivative contracts 994 (2,424) Forward currency contracts 6,370 (9,335) Currency losses (470) (737) Transaction charges (1) (21) Compensation bridge 13 –

Net capital (losses)/gains (3,826) 3,263

3. Revenue

2021 2020 £’000 £’000 Bank interest 729 Interest on debt securities 7,029 13,639 Income received on derivatives – (142) Overseas dividends 651 1,366 Returns from bond futures 64 –

Total revenue 7,751 14,892

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 703 1,103 General Administration Charge (GAC) 20 337 Expenses refundable by ACD (50) – 673 1,440

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 27 64 27 64

Other expenses Administration fees 29 – Audit fees* 16 – Audit fees - non-audit services 8– Safe custody fees 36 – Transfer agent fees 98 – Other expenses 20 – 207 –

Expenses 907 1,504 Overdraft interest –9

Total expenses 907 1,513

* The audit fee for the year, excluding VAT, was 13,790 (2020: £14,939).

255 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Interest payable and similar charges

2021 2020 £’000 £’000 Interest on bank overdrafts 13 – Returns from short position bond futures 264 –

Total interest payable and similar charges 277 –

6. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax 101 95

Total taxation for the year Note (b) 101 95

(b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 6,567 13,379

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 1,313 2,676

Effects of: Overseas tax 102 95 Tax deductible interest distributions (1,304) (2,673) Relief on overseas tax expensed (9) – Revenue not subject to corporation tax (1) (3)

Total tax charge for the year 101 95

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year.

256 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 895 1,483 Second distribution 681 1,457 Third distribution 618 1,292 Fourth distribution 619 1,101 Fifth distribution 516 1,428 Sixth distribution 503 1,039 Seventh distribution 442 1,758 Eighth distribution 986 1,009 Ninth distribution 458 919 Tenth distribution 509 1,088 Eleventh distribution 442 904 Final distribution 424 760 Add: Revenue deducted on cancellation of shares 100 201 Deduct: Revenue received on issue of shares (24) (52)

Net distribution for the year 7,169 14,387

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 6,466 13,284 Add: Management expenses reimbursed by capital 703 1,103

Distributions for the year 7,169 14,387

Details of the distributions per share are set out in the distribution tables on pages 264 to 275.

8. Debtors

2021 2020 £’000 £’000 Accrued revenue 1,302 1,995 Amounts receivable for issue of shares 94 250 Collateral Receivable 298 – Sales awaiting settlement 66 10

Total debtors 1,760 2,255

9. Cash and bank balances

2021 2020 £’000 £’000 Amount held at futures clearing houses and brokers 657 2,852 Cash and bank balances 11,407 7,635

Total cash and bank balances 12,064 10,487

257 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

10. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 24 – Accrued Annual Management Charge 54 66 Accrued Depositary fee 28 Accrued other expenses 82 26 Amounts payable for cancellation of shares 487 667 Amounts payable with respect to Credit Default Swaps – 159 Collateral Payable 50 – Purchases awaiting settlement 841 285

Total other creditors 1,540 1,211

11. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

12. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 253 and 254 and notes 4, 8 and 10 on pages 255 to 258 including all creations and cancellations where the ACD acted as a principal.

In addition, assets managed by the ACD and held as at the Balance Sheet date are detailed below:

2021 2020 £’000 £’000 Legg Mason Global Funds - Western Asset Emerging Markets Corporate Bond Fund 3,941 5,532 Legg Mason Global Funds - Western Asset Euro High Yield Fund 8,653 10,828 Legg Mason Western Asset US High Yield – 2,177 Legg Mason Qualified Investors (II) - Western Asset European Loan Fund 1,709 – 14,303 18,537

The value of transactions during the year were:

2021 2020 £’000 £’000 Legg Mason Global Funds - Western Asset Emerging Markets Corporate Bond Fund (1,361) 249 Legg Mason Global Funds - Western Asset Euro High Yield Fund (2,673) (4,431) Legg Mason Global Funds - Western Asset US High Yield Fund (2,011) (9,088) Legg Mason Qualified Investors (II) - Western Asset European Loan Fund 1,694 – (4,351) (13,270)

13. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Income 0.80% Class I Accumulation 0.40% Class I Income 0.40% Class X Accumulation 0.625% Class X Income 0.625%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 251 to 252. The distribution per share class is given in the distribution table on pages 264 to 275. All share classes have the same rights on winding up.

258 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Argentine Peso 358 2,075 Australian Dollar (196) 110 Brazilian Real 3,843 6,093 Canadian Dollar 33 China Yuan Renminbi 1,641 – Colombia Peso 44 47 Czech Republic Koruna 26 – Euro 1,526 (554) Indonesian Rupiah 4,492 4,311 Japanese Yen 362 3,693 Mexican Peso 3,776 4,272 Russian Ruble 3,364 3,969 Singapore Dollar (3,086) (3,187) South African Rand 276 1,103 Turkish Lira 723 – United States Dollar (6,897) (9,495) To t a l 10,255 12,440

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £540k decrease and £488k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities The table below shows the interest rate risk profile at the balance sheet date:

2021 Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets 21,015 105,292 17,369 143,676 Investment liabilities – – (622) (622)

2020 Restated* Restated* Restated* Restated* Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets 30,856 131,715 19,898 182,469 Investment liabilities – – (3,598) (3,598)

* Following a change to the reporting methodology comparative figures have been restated.The interest rate risk profile is disclosing Investment Assets and Liabilities. Previously all financial positions were included. The change in presentation did not impact net asset value or distributable income.

259 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

14. Derivatives and other financial instruments (continued)

(b) Interest rate risk profile of financial investments assets and liabilities (continued)

An increase/decrease of 1% in redemption yields is likely to result in a decrease of 4.49% and increase of 4.96% respectively in the portfolio valuation.

(c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Market price risk and fair value of financial assets and financial liabilities The Fund invests principally in fixed rate securities. The change to the interest rates relevant for particular securities may result in either income increasing or decreasing, or the Investment Manager being unable to secure similar returns on the expiry of contracts or the sale of securities. Changes to prevailing rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In addition, the management of the Fund complies with COLL, which includes rules limiting the size of investment in any particular holding. There is no material difference between the value of the financial assets and liabilities, as shown in the Balance Sheet, and their fair values.

(e) Credit Risk The table below shows the credit risk profile at the balance sheet date (excluding derivatives and equities):

Restated* 2021 2020 Credit Risk £’000 £’000 Investment grade securities 58,782 75,300 Below investment grade securities 59,810 61,666 Unrated securities 7,715 25,605 126,307 162,571 Other investments 14,303 18,537 140,610 181,108

* Following a change to the reporting methodology comparative figures have been restated. The Credit Risk is disclosing direct risk held through debt securities and indirect risk held through collective investment schemes. Previously all investments were included. The change in presentation did not impact net asset value or distributable income. 15. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of America – 148 – 148 BNP Paribas AG – 370 – 370 Citigroup Global Markets Limited – 551 – 551 Goldman Sachs International – 7 – 7 HSBC Bank – 171 – 171 J.P. Morgan Securities Plc – 230 – 230 Morgan Stanley International – 212 – 212 Royal Bank of Canada – 179 – 179 Société Générale – 68 – 68 UBS – 175 – 175

Total – 2,111 – 2,111

260 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

15. Counterparty exposure risk (continued) 2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Bank of America – 416 (578) (162) BNP Paribas AG – (71) – (71) Citigroup Global Markets Limited – (20) – (20) Goldman Sachs International – (175) – (175) HSBC Bank – (61) – (61) J.P. Morgan Securities Plc – (201) – (201) Merrill Lynch International (1,358) – – (1,358) Morgan Stanley International – (34) – (34) Royal Bank of Canada – (53) – (53) Société Générale – (39) – (39) UBS – (287) – (287)

Total (1,358) (525) (578) (2,461)

As at 28 February 2021, Collateral pledged to counterparties in respect of derivative contracts was £298K (2020 - £2,852K) in the form of cash and £92K (2020 - £0K) in the form of US Treasury bonds. Collateral received from counterparties in respect of derivative contracts was £50K (2020 - £0K) in the form of cash.

16. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 65,547 –––– Collectiveinvestmentschemes1,920––––

Total purchases 67,467 – –

Total purchases including transaction costs 67,467

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 92,071 –––– Collectiveinvestmentschemes6,271––––

Total sales 98,342 – –

Total sales net of transaction costs 98,342

Derivative transaction costs 6 –

Total transaction costs 6 –

Total transaction costs as a % of average net assets 0.00 –

261 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

16. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 2,204,940 –––– Collectiveinvestmentschemes740––––

Total purchases 2,205,680 – –

Total purchases including transaction costs 2,205,680

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 2,313,500 –––– Collectiveinvestmentschemes14,010––––

Total sales 2,327,510 – –

Total sales net of transaction costs 2,327,510

Derivative transaction costs 8 –

Total transaction costs 8 –

Total transaction costs as a % of average net assets 0.00 –

The sub-fund investments have no separately identifiable transaction costs, instead the cost of investing forms part of the dealing spread. The average portfolio dealing spread as at the year end was 0.47% (2020 : 0.49%).

17. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Income 1,256,884 215,843 (310,440) - 1,162,287 Class I Accumulation 11,521,067 3,654,921 (2,109,752) - 13,066,236 Class I Income 126,276,860 7,613,752 (16,593,487) 86,974 117,384,099 Class X Accumulation 179,979 148,166 (224,576) - 103,569 Class X Income 41,239,910 1,482,825 (30,887,311) (112,428) 11,722,996

18. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 14,736 (176) 16,002 (793) Valuation techniques using observable market data 128,921 (446) 166,432 (2,805) Valuation techniques using non-observable market data 19 – 35 – Total 143,676 (622) 182,469 (3,598)

262 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

19. Post balance sheet events Between 28 February 2021 and 16 June 2021 the Net Asset Value and Net Asset Value per share have fallen by the values indicated in the table below. The fall in Net Asset Values stems from a fall in the value of investments or an increase in share redemptions.

28.02.2021* 16.06.2021 Change I Accumulation 144.61 147.73 2.16% I Income 106.77 108.04 1.19% X Accumulation 111.27 113.59 2.09% X Income 82.48 83.41 1.13% Net Asset Value (£’000) 154,966 124,380 -19.74%

* Class A shares converted to Class X shares on 10 May 2021, therefore no analysis has been provided.

263 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable As at 28 February 2021 First Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 March 2020

Class A Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.4260 - 0.4260 0.4053 Group 2 0.1491 0.2769 0.4260 0.4053

Class I Accumulation Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.7112 - 0.7112 0.6342 Group 2 0.1317 0.5795 0.7112 0.6342

Class I Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.5493 - 0.5493 0.5181 Group 2 0.1047 0.4446 0.5493 0.5181

Class X Accumulation Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.5473 - 0.5473 0.4888 Group 2 0.1090 0.4383 0.5473 0.4888

Class X Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.4237 - 0.4237 0.4007 Group 2 0.1395 0.2842 0.4237 0.4007

264 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Second Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 April 2020 Group 2 Final shares purchased on or after 1 April 2020 to 30 April 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.3254 - 0.3254 0.3995 Group 2 0.1840 0.1414 0.3254 0.3995

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.5474 - 0.5474 0.6330 Group 2 0.3246 0.2228 0.5474 0.6330

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.4201 - 0.4201 0.5159 Group 2 0.0476 0.3725 0.4201 0.5159

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.4205 - 0.4205 0.4832 Group 2 0.2036 0.2169 0.4205 0.4832

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.3240 - 0.3240 0.3980 Group 2 0.1628 0.1612 0.3240 0.3980

265 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 May 2020 Group 2 Final shares purchased on or after 1 May 2020 to 31 May 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.2970 - 0.2970 0.4386 Group 2 0.1440 0.1530 0.2970 0.4386

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.5022 - 0.5022 0.6968 Group 2 0.2227 0.2795 0.5022 0.6968

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.3838 - 0.3838 0.5639 Group 2 0.0815 0.3023 0.3838 0.5639

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.3855 - 0.3855 0.5355 Group 2 0.0875 0.2980 0.3855 0.5355

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.2957 - 0.2957 0.4360 Group 2 0.2335 0.0622 0.2957 0.4360

266 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Fourth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 30 June 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3123 - 0.3123 0.3757 Group 2 0.0838 0.2285 0.3123 0.3757

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.5304 - 0.5304 0.6004 Group 2 0.2138 0.3166 0.5304 0.6004

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.4037 - 0.4037 0.4834 Group 2 - 0.4037 0.4037 0.4834

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.4069 - 0.4069 0.4632 Group 2 0.3242 0.0827 0.4069 0.4632

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3114 - 0.3114 0.3736 Group 2 0.1972 0.1142 0.3114 0.3736

267 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Fifth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 July 2020 Group 2 Final shares purchased on or after 1 July 2020 to 31 July 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.2620 - 0.2620 0.4902 Group 2 0.1143 0.1477 0.2620 0.4902

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.4431 - 0.4431 0.7867 Group 2 0.2767 0.1664 0.4431 0.7867

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.3389 - 0.3389 0.6306 Group 2 0.0432 0.2957 0.3389 0.6306

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.3418 - 0.3418 0.6056 Group 2 0.2109 0.1309 0.3418 0.6056

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.2611 - 0.2611 0.4874 Group 2 0.1504 0.1107 0.2611 0.4874

268 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Sixth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 August 2020 Group 2 Final shares purchased on or after 1 August 2020 to 31 August 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.2549 - 0.2549 0.3546 Group 2 0.1279 0.1270 0.2549 0.3546

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.4367 - 0.4367 0.5738 Group 2 0.1788 0.2579 0.4367 0.5738

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.3303 - 0.3303 0.4558 Group 2 0.0540 0.2763 0.3303 0.4558

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.3344 - 0.3344 0.4418 Group 2 0.2325 0.1019 0.3344 0.4418

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.2539 - 0.2539 0.3529 Group 2 0.1469 0.1070 0.2539 0.3529

269 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Seventh Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 September 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2249 - 0.2249 0.6001 Group 2 0.0380 0.1869 0.2249 0.6001

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.3847 - 0.3847 0.9723 Group 2 0.1862 0.1985 0.3847 0.9723

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2899 - 0.2899 0.7718 Group 2 0.0023 0.2876 0.2899 0.7718

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2964 - 0.2964 0.7476 Group 2 0.0867 0.2097 0.2964 0.7476

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2241 - 0.2241 0.5967 Group 2 0.1161 0.1080 0.2241 0.5967

270 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Eighth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 October 2020 Group 2 Final shares purchased on or after 1 October 2020 to 31 October 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.5085 - 0.5085 0.3421 Group 2 0.3749 0.1336 0.5085 0.3421

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.8717 - 0.8717 0.5595 Group 2 0.7687 0.1030 0.8717 0.5595

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.6552 - 0.6552 0.4409 Group 2 0.3191 0.3361 0.6552 0.4409

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.6712 - 0.6712 0.4300 Group 2 0.5909 0.0803 0.6712 0.4300

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.5067 - 0.5067 0.3402 Group 2 0.4197 0.0870 0.5067 0.3402

271 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Ninth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 November 2020 Group 2 Final shares purchased on or after 1 November 2020 to 30 November 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2495 - 0.2495 0.3175 Group 2 0.0665 0.1830 0.2495 0.3175

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.4310 - 0.4310 0.5217 Group 2 0.1797 0.2513 0.4310 0.5217

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.3221 - 0.3221 0.4094 Group 2 0.0327 0.2894 0.3221 0.4094

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.3325 - 0.3325 0.4009 Group 2 0.2385 0.0940 0.3325 0.4009

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2487 - 0.2487 0.3159 Group 2 0.1374 0.1113 0.2487 0.3159

272 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Tenth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 31 December 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2672 - 0.2672 0.3747 Group 2 0.0269 0.2403 0.2672 0.3747

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.4627 - 0.4627 0.6176 Group 2 0.4151 0.0476 0.4627 0.6176

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.3447 - 0.3447 0.4831 Group 2 0.1649 0.1798 0.3447 0.4831

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.3578 - 0.3578 0.4748 Group 2 0.2526 0.1052 0.3578 0.4748

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2663 - 0.2663 0.3727 Group 2 0.1512 0.1151 0.2663 0.3727

273 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Eleventh Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 January 2021 Group 2 Final shares purchased on or after 1 January 2021 to 31 January 2021

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2338 - 0.2338 0.4019 Group 2 0.1087 0.1251 0.2338 0.4019

Class I Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.4063 - 0.4063 0.6657 Group 2 0.2737 0.1326 0.4063 0.6657

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.3017 - 0.3017 0.5183 Group 2 0.0519 0.2498 0.3017 0.5183

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.3126 - 0.3126 0.5117 Group 2 0.0410 0.2716 0.3126 0.5117

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2330 - 0.2330 0.3998 Group 2 0.1339 0.0991 0.2330 0.3998

274 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Final Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 February 2021 Group 2 Final shares purchased on or after 1 February 2021 to 28 February 2021

Class A Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2266 - 0.2266 0.3383 Group 2 0.0913 0.1353 0.2266 0.3383

Class I Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.3948 - 0.3948 0.5631 Group 2 0.1722 0.2226 0.3948 0.5631

Class I Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2923 - 0.2923 0.4365 Group 2 0.0428 0.2495 0.2923 0.4365

Class X Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.3038 - 0.3038 0.4328 Group 2 0.1312 0.1726 0.3038 0.4328

Class X Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2258 - 0.2258 0.3368 Group 2 0.1152 0.1106 0.2258 0.3368

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

275 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund

General Information Investment Objective and Policy Investment Western Asset The objective of the Fund is to provide a regular income stream, in excess of the prevailing Manager Management Company level of interest rates in the U.K., with a focus on capital preservation. The Fund seeks to Limited achieve its objective by investing in a range of fixed interest securities including, but not Fund Size £12.2m limited to, corporate bonds, government bonds and asset backed securities. The Fund will Sector UK Corporate Bond invest a minimum of 60% of its net asset value in global investment grade corporate bonds Fund Launch 12 February 1998 and UK government bonds (gilts). In addition, the Fund may invest up to 35% of its net asset value in global high yield bonds. The Fund may also invest in other transferable securities, money market instruments, deposits, collective investment schemes and derivatives for efficient portfolio management only. Any instrument denominated in a currency other than Pounds sterling will normally be hedged back to Pounds sterling.

Legg Mason IF Western Asset Retirement Income Bond Fund The Legg Mason IF Western Asset Retirement Income Bond Fund (Class X Accumulation) increased 3.99% in sterling terms over the period under review, while the composite benchmark of (a) 50% ICE BofAML Sterling Corporate 1-10 Years Index; (b) 30% Bloomberg Barclays U.S. HighYield Corporate 2% Issuer Capped Index (GBP Hedged); and (c) 20% ICE BofAML U.K. Gilts 1-10Years Index recorded an increase in sterling terms of 3.69%. The Peer Group Comparator, the Investment Association Sterling Strategic Bond fund sector, returned 3.78% over the same period.

Q.What were the leading contributors to performance during the reporting period? A. An underweight to core European interest rates was beneficial as their yields rose. Elsewhere, an overweight to investment-grade credit, specifically long dated US corporates, contributed to returns. An overweight allocation to emerging market hard currency bonds was also additive for performance.

Q.What were the leading detractors from performance during the reporting period? A. Overweight exposures to US, UK and Australia duration detracted from results, as yields rose towards the end of the reporting period. An allocation to select emerging market currencies and local bonds, including the Brazilian real, Mexican peso, and Russian ruble, were headwinds for performance as these currencies all depreciated versus the US dollar.

Q.Were there any significant changes to the portfolio and how was it positioned at the end of the reporting period? A.Throughout the period, the portfolio maintained an overweight to longer-dated US government duration, whereas its yield curve exposure was managed tactically. Some of the US duration exposure was diversified into Australian and UK government bonds. On the credit side, at the start of the reporting period allocations were made to high-yield and investment-grade corporates, as their spreads widened, as well as to emerging market sovereign and corporate issues. Some profits were taken on long dated investment-grade corporates as their spreads subsequently tightened later in the reporting period. The Fund currently has significant exposures to investment-grade credit, with an overweight allocation to longer-dated US corporate bonds and US high-yield bonds, as well as to US dollar-denominated and local currency emerging market bonds. The Fund is positioned to be underweight lower-yielding European investment-grade corporates and supranational issuers.The Fund’s average credit quality is A-. Looking ahead, our focus remains on longer-term global economic and company fundamentals, with a focus on spread product given extraordinary global central bank monetary accommodation. We will also diversify the assets held in the portfolio in order to help diversify risk.

276 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Summary of Significant Changes For the year ended 28 February 2021

Purchases Costs Sales Proceeds £’000 £’000 United Kingdom Gilt 0.375% 22/10/2030 252 General Electric 4.625% 07/01/2021 242 Legg Mason Global Funds - Western Asset US High Yield 187 Goldman Sachs 6% 15/06/2020 240 Fund United Kingdom Gilt 3.75% 07/09/2020 220 Sky 6% 21/05/2027 131 Glencore Canada Financial 7.375% 27/05/2020 130 GlaxoSmithKline Capital 3.375% 20/12/2027 115 Quicken Loans 5.75% 01/05/2025 119 Nationwide Building Society 3.25% 20/01/2028 114 United Kingdom Gilt 1.5% 22/07/2026 109 Virgin Media Secured Finance 5.25% 15/05/2029 107 Virgin Media Secured Finance 5% 15/04/2027 105 MPT Operating Partnership LP / MPT Finance 3.692% 100 ArcelorMittal 6.25% 25/02/2022 92 05/06/2028 Legg Mason Global Funds - Western Asset US High Yield 90 Danske Bank 2.25% 14/01/2028 100 Fund Vmed O2 UK Financing I 4% 31/01/2029 100 DaVita 5% 01/05/2025 89 Smurfit Kappa Treasury ULC 1.5% 15/09/2027 90 CCO 5.375% 01/05/2025 78 ZF Finance 3% 21/09/2025 89 Saga 3.375% 12/05/2024 70 Samhallsbyggnadsbolaget i Norden 2.624% 30/04/2169 87 Koninklijke KPN 5.75% 17/09/2029 61 Delta Air Lines 7% 01/05/2025 74 Navient 8% 25/03/2020 28 Delta Air Lines 3.4% 19/04/2021 70 Freeport-McMoRan 5.45% 15/03/2043 24 EQT 7.625% 01/02/2025 67 MEG Energy 7% 31/03/2024 17 Targa Resources Partners LP / Targa Resources Partners 5% 62 Delta Air Lines 7.375% 15/01/2026 8 15/01/2028 Tesco Property Finance 6 5.4111% 13/07/2044 2 Kraft Heinz Foods 5.2% 15/07/2045 59 Western Midstream Operating LP 6.5% 01/02/2050 27 Delta Air Lines 7.375% 15/01/2026 24

Other purchases - Other sales - Total purchases for the year 1,855 Total sales for the year 1,724

277 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Risk and Reward Profile

Lower risk Higher risk Potentially lower reward Potentially higher reward

123 4567

The indicator is based on the volatility of the returns (past performance) of the reported share class (calculated ona5yearrolling return basis). Where a share class is inactive / has less than 5 years of returns, the returns of a representative benchmark are used. There is no guarantee that the Fund will remain in the indicator category shown above and the categorisation of the Fund may shift over time. Historical data, which is used in calculating the indicator, may not be a reliable indicator of the future risk profile of this Fund. The lowest category does not mean a risk-free investment. The Fund does not offer any capital guarantee or protection and you may not get back the amount invested. The Fund is in its risk/reward category because mixed investments in UK government and global bonds have historically been subject to relatively small fluctuations in value. The Fund is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: Bonds:There is a risk that issuers of bonds held by the Fund may not be able to repay the investment or pay the interest due on it, leading to losses for the Fund. Bond values are affected by the market’s view of the above risk, and by changes in interest rates and inflation. Liquidity: In certain circumstances it may be difficult to sell the Fund’s investments because there may not be enough demand for them in the markets, in which case the Fund may not be able to minimise a loss on such investments. Low rated bonds: The Fund may invest in lower rated or unrated bonds of similar quality, which carry a higher degree of risk than higher rated bonds. Asset-backed securities:The timing and size of the cash-flow from asset-backed securities is not fully assured and could result in loss for the Fund. These types of investments may also be difficult for the Fund to sell quickly. Derivatives: The use of derivatives can result in greater fluctuations of the Fund’s value and may cause the Fund to lose as much as or more than the amount invested. Hedging: The Fund may use derivatives to reduce the risk of movements in exchange rates between the currency of the investments held by the Fund and base currency of the Fund itself (hedging). However, hedging transactions can also expose the Fund to additional risks, such as the risk that the counterparty to the transaction may not be able to make its payments, which may result in loss to the Fund. Interest rates: Changes in interest rates may negatively affect the value of the Fund. Typically as interest rates rise, bond values fall. Interbank offered rates: The use of IBORs (the rates at which banks are prepared to lend to one another) is changing and may affect the value of the Fund, or investments held by the Fund.The transition away from IBORs may impact markets that rely on IBORs to determine interest rates and may reduce the value of IBOR-based investments. Fund counterparties: The Fund may suffer losses if the parties that it trades with cannot meet their financial obligations. Fund operations: The Fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets. Annual management charge from capital: The Fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth. For further explanation on the risks associated with an investment in the Fund, please refer to the section entitled “Risk Factors” in the Prospectus.

278 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Performance Record As at 28 February 2021 Share Class A Income Share Class I Income**** 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 85.84 83.59 84.71 103.64 100.95 100.00 Return before operating charges*^ 3.68 5.52 2.16 4.43 6.67 1.45 Operating charges (0.38) (0.38) (0.38) (0.44) (0.58) (0.05) Return after operating charges* 3.30 5.14 1.78 3.99 6.09 1.40 Distributions (3.20) (2.89) (2.90) (3.87) (3.40) (0.45) Retained distributions on accumulation shares ------Closing net asset value per share 85.94 85.84 83.59 103.76 103.64 100.95 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 0.00 0.00 Performance Return after operating charges* 3.84% 6.15% 2.10% 3.85% 6.04% 1.40%

Other information Closing net asset value (£000’s) 8,532 8,752 8,687 3 3 3 Closing number of shares 9,926,679 10,194,639 10,392,869 3,219 3,101 3,000 Operating charges** 0.44% 0.44% 0.45% 0.43% 0.56% 0.45% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 87.57 86.74 84.95 105.73 104.70 101.50 Lowest share price 76.75 83.72 82.05 92.66 101.10 100.00

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 16 January 2019.

279 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Performance Record (continued) As at 28 February 2021 Share Class X Accumulation**** Share Class X Income 28.02.21 29.02.20 28.02.19 28.02.21 29.02.20 28.02.19 Change in net assets per Share (p) (p) (p) (p) (p) (p) Opening net asset value per share 107.57 101.39 100.00 96.60 94.06 95.32 Return before operating charges*^ 4.74 6.77 1.44 4.13 6.22 2.43 Operating charges (0.48) (0.59) (0.05) (0.42) (0.43) (0.43) Return after operating charges* 4.26 6.18 1.39 3.71 5.79 2.00 Distributions (4.08) (3.47) (0.45) (3.60) (3.25) (3.26) Retained distributions on accumulation shares 4.08 3.47 0.45 - - - Closing net asset value per share 111.83 107.57 101.39 96.71 96.60 94.06 ^ after direct transaction costs of: 0.00 0.00 0.00 0.00 0.00 0.00 Performance Return after operating charges* 3.96% 6.10% 1.39% 3.84% 6.16% 2.10%

Other information Closing net asset value (£000’s) 3 3 3 3,657 3,562 3,093 Closing number of shares 3,000 3,000 3,000 3,781,544 3,687,574 3,288,006 Operating charges** 0.44% 0.56% 0.45% 0.44% 0.45% 0.45% Direct transaction costs*** 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Prices Highest share price 113.21 108.40 101.70 98.55 97.61 95.60 Lowest share price 96.18 101.50 100.00 86.36 94.21 92.33

* Operating charges include indirect costs incurred in the maintenance and running of the sub-fund, as disclosed (but not limited to) the detailed expenses within the Statement of Total Return. The figures used within this table have been calculated against the average net assets for the accounting year. ** The operating charges (OCF) shows the annual expenses of the Fund as a percentage of the average Net Asset Value, which helps you compare the annual expenses to different schemes. *** Direct transaction costs within this table have been calculated against the average Net Asset Value for the accounting year. **** Launched on 16 January 2019.

280 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Statement of Total Return For the year ended 28 February 2021 2021 2020 Note £’000 £’000 £’000 £’000 Income Net capital gains 2 42 348 Revenue 3 472 418 Expenses 4 (53) (51)

Net revenue before taxation 419 367 Taxation 5 – –

Net revenue after taxation 419 367

Total return before distributions 461 715 Distributions 6 (455) (402)

Change in net assets attributable to shareholders from investment activities 6 313

Statement of Change in Net Assets Attributable to Shareholders For the year ended 28 February 2021

2021 2020 £’000 £’000 £’000 £’000 Opening net assets attributable to shareholders 12,320 11,786 Amounts receivable on issue of shares 818 1,102 Amounts payable on cancellation of shares (949) (881) (131) 221 Change in net assets attributable to shareholders from investment activities 6 313

Closing net assets attributable to shareholders 12,195 12,320

281 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Balance Sheet As at 28 February 2021 2021 2020 Note £’000 £’000 Assets: Fixed assets Investment assets 11,584 11,669 Current assets Debtors 7 156 201 Cash and bank balances 8 552 531

Total assets 12,292 12,401

Liabilities: Investment liabilities –(43) Creditors Distributions payable (29) (31) Other creditors 9(68)(7)

Total liabilities (97) (81)

Net assets attributable to shareholders 12,195 12,320

282 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Notes to the Financial Statements As at 28 February 2021

1. Accounting policies The Accounting basis and polices are on pages 15 to 18.

2. Net capital gains

2021 2020 £’000 £’000 The net capital gains during the year were: Non-derivative securities (345) 621 Forward currency contracts 394 (240) Currency losses (7) (31) Transaction charges –(2)

Net capital gains 42 348

3. Revenue

2021 2020 £’000 £’000 Interest on debt securities 403 348 Overseas dividends 69 70

Total revenue 472 418

4. Expenses

2021 2020 £’000 £’000 Payable to the ACD, associates of the ACD, and agents of either of them: Annual Management Charge 36 36 General Administration Charge (GAC) 1 8 Expenses refundable by ACD (117) – (80) 44

Payable to the Depositary, associates of the Depositary, and agents of either of them: Depositary’s fees 20 7 20 7

Other expenses Administration fees 30 – Audit fees* 14 – Audit fees - non-audit services 1– Safe custody fees 7– Transfer agent fees 43 – Other expenses 18 – 113 –

Total expenses 53 51

* The audit fee for the year, excluding VAT, was £11,790 (2020: £12,639). 5. Taxation

2021 2020 £’000 £’000 (a)Analysisofthetaxchargeintheyear: Overseas tax ––

Total taxation for the year Note (b) – –

283 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

5. Taxation (continued) (b) Factors affecting the tax charge for the year: The tax assessed for the year is lower than (2020: lower than) the standard rate of corporation tax in the UK for an OEIC of 20% (2020: 20%). The differences are explained below:

2021 2020 £’000 £’000 Net revenue before taxation 419 367

Net revenue for the year multiplied by the standard rate of corporation tax of 20% (2020: 20%) 84 73

Effects of: Tax deductible interest distributions (84) (73)

Total tax charge for the year ––

OEICs are exempt from tax on capital gains in the UK. Therefore, any capital return is not included within the reconciliation above. (c) Provision for deferred tax: No provision for deferred tax has been made in the current or prior accounting year.

6. Distributions The distributions take account of revenue received on the issue of shares and revenue deducted on the cancellation of shares, and comprise:

2021 2020 £’000 £’000 First distribution 51 32 Second distribution 46 36 Third distribution 48 37 Fourth distribution 39 31 Fifth distribution 36 40 Sixth distribution 36 34 Seventh distribution 38 33 Eighth distribution 34 31 Ninth distribution 32 31 Tenth distribution 33 32 Eleventh distribution 33 34 Final distribution 29 31 Add: Revenue deducted on cancellation of shares 1 1 Deduct: Revenue received on issue of shares (1) (1)

Net distribution for the year 455 402

Reconciliation of net revenue after taxation to distributions for the year Net revenue after taxation for the year 419 367 Add: Management expenses reimbursed by capital 36 35

Distributions for the year 455 402

Details of the distributions per share are set out in the distribution tables on pages 290 to 301.

284 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

7. Debtors

2021 2020 £’000 £’000 Accrued revenue 133 140 Amounts receivable for issue of shares 1 61 Expense rebate due from the ACD 22 –

Total debtors 156 201

8. Cash and bank balances

2021 2020 £’000 £’000 Cash and bank balances 552 531

Total cash and bank balances 552 531

9. Other creditors

2021 2020 £’000 £’000 Accrued Audit fee 14 – Accrued Annual Management Charge 3 3 Accrued Depositary fee 21 Accrued other expenses 41 1 Amounts payable for cancellation of shares 8 2

Total other creditors 68 7

10. Contingent liabilities and commitments There were no contingent liabilities or outstanding commitments at the current or prior year end.

11. Related party transactions The Financial Reporting Standard number 102 (FRS 102) on ‘Related Party Disclosures’ requires the disclosure of details of material transactions between the Fund and any related parties. Under the FRS the ACD is deemed to be a related party. All transactions and balances associated with the ACD are disclosed within the ‘Statement of Total Return’, ‘Statement of Change in net assets attributable to Shareholders’ and the ‘Balance Sheet’ on pages 281 and 282 and notes 4, 7 and 9 on pages 283 to 285 including all creations and cancellations where the ACD acted as a principal.

In addition, assets managed by the ACD and held as at the Balance Sheet date are detailed below: 2021 2020 £’000 £’000 Legg Mason Global Funds - Western Asset US High Yield Fund 1,180 1,126 1,180 1,126

The value of transactions during the year were: 2021 2020 £’000 £’000 Legg Mason Global Funds - Western Asset US High Yield Fund 97 (85) 97 (85)

285 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

12. Share Classes The Fund’s share classes and the Annual Management Charges are as follows:

Class A Income 0.30% Class I Income 0.30% Class X Accumulation 0.30% Class X Income 0.30%

The net asset value of each share class, the net asset value per share and the number of shares in each share class are given in the comparative table on pages 279 to 280. The distribution per share class is given in the distribution table on pages 290 to 301. All share classes have the same rights on winding up.

13. Derivatives and other financial instruments The ACD’s policies and approach to managing the associated risks which were applied throughout the current and preceding year areasfollows:

(a) Currency exposure A substantial proportion of the net assets of the Fund is denominated in currencies other than sterling, the Fund’s functional currency, with the effect that the Balance Sheet and Statement of Total Return can be significantly affected by currency movements. The exposure to each currency is shown in the Portfolio Statement including the effect of any foreign currency hedges. This is consistent with the exposure during both the current and prior year. During the year the Investment Manager used derivative instruments to hedge the value of the investment portfolio. Currency forwards were used to hedge the exchange risk associated with the holdings of foreign currency fixed interest bonds/securities during and at the end of the year. At the end of the year, currency forwards were open to hedge the exchange rate risk associated with the holdings of foreign currency fixed interest bonds/securities in the portfolio.

Net foreign currency exposure 2021 2020 Currency £’000 £’000 Euro 52 United States Dollar (30) (46) To t a l (25) (44)

A 5% increase/decrease in the sterling exchange rate against all other currencies, assuming all other factors remained the same, would have a £1k decrease and £1k increase respectively on the net assets of the Fund.

(b) Interest rate risk profile of financial investments assets and liabilities The table below shows the interest rate risk profile at the balance sheet date:

2021 Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets – 10,312 1,272 11,584 Investment liabilities ––––

2020 Restated* Restated* Restated* Restated* Floating Investments rate Fixed rate not carrying investments investments interest Total £’000 £’000 £’000 £’000 Investment assets – 10,542 1,127 11,669 Investment liabilities – – (43) (43)

* Following a change to the reporting methodology comparative figures have been restated.The interest rate risk profile is disclosing Investment Assets and Liabilities. Previously all financial positions were included. The change in presentation did not impact net asset value or distributable income. An increase/decrease of 1% in redemption yields is likely to result in a decrease of 4.06% and increase of 4.17% respectively in the portfolio valuation.

286 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Notes to the Financial Statements (continued) As at 28 February 2021

13. Derivatives and other financial instruments (continued) (c) Liquidity risk The majority of the Fund’s financial assets are considered to be readily realisable in accordance with market practices of the exchange on which they are traded. In general, the Investment Manager manages the Fund’s cash to ensure it can meet its liabilities. Where investments cannot be realised in time to meet any potential liability, the Fund may borrow up to 10% of its value to ensure settlement. Where the ACD considers the asset to be illiquid, the asset is valued by either sourcing an external broker valuation or using a model price. Credit spreads are often used as inputs into fair value modelling. As a result of the current global economic crisis, the ACD is increasingly having to consider the valuation of illiquid assets within sub funds which hold illiquid securities. All of the Fund’s financial liabilities are payable on demand or in less than 1 year.

(d) Market price risk and fair value of financial assets and financial liabilities The Fund invests principally in fixed rate securities. The change to the interest rates relevant for particular securities may result in either income increasing or decreasing, or the Investment Manager being unable to secure similar returns on the expiry of contracts or the sale of securities. Changes to prevailing rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In addition, the management of the Fund complies with COLL, which includes rules limiting the size of investment in any particular holding. There is no material difference between the value of the financial assets and liabilities, as shown in the Balance Sheet, and their fair values.

(e) Credit Risk The table below shows the credit risk profile at the balance sheet date (excluding derivatives and equities):

Restated* 2021 2020 Credit Risk £’000 £’000 Investment grade securities 7,856 8,227 Below investment grade securities 2,456 2,315 Unrated securities -- 10,312 10,542 Other investments 1,180 1,126 11,492 11,668

* Following a change to the reporting methodology comparative figures have been restated. The Credit Risk is disclosing direct risk held through debt securities and indirect risk held through collective investment schemes. Previously all investments were included. The change in presentation did not impact net asset value or distributable income. 14. Counterparty exposure risk

2021 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Citigroup Global Markets Limited – 2 – 2 Goldman Sachs International – 17 – 17 J.P. Morgan Securities Plc – 1 – 1 Morgan Stanley International – 44 – 44 UBS – 28 – 28

To t a l – 9 2 – 9 2

2020 Futures & Net Swaps Forwards Options exposure £’000 £’000 £’000 £’000 Goldman Sachs International – (13) – (13) Morgan Stanley International – (9) – (9) UBS – (20) – (20)

Total – (42) – (42)

287 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs Analysis of total trade costs

2021 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 1,668 –––– Collectiveinvestmentschemes187––––

Total purchases 1,855 – –

Total purchases including transaction costs 1,855

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 1,634 –––– Collectiveinvestmentschemes90––––

Total sales 1,724 – –

Total sales net of transaction costs 1,724

Derivative transaction costs – –

Total transaction costs – –

Total transaction costs as a % of average net assets – –

2020 Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Purchases (excluding derivatives) Debt securities 2,194 –––– Collectiveinvestmentschemes130––––

Total purchases 2,324 – –

Total purchases including transaction costs 2,324

288 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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Notes to the Financial Statements (continued) As at 28 February 2021

15. Portfolio transaction costs (continued)

Analysis of total trade costs (continued)

Transaction Value Commissions Ta x e s £’000 £’000 % £’000 % Sales (excluding derivatives) Debt securities 2,408 –––– Collectiveinvestmentschemes215––––

Total sales 2,623 – –

Total sales net of transaction costs 2,623

Derivative transaction costs – –

Total transaction costs – –

Total transaction costs as a % of average net assets – –

The sub-fund investments have no separately identifiable transaction costs, instead the cost of investing forms part of the dealing spread. The average portfolio dealing spread as at the year end was 0.31% (2020 : 0.30%).

16. Reconciliation of the share movements in the year

Shares Shares Opening Shares issued cancelled converted Closing shares shares in issue during the year during the year during the year in issue Class A Income 10,194,639 257,713 (472,443) (53,230) 9,926,679 Class I Income 3,101 118 - - 3,219 Class X Accumulation 3,000 - - - 3,000 Class X Income 3,687,574 627,348 (580,680) 47,302 3,781,544

17. Fair value disclosure

2021 2020 Assets Liabilities Assets Liabilities £’000 £’000 £’000 £’000 Quoted prices for identical instruments in active markets 2,316 – 2,454 – Valuation techniques using observable market data 9,268 – 9,215 (43) Valuation techniques using non-observable market data – – – – Total 11,584 – 11,669 (43)

289 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

DistributionTable As at 28 February 2021 First Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 March 2020 Group 2 Final shares purchased on or after 1 March 2020 to 31 March 2020

Class A Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.3614 - 0.3614 0.2332 Group 2 0.1439 0.2175 0.3614 0.2332

Class I Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.4301 - 0.4301 0.2766 Group 2 0.0561 0.3740 0.4301 0.2766

Class X Accumulation Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.4467 - 0.4467 0.2773 Group 2 0.4467 - 0.4467 0.2773

Class X Income Shares Distribution Distribution Gross paid paid Revenue Equalisation 30.04.20 30.04.19 Group 1 0.4067 - 0.4067 0.2622 Group 2 0.2886 0.1181 0.4067 0.2622

290 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Second Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 April 2020 Group 2 Final shares purchased on or after 1 April 2020 to 30 April 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.3250 - 0.3250 0.2573 Group 2 0.0726 0.2524 0.3250 0.2573

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.3917 - 0.3917 0.3043 Group 2 0.0174 0.3743 0.3917 0.3043

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.4090 - 0.4090 0.3046 Group 2 0.4090 - 0.4090 0.3046

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.05.20 31.05.19 Group 1 0.3663 - 0.3663 0.2887 Group 2 0.2458 0.1205 0.3663 0.2887

291 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Third Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 May 2020 Group 2 Final shares purchased on or after 1 May 2020 to 31 May 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.3380 - 0.3380 0.2655 Group 2 0.1408 0.1972 0.3380 0.2655

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.4107 - 0.4107 0.3141 Group 2 - 0.4107 0.4107 0.3141

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.4247 - 0.4247 0.3163 Group 2 0.4247 - 0.4247 0.3163

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.06.20 30.06.19 Group 1 0.3809 - 0.3809 0.2991 Group 2 0.2643 0.1166 0.3809 0.2991

292 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Fourth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 June 2020 Group 2 Final shares purchased on or after 1 June 2020 to 30 June 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.2720 - 0.2720 0.2213 Group 2 0.1202 0.1518 0.2720 0.2213

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3254 - 0.3254 0.2656 Group 2 0.0065 0.3189 0.3254 0.2656

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3423 - 0.3423 0.2686 Group 2 0.3423 - 0.3423 0.2686

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.07.20 31.07.19 Group 1 0.3051 - 0.3051 0.2491 Group 2 0.1936 0.1115 0.3051 0.2491

293 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Fifth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 July 2020 Group 2 Final shares purchased on or after 1 July 2020 to 31 July 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.2545 - 0.2545 0.2880 Group 2 0.0602 0.1943 0.2545 0.2880

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.3102 - 0.3102 0.3461 Group 2 0.0043 0.3059 0.3102 0.3461

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.3260 - 0.3260 0.3519 Group 2 0.3260 - 0.3260 0.3519

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.08.20 31.08.19 Group 1 0.2864 - 0.2864 0.3241 Group 2 0.1363 0.1501 0.2864 0.3241

294 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Sixth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 August 2020 Group 2 Final shares purchased on or after 1 August 2020 to 31 August 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.2521 - 0.2521 0.2450 Group 2 0.0871 0.1650 0.2521 0.2450

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.3042 - 0.3042 0.2860 Group 2 - 0.3042 0.3042 0.2860

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.3230 - 0.3230 0.2930 Group 2 0.3230 - 0.3230 0.2930

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.09.20 30.09.19 Group 1 0.2837 - 0.2837 0.2751 Group 2 0.1356 0.1481 0.2837 0.2751

295 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

DistributionTable (continued) As at 28 February 2021 Seventh Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 September 2020 Group 2 Final shares purchased on or after 1 September 2020 to 30 September 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2641 - 0.2641 0.2389 Group 2 0.1094 0.1547 0.2641 0.2389

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.3219 - 0.3219 0.2813 Group 2 - 0.3219 0.3219 0.2813

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.3413 - 0.3413 0.2866 Group 2 0.3413 - 0.3413 0.2866

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.10.20 31.10.19 Group 1 0.2973 - 0.2973 0.2689 Group 2 0.1249 0.1724 0.2973 0.2689

296 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Eighth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 October 2020 Group 2 Final shares purchased on or after 1 October 2020 to 31 October 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.2408 - 0.2408 0.2251 Group 2 0.1196 0.1212 0.2408 0.2251

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.2951 - 0.2951 0.2629 Group 2 - 0.2951 0.2951 0.2629

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.3140 - 0.3140 0.2686 Group 2 0.3140 - 0.3140 0.2686

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 30.11.20 30.11.19 Group 1 0.2710 - 0.2710 0.2532 Group 2 0.1686 0.1024 0.2710 0.2532

297 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Ninth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 November 2020 Group 2 Final shares purchased on or after 1 November 2020 to 30 November 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2202 - 0.2202 0.2238 Group 2 0.1201 0.1001 0.2202 0.2238

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2677 - 0.2677 0.2629 Group 2 0.0441 0.2236 0.2677 0.2629

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2850 - 0.2850 0.2710 Group 2 0.2850 - 0.2850 0.2710

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.12.20 31.12.19 Group 1 0.2477 - 0.2477 0.2519 Group 2 0.0984 0.1493 0.2477 0.2519

298 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Tenth Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 December 2020 Group 2 Final shares purchased on or after 1 December 2020 to 31 December 2020

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2341 - 0.2341 0.2334 Group 2 0.1677 0.0664 0.2341 0.2334

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2848 - 0.2848 0.2688 Group 2 0.0376 0.2472 0.2848 0.2688

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.3043 - 0.3043 0.2753 Group 2 0.3043 - 0.3043 0.2753

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 31.01.21 31.01.20 Group 1 0.2635 - 0.2635 0.2626 Group 2 0.1458 0.1177 0.2635 0.2626

299 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Eleventh Interim Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 January 2021 Group 2 Final shares purchased on or after 1 January 2021 to 31 January 2021

Class A Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2300 - 0.2300 0.2457 Group 2 0.0758 0.1542 0.2300 0.2457

Class I Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2791 - 0.2791 0.2842 Group 2 0.0482 0.2309 0.2791 0.2842

Class X Accumulation Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2987 - 0.2987 0.2926 Group 2 0.2987 - 0.2987 0.2926

Class X Income Shares Distribution Distribution Gross paid paid Income Equalisation 28.02.21 29.02.20 Group 1 0.2588 - 0.2588 0.2765 Group 2 0.0800 0.1788 0.2588 0.2765

300 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

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DistributionTable (continued) As at 28 February 2021 Final Interest Distribution in pence per share Group 1 Final shares purchased prior to 1 February 2021 Group 2 Final shares purchased on or after 1 February 2021 to 28 February 2021

Class A Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2057 - 0.2057 0.2161 Group 2 0.1277 0.0780 0.2057 0.2161

Class I Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2494 - 0.2494 0.2502 Group 2 0.0168 0.2326 0.2494 0.2502

Class X Accumulation Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2670 - 0.2670 0.2596 Group 2 0.2670 - 0.2670 0.2596

Class X Income Shares Distribution Distribution Gross payable paid Income Equalisation 31.03.21 31.03.20 Group 1 0.2315 - 0.2315 0.2431 Group 2 0.1047 0.1268 0.2315 0.2431

Equalisation This applies only to shares purchased during the distribution period (Group 2 shares). It is the average amount of income included in the purchase price of Group 2 shares and is refunded to the holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.

301 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Bonds 84.96% (95.51%) Euro Denominated 0.00% (5.08%)

JapaneseYen Denominated 0.00% (0.76%)

UK Sterling Denominated 3.46% (0.00%) Nationwide Building Society 5.75% Perpetual GBP 5,060,000 5,604 1.26 Telecom Italia SpA/Milano 5.875% 19/05/2023 GBP 5,350,000 5,844 1.32 Walgreens Boots Alliance 3.6% 20/11/2025 GBP 3,585,000 3,890 0.88 15,338 3.46

US Dollar Denominated 81.50% (89.67%) AES 2.45% 15/01/2031 USD 3,340,000 2,333 0.53 AES Panama Generation SRL 4.375% 31/05/2030 USD 4,470,000 3,393 0.77 Air Canada 7.75% 15/04/2021 USD 250,000 180 0.04 Air Canada 2020-2 Class A Pass Through Trust 5.25% 01/10/2030 USD 3,590,000 2,744 0.62 Alaska Airlines 2020-1 Class A Pass Through Trust 4.8% 15/02/2029 USD 3,770,313 2,980 0.67 Alcon Finance 3% 23/09/2029 USD 945,000 715 0.16 Alibaba 3.4% 06/12/2027 USD 5,055,000 3,945 0.89 Altice France 6% 15/02/2028 USD 6,290,000 4,403 0.99 Amaggi Luxembourg International Sarl 5.25% 28/01/2028 USD 3,040,000 2,261 0.51 Amdocs 2.538% 15/06/2030 USD 4,694,000 3,372 0.76 AmeriGas Partners LP / AmeriGas Finance 5.625% 20/05/2024 USD 1,480,000 1,171 0.26 Antero Resources 5% 01/03/2025 USD 6,110,000 4,346 0.98 Antero Resources 5.625% 01/06/2023 USD 2,765,000 1,980 0.45 Antero Resources 8.375% 15/07/2026 USD 2,720,000 2,126 0.48 Apache 4.875% 15/11/2027 USD 5,137,000 3,858 0.87 Apidos CLO XXXI 6.99125% 15/04/2031 USD 3,375,000 2,384 0.54 Ardagh Packaging Finance / Ardagh USA 4.125% 15/08/2026 USD 2,360,000 1,747 0.39 Ardagh Packaging Finance / Ardagh USA 5.25% 15/08/2027 USD 2,165,000 1,604 0.36 Ardagh Packaging Finance / Ardagh USA 6% 15/02/2025 USD 524,000 387 0.09 Ares Capital 3.25% 15/07/2025 USD 1,120,000 837 0.19 Ares Capital 3.875% 15/01/2026 USD 3,625,000 2,763 0.62 Ares Capital 4.2% 10/06/2024 USD 1,195,000 927 0.21 Ares Capital 4.25% 01/03/2025 USD 795,000 613 0.14 AutoNation 4.75% 01/06/2030 USD 3,585,000 3,008 0.68 Banco do Brasil SA/Cayman 6.25% Perpetual USD 1,655,000 1,181 0.27 Bausch Health Cos 5% 30/01/2028 USD 3,685,000 2,688 0.61 Bausch Health Cos 7% 15/03/2024 USD 2,440,000 1,783 0.40 Blackstone Secured Lending Fund 3.625% 15/01/2026 USD 3,095,000 2,288 0.52 Blackstone Secured Lending Fund 3.65% 14/07/2023 USD 2,058,000 1,539 0.35 Block Financial 3.875% 15/08/2030 USD 6,550,000 4,903 1.11 Boeing 5.04% 01/05/2027 USD 5,500,000 4,520 1.02 Broadcom 1.95% 15/02/2028 USD 3,555,000 2,495 0.56 Broadcom 4.11% 15/09/2028 USD 4,000,000 3,163 0.71 Citrix Systems 1.25% 01/03/2026 USD 2,190,000 1,556 0.35 Cleveland-Cliffs 4.875% 15/01/2024 USD 5,010,000 3,672 0.83 CNX Resources 6% 15/01/2029 USD 2,670,000 1,998 0.45 CommScope 6% 01/03/2026 USD 1,234,000 928 0.21 CommScope 7.125% 01/07/2028 USD 3,370,000 2,528 0.57 Connecticut Avenue Trust 2018-R07 2.51763% 25/04/2031 USD 1,252,001 897 0.20 Connecticut Avenue Trust 2019-R01 4.46763% 25/07/2031 USD 1,415,000 1,026 0.23 Connecticut Avenue Trust 2019-R04 2.21763% 25/06/2039 USD 4,626,958 3,309 0.75 Connecticut Avenue Trust 2019-R05 4.21763% 25/07/2039 USD 1,639,000 1,169 0.27 Connecticut Avenue Trust 2019-R06 2.21763% 25/09/2039 USD 3,214,646 2,301 0.52 Connecticut Avenue Trust 2019-R07 3.51763% 25/10/2039 USD 2,920,000 2,038 0.46 Crown Castle International 1.05% 15/07/2026 USD 5,810,000 4,055 0.91 CSN Inova Ventures 6.75% 28/01/2028 USD 1,815,000 1,402 0.32 CSN Resources 7.625% 17/04/2026 USD 2,165,000 1,677 0.38 CWABS Revolving Home Equity Loan Trust Series 2004-I 0.39738% 15/02/2034 USD 1,010,783 718 0.16 Dell International / EMC 6.02% 15/06/2026 USD 3,515,000 3,006 0.68 Delta Air Lines / SkyMiles IP 4.5% 20/10/2025 USD 1,530,000 1,167 0.26

302 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Delta Air Lines / SkyMiles IP 4.75% 20/10/2028 USD 2,445,000 1,934 0.44 Discovery Communications 3.625% 15/05/2030 USD 850,000 665 0.15 DISH Network 3.375% 15/08/2026 USD 13,450,000 9,046 2.04 Dow Chemical 2.1% 15/11/2030 USD 3,360,000 2,358 0.53 DPL 4.125% 01/07/2025 USD 2,609,000 1,997 0.45 Embarq 7.995% 01/06/2036 USD 590,000 499 0.11 Embraer Netherlands Finance 6.95% 17/01/2028 USD 4,355,000 3,495 0.79 Endo Dac / Endo Finance / Endo Finco 5.875% 15/10/2024 USD 2,965,000 2,126 0.48 Equifax 3.1% 15/05/2030 USD 1,010,000 767 0.17 Fannie Mae Connecticut Avenue 2.46763% 25/01/2031 USD 10,610,583 7,589 1.71 Fannie Mae Connecticut Avenue 2.66763% 25/12/2030 USD 3,645,938 2,630 0.59 Fannie Mae Connecticut Avenue 2.91763% 25/02/2030 USD 8,466,513 6,134 1.38 First Quantum Minerals 6.875% 15/10/2027 USD 6,360,000 4,936 1.11 Flex 4.875% 12/05/2030 USD 5,700,000 4,718 1.06 FMC 3.45% 01/10/2029 USD 1,090,000 849 0.19 Ford Motor 6.625% 01/10/2028 USD 3,850,000 3,239 0.73 Ford Motor 8.5% 21/04/2023 USD 3,545,000 2,837 0.64 Freddie Mac STACR REMIC Trust 2020-DNA3 5.21763% 25/06/2050 USD 4,565,000 3,393 0.77 Freddie Mac STACR REMIC Trust 2020-HQA3 3.71763% 25/07/2050 USD 2,335,000 1,690 0.38 Freddie Mac STACR Trust 2019-DNA2 2.56763% 25/03/2049 USD 2,895,467 2,083 0.47 Freddie Mac STACR Trust 2019-HQA2 2.16763% 25/04/2049 USD 2,372,874 1,698 0.38 FS KKR Capital 4.125% 01/02/2025 USD 1,055,000 781 0.18 FS KKR Capital 4.625% 15/07/2024 USD 420,000 322 0.07 FS KKR Capital 4.75% 15/05/2022 USD 802,000 595 0.13 Gap 8.625% 15/05/2025 USD 3,560,000 2,839 0.64 General Electric 3.625% 01/05/2030 USD 5,480,000 4,255 0.96 General Motors 6.125% 01/10/2025 USD 2,280,000 1,938 0.44 General Motors 6.25% 02/10/2043 USD 1,590,000 1,514 0.34 General Motors 6.8% 01/10/2027 USD 3,955,000 3,576 0.81 General Motors Financial 2.7% 20/08/2027 USD 3,360,000 2,487 0.56 GLP Capital LP / GLP Financing II 3.35% 01/09/2024 USD 2,775,000 2,108 0.48 GLP Capital LP / GLP Financing II 5.375% 01/11/2023 USD 2,915,000 2,279 0.51 Goldman Sachs 0.855% 12/02/2026 USD 5,135,000 3,633 0.82 Golub Capital BDC 2.5% 24/08/2026 USD 4,735,000 3,349 0.76 Icahn Enterprises LP / Icahn Enterprises Finance 5.25% 15/05/2027 USD 500,000 376 0.08 Icahn Enterprises LP / Icahn Enterprises Finance 6.25% 15/05/2026 USD 5,010,000 3,766 0.85 International Game Technology 5.25% 15/01/2029 USD 4,065,000 3,078 0.69 Iron Mountain 5.25% 15/03/2028 USD 9,070,000 6,779 1.53 Itau Unibanco SA/Cayman Island 6.125% Perpetual USD 6,920,000 4,968 1.12 Jabil 3.6% 15/01/2030 USD 6,750,000 5,156 1.16 JBS USA LUX / JBS USA Food / JBS USA Finance 5.5% 15/01/2030 USD 2,585,000 2,071 0.47 JD.com 3.375% 14/01/2030 USD 2,815,000 2,139 0.48 JP Morgan Mortgage Acquisition Trust 2007-CH3 0.43763% 25/03/2037 USD 4,201,822 2,975 0.67 Kenbourne Invest 4.7% 22/01/2028 USD 1,700,000 1,260 0.28 Kenbourne Invest 6.875% 26/11/2024 USD 3,665,000 2,818 0.64 Kroger 1.7% 15/01/2031 USD 2,360,000 1,614 0.36 Liberty Interactive 8.25% 01/02/2030 USD 1,390,000 1,160 0.26 Macy’s 8.375% 15/06/2025 USD 500,000 395 0.09 Macy’s Retail 3.875% 15/01/2022 USD 3,164,000 2,274 0.51 Main Street Capital 3% 14/07/2026 USD 1,530,000 1,096 0.25 Main Street Capital 5.2% 01/05/2024 USD 1,880,000 1,456 0.33 Marathon Oil 6.6% 01/10/2037 USD 2,280,000 2,102 0.47 MARB BondCo 3.95% 29/01/2031 USD 2,725,000 1,891 0.43 Merrill Lynch Mortgage Investors Trust Series 2006-HE1 0.70263% 25/12/2036 USD 471,920 337 0.08 Methanex 5.125% 15/10/2027 USD 2,553,000 1,889 0.43 Microchip Technology 4.25% 01/09/2025 USD 2,550,000 1,912 0.43 Mileage Plus / Mileage Plus Intellectual Property Assets 6.5% 20/06/2027 USD 2,455,000 1,918 0.43 Nissan Motor 4.345% 17/09/2027 USD 4,350,000 3,433 0.77 NortonLifeLock 5% 15/04/2025 USD 2,890,000 2,093 0.47 NXP / NXP Funding / NXP USA 3.4% 01/05/2030 USD 940,000 728 0.16 Occidental Petroleum 2.7% 15/02/2023 USD 4,271,000 2,986 0.67 Occidental Petroleum 3% 15/02/2027 USD 5,955,000 3,999 0.90 Occidental Petroleum 6.625% 01/09/2030 USD 3,545,000 2,884 0.65

303 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Owens Corning 3.875% 01/06/2030 USD 4,430,000 3,524 0.79 Owl Rock Capital 4% 30/03/2025 USD 7,515,000 5,670 1.28 Owl Rock Technology Finance 3.75% 17/06/2026 USD 6,620,000 4,890 1.10 Owl Rock Technology Finance 4.75% 15/12/2025 USD 1,720,000 1,315 0.30 Petroleos Mexicanos 5.35% 12/02/2028 USD 12,575,000 8,721 1.97 Petroleos Mexicanos 6.95% 28/01/2060 USD 9,890,000 6,243 1.41 Scientific Games International 5% 15/10/2025 USD 2,330,000 1,712 0.39 Seagate HDD Cayman 4.125% 15/01/2031 USD 2,000,000 1,477 0.33 Sinclair Television 5.875% 15/03/2026 USD 2,600,000 1,901 0.43 Sirius XM Radio 4.125% 01/07/2030 USD 1,000,000 722 0.16 Sixth Street Specialty Lending 2.5% 01/08/2026 USD 2,605,000 1,840 0.42 Smithfield Foods 3% 15/10/2030 USD 1,010,000 736 0.17 Southwest Airlines 5.125% 15/06/2027 USD 2,895,000 2,419 0.55 Sprint Spectrum / Sprint Spectrum II / Sprint Spectrum III 5.152% 20/09/2029 USD 3,475,000 2,884 0.65 STACR Trust 2018-DNA3 2.21763% 25/09/2048 USD 8,396,500 5,952 1.34 Taseko Mines 7% 15/02/2026 USD 6,250,000 4,561 1.03 Taseko Mines 8.75% 15/06/2022 USD 3,490,000 2,551 0.58 Teck Resources 3.9% 15/07/2030 USD 540,000 417 0.09 Tencent Music Entertainment 2% 03/09/2030 USD 920,000 629 0.14 Teva Pharmaceutical Finance Netherlands III 7.125% 31/01/2025 USD 1,720,000 1,332 0.30 T-Mobile USA 2.55% 15/02/2031 USD 2,855,000 2,029 0.46 T-Mobile USA 3.875% 15/04/2030 USD 3,450,000 2,710 0.61 Turkey Government International Bond 5.95% 15/01/2031 USD 4,085,000 2,922 0.66 Universal Health Services 2.65% 15/10/2030 USD 2,885,000 2,040 0.46 Vishay Intertechnology 2.25% 15/06/2025 USD 4,715,000 3,751 0.84 Vista Outdoor 4.5% 15/03/2029 USD 1,560,000 1,106 0.25 Weibo 3.375% 08/07/2030 USD 4,750,000 3,436 0.77 Western Digital 1.5% 01/02/2024 USD 5,475,000 4,116 0.93 Xiaomi Best Time International 3.375% 29/04/2030 USD 5,290,000 3,829 0.86 361,431 81.50 Total Bonds 376,769 84.96

Derivatives 4.80% ((0.88%)) Chilean Peso Derivatives (0.06%) (0.00%) Forward Currency Contracts (0.06%) (0.00%) Forward to sell USD12,813,752 for CLP8,990,000,000 Settlement 12/05/2021 (266) (0.06) (266) (0.06)

Colombian Peso Derivatives (0.05%) (0.00%) Forward Currency Contracts (0.05%) (0.00%) Forward to sell USD10,535,605 for COP37,010,000,000 Settlement 22/04/2021 (228) (0.05) (228) (0.05)

Egyptian Pound Derivatives 0.00% ((0.18%)) Forward Currency Contracts 0.00% ((0.18%))

Euro Derivatives 1.81% ((0.03%)) Credit Default Swaps 1.81% (0.00%) Citibank Credit Default Swap 20/12/2024 (9,665,000) 191 0.04 Citibank Credit Default Swap 20/12/2025 (58,666,803) 5,810 1.31 Deutsche Bank Credit Default Swap 20/06/2025 (55,870,000) 1,137 0.26 JP Morgan Chase Bank Credit Default Swap 20/12/2025 (8,370,000) 338 0.08 JP Morgan Chase Bank Credit Default Swap 20/12/2025 (8,110,000) 548 0.12 8,024 1.81

Forward Currency Contracts 0.00% ((0.03%))

304 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Brandywine Global Income Optimiser Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Mexican Peso Derivatives (0.04%) (0.00%) Forward Currency Contracts (0.04%) (0.00%) Forward to sell USD10,592,189 for MXN217,500,000 Settlement 13/05/2021 (193) (0.04) (193) (0.04)

Russian Ruble Derivatives (0.01%) (0.00%) Forward Currency Contracts (0.01%) (0.00%) Forward to sell USD12,239,165 for RUB915,000,000 Settlement 21/05/2021 (57) (0.01) (57) (0.01)

UK Sterling Derivatives 2.38% ((1.27%)) Forward Currency Contracts 2.32% ((1.27%)) Forward to sell USD225,481,439 for GBP168,380,000 Settlement 8/03/2021 7,110 1.59 Forward to sell USD350,349,437 for GBP253,710,000 Settlement 19/05/2021 3,206 0.73 10,316 2.32

Futures 0.06% (0.00%) Long Gilt Futures June 2021 (431) 238 0.06 238 0.06

US Dollar Derivatives 0.77% (0.60%) Credit Default Swaps 0.86% (0.36%) Barclays Credit Default Swap 20/06/2021 (5,705,000) 98 0.02 Barclays Credit Default Swap 20/06/2022 (3,600,000) 168 0.04 Citibank Credit Default Swap 20/06/2022 (850,000) 5 – Citibank Credit Default Swap 20/06/2025 (137,310,000) 1,674 0.38 Citibank Credit Default Swap 20/12/2025 (28,975,000) 1,843 0.41 JP Morgan Chase Bank Credit Default Swap 20/06/2022 (700,000) 30 0.01 Morgan Stanley International Credit Default Swap 20/12/2022 (850,000) 6 – 3,824 0.86

Forward Currency Contracts 0.00% (0.05%) Forward to buy USD5,443,704 for GBP3,980,000 Settlement 8/03/2021 (86) (0.02) Forward to sell RUB915,000,000 for USD12,282,704 Settlement 21/05/2021 88 0.02 2–

Futures (0.09%) (0.19%) US Ultra Bond (CBT) Futures June 2021 (182) (383) (0.09) (383) (0.09) Total Derivatives 21,277 4.80

Portfolio of investments 398,046 89.76 Net other assets 45,416 10.24 Net assets 443,462 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are corporate bonds unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated.

305 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 98.67% (99.58%) Australia 2.53% (0.00%) BHP 14,138 385 2.53 385 2.53

Austria 3.12% (3.38%) BAWAG 12,730 475 3.12 475 3.12

Belgium 0.72% (0.00%) KBC 2,130 110 0.72 110 0.72

Canada 2.06% (2.30%) Nutrien 8,120 314 2.06 314 2.06

China 9.26% (10.70%) China Construction Bank 432,860 248 1.63 Greatview Aseptic Packaging 1,052,810 374 2.45 Ping An Insurance of China 47,380 416 2.73 Zhejiang Expressway 597,140 373 2.45 1,411 9.26

Denmark 3.52% (1.86%) AP Moller - Maersk 347 536 3.52 536 3.52

France 15.11% (14.16%) AXA 10,340 187 1.23 BNP Paribas 14,180 607 3.98 Mersen 3,900 96 0.63 Sanofi 3,390 223 1.46 Schneider Electric 4,150 443 2.91 TOTAL 12,569 419 2.75 Veolia Environnement 16,900 328 2.15 2,303 15.11

Germany 8.20% (8.68%) Allianz 1,950 338 2.22 BASF 7,260 426 2.79 Bayerische Motoren Werke 7,870 486 3.19 1,250 8.20

Hong Kong 1.60% (3.61%) China Resources Cement 132,000 112 0.73 Shenzhen International 111,630 132 0.87 244 1.60

Italy 2.96% (2.24%) Anima 60,080 207 1.36 MARR 15,000 244 1.60 451 2.96

306 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Japan 2.44% (5.17%) Raiznext 29,427 225 1.48 Subaru 10,909 146 0.96 371 2.44

Macau 1.88% (1.71%) Sands China 48,420 162 1.06 Wynn Macau 92,480 125 0.82 287 1.88

Netherlands 2.77% (3.47%) Royal Dutch Shell 28,790 422 2.77 422 2.77

Singapore 2.37% (1.75%) DBS 25,244 362 2.37 362 2.37

Spain 1.04% (0.00%) Industria de Diseno Textil 6,660 158 1.04 158 1.04

Sweden 3.12% (1.56%) Inwido 43,790 476 3.12 476 3.12

Switzerland 13.06% (10.54%) Adecco 9,390 423 2.77 Cie Financiere Richemont 1,740 120 0.79 Cie Financiere Richemont Warrants 22/11/2023 3,480 1 0.01 Glencore 192,290 559 3.67 LafargeHolcim 8,090 320 2.10 Novartis 2,120 131 0.86 Roche 1,040 245 1.61 Sulzer 2,360 190 1.25 1,989 13.06

Taiwan 2.01% (1.58%) Lumax International 170,790 307 2.01 307 2.01

Thailand 1.34% (2.79%) Bangkok Bank 70,690 204 1.34 204 1.34

United Kingdom 10.81% (13.32%) Anglo American 8,902 247 1.62 Man 76,530 115 0.75 22,580 325 2.13 Vistry 29,420 248 1.63 Vodafone 266,470 325 2.13 Wincanton 117,520 388 2.55 1,648 10.81

United States of America 8.75% (10.76%) American International 11,780 370 2.43 AT&T 5,840 116 0.76

307 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Equity Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Exxon Mobil 7,490 291 1.91 International Business Machines 1,820 155 1.02 ONEOK 7,470 237 1.55 WisdomTree Investments 43,350 164 1.08 1,333 8.75 Total Equities 15,036 98.67

Portfolio of investments 15,036 98.67 Net other assets 202 1.33 Net assets 15,238 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated.

308 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 95.19% (96.56%) Australia 17.89% (12.96%) APA 1,295,750 6,666 0.91 Atlas Arteria 10,339,116 31,718 4.31 AusNet Services 28,721,157 26,322 3.58 Spark Infrastructure 17,983,629 20,315 2.76 Sydney Airport 4,961,044 16,099 2.19 Transurban 4,298,982 30,424 4.14 131,544 17.89

Brazil 5.21% (1.35%) Cia de Transmissao de Energia Eletrica Paulista 2,171,100 6,660 0.91 CPFL Energia 3,536,200 13,084 1.78 Transmissora Alianca de Energia Eletrica 4,725,200 18,527 2.52 38,271 5.21

Canada 9.87% (13.35%) Emera 667,624 18,912 2.57 Enbridge 1,081,334 26,257 3.57 Gibson Energy 829,300 10,134 1.38 TC Energy 572,571 17,242 2.35 72,545 9.87

Chile 2.03% (2.63%) Aguas Andinas 72,229,180 14,931 2.03 14,931 2.03

France 8.10% (0.42%) Eiffage 265,137 19,552 2.66 Eutelsat Communications 295,723 2,564 0.35 Getlink 1,090,660 12,849 1.75 Vinci 328,515 24,539 3.34 59,504 8.10

Hong Kong 0.00% (2.63%)

Italy 5.43% (8.62%) Snam 6,797,061 25,351 3.45 Terna Rete Elettrica Nazionale 2,911,899 14,582 1.98 39,933 5.43

Mexico 3.26% (3.20%) CFE Capital S de RL de* 14,334,886 13,891 1.89 Grupo Aeroportuario del Pacifico 1,396,500 10,088 1.37 23,979 3.26

Portugal 3.60% (3.36%) EDP - Energias de Portugal 6,420,980 26,451 3.60 26,451 3.60

Spain 7.67% (6.95%) Aena SME 55,382 6,770 0.92 Enagas 1,302,915 19,642 2.67 Ferrovial 409,548 7,339 1.00 Red Electrica 1,883,618 22,649 3.08 56,400 7.67

309 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % United Kingdom 7.77% (17.56%) National Grid 3,047,418 24,574 3.34 SSE 2,462,091 32,598 4.43 57,172 7.77

United States of America 24.36% (23.53%) Brookfield Renewable 713,342 23,562 3.21 Clearway Energy 1,356,739 26,648 3.63 Crown Castle International* 136,823 15,230 2.07 Exelon 857,447 23,667 3.22 NextEra Energy Partners 552,501 28,745 3.91 Public Service Enterprise 605,794 23,329 3.17 Southern 583,900 23,676 3.22 Williams 870,634 14,211 1.93 179,068 24.36 Total Equities 699,798 95.19

Hedge Share Class Derivatives 0.18% (0.05%) Australian Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy AUD2,035,642 for GBP1,130,847 Settlement 26/05/2021 (4) – (4) –

Brazilian Real Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy BRL8,300,545 for GBP1,072,921 Settlement 26/05/2021 (12) – (12) –

Canadian Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy CAD670,692 for GBP379,619 Settlement 26/05/2021 – – ––

Chilean Peso Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy CLP70,236,421 for GBP70,874 Settlement 26/05/2021 (2) – (2) –

Euro Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%)

Mexican Peso Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy MXN5,178,465 for GBP178,093 Settlement 26/05/2021 (2) – (2) –

UK Sterling Derivatives 0.18% (0.05%) Hedge Forward Currency Contracts 0.18% (0.05%) Forward to sell AUD47,422,701 for GBP26,530,557 Settlement 26/05/2021 273 0.03 Forward to sell BRL66,817,747 for GBP8,888,662 Settlement 26/05/2021 345 0.06 Forward to sell CAD25,527,998 for GBP14,501,306 Settlement 26/05/2021 83 0.01 Forward to sell CLP2,879,960,722 for GBP2,911,827 Settlement 26/05/2021 62 – Forward to sell EUR39,838,264 for GBP34,688,021 Settlement 26/05/2021 46 – Forward to sell MXN134,471,260 for GBP4,753,574 Settlement 26/05/2021 197 0.03 Forward to sell USD49,568,378 for GBP35,778,500 Settlement 26/05/2021 338 0.05 1,344 0.18

310 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge Global Infrastructure Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % US Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy USD1,249,274 for GBP886,310 Settlement 26/05/2021 7 – 7– Total Hedge Share Class Derivatives 1,331 0.18

Portfolio of investments 701,129 95.37 Net other assets 34,003 4.63 Net assets 735,132 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. * Real Estate Investment Trust

311 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 99.44% (92.26%) United States of America 88.85% (80.43%) Aerospace & Defence 2.15% (0.58%) Northrop Grumman 1,040 217 0.79 Spirit AeroSystems 12,204 374 1.36 591 2.15

Airlines 1.52% (1.30%) Southwest Airlines 10,080 419 1.52 419 1.52

Automobile Manufacturers 1.27% (0.00%) General Motors 9,503 349 1.27 349 1.27

Banks 10.02% (7.15%) Bank of America 35,230 874 3.18 Citigroup 6,025 284 1.03 Goldman Sachs 3,190 729 2.65 Wells Fargo 33,579 868 3.16 2,755 10.02

Beverages 1.29% (0.00%) Constellation Brands 2,310 354 1.29 354 1.29

Biotechnology 2.88% (3.94%) Biogen 789 154 0.56 BioMarin Pharmaceutical 4,562 253 0.92 Gilead Sciences 8,773 385 1.40 792 2.88

Building Materials 0.00% (0.86%)

Computers 2.06% (2.39%) DXC Technology 31,427 567 2.06 567 2.06

Diversified Financial Services 6.14% (5.42%) Charles Schwab 12,011 530 1.93 OneMain 15,656 525 1.91 Synchrony Financial 22,821 631 2.30 1,686 6.14

Diversified Operations 0.64% (0.00%) East Resources Acquisition 22,780 176 0.64 176 0.64

Electricity 2.97% (5.20%) AES 27,212 517 1.88 Vistra 24,158 299 1.09 816 2.97

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Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Food Producers 0.00% (3.17%)

Healthcare Services 1.50% (0.00%) UnitedHealth 1,737 412 1.50 412 1.50

Home Builders 1.11% (1.92%) Toll Brothers 7,950 304 1.11 304 1.11

Insurance 7.11% (8.10%) American International 26,649 837 3.05 Equitable 39,050 825 3.00 Hartford Financial Services 8,050 292 1.06 1,954 7.11

Internet 4.10% (9.13%) Alphabet 351 510 1.86 Amazon.com 91 201 0.73 Facebook 1,006 185 0.67 Uber Technologies 6,263 232 0.84 1,128 4.10

LeisureTime 1.67% (0.00%) Carnival 24,010 459 1.67 459 1.67

Lodging 1.74% (0.00%) MGM Resorts International 17,681 478 1.74 478 1.74

Machinery Construction & Mining 1.19% (0.00%) Oshkosh 4,320 327 1.19 327 1.19

Machinery Diversified 0.84% (0.00%) Curtiss-Wright 2,927 231 0.84 231 0.84

Media 4.18% (0.73%) Comcast 7,833 295 1.07 Liberty Media Corp-Liberty SiriusXM 11,486 363 1.32 Walt Disney 3,650 493 1.79 1,151 4.18

Mining 3.37% (2.64%) Freeport-McMoRan 28,850 699 2.54 Newmont 5,837 227 0.83 926 3.37

Miscellaneous Manufacturing 2.90% (0.00%) Eaton 1,990 185 0.67 General Electric 68,402 613 2.23 798 2.90

313 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Oil & Gas Producers 6.27% (4.51%) EQT 57,270 728 2.65 Pioneer Natural Resources 9,370 995 3.62 1,723 6.27

Pharmaceuticals 5.99% (7.53%) AbbVie 9,927 765 2.78 CVS Health 9,103 444 1.62 Eli Lilly 2,980 436 1.59 1,645 5.99

Real Estate Investment & Services 1.01% (0.00%) Howard Hughes 4,100 278 1.01 278 1.01

Real Estate InvestmentTrusts 0.62% (1.90%) Kimco Realty* 13,034 171 0.62 171 0.62

Retail 4.14% (0.00%) Darden Restaurants 3,170 311 1.13 MSC Industrial Direct 3,670 226 0.82 TJX 6,962 328 1.19 Ulta Beauty 1,200 276 1.00 1,141 4.14

Semiconductors 3.51% (3.31%) Micron Technology 7,850 514 1.87 ON Semiconductor 15,685 451 1.64 965 3.51

Software 2.98% (9.34%) Fidelity National Information Services 3,090 305 1.11 Oracle 11,142 514 1.87 819 2.98

Telecommunications 2.39% (1.31%) Arista Networks 1,379 276 1.00 T-Mobile US 4,460 383 1.39 659 2.39

Transportation 1.29% (0.00%) FedEx 1,947 354 1.29 354 1.29

Germany 3.13% (2.57%) Automobile Manufacturers 1.68% (1.52%) Volkswagen 3,080 463 1.68 463 1.68

Machinery Diversified 1.45% (1.05%) KION 6,555 398 1.45 398 1.45

314 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Japan 1.65% (0.00%) Home Furnishings 1.65% (0.00%) Sony ADR 6,001 454 1.65 454 1.65

Hong Kong 1.58% (0.88%) Lodging 1.58% (0.88%) Melco Resorts & Entertainment ADR 28,017 434 1.58 434 1.58

France 1.55% (0.00%) Oil & Gas Producers 1.55% (0.00%) Total ADR 12,777 425 1.55 425 1.55

Ireland 1.53% (0.00%) Healthcare Products 1.53% (0.00%) Medtronic 5,027 420 1.53 420 1.53

Netherlands 1.15% (0.00%) Semiconductors 1.15% (0.00%) NXP Semiconductors 2,413 315 1.15 315 1.15

United Kingdom 0.00% (2.75%) Apparel 0.00% (1.51%)

Cosmetics & Personal Care 0.00% (1.24%)

China 0.00% (1.20%) Internet 0.00% (1.20%)

Canada 0.00% (2.88%) Mining 0.00% (1.60%)

Oil & Gas Producers 0.00% (1.28%)

Belgium 0.00% (1.55%) Beverages 0.00% (1.55%) Total Equities 27,337 99.44

Portfolio of investments 27,337 99.44 Net other assets 155 0.56 Net assets 27,492 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. Stocks shown as ADRs represent American Depositary Receipts. * Real Estate Investment Trust

315 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 99.43% (96.66%) United States of America 93.67% (89.19%) Aerospace & Defence 4.09% (4.63%) Northrop Grumman 1,980 413 1.10 Raytheon Technologies 21,836 1,124 2.99 1,537 4.09

Banks 6.36% (7.68%) Bank of America 28,343 703 1.87 JPMorgan Chase 6,934 730 1.94 PNC Financial Services 4,735 570 1.52 US Bancorp 10,830 387 1.03 2,390 6.36

Beverages 1.74% (1.95%) Coca-Cola 18,722 656 1.74 656 1.74

Building Materials 1.93% (1.39%) Vulcan Materials 6,074 726 1.93 726 1.93

Chemicals 4.45% (3.41%) Ecolab 4,836 723 1.92 PPG Industries 9,863 951 2.53 1,674 4.45

Computers 5.50% (3.50%) Apple 21,840 1,893 5.03 Cognizant Technology Solutions 3,390 178 0.47 2,071 5.50

Cosmetics & Personal Care 2.22% (2.23%) Procter & Gamble 9,473 837 2.22 837 2.22

Diversified Financial Services 4.04% (4.29%) Mastercard 3,057 773 2.05 Visa 4,927 749 1.99 1,522 4.04

Electricity 6.06% (4.31%) Edison International 12,305 475 1.26 NextEra Energy 11,790 620 1.65 Public Service Enterprise 11,530 444 1.18 Sempra Energy 5,150 427 1.14 WEC Energy 5,431 313 0.83 2,279 6.06

Environmental Control 1.88% (2.18%) Waste Management 8,935 708 1.88 708 1.88

Food Producers 1.97% (2.65%) Mondelez International 19,459 740 1.97 740 1.97

316 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Forest Products & Paper 0.00% (0.61%)

Healthcare Services 1.89% (1.62%) UnitedHealth 2,998 711 1.89 711 1.89

Insurance 5.70% (4.65%) American International 19,896 625 1.66 MetLife 17,382 716 1.90 Travelers 7,737 805 2.14 2,146 5.70

Machinery Diversified 0.58% (0.00%) Otis Worldwide 4,829 220 0.58 220 0.58

Media 5.63% (5.30%) Comcast 33,825 1,274 3.39 Walt Disney 6,240 843 2.24 2,117 5.63

Miscellaneous Manufacturing 0.00% (1.22%)

Oil & Gas Producers 0.53% (0.70%) Pioneer Natural Resources 1,890 201 0.53 201 0.53

Pharmaceuticals 8.29% (6.96%) Becton Dickinson 3,160 545 1.45 Johnson & Johnson 7,215 817 2.17 Merck 14,304 743 1.98 Pfizer 21,330 511 1.36 Zoetis 4,499 499 1.33 3,115 8.29

Pipelines 2.33% (4.08%) Williams 53,801 878 2.33 878 2.33

Private Equity 5.02% (4.14%) Apollo Global Management 21,621 765 2.03 Blackstone 22,730 1,126 2.99 1,891 5.02

Real Estate InvestmentTrusts 2.47% (2.42%) American Tower* 4,041 624 1.66 Boston Properties* 4,310 305 0.81 929 2.47

Retail 3.95% (5.98%) Home Depot 4,306 796 2.12 Walmart 7,412 688 1.83 1,484 3.95

317 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Semiconductors 3.74% (2.13%) Broadcom 1,790 601 1.60 Texas Instruments 6,525 804 2.14 1,405 3.74

Software 7.14% (5.09%) Microsoft 13,848 2,300 6.11 Oracle 8,400 388 1.03 2,688 7.14

Telecommunications 1.74% (2.55%) Verizon Communications 16,501 653 1.74 653 1.74

Transportation 4.42% (3.52%) Union Pacific 5,279 777 2.07 United Parcel Service 7,821 883 2.35 1,660 4.42

United Kingdom 2.23% (2.05%) Chemicals 2.23% (2.05%) Linde 4,797 838 2.23 838 2.23

Switzerland 2.00% (2.07%) Food Producers 2.00% (2.07%) Nestle 10,011 751 2.00 751 2.00

Canada 1.53% (1.53%) Pipelines 1.53% (1.53%) Enbridge 23,788 575 1.53 575 1.53

Belgium 0.00% (1.82%) Beverages 0.00% (1.82%) Total Equities 37,402 99.43

Hedge Share Class Derivatives (0.02%) ((0.04%)) Canadian Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%)

UK Sterling Derivatives (0.02%) ((0.04%)) Hedge Forward Currency Contracts (0.02%) ((0.04%)) Forward to sell USD1,184,225 for GBP840,036 Settlement 31/03/2021 (7) (0.02) (7) (0.02)

318 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF ClearBridge US Equity Income Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % US Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy USD101 for GBP72 Settlement 31/03/2021 – – –– Total Hedge Share Class Derivatives (7) (0.02)

Portfolio of investments 37,395 99.41 Net other assets 221 0.59 Net assets 37,616 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. * Real Estate Investment Trust

319 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 93.73% (98.20%) Biotechnology 3.19% (3.40%) JCR Pharmaceuticals 700,000 16,800 1.22 Takara Bio 1,400,000 27,229 1.97 44,029 3.19

Commercial Services 19.68% (23.52%) Benefit One 2,600,000 46,867 3.39 FULLCAST 380,000 4,924 0.36 GMO Payment Gateway 570,000 53,880 3.90 Medley 670,000 19,274 1.40 Nihon M&A Center 2,600,000 101,240 7.33 Outsourcing 2,700,000 29,528 2.14 Persol 1,130,000 15,984 1.16 271,697 19.68

Computers 8.23% (2.91%) BayCurrent Consulting 264,000 37,929 2.75 Change 2,000,000 41,892 3.03 Medical Data Vision 900,000 12,253 0.89 UT 950,000 21,493 1.56 113,567 8.23

Cosmetics & Personal Care 2.03% (2.98%) Fancl 1,100,000 28,025 2.03 28,025 2.03

Healthcare Products 2.29% (4.04%) Asahi Intecc 1,000,000 20,476 1.48 CYBERDYNE 2,600,000 11,224 0.81 31,700 2.29

Healthcare Services 5.83% (8.74%) PeptiDream 2,200,000 74,735 5.41 Solasto 600,000 5,792 0.42 80,527 5.83

Insurance 0.69% (1.05%) Anicom 1,400,000 9,559 0.69 9,559 0.69

Internet 25.53% (22.20%) Bengo4.com 300,000 19,194 1.39 Digital Arts 420,000 27,464 1.99 Dip 550,000 10,693 0.77 en-japan 650,000 13,899 1.01 M3 2,080,000 117,633 8.52 MedPeer 600,000 24,491 1.77 MonotaRO 800,000 32,816 2.38 Oisixradaichi 900,000 16,658 1.21 SMS 2,320,500 54,136 3.92 ValueCommerce 450,000 8,764 0.63 ZOZO 1,200,000 26,827 1.94 352,575 25.53

LeisureTime 0.00% (0.48%)

320 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Japan Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Machinery Diversified 1.41% (0.00%) FANUC 110,000 19,415 1.41 19,415 1.41

Office & Business Equipment 2.95% (0.00%) FUJIFILM 1,000,000 40,690 2.95 40,690 2.95

Pharmaceuticals 1.70% (2.24%) Ship Healthcare 593,000 23,528 1.70 23,528 1.70

Real Estate Investment & Services 1.46% (2.73%) Relo 1,200,000 20,205 1.46 20,205 1.46

Retail 11.69% (18.45%) Bic Camera 800,000 6,192 0.45 Goldwin 300,000 14,723 1.07 Kusuri no Aoki 400,000 22,396 1.62 Pan Pacific International 4,200,000 70,323 5.09 Tsuruha 250,000 22,994 1.67 Welcia 1,080,000 24,652 1.79 161,280 11.69

Software 2.33% (1.70%) JMDC 500,000 17,019 1.23 Sansan 250,000 15,223 1.10 32,242 2.33

Toys, Games & Hobbies 4.72% (3.76%) Nintendo 150,000 65,205 4.72 65,205 4.72 Total Equities 1,294,244 93.73

Hedge Share Class Derivatives 0.07% ((0.21%)) JapaneseYen Derivatives 0.01% (0.07%) Hedge Forward Currency Contracts 0.01% (0.07%) Forward to buy JPY3,795,473,895 for GBP25,347,431 Settlement 31/03/2021 138 0.01 138 0.01

UK Sterling Derivatives 0.06% ((0.28%)) Hedge Forward Currency Contracts 0.06% ((0.28%)) Forward to sell JPY29,341,180,597 for GBP197,881,213 Settlement 31/03/2021 870 0.06 870 0.06 Total Hedge Share Class Derivatives 1,008 0.07

Portfolio of investments 1,295,252 93.80 Net other assets 85,637 6.20 Net assets 1,380,889 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated.

321 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 97.77% (89.86%) China 35.00% (33.52%) Alibaba 221,200 4,736 5.91 Alibaba ADR 7,459 1,268 1.58 CSPC Pharmaceutical 2,327,760 1,739 2.17 ENN Energy 283,600 3,107 3.88 Minth 922,000 2,895 3.62 Ping An Insurance of China 354,500 3,113 3.89 Shenzhou International 151,600 2,252 2.81 Tencent 121,800 7,440 9.29 TravelSk y Technology 826,000 1,481 1.85 28,031 35.00

Hong Kong 12.52% (17.48%) AIA 405,000 3,624 4.53 Guangdong Investment 2,164,000 2,765 3.45 Jardine Matheson 39,082 1,461 1.82 Techtronic Industries 199,500 2,176 2.72 10,026 12.52

India 12.68% (4.56%) Godrej Consumer Products 152,616 1,013 1.27 HDFC Bank ADR 66,370 3,756 4.69 Hero MotoCorp 95,361 2,987 3.73 Tata Consultancy Services 84,970 2,398 2.99 10,154 12.68

Singapore 9.37% (9.27%) Singapore Technologies Engineering 1,149,800 2,326 2.90 United Overseas Bank 215,377 2,856 3.57 Venture 224,600 2,320 2.90 7,502 9.37

South Korea 18.07% (13.44%) Coway 44,917 1,850 2.31 LG Chem 1,367 723 0.90 LG Household & Health Care 2,507 2,415 3.02 Orion 28,971 2,370 2.96 Samsung Electronics 86,040 4,519 5.64 Samsung Electronics ’S’ 1,963 2,596 3.24 14,473 18.07

Taiwan 10.13% (5.98%) Feng TAY Enterprise 278,000 1,324 1.65 Taiwan Semiconductor Manufacturing 114,000 1,774 2.22 Taiwan Semiconductor Manufacturing ADR 55,595 5,017 6.26 8,115 10.13

322 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Asia Unconstrained Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Thailand 0.00% (2.04%)

United Kingdom 0.00% (3.57%) Total Equities 78,301 97.77

Collective Investment Schemes 0.00% (6.11%)

Portfolio of investments 78,301 97.77 Net other assets 1,786 2.23 Net assets 80,087 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. Stocks shown as ADRs represent American Depositary Receipts.

323 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 99.14% (97.23%) Brazil 3.10% (5.71%) B3 - Brasil Bolsa Balcao 59,700 416 1.22 Cosan 33,072 436 1.28 Odontoprev 121,700 203 0.60 1,055 3.10

Chile 1.41% (0.00%) Antofagasta 26,925 480 1.41 480 1.41

China 33.39% (26.69%) Alibaba 51,728 1,107 3.25 Alibaba ADR 5,917 1,006 2.95 Contemporary Amperex Technology 12,500 445 1.30 Industrial & Commercial Bank of China 979,151 457 1.34 JD.com 9,776 656 1.92 Meituan 44,300 1,389 4.07 Minth 122,000 383 1.12 Ping An Bank 157,842 372 1.09 Ping An Insurance of China 112,000 984 2.88 Shanghai Fosun Pharmaceutical 110,500 373 1.09 Sunny Optical Technology 32,600 583 1.71 Tencent 50,364 3,076 9.02 Wuxi Lead Intelligent Equipment 26,800 248 0.73 Xinyi Solar 208,000 313 0.92 11,392 33.39

Cyprus 1.00% (0.60%) TCS 9,158 340 1.00 340 1.00

Hong Kong 4.22% (4.99%) AIA 83,701 749 2.20 Brilliance China Automotive 246,000 158 0.46 China Gas 184,477 531 1.56 1,438 4.22

Hungary 1.95% (2.93%) OTP Bank 20,503 666 1.95 666 1.95

India 10.80% (12.06%) Asian Paints 19,961 442 1.30 HDFC Bank 31,560 472 1.38 ICICI Bank 59,236 344 1.01 Kotak Mahindra Bank 14,871 259 0.76 Maruti Suzuki India 6,855 457 1.34 Reliance Industries 29,204 591 1.73 Titan 53,249 730 2.14 UltraTech Cement 6,547 388 1.14 3,683 10.80

Indonesia 2.26% (2.96%) Bank Rakyat Indonesia Persero 2,222,435 526 1.54 Telkom Indonesia Persero 1,400,500 245 0.72 771 2.26

324 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Malaysia 0.00% (0.87%)

Mexico 0.61% (2.05%) Orbia Advance 124,666 207 0.61 207 0.61

Netherlands 2.72% (2.34%) Prosus 10,915 929 2.72 929 2.72

Peru 1.51% (3.19%) Credicorp 3,332 381 1.12 Southern Copper 2,602 133 0.39 514 1.51

Philippines 0.43% (0.68%) Robinsons Retail 176,009 146 0.43 146 0.43

Russia 2.03% (3.15%) LUKOIL 6,993 371 1.09 Sberbank of Russia 30,972 321 0.94 692 2.03

South Korea 17.67% (15.26%) LG Chem 1,972 1,043 3.06 LG Household & Health Care 391 377 1.11 NAVER 2,313 552 1.62 Samsung Electronics 54,244 2,849 8.35 Samsung SDI 1,228 527 1.54 SK Hynix 7,562 679 1.99 6,027 17.67

Taiwan 12.71% (10.73%) Delta Electronics 57,152 412 1.21 Globalwafers 28,000 532 1.56 Largan Precision 1,975 167 0.49 Taiwan Semiconductor Manufacturing 207,125 3,223 9.45 4,334 12.71

Turkey 0.45% (0.65%) Turkcell Iletisim Hizmetleri 100,912 154 0.45 154 0.45

325 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Emerging Markets Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % United States of America 2.88% (2.37%) EPAM Systems 3,678 983 2.88 983 2.88 Total Equities 33,811 99.14

Portfolio of investments 33,811 99.14 Net other assets 295 0.86 Net assets 34,106 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. Stocks shown as ADRs represent American Depositary Receipts.

326 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 97.81% (94.97%) Denmark 2.84% (4.95%) Coloplast 20,104 2,208 2.84 2,208 2.84

France 18.15% (10.48%) Dassault Systemes 20,807 3,105 4.00 Kering 8,436 3,844 4.95 L’Oreal 12,291 3,231 4.16 Sartorius Stedim Biotech 12,457 3,915 5.04 14,095 18.15

Germany 13.74% (9.91%) adidas 17,209 4,301 5.54 Infineon Technologies 143,133 4,467 5.75 Nemetschek 42,170 1,906 2.45 10,674 13.74

Ireland 6.73% (4.43%) Kerry 27,663 2,400 3.09 Kingspan 54,160 2,828 3.64 5,228 6.73

Israel 2.65% (2.43%) CyberArk Software 19,621 2,061 2.65 2,061 2.65

Italy 12.82% (13.48%) Ferrari 32,157 4,509 5.81 Moncler 122,177 5,441 7.01 9,950 12.82

Netherlands 9.06% (6.10%) ASML 16,817 6,794 8.75 JDE Peet’s 8,482 244 0.31 7,038 9.06

Poland 1.75% (0.00%) InPost 86,206 1,358 1.75 1,358 1.75

Spain 0.00% (3.23%)

Sweden 13.63% (18.28%) Assa Abloy 180,471 3,258 4.20 Atlas Copco 93,082 3,821 4.92 Hexagon 58,535 3,503 4.51 10,582 13.63

Switzerland 5.62% (13.53%) Partners 2,781 2,396 3.09 Temenos 20,234 1,961 2.53 4,357 5.62

327 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie European Unconstrained Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % United Kingdom 6.52% (4.18%) Linde 18,203 3,208 4.13 THG 262,637 1,860 2.39 5,068 6.52

United States of America 4.30% (3.97%) Mettler-Toledo International 4,189 3,343 4.30 3,343 4.30 Total Equities 75,962 97.81

Portfolio of investments 75,962 97.81 Net other assets 1,697 2.19 Net assets 77,659 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated.

328 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 97.98% (97.46%) Australia 2.83% (3.39%) CSL 12,643 1,838 2.83 1,838 2.83

Canada 0.00% (2.66%)

China 10.05% (0.00%) Alibaba ADR 10,745 1,827 2.81 Tencent 38,900 2,376 3.65 Wuxi Biologics Cayman 264,000 2,337 3.59 6,540 10.05

Denmark 2.87% (0.00%) Coloplast 16,972 1,864 2.87 1,864 2.87

France 6.10% (8.29%) Kering 3,747 1,708 2.63 L’Oreal 8,571 2,253 3.47 3,961 6.10

Germany 2.94% (3.37%) adidas 7,640 1,910 2.94 1,910 2.94

Hong Kong 3.24% (1.65%) AIA 235,600 2,108 3.24 2,108 3.24

Ireland 8.20% (0.00%) Accenture 7,201 1,292 1.99 Kerry 18,477 1,603 2.47 Kingspan 46,551 2,431 3.74 5,326 8.20

Israel 2.33% (0.00%) CyberArk Software 14,407 1,513 2.33 1,513 2.33

Italy 6.69% (0.00%) Ferrari 12,887 1,807 2.78 Moncler 57,116 2,544 3.91 4,351 6.69

Netherlands 0.00% (5.03%)

Singapore 0.00% (1.81%)

South Korea 0.00% (3.66%)

Sweden 10.03% (1.89%) Assa Abloy 100,746 1,819 2.80 Atlas Copco 65,825 2,702 4.16 Hexagon 33,377 1,997 3.07 6,518 10.03

329 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie Global Unconstrained Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Switzerland 0.00% (4.41%)

Taiwan 6.06% (3.52%) Taiwan Semiconductor Manufacturing 253,000 3,937 6.06 3,937 6.06

United Kingdom 4.23% (19.27%) Dr. Martens 120,600 595 0.91 Linde 12,362 2,160 3.32 2,755 4.23

United States of America 32.41% (38.51%) Adobe 5,801 1,906 2.93 ANSYS 8,505 2,074 3.19 Illumina 7,943 2,492 3.83 Masimo 15,151 2,715 4.18 Mastercard 9,084 2,297 3.53 Mettler-Toledo International 2,368 1,890 2.91 Microsoft 16,183 2,688 4.13 ResMed 15,957 2,200 3.38 Starbucks 17,121 1,322 2.03 Veeva Systems 7,442 1,496 2.30 21,080 32.41 Total Equities 63,701 97.98

Derivatives 0.00% ((0.35%)) US Dollar Derivatives 0.00% ((0.35%)) Options 0.00% ((0.35%))

Portfolio of investments 63,701 97.98 Net other assets 1,313 2.02 Net assets 65,014 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. Stocks shown as ADRs represent American Depositary Receipts.

330 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 98.86% (98.91%) United States of America 81.03% (76.93%) Apparel 4.83% (4.99%) NIKE 90,271 8,701 4.83 8,701 4.83

Biotechnology 4.08% (0.00%) Illumina 23,429 7,350 4.08 7,350 4.08

Chemicals 3.85% (3.52%) Ecolab 46,401 6,940 3.85 6,940 3.85

Commercial Services 0.00% (5.37%)

Computers 3.80% (2.71%) EPAM Systems 25,614 6,845 3.80 6,845 3.80

Cosmetics & Personal Care 7.25% (5.13%) Estee Lauder 63,983 13,075 7.25 13,075 7.25

Diversified Financial Services 9.07% (9.01%) Mastercard 47,258 11,951 6.63 Visa 28,992 4,404 2.44 16,355 9.07

Electronics 4.12% (6.52%) Mettler-Toledo International 9,316 7,435 4.12 7,435 4.12

Healthcare Products 13.97% (17.49%) Masimo 81,852 14,669 8.14 ResMed 76,243 10,512 5.83 25,181 13.97

Internet 4.44% (3.28%) Amazon.com 3,622 8,005 4.44 8,005 4.44

Pharmaceuticals 3.10% (3.27%) Zoetis 50,407 5,595 3.10 5,595 3.10

Retail 4.71% (4.18%) Starbucks 109,960 8,491 4.71 8,491 4.71

Software 17.81% (11.46%) Adobe 22,316 7,331 4.07 ANSYS 40,982 9,995 5.54 Microsoft 51,001 8,470 4.70 Veeva Systems 31,335 6,300 3.50 32,096 17.81

331 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Martin Currie US Unconstrained Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Canada 7.06% (6.75%) Software 3.42% (3.30%) Constellation Software 6,625 6,164 3.42 6,164 3.42

Transportation 3.64% (3.45%) Canadian National Railway 83,793 6,569 3.64 6,569 3.64

Ireland 4.13% (3.75%) Computers 4.13% (3.75%) Accenture 41,538 7,452 4.13 7,452 4.13

United Kingdom 4.01% (9.21%) Chemicals 4.01% (3.90%) Linde 41,320 7,219 4.01 7,219 4.01

Insurance 0.00% (5.31%)

Israel 2.63% (2.27%) Computers 2.63% (2.27%) CyberArk Software 45,059 4,732 2.63 4,732 2.63 Total Equities 178,205 98.86

Hedge Share Class Derivatives 0.00% (0.00%) Canadian Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy CAD820 for GBP461 Settlement 31/03/2021 – – ––

UK Sterling Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to sell CAD77,772 for GBP43,749 Settlement 31/03/2021 – – Forward to sell USD807,071 for GBP572,500 Settlement 31/03/2021 (5) – (5) –

US Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy USD8,495 for GBP6,040 Settlement 31/03/2021 – – –– Total Hedge Share Class Derivatives (5) –

Portfolio of investments 178,200 98.86 Net other assets 2,063 1.14 Net assets 180,263 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated.

332 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS Emerging Markets Equity Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 0.00% (0.00%) China 0.00% (0.00%) China Huishan Dairy+ 7,000 – – ––

Hong Kong 0.00% (0.00%) Hanergy Thin Film Power+ 32,000 – – –– Total Equities ––

Portfolio of investments –– Net other assets –– Net assets –– The investments have been valued in accordance with note 9 of the accounting policies. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. + Suspended.

333 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 99.29% (99.25%) Advertising 0.00% (0.98%)

Aerospace & Defence 3.38% (1.25%) BAE Systems 50,000 242 0.85 Ultra Electronics 37,551 718 2.53 960 3.38

Agriculture 5.14% (5.10%) British American Tobacco 30,000 745 2.63 Imperial Brands 53,300 710 2.51 1,455 5.14

Airlines 0.00% (1.02%)

Banks 3.66% (6.60%) HSBC 105,000 448 1.58 Lloyds Banking 1,077,282 420 1.48 Nova Ljubljanska Banka dd 15,000 125 0.44 Paragon Banking 10,000 45 0.16 1,038 3.66

Beverages 0.99% (5.75%) Diageo 10,000 281 0.99 281 0.99

Commercial Services 0.57% (1.14%) Intertek 3,000 161 0.57 161 0.57

Computers 2.12% (3.35%) Avast 130,000 600 2.12 600 2.12

Cosmetics & Personal Care 3.17% (2.91%) PZ Cussons 100,000 245 0.86 Unilever 17,516 654 2.31 899 3.17

Distribution & Wholesale 2.72% (1.16%) Bunzl 25,000 559 1.97 Inchcape 30,000 213 0.75 772 2.72

Diversified Financial Services 10.15% (9.43%) Close Brothers 10,000 156 0.55 CMC Markets 50,000 203 0.72 Hargreaves Lansdown 15,000 227 0.80 IG 111,200 866 3.06 IntegraFin 11,000 55 0.19 Man 100,000 150 0.53 PayPoint 14,000 82 0.29 Plus500 62,800 858 3.03 Rathbone Brothers 18,000 278 0.98 2,875 10.15

334 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Electricity 1.54% (0.28%) ContourGlobal 100,000 207 0.73 Drax 60,000 229 0.81 436 1.54

Electronics 0.80% (0.00%) 7,500 228 0.80 228 0.80

Engineering & Construction 0.82% (0.67%) Keller 30,000 233 0.82 233 0.82

Entertainment 0.00% (0.22%)

Environmental Control 1.79% (0.47%) Biffa 200,000 507 1.79 507 1.79

Food Producers 6.34% (3.12%) J Sainsbury 400,000 905 3.19 Tate & Lyle 123,012 892 3.15 1,797 6.34

Gas 0.00% (0.24%)

Hand & MachineTools 0.00% (0.17%)

Healthcare Products 1.00% (3.23%) ConvaTec 40,000 75 0.27 Smith & Nephew 15,000 208 0.73 283 1.00

Healthcare Services 0.39% (0.00%) 75,000 110 0.39 110 0.39

Home Builders 0.14% (0.00%) Cairn Homes 50,000 39 0.14 39 0.14

Insurance 5.89% (4.22%) Admiral 25,000 772 2.72 Direct Line Insurance 280,000 898 3.17 1,670 5.89

Internet 0.36% (0.38%) Moneysupermarket.com 35,000 102 0.36 102 0.36

Iron & Steel 4.34% (0.12%) Evraz 60,000 343 1.21 Ferrexpo 265,000 888 3.13 1,231 4.34

LeisureTime 0.00% (1.18%)

335 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Media 3.58% (0.78%) Daily Mail & General Trust 15,000 135 0.48 Reach 370,000 879 3.10 1,014 3.58

Mining 6.00% (8.97%) BHP 3,540 80 0.28 Centamin 595,000 601 2.12 Fresnillo 10,000 91 0.32 Rio Tinto 15,000 928 3.28 1,700 6.00

Oil & Gas Producers 6.08% (5.98%) BP 206,089 601 2.12 DCC 4,000 231 0.82 Diversified Gas & Oil 600,000 746 2.63 Royal Dutch Shell 10,000 144 0.51 1,722 6.08

Pharmaceuticals 5.02% (6.62%) GlaxoSmithKline 59,500 709 2.50 Hikma Pharmaceuticals 31,984 715 2.52 1,424 5.02

Real Estate Investment & Services 0.58% (4.30%) CLS 41,000 90 0.32 Empiric Student Property* 100,000 74 0.26 164 0.58

Real Estate InvestmentTrusts 5.90% (6.78%) * 753,189 807 2.85 Regional REIT* 492,883 376 1.33 Secure Income REIT* 100,000 323 1.14 Supermarket Income REIT* 150,000 163 0.58 1,669 5.90

Retail 6.21% (1.81%) B&M European Value Retail 158,500 866 3.06 138,000 175 0.62 Halfords 50,000 145 0.51 Kingfisher 150,000 398 1.40 45,000 177 0.62 1,761 6.21

Software 3.53% (2.98%) EMIS 71,318 747 2.64 Sage 45,000 251 0.89 998 3.53

Telecommunications 3.26% (1.37%) Spirent Communications 200,000 468 1.65 Vodafone 375,000 457 1.61 925 3.26

Toys, Games & Hobbies 0.61% (0.00%) 1,800 172 0.61 172 0.61

336 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF QS UK Equity Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Transportation 3.21% (6.67%) Go-Ahead 10,000 117 0.41 Royal Mail 175,000 792 2.80 909 3.21 Total Equities 28,135 99.29

Portfolio of investments 28,135 99.29 Net other assets 202 0.71 Net assets 28,337 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. * Real Estate Investment Trust

337 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 97.08% (96.78%) United States of America 87.63% (84.63%) Apparel 2.28% (1.52%) Wolverine World Wide 187,135 4,675 2.28 4,675 2.28

Automobile Parts & Equipment 5.33% (3.61%) Gentex 103,520 2,618 1.27 Meritor 204,298 4,435 2.16 Miller Industries 138,550 3,911 1.90 10,964 5.33

Biotechnology 0.00% (0.49%)

Building Materials 3.42% (4.71%) Gibraltar Industries 65,500 4,087 1.99 Patrick Industries 52,040 2,936 1.43 7,023 3.42

Chemicals 1.89% (1.78%) Quaker Chemical 19,200 3,880 1.89 3,880 1.89

Commercial Services 9.16% (6.06%) Cass Information Systems 61,600 1,898 0.92 Forrester Research 114,430 3,698 1.80 Heidrick & Struggles International 195,800 5,026 2.45 Korn Ferry 95,710 4,214 2.05 Vectrus 101,950 3,989 1.94 18,825 9.16

Computers 3.40% (3.32%) Insight Enterprises 86,550 5,169 2.52 MAXIMUS 31,150 1,809 0.88 6,978 3.40

Cosmetics & Personal Care 2.27% (1.77%) Inter Parfums 89,218 4,653 2.27 4,653 2.27

Distribution & Wholesale 0.00% (1.15%)

Diversified Financial Services 6.47% (4.91%) Air Lease 106,800 3,505 1.71 Artisan Partners Asset Management 52,660 1,789 0.87 GCM Grosvenor 158,600 1,411 0.69 Houlihan Lokey 67,592 3,073 1.50 Lazard 126,579 3,502 1.70 13,280 6.47

Electrical Components & Equipment 0.86% (1.20%) nLight 64,433 1,756 0.86 1,756 0.86

Electronics 6.55% (6.61%) Coherent 5,800 1,002 0.49 FARO Technologies 54,051 3,597 1.75 Kimball Electronics 203,929 3,425 1.67

338 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Vishay Intertechnology 195,500 3,338 1.63 Vishay Precision 89,650 2,075 1.01 13,437 6.55

Engineering & Construction 2.69% (4.27%) Arcosa 108,050 4,383 2.13 Comfort Systems USA 25,911 1,148 0.56 5,531 2.69

Food Producers 0.34% (1.31%) Tootsie Roll Industries 31,812 701 0.34 701 0.34

Hand & MachineTools 0.00% (2.35%)

Healthcare Products 3.84% (1.88%) Bio-Techne 14,270 3,686 1.79 Meridian Bioscience 199,300 3,005 1.46 Natus Medical 65,700 1,215 0.59 7,906 3.84

Home Builders 2.33% (1.66%) LCI Industries 26,364 2,653 1.29 Skyline Champion 67,700 2,142 1.04 4,795 2.33

Household Products 0.50% (0.00%) Central Garden & Pet 31,400 1,019 0.50 1,019 0.50

Insurance 2.45% (4.06%) FBL Financial 18,110 740 0.36 ProSight Global 128,975 1,166 0.57 RLI 41,833 3,122 1.52 5,028 2.45

Internet 1.02% (0.00%) ChannelAdvisor 130,000 2,097 1.02 2,097 1.02

LeisureTime 2.76% (2.29%) Johnson Outdoors 18,300 1,580 0.77 MasterCraft Boat 223,135 4,090 1.99 5,670 2.76

Lodging 1.45% (1.53%) Century Casinos 517,600 2,980 1.45 2,980 1.45

Machinery Diversified 4.29% (1.87%) Colfax 139,460 4,420 2.15 Kadant 35,300 4,393 2.14 8,813 4.29

339 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Metal & Hardware 1.07% (0.98%) Northwest Pipe 90,550 2,204 1.07 2,204 1.07

Miscellaneous Manufacturing 4.47% (2.73%) ESCO Technologies 57,710 4,362 2.12 John Bean Technologies 45,717 4,825 2.35 9,187 4.47

Office Furnishings 0.00% (1.63%)

Oil & Gas Services 0.00% (0.13%)

Packaging & Containers 0.56% (0.63%) UFP Technologies 32,290 1,144 0.56 1,144 0.56

Pharmaceuticals 0.51% (1.49%) Catalyst Pharmaceuticals 379,605 1,056 0.51 1,056 0.51

Private Equity 0.00% (2.51%)

Real Estate Investment & Services 3.33% (1.40%) Kennedy-Wilson 414,970 5,571 2.71 Marcus & Millichap 47,153 1,276 0.62 6,847 3.33

Retail 0.80% (3.22%) Regis 194,471 1,634 0.80 1,634 0.80

Semiconductors 6.53% (4.85%) CMC Materials 37,280 4,546 2.21 Cohu 55,000 1,705 0.83 MKS Instruments 43,661 5,141 2.50 Onto Innovation 45,468 2,031 0.99 13,423 6.53

Software 3.73% (3.42%) J2 Global 50,875 4,053 1.97 Simulations Plus 70,540 3,619 1.76 7,672 3.73

Textiles 0.56% (0.69%) UniFirst 6,620 1,148 0.56 1,148 0.56

Transportation 2.77% (2.60%) Landstar System 36,870 4,223 2.06 Saia 10,165 1,455 0.71 5,678 2.77

Canada 3.83% (5.81%) Building Materials 1.32% (1.20%) Stella-Jones 104,580 2,716 1.32 2,716 1.32

340 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Diversified Financial Services 0.45% (2.35%) Sagen MI Canada 37,790 924 0.45 924 0.45

Oil & Gas Services 2.06% (2.26%) Pason Systems 794,850 4,221 2.06 4,221 2.06

Singapore 2.35% (0.59%) Semiconductors 2.35% (0.59%) Kulicke & Soffa Industries 135,450 4,825 2.35 4,825 2.35

Israel 1.50% (1.40%) Semiconductors 1.50% (1.40%) Nova Measuring Instruments 51,380 3,087 1.50 3,087 1.50

Thailand 0.89% (0.75%) Miscellaneous Manufacturing 0.89% (0.75%) Fabrinet 29,050 1,835 0.89 1,835 0.89

Norway 0.88% (1.63%) Oil & Gas Services 0.88% (1.63%) TGS NOPEC Geophysical 160,665 1,812 0.88 1,812 0.88

Taiwan 0.00% (0.47%) Semiconductors 0.00% (0.47%)

Mexico 0.00% (1.50%) Food Producers 0.00% (1.50%) Total Equities 199,424 97.08

Collective Investment Schemes 1.81% (2.54%) iShares Russell 2000 Value ETF 34,400 3,730 1.81 Total Collective Investment Schemes 3,730 1.81

Hedge Share Class Derivatives 0.00% (0.00%) Canadian Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy CAD116 for GBP66 Settlement 31/03/2021 – – ––

Norwegian Krone Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy NOK4,550 for GBP377 Settlement 31/03/2021 – – ––

UK Sterling Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to sell CAD35,382 for GBP19,913 Settlement 31/03/2021 – – Forward to sell NOK59,907 for GBP5,006 Settlement 31/03/2021 – – Forward to sell USD699,608 for GBP496,145 Settlement 31/03/2021 (4) – (4) –

341 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Royce US Smaller Companies Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % US Dollar Derivatives 0.00% (0.00%) Hedge Forward Currency Contracts 0.00% (0.00%) Forward to buy USD2,143 for GBP1,537 Settlement 31/03/2021 – – –– Total Hedge Share Class Derivatives (4) –

Portfolio of investments 203,150 98.89 Net other assets 2,274 1.11 Net assets 205,424 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. Stocks shown as ETFs represent Exchange-Traded Funds..

342 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Equities 0.14% (0.12%) United States of America 0.14% (0.12%) Berry 33,973 121 0.08 Hercules Offshore+ 44,980 19 0.01 Southwestern Energy 25,075 72 0.05 212 0.14 Total Equities 212 0.14

Bonds 81.50% (85.70%) Argentine Peso Denominated 0.02% (0.85%) Argentina Treasury Bond BONCER 1% 05/08/2021 ARS 3,367,738 38 0.02 38 0.02

Australian Dollar Denominated 0.85% (0.00%) Australia Government Bond 1.75% 21/06/2051 AUD 3,000,000 1,322 0.85 1,322 0.85

Brazilian Real Denominated 0.47% (2.43%) Brazil Notas do Tesouro Nacional Serie F 10% 01/01/2027 BRL 5,204,000 730 0.47 730 0.47

Colombian Peso Denominated 0.02% (0.02%) Colombian TES 10% 24/07/2024 COP 124,200,000 29 0.02 29 0.02

Euro Denominated 5.29% (4.03%) Adevinta 3% 15/11/2027 EUR 100,000 89 0.06 Cheplapharm Arzneimittel 4.375% 15/01/2028 EUR 180,000 161 0.10 Cooperatieve Rabobank UA 6.625% Perpetual EUR 1,000,000 883 0.57 Egypt Government International Bond 6.375% 11/04/2031 EUR 550,000 497 0.32 Froneri International FRN TL 0.2625% 29/01/2027 EUR 310,000 268 0.17 Heimstaden 4.25% 09/03/2026 EUR 200,000 172 0.11 Holcim Finance Luxembourg 3% Perpetual EUR 370,000 331 0.21 Ineos Quattro FRN TL 0.00000% 21/01/2026 EUR 260,000 225 0.15 Intesa Sanpaolo 5.5% Perpetual EUR 1,100,000 1,013 0.65 IPD 3 5.5% 01/12/2025 EUR 100,000 90 0.06 Ivory Coast Government International Bond 5.25% 22/03/2030 EUR 480,000 440 0.28 LHC3 4.125% 15/08/2024 EUR 130,000 114 0.07 Loxam SAS 3.75% 15/07/2026 EUR 460,000 402 0.26 Maxeda DIY 5.875% 01/10/2026 EUR 370,000 330 0.21 Samhallsbyggnadsbolaget i Norden 2.624% Perpetual EUR 1,150,000 987 0.64 Telefonica Europe 2.376% Perpetual EUR 300,000 252 0.16 Tendam Brands SAU 5% 15/09/2024 EUR 220,000 177 0.11 Tendam Brands SAU 5.25% 15/09/2024 EUR 670,000 542 0.35 Teva Pharmaceutical Finance Netherlands II 6% 31/01/2025 EUR 720,000 679 0.44 Verisure Midholding 5.25% 15/02/2029 EUR 140,000 125 0.08 ZF Finance 2.75% 25/05/2027 EUR 100,000 88 0.06 ZF Finance 3% 21/09/2025 EUR 400,000 359 0.23 8,224 5.29

Indonesian Rupiah Denominated 3.74% (3.21%) Indonesia Treasury Bond 7% 15/05/2027 IDR 80,362,000,000 4,202 2.71 Indonesia Treasury Bond 8.25% 15/05/2029 IDR 28,944,000,000 1,601 1.03 5,803 3.74

Mexican Peso Denominated 2.18% (4.26%) Mexican Bonos 7.75% 13/11/2042 MXN 92,266,400 3,381 2.18 3,381 2.18

343 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % RenminbiYuan Denominated 1.04% (0.00%) China Government Bond 3.85% 12/12/2026 CNH 7,000,000 819 0.53 China Government Bond 4.29% 22/05/2029 CNH 6,500,000 791 0.51 1,610 1.04

Russian Ruble Denominated 1.07% (4.42%) Russian Federal Bond - OFZ 7.05% 19/01/2028 RUB 91,623,000 907 0.59 Russian Federal Bond - OFZ 7.25% 10/05/2034 RUB 74,952,000 737 0.48 1,644 1.07

South African Rand Denominated 1.68% (1.47%) Republic of South Africa Government Bond 6.5% 28/02/2041 ZAR 65,500,000 2,024 1.31 Republic of South Africa Government Bond 8.5% 31/01/2037 ZAR 14,189,000 565 0.37 2,589 1.68

UK Sterling Denominated 5.35% (2.26%) Aviva 6.125% Perpetual GBP 290,000 308 0.20 Barclays 1.7% 03/11/2026 GBP 180,000 183 0.12 Barclays 7.125% Perpetual GBP 290,000 323 0.21 Ford Motor Credit 2.748% 14/06/2024 GBP 310,000 313 0.20 Greene King Finance 2.12263% 15/03/2036 GBP 299,000 233 0.15 Marston’s Issuer 2.578% 16/07/2035 GBP 1,925,000 1,483 0.96 MPT Operating Partnership LP / MPT Finance 2.55% 05/12/2023 GBP 400,000 406 0.26 Orsted 2.5% 18/02/3021 GBP 110,000 109 0.07 Saga 3.375% 12/05/2024 GBP 380,000 347 0.22 Tesco Property Finance 6 5.4111% 13/07/2044 GBP 713,273 917 0.59 Travis Perkins 3.75% 17/02/2026 GBP 100,000 106 0.07 United Kingdom Gilt 3.75% 07/09/2021 GBP 3,310,000 3,373 2.17 Whitbread 2.375% 31/05/2027 GBP 110,000 108 0.07 Whitbread 3% 31/05/2031 GBP 100,000 98 0.06 8,307 5.35

US Dollar Denominated 59.79% (62.75%) 1011778 BC ULC FRN TL 1.8645% 19/11/2026 USD 504,952 357 0.23 3M 3.7% 15/04/2050 USD 230,000 185 0.12 AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.5% 15/09/2023 USD 160,000 124 0.08 Alternative Loan Trust 2005-77T1 22.44711% 25/02/2036 USD 1,170,793 913 0.59 Alterra Mountain FRN TL 2.8645% 31/07/2024 USD 296,183 210 0.14 Ambac Assurance 5.1% Perpetual USD 3,932 4 – Ambac LSNI 6% 12/02/2023 USD 14,402 10 0.01 American International 6.25% 15/03/2087 USD 293,000 233 0.15 Anglo American Capital 4.75% 10/04/2027 USD 200,000 167 0.11 Anheuser-Busch InBev Worldwide 4.35% 01/06/2040 USD 90,000 74 0.05 Anheuser-Busch InBev Worldwide 4.5% 01/06/2050 USD 150,000 122 0.08 Antero Midstream Partners LP / Antero Midstream Finance 5.375% 15/09/2024 USD 190,000 137 0.09 Antofagasta 2.375% 14/10/2030 USD 200,000 142 0.09 Aramark Services FRN TL 1.8645% 11/03/2025 USD 632,663 448 0.29 Ardagh Packaging Finance / Ardagh USA 5.25% 15/08/2027 USD 1,070,000 793 0.51 Argentine Republic Government International Bond 0.125% 09/07/2035 USD 1,474,612 337 0.22 Argentine Republic Government International Bond 0.125% 09/07/2030 USD 804,886 209 0.14 Argentine Republic Government International Bond 1% 09/07/2029 USD 134,854 24 0.02 Asurion FRN TL 3.1145% 03/11/2024 USD 195,458 139 0.09 Asurion FRN TL 3.1145% 03/11/2023 USD 107,365 77 0.05 Asurion FRN TL 3.3645% 18/12/2026 USD 60,000 43 0.03 Athenahealth FRN TL 4.7025% 11/02/2026 USD 306,106 221 0.14 AvayaFRNTL0.00000%15/12/2024 USD92,160 65 0.04 AvayaFRNTL0.00000%15/12/2027 USD108,837 78 0.05 Banco Mercantil del Norte SA/Grand Cayman 6.875% Perpetual USD 780,000 573 0.37 Bank of America 4.083% 20/03/2051 USD 70,000 57 0.04 Bausch Health Americas 9.25% 01/04/2026 USD 1,010,000 800 0.52

344 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Bausch Health Americas FRN TL 3.11763% 01/06/2025 USD 93,758 67 0.04 BBVA Bancomer Texas 5.125% 18/01/2033 USD 1,380,000 1,040 0.67 BNP Paribas 7% Perpetual USD 380,000 318 0.21 BNP Paribas 7.375% Perpetual USD 650,000 538 0.35 Boeing 3.75% 01/02/2050 USD 130,000 90 0.06 Boeing 4.875% 01/05/2025 USD 500,000 399 0.26 BP Capital Markets America 3.633% 06/04/2030 USD 100,000 80 0.05 Braskem America Finance 7.125% 22/07/2041 USD 1,720,000 1,396 0.90 Brightview Landscapes FRN TL 2.625% 15/08/2025 USD 477,750 341 0.22 Bristol-Myers Squibb 5% 15/08/2045 USD 167,000 158 0.10 British Telecommunications 9.625% 15/12/2030 USD 70,000 79 0.05 Caesars Resort Collection FRN TL 2.8645% 22/12/2024 USD 313,081 222 0.14 CCO / CCO Capital 4.5% 15/08/2030 USD 570,000 422 0.27 Centene 4.75% 15/01/2025 USD 550,000 403 0.26 Centene 5.375% 01/06/2026 USD 750,000 561 0.36 Change Healthcare FRN TL 3.5% 01/03/2024 USD 204,112 146 0.09 Charter Communications Opera FRN TL 1.88% 30/04/2025 USD 381,715 273 0.18 Charter Communications Operating / Charter Communications Operating Capital 3.5% 01/06/2041 USD 330,000 227 0.15 Cigna 4.8% 15/08/2038 USD 180,000 158 0.10 CIT 5% 15/08/2022 USD 1,161,000 876 0.57 Citigroup 6.125% 25/08/2036 USD 166,000 162 0.10 Citigroup 6.3% Perpetual USD 1,650,000 1,247 0.80 Coca-Cola 2.5% 15/03/2051 USD 60,000 39 0.02 Colombia Government International Bond 5.625% 26/02/2044 USD 540,000 445 0.29 Comcast 4.7% 15/10/2048 USD 990,000 884 0.57 Comcast 4.95% 15/10/2058 USD 400,000 384 0.25 ConocoPhillips 6.95% 15/04/2029 USD 40,000 39 0.02 Conseco Finance 7.75% 15/06/2027 USD 768,650 562 0.36 Continental Resources 4.9% 01/06/2044 USD 1,040,000 744 0.48 Credit Suisse 7.5% Perpetual USD 440,000 344 0.22 CSC FRN TL 2.61103% 15/04/2027 USD 415,800 296 0.19 CSMC Mortgage-Backed Trust Series 2006-1 29.87803% 25/02/2036 USD 390,448 408 0.26 CSMC Series 2015-2R 2.63118% 27/08/2036 USD 2,265,640 1,344 0.87 CWGS FRN TL 3.5% 08/11/2023 USD 79,585 57 0.04 DAE Funding 4.5% 01/08/2022 USD 10,000 7 – Dcert Buyer FRN TL 4.1145% 16/10/2026 USD 436,700 312 0.20 DCP Midstream Operating LP 6.45% 03/11/2036 USD 450,000 360 0.23 Deere & 3.75% 15/04/2050 USD 100,000 83 0.05 Delta Air Lines 2.9% 28/10/2024 USD 20,000 14 0.01 Delta Air Lines 7% 01/05/2025 USD 620,000 515 0.33 Delta Air Lines 7.375% 15/01/2026 USD 240,000 200 0.13 Delta Air Lines / SkyMiles IP 4.5% 20/10/2025 USD 550,000 419 0.27 Delta Air Lines / SkyMiles IP 4.75% 20/10/2028 USD 350,000 277 0.18 Delta Air Lines 2007-1 Class B Pass Through Trust 8.021% 10/02/2024 USD 67,252 48 0.03 DISH DBS 7.75% 01/07/2026 USD 1,700,000 1,338 0.86 Diversified Healthcare Trust 9.75% 15/06/2025 USD 670,000 540 0.35 DP World 5.625% 25/09/2048 USD 690,000 587 0.38 Egypt Government International Bond 3.875% 16/02/2026 USD 750,000 526 0.34 Energy Transfer Partners LP / Regency Energy Finance 4.5% 01/11/2023 USD 330,000 256 0.17 Energy Transfer Partners LP / Regency Energy Finance 5% 01/10/2022 USD 410,000 309 0.20 Energy Transfer Partners LP / Regency Energy Finance 5.875% 01/03/2022 USD 590,000 438 0.28 Entercom Media FRN TL 2.61795% 17/11/2024 USD 103,674 73 0.05 EOG Resources 4.375% 15/04/2030 USD 70,000 58 0.04 EOG Resources 4.95% 15/04/2050 USD 20,000 18 0.01 Exxon Mobil 3.452% 15/04/2051 USD 100,000 73 0.05 Exxon Mobil 4.327% 19/03/2050 USD 100,000 84 0.05 Fannie Mae Connecticut Avenue 2.26763% 25/10/2030 USD 411,671 295 0.19 Fannie Mae Connecticut Avenue 2.31763% 25/01/2030 USD 246,300 178 0.11 Fannie Mae Connecticut Avenue 3.66763% 25/07/2030 USD 420,000 302 0.19 First Quantum Minerals 6.875% 01/03/2026 USD 630,000 470 0.30 First Quantum Minerals 7.5% 01/04/2025 USD 490,000 362 0.23 Focus Financial Partners FRN TL 2.1145% 03/07/2024 USD 315,949 225 0.14 Ford Motor 8.5% 21/04/2023 USD 1,010,000 808 0.52

345 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Ford Motor Credit 3.815% 02/11/2027 USD 200,000 148 0.10 Four Seasons Hotels FRN TL 2.1145% 30/11/2023 USD 256,658 183 0.12 Freddie Mac Gold Pool 7% 01/03/2039 USD 11,001 9 0.01 Freddie Mac STACR Remic Trust 2020-DNA2 1.96763% 25/02/2050 USD 420,000 300 0.19 Freddie Mac STACR REMIC Trust 2020-DNA6 2.04467% 25/12/2050 USD 250,000 179 0.12 Freeport-McMoRan 5.45% 15/03/2043 USD 1,310,000 1,165 0.75 Garda World Security FRN TL 4.75% 30/10/2026 USD 336,662 241 0.16 GE Capital International Funding Unlimited 4.418% 15/11/2035 USD 1,400,000 1,135 0.73 General Dynamics 4.25% 01/04/2040 USD 30,000 26 0.02 General Dynamics 4.25% 01/04/2050 USD 250,000 220 0.14 General Electric 4.25% 01/05/2040 USD 130,000 102 0.07 General Electric 4.35% 01/05/2050 USD 110,000 86 0.06 General Electric 6.15% 07/08/2037 USD 180,000 170 0.11 General Electric 6.75% 15/03/2032 USD 25,000 24 0.02 General Electric 6.875% 10/01/2039 USD 794,000 804 0.52 General Motors 5.4% 02/10/2023 USD 260,000 207 0.13 Genesee & Wyoming FRN TL 2.25388% 30/12/2026 USD 198,500 142 0.09 Ghana Government International Bond 7.625% 16/05/2029 USD 560,000 418 0.27 Ginnie Mae II Pool 4.5% 20/08/2048 USD 150,184 117 0.08 Ginnie Mae II Pool 5% 20/01/2049 USD 106,398 83 0.05 Glencore Finance Canada 6% 15/11/2041 USD 1,070,000 964 0.62 Global Medical Response FRN TL 5.75% 24/09/2025 USD 756,009 541 0.35 Golden Nugget FRN TL 3.25% 04/10/2023 USD 100,373 71 0.05 Goldman Sachs Capital II 4% Perpetual USD 284,000 196 0.13 Grifols Worldwide Operations FRN TL 2.09025% 15/11/2027 USD 257,400 184 0.12 HCA 5.375% 01/02/2025 USD 10,000 8 – HCA 5.375% 01/09/2026 USD 10,000 8 – HCA 5.625% 01/09/2028 USD 700,000 583 0.38 HCA FRN TL 1.8645% 13/03/2025 USD 230,111 165 0.11 Hilton Worldwide Finance / Hilton Worldwide Finance 4.875% 01/04/2027 USD 830,000 617 0.40 Hilton Worldwide Finance FRN TL 1.86763% 21/06/2026 USD 812,130 579 0.37 Home Depot 3.3% 15/04/2040 USD 80,000 62 0.04 Home Depot 3.35% 15/04/2050 USD 220,000 166 0.11 Honduras Government International Bond 6.25% 19/01/2027 USD 720,000 581 0.38 HSBC 6.375% Perpetual USD 1,000,000 783 0.51 Hudbay Minerals 7.625% 15/01/2025 USD 540,000 402 0.26 Indonesia Government International Bond 4.625% 15/04/2043 USD 890,000 703 0.45 ING Groep 6.875% Perpetual USD 740,000 552 0.36 Israel Government International Bond 3.875% 03/07/2050 USD 350,000 280 0.18 Itau Unibanco SA/Cayman Island 6.125% Perpetual USD 1,040,000 747 0.48 J.P. Morgan Chase Commercial Mortgage Trust 2018-PHMZ 8.31965% 15/06/2035 USD 1,810,000 1,075 0.69 JP Morgan Chase Commercial Mortgage Trust 2007-CIBC19 5.89451% 12/02/2049 USD 164,598 57 0.04 JP Morgan Chase Commercial Mortgage Trust 2007-LDP12 6.6322% 15/02/2051 USD 11,511 8 0.01 JPMorgan Chase & 6.125% Perpetual USD 270,000 209 0.13 Kinder Morgan 7.75% 15/01/2032 USD 140,000 144 0.09 Kraft Heinz Foods 5.2% 15/07/2045 USD 260,000 223 0.14 Lamb Weston 4.875% 01/11/2026 USD 1,100,000 815 0.53 Legacy LifePoint Health 4.375% 15/02/2027 USD 190,000 135 0.09 Lehman Brothers Capital Trust VII 5.857% Perpetual† USD 125,000 – – Level 3 Financing FRN TL 1.8645% 01/03/2027 USD 391,300 278 0.18 LifePoint Health FRN TL 3.8645% 16/11/2025 USD 382,483 274 0.18 Match II 5% 15/12/2027 USD 840,000 630 0.41 McAfee FRN TL 3.8645% 29/09/2024 USD 329,190 236 0.15 McDonald’s 3.625% 01/09/2049 USD 40,000 30 0.02 McDonald’s 4.2% 01/04/2050 USD 260,000 216 0.14 MEG Energy 7.125% 01/02/2027 USD 1,300,000 982 0.63 MetLife 6.4% 15/12/2066 USD 210,000 190 0.12 Michaels Stores FRN TL 4.25% 16/09/2027 USD 638,902 457 0.29 Millicom International Cellular 5.125% 15/01/2028 USD 837,000 637 0.41 Morgan Stanley 5.597% 24/03/2051 USD 90,000 93 0.06 Morgan Stanley Mortgage Loan Trust 2005-2AR 0.61763% 25/04/2035 USD 1,706,858 1,111 0.72

346 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Mosaic Solar Loan Trust 2018-2-GS 4.2% 22/02/2044 USD 290,977 222 0.14 Motel 6 Trust 2017-MTL6 4.362% 15/08/2034 USD 537,640 386 0.25 MPT Operating Partnership LP / MPT Finance 4.625% 01/08/2029 USD 1,260,000 969 0.63 NCL 10.25% 01/02/2026 USD 440,000 366 0.24 Nexstar Broadcasting FRN TL 2.87288% 19/09/2026 USD 112,157 80 0.05 NGPL PipeCo 7.768% 15/12/2037 USD 760,000 725 0.47 Nigeria Government International Bond 7.625% 28/11/2047 USD 600,000 438 0.28 NIKE 3.375% 27/03/2050 USD 100,000 77 0.05 NVIDIA 3.5% 01/04/2050 USD 370,000 284 0.18 NVIDIA 3.7% 01/04/2060 USD 60,000 47 0.03 Occidental Petroleum 3.5% 15/08/2029 USD 310,000 212 0.14 Occidental Petroleum 7.875% 15/09/2031 USD 20,000 17 0.01 Open Text 3.875% 15/02/2028 USD 150,000 109 0.07 Open Text 4.125% 15/02/2030 USD 250,000 186 0.12 Option Care Health FRN TL 3.8645% 06/08/2026 USD 485,100 347 0.22 Orbia Advance 5.875% 17/09/2044 USD 990,000 841 0.54 Pampa Energia 7.5% 24/01/2027 USD 740,000 446 0.29 Panama Government International Bond 4.5% 01/04/2056 USD 350,000 276 0.18 Panther BF Aggregator 2 LP FRN TL 3.6145% 30/04/2026 USD 475,125 340 0.22 Park Aerospace 5.25% 15/08/2022 USD 27,000 20 0.01 Park Aerospace 5.5% 15/02/2024 USD 1,070,000 832 0.54 Peruvian Government International Bond 2.392% 23/01/2026 USD 440,000 328 0.21 Petco Animal Supplies FRN TL 4.25% 26/01/2023 USD 805,585 575 0.37 Petrobras Global Finance 6.25% 17/03/2024 USD 1,263,000 1,021 0.66 Petroleos del Peru 5.625% 19/06/2047 USD 340,000 269 0.17 Prime Security FRN TL 3.5% 23/09/2026 USD 276,974 198 0.13 Prosus 4.85% 06/07/2027 USD 720,000 583 0.38 Provincia de Buenos Aires/Government Bonds 7.875% 15/06/2027 USD 1,790,000 422 0.27 Qatar Government International Bond 4.4% 16/04/2050 USD 330,000 276 0.18 Radiology Partners 9.25% 01/02/2028 USD 370,000 289 0.19 Raytheon Technologies 5.4% 01/05/2035 USD 35,000 33 0.02 Republic of South Africa Government International Bond 5.75% 30/09/2049 USD 1,240,000 814 0.53 Reynolds FRN TL 2.8645% 05/02/2023 USD 31,284 22 0.01 Reynolds Consumer Products FRN TL 1.8645% 30/01/2027 USD 57,196 41 0.03 Sands China 4.6% 08/08/2023 USD 280,000 215 0.14 Scientific Games Internation FRN TL 2.8645% 14/08/2024 USD 315,381 222 0.14 Sedgwick Claims Management FRN TL 3.36449% 31/12/2025 USD 483,829 343 0.22 Shell International Finance 2.75% 06/04/2030 USD 80,000 60 0.04 Shell International Finance 3.25% 06/04/2050 USD 170,000 121 0.08 Sotera Heath FRN TL 3.25% 13/12/2026 USD 540,000 386 0.25 Southern Copper 5.25% 08/11/2042 USD 1,150,000 1,023 0.66 Sprint Capital 8.75% 15/03/2032 USD 1,403,000 1,493 0.96 Suzano Austria 3.75% 15/01/2031 USD 1,060,000 801 0.52 Svenska Handelsbanken 4.75% Perpetual USD 200,000 153 0.10 Targa Resources Partners LP / Targa Resources Partners Finance 5.5% 01/03/2030 USD 470,000 359 0.23 Teva Pharmaceutical Finance Netherlands III 3.15% 01/10/2026 USD 650,000 436 0.28 T-Mobile USA 3.875% 15/04/2030 USD 310,000 243 0.16 Trans Union FRN TL 1.8645% 13/11/2026 USD 207,817 149 0.10 Transcontinental Gas Pipe Line 3.25% 15/05/2030 USD 120,000 91 0.06 Trivium Packaging Finance 5.5% 15/08/2026 USD 680,000 509 0.33 Turkey Government International Bond 4.75% 26/01/2026 USD 760,000 548 0.35 UBS 7% Perpetual USD 1,150,000 900 0.58 UFC FRN TL 3.75% 29/04/2026 USD 138,196 99 0.06 Ultrapar International 5.25% 06/10/2026 USD 1,090,000 851 0.55 UniCredit 5.459% 30/06/2035 USD 530,000 408 0.26 United Rentals North America 3.875% 15/11/2027 USD 850,000 634 0.41 United Rentals North America 4.875% 15/01/2028 USD 890,000 675 0.44 United Rentals North America 5.5% 15/05/2027 USD 560,000 424 0.27 United States Treasury Note 0.125% 30/06/2022 USD 690,000 494 0.32 United States Treasury Note 0.875% 15/11/2030 USD 5,640,000 3,843 2.48 United States Treasury Note 1.25% 15/05/2050 USD 100,000 57 0.04 United States Treasury Note 1.375% 15/08/2050 USD 500,000 296 0.19 United States Treasury Note 1.5% 15/08/2026 USD 490,000 363 0.23

347 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % United States Treasury Note 1.625% 15/02/2026 USD 700,000 523 0.34 United States Treasury Note 1.875% 31/01/2022 USD 800,000 581 0.38 United States Treasury Note 2% 31/10/2022 USD 465,000 343 0.22 United States Treasury Note 2% 15/11/2026 USD 1,130,000 858 0.55 United States Treasury Note 2.25% 15/02/2027 USD 610,000 470 0.30 United States Treasury Note 2.875% 15/05/2049 USD 210,000 172 0.11 United States Treasury Note 3% 15/05/2045 USD 1,270,000 1,060 0.68 United States Treasury Note 3% 15/11/2045 USD 1,654,000 1,382 0.89 United States Treasury Note 3% 15/02/2049 USD 300,000 254 0.16 United States Treasury Note 3.125% 15/05/2048 USD 80,000 69 0.04 United States Treasury Note 3.375% 15/11/2048 USD 120,000 108 0.07 Univision Communications FRN TL 4.74999% 24/03/2026 USD 448,219 322 0.21 UPC 5.5% 15/01/2028 USD 740,000 544 0.35 Vale Overseas 6.25% 10/08/2026 USD 1,160,000 1,001 0.65 Verizon Communications 4% 22/03/2050 USD 280,000 217 0.14 VICI Properties LP / VICI Note 4.625% 01/12/2029 USD 570,000 428 0.28 Virgin Media Bristol FRN TL 2.61225% 31/01/2028 USD 400,000 285 0.18 Virgin Media Secured Finance 5.5% 15/08/2026 USD 330,000 246 0.16 Visa 2.7% 15/04/2040 USD 80,000 58 0.04 VOC Escrow 5% 15/02/2028 USD 780,000 551 0.36 Wells Fargo & 5.013% 04/04/2051 USD 300,000 283 0.18 Whatabrands FRN TL 2.86225% 03/08/2026 USD 153,538 110 0.07 Williams Cos 5.75% 24/06/2044 USD 700,000 621 0.40 WPX Energy 5.25% 15/10/2027 USD 380,000 290 0.19 WPX Energy 5.875% 15/06/2028 USD 110,000 86 0.06 Wynn Resorts Finance FRN TL 1.87% 20/09/2024 USD 609,375 420 0.27 XPO Logistics 6.125% 01/09/2023 USD 820,000 596 0.38 ZF North America Capital 4.5% 29/04/2022 USD 338,000 248 0.16 92,630 59.79 Total Bonds 126,307 81.50

Collective Investment Schemes 9.23% (9.77%) Legg Mason Global Funds - Western Asset Emerging Markets Corporate Bond Fund^ 53,275 3,941 2.54 Legg Mason Global Funds - Western Asset Euro High Yield Fund^ 53,970 8,653 5.59 Legg Mason Qualified Investors (II) - Western Asset European Loan Fund^ 18,716 1,709 1.10 Total Collective Investment Schemes 14,303 9.23

Derivatives 1.44% ((1.30%)) Brazilian Real Derivatives (0.13%) ((0.06%)) Forward Currency Contracts (0.13%) ((0.06%)) Forward to sell USD4,412,011 for BRL23,685,000 Settlement 4/03/2021 (116) (0.07) Forward to sell USD4,366,864 for BRL23,685,000 Settlement 10/06/2021 (97) (0.06) (213) (0.13)

Euro Derivatives 0.02% ((0.65%)) Credit Default Swaps 0.00% ((0.55%))

Forward Currency Contracts (0.01%) (0.00%) Forward to buy EUR3,200,000 for GBP2,796,934 Settlement 18/05/2021 (15) (0.01) (15) (0.01)

Futures 0.03% ((0.10%)) Euro-Bund Futures June 2021 (28) (4) – Euro-Bund Futures March 2021 (15) 48 0.03 44 0.03

348 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Indonesian Rupiah Derivatives (0.01%) (0.00%) Forward Currency Contracts (0.01%) (0.00%) Forward to sell USD2,733,247 for IDR38,676,324,000 Settlement 4/03/2021 (14) (0.01) (14) (0.01)

JapaneseYen Derivatives (0.01%) (0.03%) Forward Currency Contracts (0.01%) (0.03%) Forward to buy JPY53,921,000 for GBP373,026 Settlement 18/05/2021 (11) (0.01) (11) (0.01)

Mexican Peso Derivatives (0.08%) ((0.05%)) Forward Currency Contracts (0.08%) ((0.05%)) Forward to buy MXN77,290,195 for GBP2,752,245 Settlement 18/05/2021 (131) (0.08) (131) (0.08)

Russian Ruble Derivatives 0.02% (0.00%) Forward Currency Contracts 0.02% (0.00%) Forward to sell USD2,138,396 for RUB164,000,000 Settlement 4/03/2021 44 0.03 Forward to sell USD2,199,571 for RUB164,000,000 Settlement 10/06/2021 (18) (0.01) 26 0.02

Turkish Lira Derivatives (0.02%) (0.00%) Forward Currency Contracts (0.02%) (0.00%) Forward to sell USD1,051,264 for TRY7,770,000 Settlement 18/05/2021 (29) (0.02) (29) (0.02)

UK Sterling Derivatives 1.49% ((0.47%)) Forward Currency Contracts 1.52% ((0.47%)) Forward to sell AUD3,000,000 for GBP1,677,708 Settlement 18/05/2021 17 0.01 Forward to sell EUR23,660,246 for GBP20,796,033 Settlement 18/05/2021 225 0.14 Forward to sell MXN74,563,767 for GBP2,667,322 Settlement 18/05/2021 138 0.09 Forward to sell SGD5,740,000 for GBP3,131,957 Settlement 18/05/2021 46 0.03 Forward to sell USD143,933,251 for GBP104,765,264 Settlement 18/05/2021 1,852 1.20 Forward to sell ZAR55,735,000 for GBP2,686,870 Settlement 18/05/2021 82 0.05 2,360 1.52

Futures (0.03%) (0.00%) Long Gilt Futures June 2021 37 (43) (0.03) (43) (0.03)

US Dollar Derivatives 0.16% ((0.10%)) Credit Default Swaps 0.00% ((0.17%))

Forward Currency Contracts 0.08% (0.27%) Forward to buy USD800,000 for GBP580,698 Settlement 18/05/2021 (9) (0.01) Forward to buy USD500,000 for GBP353,655 Settlement 9/03/2021 4 – Forward to sell BRL23,685,000 for USD4,383,676 Settlement 4/03/2021 96 0.06 Forward to sell IDR38,676,324,000 for USD2,704,972 Settlement 4/03/2021 (6) – Forward to sell IDR38,676,324,000 for USD2,698,307 Settlement 10/06/2021 36 0.02 Forward to sell RUB164,000,000 for USD2,223,171 Settlement 4/03/2021 17 0.01 138 0.08

Futures 0.08% ((0.20%)) 90-Day Euro$ Futures December 2021 (88) – – 90-Day Euro$ Futures December 2023 88 (70) (0.04) US 10 Year Note (CBT) Futures June 2021 (160) 224 0.15 US 5 Year Note (CBT) Futures June 2021 (30) 18 0.01

349 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Global Multi Strategy Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % US Long Bond (CBT) Futures June 2021 24 (59) (0.04) US Ultra Bond (CBT) Futures June 2021 (4) 7 – 120 0.08

Options 0.00% (0.00%) USD Call / AUD Put 0.76 6,570,000 – – –– Total Derivatives 2,232 1.44

Portfolio of investments 143,054 92.31 Net other assets 11,912 7.69 Net assets 154,966 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are corporate bonds/ordinary shares unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. + Fair value priced. † Defaulted bonds. ^ A related party to the Fund.

350 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund

Portfolio Statement As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Bonds 84.56% (85.57%) Euro Denominated 5.44% (3.17%) JPMorgan Chase 1.638% 18/05/2028 EUR 220,000 205 1.68 Petrobras Global Finance 4.75% 14/01/2025 EUR 100,000 97 0.80 Samhallsbyggnadsbolaget i Norden 2.624% Perpetual EUR 100,000 86 0.71 Smurfit Kappa Treasury 1.5% 15/09/2027 EUR 100,000 91 0.75 Telecom Italia 3% 30/09/2025 EUR 100,000 93 0.76 ZF Finance 3% 21/09/2025 EUR 100,000 90 0.74 662 5.44

UK Sterling Denominated 48.32% (45.97%) Anglo American Capital 3.375% 11/03/2029 GBP 110,000 119 0.98 Barclays 3.25% 12/02/2027 GBP 140,000 152 1.25 BMW International Investment 1.25% 11/07/2022 GBP 100,000 101 0.83 Citigroup 5.15% 21/05/2026 GBP 180,000 215 1.76 Close Brothers Finance 3.875% 27/06/2021 GBP 130,000 131 1.07 Co-operative 2011 7.5% 08/07/2026 GBP 100,000 121 0.99 CPUK Finance 3.588% 28/02/2042 GBP 180,000 191 1.57 Danske Bank 2.25% 14/01/2028 GBP 100,000 102 0.84 E.ON International Finance 5.625% 06/12/2023 GBP 100,000 113 0.93 Eastern Power Networks 4.75% 30/09/2021 GBP 130,000 133 1.09 Engie 7% 30/10/2028 GBP 100,000 141 1.16 GlaxoSmithKline Capital 3.375% 20/12/2027 GBP 100,000 114 0.93 Goldman Sachs 7.25% 10/04/2028 GBP 90,000 124 1.02 HSBC 2.625% 16/08/2028 GBP 170,000 181 1.48 Imperial Brands Finance 8.125% 15/03/2024 GBP 110,000 133 1.09 Land Capital Markets 2.375% 29/03/2029 GBP 117,000 122 1.00 Logicor Financing Sarl 2.75% 15/01/2030 GBP 120,000 125 1.02 MPT Operating Partnership LP / MPT Finance 3.692% 05/06/2028 GBP 100,000 106 0.87 Nationwide Building Society 3.25% 20/01/2028 GBP 100,000 113 0.93 Sky 6% 21/05/2027 GBP 100,000 128 1.05 Tesco Property Finance 6 5.4111% 13/07/2044 GBP 131,392 169 1.39 United Kingdom Gilt 0.375% 22/10/2030 GBP 250,000 239 1.96 United Kingdom Gilt 0.875% 22/10/2029 GBP 240,000 242 1.98 United Kingdom Gilt 1.25% 22/07/2027 GBP 190,000 198 1.62 United Kingdom Gilt 1.5% 22/07/2026 GBP 220,000 232 1.90 United Kingdom Gilt 1.625% 22/10/2028 GBP 230,000 247 2.03 United Kingdom Gilt 1.75% 07/09/2022 GBP 235,000 241 1.98 United Kingdom Gilt 2% 07/09/2025 GBP 220,000 237 1.94 United Kingdom Gilt 2.25% 07/09/2023 GBP 220,000 232 1.90 United Kingdom Gilt 2.75% 07/09/2024 GBP 210,000 229 1.88 United Kingdom Gilt 3.75% 07/09/2021 GBP 215,000 219 1.80 Virgin Media Secured Finance 5.25% 15/05/2029 GBP 100,000 107 0.88 Vmed O2 UK Financing I 4% 31/01/2029 GBP 100,000 101 0.83 Volkswagen Financial Services 1.625% 09/06/2022 GBP 100,000 101 0.83 Wells Fargo & 2.125% 20/12/2023 GBP 150,000 155 1.27 Wm Morrison Supermarkets 4.625% 08/12/2023 GBP 100,000 110 0.90 Yorkshire Building Society 3.5% 21/04/2026 GBP 150,000 167 1.37 5,891 48.32

US Dollar Denominated 30.80% (36.43%) 1011778 BC / New Red Finance 3.875% 15/01/2028 USD 60,000 44 0.36 Ally Financial 8% 01/11/2031 USD 100,000 102 0.84 American Axle & Manufacturing 6.25% 01/04/2025 USD 60,000 44 0.36 Anheuser-Busch 3.65% 01/02/2026 USD 80,000 63 0.52 Bank of America 3.004% 20/12/2023 USD 325,000 243 1.99 Bausch Health Cos 6.125% 15/04/2025 USD 130,000 95 0.78 BNP Paribas 3.25% 03/03/2023 USD 350,000 265 2.17 Centene 4.625% 15/12/2029 USD 70,000 54 0.44 CIT 5% 01/08/2023 USD 100,000 78 0.64 Constellation Brands 4.75% 15/11/2024 USD 90,000 73 0.60 Continental Resources 4.5% 15/04/2023 USD 60,000 44 0.36

351 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % Credit Suisse 3.625% 09/09/2024 USD 350,000 275 2.26 DAE Funding 5% 01/08/2024 USD 70,000 52 0.43 Delta Air Lines 3.4% 19/04/2021 USD 90,000 65 0.53 Delta Air Lines 7% 01/05/2025 USD 90,000 75 0.61 Delta Air Lines 7.375% 15/01/2026 USD 20,000 17 0.14 DISH DBS 5.875% 15/11/2024 USD 90,000 67 0.55 EQT 7.625% 01/02/2025 USD 80,000 66 0.54 ESH Hospitality 4.625% 01/10/2027 USD 60,000 44 0.36 Freeport-McMoRan 5.45% 15/03/2043 USD 110,000 98 0.80 Gilead Sciences 3.65% 01/03/2026 USD 20,000 16 0.13 GLP Capital LP / GLP Financing II 5.375% 15/04/2026 USD 130,000 107 0.88 HCA 4.5% 15/02/2027 USD 30,000 24 0.20 HCA 5.625% 01/09/2028 USD 90,000 75 0.61 International Lease Finance 5.875% 15/08/2022 USD 100,000 77 0.63 Kraft Heinz Foods 5.2% 15/07/2045 USD 70,000 60 0.49 Lamb Weston 4.875% 01/11/2026 USD 80,000 59 0.48 Levi Strauss & 5% 01/05/2025 USD 70,000 51 0.42 McDonald’s 2.625% 15/01/2022 USD 190,000 139 1.14 MGM Resorts International 6% 15/03/2023 USD 100,000 76 0.62 MPLX 4.875% 01/06/2025 USD 180,000 146 1.20 MPT Operating Partnership LP / MPT Finance 5% 15/10/2027 USD 70,000 53 0.43 Netflix 5.875% 15/02/2025 USD 100,000 82 0.67 Park Aerospace 5.5% 15/02/2024 USD 80,000 62 0.51 Range Resources 4.875% 15/05/2025 USD 100,000 71 0.58 Sensata Technologies 4.375% 15/02/2030 USD 60,000 46 0.38 Spectrum Brands 5.75% 15/07/2025 USD 100,000 74 0.61 Sprint 7.875% 15/09/2023 USD 60,000 49 0.40 Targa Resources Partners LP / Targa Resources Partners Finance 5% 15/01/2028 USD 140,000 104 0.85 Teva Pharmaceutical Finance Netherlands III 2.8% 21/07/2023 USD 150,000 105 0.86 UBS 4.125% 24/09/2025 USD 270,000 217 1.78 United Rentals North America 5.25% 15/01/2030 USD 110,000 87 0.71 Western Midstream Operating LP 6.5% 01/02/2050 USD 40,000 33 0.27 WPX Energy 8.25% 01/08/2023 USD 100,000 82 0.67 3,759 30.80 Total Bonds 10,312 84.56

Collective Investment Schemes 9.68% (9.14%) Legg Mason Global Funds - Western Asset US High Yield Fund+ 18,406 1,180 9.68 Total Collective Investment Schemes 1,180 9.68

Derivatives 0.75% ((0.34%)) UK Sterling Derivatives 0.75% ((0.35%)) Forward Currency Contracts 0.75% ((0.35%)) Forward to sell EUR794,910 for GBP698,714 Settlement 18/05/2021 7 0.06 Forward to sell USD7,132,491 for GBP5,184,503 Settlement 18/05/2021 85 0.69 92 0.75

352 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Legg Mason IF Western Asset Retirement Income Bond Fund (continued)

Portfolio Statement (continued) As at 28 February 2021

Percentage of total Holdings Market net or Nominal value assets Investments Value £’000 % US Dollar Derivatives 0.00% (0.01%) Forward Currency Contracts 0.00% (0.01%) Forward to buy USD40,000 for GBP28,573 Settlement 18/05/2021 – – –– Total Derivatives 92 0.75

Portfolio of investments 11,584 94.99 Net other assets 611 5.01 Net assets 12,195 100.00 The investments have been valued in accordance with note 9 of the accounting policies. All investments are corporate bonds unless otherwise stated and admitted to official stock exchange listings. Comparative figures shown in brackets relate to 29 February 2020. Following a change to the reporting methodology comparative figures have been restated. + A related party to the Fund.

353 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Investor Information

Annual Report and Audited Financial Statements The annual reports of the Company will be published on or before 30 June and half yearly reports will be published on or before 31 October. Following the removal of the requirement in the FCA COLL Collective Investment Schemes Handbook to produce short reports, the ACD no longer produces short reports for half yearly and annual accounting periods. A Fund Booklet is enclosed with the shareholder statements. This is sent twice a year and includes accounting information on the funds. Copies of the long form reports may be obtained from the ACD on written request, our website www.leggmason.co.uk or inspected at the ACD’s offices at 201 Bishopsgate, London EC2M 3AB during office hours.

Report and accounts Please refer to the Key Investor Information Document and Full Prospectus which is available from the ACD on request for a full description of the risks involved when investing in sub-funds.

Assessment of Value The UK Financial Conduct Authority (“FCA”) has recently introduced rules that require authorised fund managers (“AFMs”) to assess the overall value that their authorised funds deliver to investors and to publish a summary of these assessments annually. Legg Mason Investment Funds Limited most recent assessment for all funds and a summary of the findings will be available on our website no later than 29 June 2021.

Remuneration Policy 1. Remuneration Policy 1.1. Introduction and Purpose The Company has adopted this remuneration policy in order to meet the remuneration requirements of Directive 2014/91/EU (the “UCITS V Directive”) in a way and to the extent that is appropriate to the Company’s size, internal organisation and the nature, scope and complexity of its activities. This policy has also been adopted to comply with ESMA’s Guidelines on Sound Remuneration Policies under the UCITS V Directive (the “ESMA Remuneration Guidelines”) and Chapter 19E of the FCA’s Senior Management Arrangements, Systems and Controls Sourcebook (the “UCITS Remuneration Code”). The UCITS V Remuneration Code applies to a UK management company (“ManCo”) in relation to remuneration paid to the extent that it is paid, provided or awarded in connection with employment by a ManCo. “Remuneration” includes payments made by a seconding organisation not subject to the UCITS V Remuneration Code to a secondee in relation to their employment by a ManCo that is subject to the Code. Certain aspects of the UCITS V Remuneration Code only apply to the remuneration policies and practices for Code Staff (see below). Other aspects of the UCITS Remuneration Code apply to ManCos generally, such as ensuring its remuneration policy avoids conflicts of interest. The purpose of this policy is to describe the remuneration principles and practices within the Company. Such principles and practices are designed: (a) to be consistent with, and promote, sound and effective risk management; (b) to be in line with the business strategy, objectives, values and interests of the Company; (c) not to encourage excessive risk-taking that is inconsistent with the investment policy of the relevant sub-funds of the Company (each, a “Fund”); (d) to provide a framework for remuneration to attract, motivate and retain staff to which the policy applies in order to achieve the objectives of the Company; and (e) to ensure that any relevant conflicts of interest can be managed appropriately at all times.

354 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Investor Information (continued)

1.2. Application This policy applies to staff whose professional activities have a material impact on the risk profile of the Company or of the Funds and so covers: (i) senior management; (ii) risk takersi; (iii) control functionsii; and (iv) any employees receiving total remuneration that takes them into the same remuneration bracketiii as senior management and risk takers, whose professional activities have a material impact on the risk profile of the Company.The Company currently does not have any employees – the only personnel are the Company’s management body (i.e., the board of directors) (each, a “Director” and collectively, the “Board”). All members of the Board are non-executive Directors. Certain of the Directors are affiliated with the investment manager of the Funds (the “Investment Manager”). This policy applies both to the Directors who receive remuneration – namely, those Directors who are not affiliated with the Investment Manager (the “Independent Directors”) – and the Directors who do not receive remuneration in light of their affiliation with the Investment Manager.

1.3. Governance UCITS management companies and self-managed investment companies that are significant in terms of their size or of the size of the funds they manage, their internal organisation and the nature, the scope and the complexity of their activities are required to establish a remuneration committee. In view of the non-complex nature of the Company’s internal structure and its activities, it is not considered necessary for the Company to establish a remuneration committee. In particular, the Company has taken account of the following circumstances prevailing as of the date of this document: • the assets under management of the Company; • the number of directors on the Board; • the Company has no employees; and • the Company does not act as an alternative investment fund manager under Directive 2011/61/EU (“AIFMD”) or provide the services mentioned under Article 6(3) of the UCITS Directive. Accordingly, the Company is considered to be a non-complex, self-managed investment company.The Board is responsible for the remuneration policy of the Company and for determining the remuneration of the directors of the Company. The Board is comprised of non-executive directors only. The Board has adopted this policy and periodically reviews (at least annually) the general principles of this policy and is responsible for, and oversees, its implementation in line with the UCITS Regulations.The Board considers that its members have appropriate expertise in risk management and remuneration to perform this review. Where a periodic review reveals that the remuneration system does not operate as intended or prescribed, the Board shall ensure that a timely remedial plan is put in place.

1.4. Alignment of remuneration and risk-taking (a) Fixed Salary The Independent Directors receive a fixed annual fee which is competitive and based on the individual Director’s powers, tasks, expertise and responsibilities including, without limitation: (i) Nature and complexity of the funds; (ii) demands of fulfilling regulatory obligations; and (iii) designated person functions. Each Director’s performance is subject to annual review by the Board.

(b) Variable Salary The Directors receive fixed remuneration only. It is not considered appropriate that the Directors receive variable remuneration from the Company. The following pay-out process rules in the UCITS Regulations applicable to variable remuneration do not apply to the remuneration paid to staff of the Company: • variable remuneration in instruments; • retention; • deferral; • ex post incorporation of risk for variable remuneration. Following an assessment by the Company of each of the pay-out process rules in the [UCITS V Directive] and taking account of the Company’s specific circumstances, the approach set out here is considered to be appropriate to Company’s size, internal organisation and the nature, scope and complexity of its activities as noted in Section 1.3.

i The Remuneration Guidelines refer in this context to “staff ii “Control functions” refers to staff (other than senior responsible for heading the investment management, management) responsible for risk management, compliance, administration, marketing, human resources” and “staff internal audit and similar functions within a management members, whose professional activities – either individually or company. collectively, as members of a group (e.g. a unit or part of a iii “Remuneration bracket” refers to the range of the total department) – can exert material influence on the management remuneration of each of the staff members in the senior company’s risk profile or on a UCITS it manages, including manager and risk taker categories – from the highest paid to persons capable of entering into contracts/positions and taking the lowest paid in these categories. decisions that materially affect the risk positions of the management company or of a UCITS it manages. Such staff can include, for instance, sales persons, individual traders and specific trading desks.” 355 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Investor Information (continued)

(c) Expenses The Independent Directors will be reimbursed all reasonable, validly incurred, duly authorised and documented business expenses.

(d) Other Benefits The Company does not propose to provide benefits to the Directors other than those referred to in this policy.

(e) Pension The Directors are not entitled to pension contributions or other benefits from the Company in respect of their role as Directors.

(f) Notice of termination and severance pay The maximum notice period in any Director’s letter of engagement shall be determined by the relevant letter of engagement. Subject to the terms of that engagement letter, a Director’s fee will continue to be paid during the relevant notice period. No severance payments are made.

(g) Conflicts of Interest To the extent that the Company in the future retains any staff engaged in control functions (i.e., staff (other than senior management) responsible for risk management, compliance, internal audit and similar functions), in order to address any conflict of interest such staff shall be compensated in accordance with the achievement of the objectives linked to their control functions, independent of the performance of the business area to which the control functions relate. A Director of the Company is also the Compliance Officer of the Company. However, in light of the Compliance Officer’s affiliation with the Investment Manager, the Compliance Officer does not receive a fee for this role either. A Director may undertake external activities with or without compensation and/or inducements that might lead to a conflict of interest with the Company or the Funds provided the conflict of interest is considered and disclosed in accordance with the terms of the Director’s letter of appointment and the UCITS Regulations. Any staff that may be engaged by the Company are required to undertake not to use personal hedging strategies or remuneration- and liability-related insurance to undermine the risk alignment effects embedded in their remuneration arrangements subject to this policy. The Company has also adopted a connected party transaction policy in accordance with the requirements of the Financial Conduct Authority.

2. Deviation from the Policy The Board may deviate from this policy. However, in such a case, the relevant payments must comply with the UCITS Regulations and the ESMA Guidelines (to the extent applicable) and in addition, the Board shall approve any payments made and shall document the deviation and the rationale for it.

Remuneration Disclosure Staff £’000 Fixed remuneration 6,851 Variable remuneration 3,178 Total remuneration 10,029 Number of beneficiaries 10

356 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Investment Funds Information

Company Authorisation Legg Mason Funds ICVC Legg Mason Investment Funds Limited 201 Bishopsgate Authorised and Regulated by the Financial Conduct Authority London Legg Mason Funds ICVC EC2M 3AB Registered in England No. IC000247 Tel: 020 7392 1929 Fax: 020 7070 7505 Depositary The Bank of New York Mellon Authorised Corporate Director (International) Limited Legg Mason Investment Funds Limited One Canada Square 201 Bishopsgate London London E14 5AL EC2M 3AB Tel. 020 7492 1929 Independent Auditors Fax: 020 7070 7505 PricewaterhouseCoopers LLP 144 Morrison Street Registrar & Administration Edinburgh Legg Mason Global Asset Management EH3 8EX PO Box 563 Darlington DL1 9ZF Tel: 0330 123 3790 Overseas Tel: +44 20 3528 4140 Fax: 0330 123 3791 Overseas Fax: +44 20 7964 2863

Investment Managers

ClearBridge, LLC Shiozumi Asset Management Company Limited (Sub- 620 8th Avenue Investment Manager) 47th Floor 7F MG Atago Building New York 10018 3-13-7 Nishi-Shinbashi USA Minato-Ku Tok yo Western Asset Management Company Limited 105-0003 10 Exchange Square Japan Primrose Street London QS Investors LLC EC2A 2EN 200 Clarendon Street Boston Royce & Associates, LP Massachusetts 02116 745 5th Avenue USA Suite 2400 New York NY10151 Brandywine Global Investment Management LLC USA 2929 Arch Street 8th Floor Martin Currie Investment Management Limited Philadelphia 19104 Saltire Court USA 20 Castle Terrace Edinburgh ClearBridge RARE Infrastructure Limited EH1 2ES Level 13 35 Clarence Street Sydney New South Wales 2000 Australia

357 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Glossary

Accommodative policy – one aiming to stimulate the economy through, for example, lower interest rates in order to encourage spending and discourage saving. Asset – a financial instrument that is typically held in stocks, share or bond form. An owner of an asset usually holds it with an intention of receiving future returns. Bailout – a term used to describe the financial aid provided to a collapsed financial organisation. Blended average rating – an indication of the risk in a bond fund. The rating averages all of the credit ratings within a bond fund and is often expressed in a letter format such as BB. Bond – a debt investment in which an investor loans money to an entity (corporate or governmental) that borrows the funds for a defined period of time at a fixed interest rate. Bond ratings – bond ratings, here using Standard & Poor’s grades, are expressed as letters ranging from ‘AAA’, which is the highest grade, to ‘C’, which is the lowest grade. Bull market (also referred to as a ‘Bullish’ view) – a market in which share prices are rising, encouraging buying. Commodity – a basic good used in commerce that is interchangeable with other commodities of the same type.Traditional examples of commodities include grains, gold, beef, oil and natural gas. Consumer discretionary – goods and services typically purchased with discretionary income (income received after the deduction of basic living costs and tax). Consumer staples – these are goods which are purchased by consumers regardless of their finances. These typically include products such as food, tobacco, household goods and alcohol. Corporate bond – a bond issued by a corporation to raise money effectively in order to expand its business. Correlation – a statistical measure of how two financial securities move in relation to each other. Credit – a debt investment in which an investor loans money to an entity (corporate or governmental) that borrows the funds for a defined period of time at a fixed interest rate. Creditspreads–acreditspreadisthedifference in yield between two bonds of similar maturity but different credit quality. For example, if the 10-yearTreasury note is trading at a yield of 6% and a 10-year corporate bond is trading at a yield of 8%, the corporate bond is said to offer a 200-basis-point (i.e. 2%) spread over the Treasury. Credit quality – the perceived risk of a bond. Currency markets – markets in which participants from around the world are able to buy, sell, exchange and speculate on different currencies. Cyclical – more dependent on the prevailing state of, or changes in, the economic environment. Debt market – the bond/fixed income market. Defensive – less dependent on changes in the economy. Deflation – a sustained decrease in the general price level of goods and services in an economy over a period of time. Developed market – in investing, a developed market is a country that is most developed in terms of its economy and capital markets. Dividend – a distribution of a portion of a company’s earnings to a class of its shareholders. Duration – a measure of the sensitivity of an asset against rising and falling interest rates. The duration of a financial asset that consists of fixed cash flows. For a bond, this is the weighted average of the times until those fixed cash flows are received. Economic indicators – statistics about economic activity. Emerging markets – in investment terms, countries whose financial markets are less developed and where investor protection and market infrastructure is often weaker than in developed markets such as the UK. Equity – ownership interest in a corporation in the form of common stock or preferred stock. European Central Bank – the central bank responsible for the monetary system of the European Union (EU) and the euro currency. Federal Reserve Board (the “Fed”) – is responsible for the formulation of U.S. policies designed to promote economic growth, full employment, stable prices, and a sustainable pattern of international trade and payments. The federal funds rate – is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day. Fiscal – typically refers to revenue that belongs to the government. Fixed income – bonds. Fundamentals – the qualitative and quantitative information that contributes to the economic well-being and the subsequent financial valuation of a company, security or currency. Analysts and investors analyse these fundamentals to develop an estimate as to whether the underlying asset is considered a worthwhile investment. Geopolitical – relating to politics, especially international relations, as influenced by geographical factors. Gilt – a fixed-interest loan security issued by the UK government. Growth versus value – growth investing focuses on companies that managers believe will experience faster-than-average growth as measured by revenues, earnings or cashflow. Value investing tries to find companies whose stock prices do not necessarily reflect their fundamental worth.

358 Legg Mason Funds ICVC 0221 Annual Report and Audited Financial Statements – (long form version)

Glossary (continued)

Hedge – an investment made as security, i.e. with the aim of reducing the potential losses of another investment. High yield bonds – high-paying bonds with lower credit ratings than investment grade corporate bonds. Because of the higher risk of default, these bonds pay a higher yield than investment grade bonds. Inflation – a sustained increase in the general price level of goods and services in an economy over a period of time. Infrastructure – this covers investments in areas such as power plants, water treatment facilities, airports, roads. Interest rates – rates charged or paid for the use of money. International Monetary Fund (“IMF”) – is an organization of 189 countries, working to foster global monetary cooperation, secure financial stability, facilitate international trade, promote high employment and sustainable economic growth, and reduce poverty around the world. Investment grade – a credit rating that means a government or corporate bond has a relatively low risk of default. Investor (or market) sentiment – the general prevailing attitude of investors with regard to anticipated price developments in a particular market. Issue – a term used to describe the activity of selling assets in order to raise capital. Large caps – a term used by the investment community to refer to companies with a market capitalisation value of more than $10 billion. Macro-driven – affected by macroeconomics (the branch of economics concerned with large-scale or general economic factors, such as interest rates and national productivity). Market capitalisation – or ‘market cap’ is calculated by taking a firm’s current share price and multiplying that figure by the total number of shares outstanding. Maturity – refers to a finite time period at the end of which the financial instrument (i.e. a bond) will cease to exist and the principal is repaid with interest. Monetary policy – a country’s central bank usually sets the monetary policy that attempts to regulate the supply of money into the country. Overweight (exposure) – is an allocation to a country, region or sector greater than that of the index against which the Fund is benchmarked. Peripheral – relates to non-essential activities such as non-central business operations. Qualitative easing – a monetary policy method used by the government and/ or central bank to purchase riskier, lower quality and often less expensive financial assets in comparison to higher quality assets. Quantitative easing – a method used by the government and/ or central bank increase the money flow into the economy by purchasing financial assets. Reflation – when a government and/ or central bank implement policies aimed at reducing deflation. Short position – is the sale of a borrowed security, commodity or currency, with the expectation that the asset will fall in value. Small caps – refers to a company with a market capitalisation near the low end of the publicly traded spectrum. The boundaries that separate these classifications are not clearly defined and can vary according to the source. Sovereign or Government bonds – are bonds issued by governments. Spread sectors – non-governmental fixed income investments with higher yields at greater risk than governmental investments. Supranationals – bonds issued by international organizations, often multinational or quasi-government organizations, with a purpose of promoting economic development. Top-down – driven by broader economic and market themes rather than by company-specific factors. Treasury yield – interest rates on borrowing that is paid by the government. Underweight (exposure) – is an allocation to a country, region or sector less than that of the index against which the Fund is benchmarked. US Federal Reserve – the central bank of the United States and the most powerful financial institution in the world. User pays – the concept that products are most valuable the when the consumer has paid the full price for the goods and services consumed. Utility – the asset class that represents investments in areas such as gas, electricity and water. Volatility – the up and down movement in financial markets. Yield – the amount in cash (in percentage terms) that returns to the owners of a security, in the form of interest or dividends received. Yield curve – the curve that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates.

359

Important Information Please note that past performance is no guide to future returns and you may not get back the amount originally invested. You should be aware that funds and stock market investments should normally be regarded as longer term investments and that they may not be suitable for everyone. Unlike a bank or building society account, the value of your investment can go down if you exercise any right to cancel, and you may not get back the amount originally invested if the share price has fallen since you invested. A summary of risk factors for the Company is outlined below: - Fluctuations in exchange rates may affect the value of an investment and any income derived from it. All Funds are permitted to hedge their currency exposure by way of forward currency contracts. - Investments in the Funds may not be suitable for all investors. Investors should seek independent financial advice. - The deductions for charges and expenses, in particular the entry charges, are not made uniformly throughout the life of the investment. If you cash in during the early years, you may not get back the amount initially invested. - For any Fund, until they reach a sufficient size, the proportion of charges and expenses allocated to such a Fund may be higher and so the return on investment in the Fund is more affected by fees and charges than in more established Funds. The Annual Report and Audited Financial Statements only provides brief information on each Fund which should not be relied upon in making an investment decision. Please refer to the relevant key investor information document and Prospectus for the Company for full description of objectives and risk factors for each Fund. Each of the investment management companies listed in the brochure is affiliated with the ACD through common control and ownership by Franklin Resources, Inc., except for Shiozumi Asset Management Company Limited. The ACD provides its clients with access to such Specialist Investment Managers primarily through its range of Funds within the Company, in which such Specialist Investment Managers serve as investment manager or sub-investment manager. While some of the Specialist Investment Managers are authorised or licensed to conduct business in one or more European jurisdictions, they are not authorised to offer their investment advisory services in all European jurisdictions. Investors’ access to such Specialist Investment Managers may be limited to investing only in the Company. Any eligible complainant having any complaint in respect of the Fund should inform the ACD in writing of the details of the complaint to the Complaints Manager at Legg Mason Investments, 201 Bishopsgate, London EC2M 3AB. This will then be investigated and a reply provided as soon as possible and any appropriate remedial action taken. In addition, eligible complainants will have a right of complaint directly to the Financial Ombudsman Service if he/she is not satisfied with the outcome of the investigation into the complaint. Details of the Financial Services Compensation Scheme established under the Financial Services and Market Act 2000, under which an investor may be entitled to receive compensation if the ACD is unable to meet any of its liabilities to the investor, are available on written request from the ACD.

You can find further information on the range of sub-funds within Legg Mason Funds ICVC by visiting www.leggmason.co.uk The website provides up to date information on the range of sub-funds including: Prices - Access daily prices Literature - Factsheets providing the latest information on each sub-fund More information about the Specialist Investment Managers managing the sub-funds

Issued and approved by Legg Mason Investment Funds Limited, registered office 201 Bishopsgate, London, EC2M 3AB. Registered in England and Wales, Company no. 970167. Authorised and Regulated by the UK Financial Conduct Authority.