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2Q 2021 Separately Managed Accounts

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2Q 2021 Separately Managed Accounts WESTERN ASSET ENHANCED CASH SMA Key differentiators Investment overview • Team-Managed Approach The Western Asset Enhanced Cash SMA invests in short-term investment-grade • Leverage Western Asset Management resources securities with a maximum portfolio duration of two years or less and benchmark Institutional-caliber buying power and trading to a variety of short-term indexes, such as the Citi 3-Month Treasury Bill Index and expertise the Bloomberg Barclays 1-3 Year Government Bond Index. Access to proprietary credit research team Exclusive focus on fixed income management • Ability to customize the portfolio to meet client Investment objective constraints The strategy seeks: • Total return superior to money market investments. Management team Investment philosophy Western Asset, one of the world’s leading fixed income We believe that: managers, was founded in 1971. With a focus on long- • Active portfolio management within a low-volatility corporate liquidity framework can help preserve capital, term fundamental value investing that employs a top- maintain liquidity and maximize total return. down, bottom-up approach, the firm has nine offices around the globe and deep experience across the range Representative short-term investment guidelines of fixed income sectors. Western Asset has been Eligible investments include the following: recognized for its emphasis on team management and • Taxable commercial paper intensive proprietary research, supported by robust risk management. • U.S. government and agency securities Western Asset team-managed approach • Yankee, sovereign and eurodollar debt • Team unites groups of specialists dedicated to • AAA rated asset-backed securities different market sectors • U.S. agency collateralized mortgage obligations • Each group of sector specialists utilizes their expertise • Corporate debt securities in bottom-up analysis of each portfolio sector • Cash sweep vehicles • Taxable and tax-exempt municipal bonds The average effective duration of the portfolio should not exceed a range of 1-2 years, with a maximum life on any individual issue not to exceed a range of 2-5 years. Except for U.S. government and agency securities, all investments in any one issue (liabilities of a single issuer) must not exceed 5% of the portfolio value at the time of purchase. The minimum major rating category of any instrument in the portfolio is “A”. Within the above-mentioned guidelines, the investment manager has the latitude to determine the maturity, structure, duration and composition of the portfolio. This statement of investment guidelines will be reviewed on a periodic basis and can be changed at any time upon proper written notice. Risks: All investments involve risk, including the loss of principal, and there is no guarantee that investment objectives will be met. Fixed income securities are subject to interest rate and credit risk, which is a possibility that the issuer of a security will be unable to make interest payments and repay the principal on its debt. As interest rates rise, the price of fixed income securities falls. Investments may also be made in mortgage-backed, asset-backed securities and taxable municipal securities. Asset-backed securities generally decrease in value as a result of interest rate increases, but may benefit less than other fixed-income securities from declining interest rates, principally because of prepayments. Mortgage-backed securities involve additional risk over more traditional fixed-income investments, including: interest rate risk, implied call and extension risks; and the possibility of premature return of principal due to mortgage prepayment, which can reduce expected yield and lead to price volatility. Foreign securities, where permitted, are subject to the additional risks of fluctuations in foreign exchange rates, changes in political and economic conditions, foreign taxation, and differences in auditing and financial standards. These risks are magnified in the case of investments in emerging markets. U.S. Treasuries are direct debt obligations issued and backed by the “full faith and credit” of the U.S. government. The U.S. government guarantees the principal and interest payments on U.S. Treasuries when the securities are held to maturity. Unlike U.S. Treasury securities, debt securities issued by the federal agencies and instrumentalities and related investments may or may not be backed by the full faith and credit of the U.S. government. Even when the U.S. government guarantees principal and interest payments on securities, this guarantee does not apply to losses resulting from declines in the market value of these securities. For tax-exempt securities, certain investors may be subject to the Federal Alternative Minimum Tax, and state and local taxes may apply. Capital gains, if any, are fully taxable. Depends on individual tax situation. Please see “Important tax information” on the last page. Note: The guidelines provided above are general in nature. The program manager may, to a limited extent, invest in other securities entailing additional risks beyond those highlighted in this profile. INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE Investment process Interest rate exposure/duration Term structure weighting Sector allocation Issue selection weighting The Firm carefully employs strategies in Western Asset believes that value can be Using a bottom-up process, the Firm Western Asset’s investment team an attempt to take advantage of changes added to a portfolio by actively rotating seeks to identify issuers with changing comprehensively analyzes a variety of in the yield curve’s shape and shifts in the among, and within, different sectors of credit characteristics and securities that domestic and international relationship between short-, the bond market. The investment team are undervalued and out of favor due to macroeconomic factors to establish a intermediate- and long-maturity studies the fundamental factors that unusual circumstances. duration target. securities. influence sector spread relationships. Performance Annualized rates of return - pure gross and net of fees (%) as of June 30, 2021 - PRELIMINARY Jun ‘21 Q2 ‘21 YTD 1-year 3-year 5-year 7-year 10-year 15-year 20-year Enhanced Cash SMA (pure gross) -0.10 0.21 0.10 0.67 2.55 1.85 1.68 1.54 2.25 2.43 Enhanced Cash SMA (net) -0.23 -0.16 -0.65 -0.82 1.03 0.34 0.18 0.04 0.74 0.92 Index Mix (50/50) -0.08 -0.01 -0.03 0.07 2.01 1.38 1.15 0.91 1.63 1.89 FTSE 3-Month U.S. Treasury Bill Index 0.00 0.01 0.03 0.08 1.31 1.14 0.84 0.60 1.02 1.30 Calendar-year total returns - pure gross and net of fees (%) ending December 31 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Enhanced Cash SMA (pure gross) 2.85 3.39 1.77 1.25 1.38 0.83 0.91 0.68 2.16 1.27 Enhanced Cash SMA (net) 1.33 1.86 0.26 -0.24 -0.12 -0.66 -0.58 -0.81 0.65 -0.23 Index Mix (50/50) 1.86 2.92 1.72 0.64 0.57 0.30 0.34 0.21 0.29 0.82 FTSE 3-Month U.S. Treasury Bill Index 0.58 2.25 1.86 0.84 0.27 0.03 0.03 0.05 0.07 0.08 The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. Investors cannot invest directly in an index, and unmanaged index returns do not reflect any fees, expenses or sales charges. Fees: Pure gross of fee returns do not reflect the deduction of any expenses, including transaction costs. Net performance includes the deduction of a 1.5% annual wrap fee, which is the maximum anticipated wrap fee for fixed income portfolios. Actual fees may vary. For fee schedules, contact your financial professional, or if you enter into an agreement directly with Legg Mason Private Portfolio Group (“LMPPG”), refer to LMPPG’s Form ADV disclosure document. Returns reflect the reinvestment of dividends and other earnings. All performance is reported in US dollars. The Index Mix consists of 50% Citi 3-Month U.S. Treasury Bill Index and 50% Bloomberg Barclays 1-3 Year Government Bond Index. The investment process may change over time. The characteristics set forth above are intended as a general illustration of some of the criteria the strategy team considers in selecting securities for client portfolios. There is no guarantee that investment objectives will be achieved. Returns for periods less than one year are not annualized. Past performance is not a guarantee of future results. To obtain specific information on available products and services or a GIPS® Report, contact your Franklin Templeton separately managed account sales team at (800) 822-8464. Western Asset Management Company, LLC claims compliance with the Global Investment Performance Standards (GIPS®). GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein. Management and performance of individual accounts may vary for reasons that include the existence of different implementation practices and model requirements in different investment programs. Portfolio information1 Characteristics Sector weightings (%) Effective Duration (Years) 1.62 Corporate 69.76 Weighted Avg Life(yrs) 1.74 Corporate 69.76 Mortgage-Backed Securities 17.98 Yield to Worst (%) 0.52 Treasury 4.18 Mortgage-Backed Securities17.98 Asset-Backed Securities 4.00 Treasury 4.18 Agency 3.48 Asset-Backed Securities 4.00 Other 0.00 Agency 3.48 Cash 0.61 Other 0.00 Cash 0.61 Performance statistics (pure gross of fees)2 Ð Preliminary (based on 10-year period ended June 30, 2021) Risk/return profile (%) Growth of $20,000,0003 2 Enhanced Cash SMA Enhanced Cash SMA Index Mix (50/50) Rate of return 1.54 $21,903,268 $23,301,360 1.5 Standard deviation 0.85 25.0M Index Mix (50/50) 20.0M 1 Rate of return 0.91 Standard deviation 0.49 15.0M 0.5 FTSE 3-Month U.S.
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