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Home , Asset, Cash

2Q 2021 Separately Managed Accounts

WESTERN ENHANCED SMA

Key differentiators overview • Team-Managed Approach The Western Asset Enhanced Cash SMA invests in -term investment-grade • Western 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 Index.  Access to proprietary 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 market . 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 - • Active portfolio management within a low-volatility corporate liquidity framework can help preserve capital, term fundamental 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 • 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 -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 rate and credit risk, which is a possibility that the issuer of a will be unable to make interest 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 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 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 may be subject to the Federal Alternative Minimum Tax, and state and local 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 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 . 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 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, or sales charges. Fees: Pure gross of fee returns do not reflect the deduction of any expenses, including transaction . 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 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 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 — 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. Treasury Bill Index 10.0M Rate of return 0.60 0 5.0M Annualized rate of return (%) Standard deviation 0.23 -0.5 0 0.5 1 1.5 2 0.0M Risk (% annualized standard deviation) 2011 2013 2015 2017 2019 2021

Up/Down market capture ratios (%) Modern portfolio statistics Enhanced Cash SMA Alpha 0.74 Index Mix (50/50) Beta 0.64 4 Sharpe ratio 1.09 R-Squared 0.10

2 The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). 1.61 Please visit www.leggmason.com for the latest 1.00 performance figures. Investors cannot invest directly in 0 1.00 an index, and unmanaged index returns do not reflect any 1.16 fees, expenses or sales charges.

-2 Up Down 86 positive months 34 negative months

The Index Mix consists of 50% Citi 3-Month U.S. Treasury Bill Index and 50% Bloomberg Barclays 1-3 Year Government Bond Index. 1 Source: Western Asset. Portfolio sector weightings and characteristics are for a model portfolio, are for illustrative purposes only and are subject to change. The Model Portfolio represents the Investment Manager’s general advice at the date stated above to Enhanced Cash clients without restrictions on their accounts. For actual Enhanced Cash client accounts, composition and other data shown varied from those shown for Model Portfolio because of factors such as client-imposed restrictions and the timing of actions and withdrawals of funds to and from individual client accounts. Sector weightings and characteristics of individual client portfolios may differ, sometimes significantly, from the weightings shown above. Yields will fluctuate and are not guaranteed. 2 Source: Franklin Resources, Inc. 3 For illustrative purposes only. Assumes no withdrawals or contributions. These statistics are based on pure gross-of-fees quarterly composite returns, were calculated assuming reinvestment of dividends and income, and take into account both realized and unrealized capital gains and losses. leggmason.com At Franklin Templeton, everything we do has a single focus: to deliver better client outcomes.

• We have deep expertise across , fixed income, alternatives, multi-asset solutions and cash strategies

• We offer an unmatched range of specialist investment managers, consisting of more than 1,300 investment professionals

• Over 70 years of experience in identifying opportunities and delivering investment solutions to clients.

Index/Terms and definitions: Maturity is the date at which a debt instrument is due and payable. A bond due to mature on a certain date, will return the bondholder’s principal and final interest when it reaches maturity on that date. Bond yields are frequently calculated on a yield-to-maturity basis. Duration is the measure of the price sensitivity of a fixed income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows. Yield to worst (YTW) is based on a portfolio’s current holdings on one specific day, is gross of all portfolio expenses, and is calculated based on assumptions that prepayment occurs if the bond has call or put provisions and the issuer can offer a lower coupon rate based on current market rates. If market rates are higher than the current yield of a bond, the YTW calculation will assume no prepayments are made, and YTW will equal the yield to maturity. The YTW will be the lowest of yield to maturity or yield to call (if the bond has prepayment provisions). The YTW of a bond portfolio is the market-weighted average of the YTWs of all the bonds in the portfolio. Standard deviation measures the risk or volatility of an investment’s return over a particular time period; the greater the number, the greater the risk. The Up capture ratio measures the manager’s overall performance to the benchmark’s overall performance, considering only quarters that are positive in the benchmark. An Up Capture Ratio of more than 1.0 indicates a manager who outperforms the relative benchmark in the benchmark’s positive quarters. The Down capture ratio is the ratio of the manager’s overall performance to the benchmark’s overall performance, considering only quarters that are negative in the benchmark. A Down Capture Ratio of less than 1.0 indicates a manager who outperforms the relative benchmark in the benchmark’s negative quarters and protects more of a portfolio’s value during down markets. Alpha is a measure of performance vs. a benchmark on a risk-adjusted basis. A positive alpha of 1.0 means the portfolio has outperformed its benchmark index by 1%. Correspondingly, a similar negative alpha would indicate an underperformance of 1%. Alpha is a measure of the difference between actual returns and expected performance measuring sensitivity to index movements. Beta measures the sensitivity of an investment to the movement of its benchmark. A beta higher than 1.0 indicates the investment has been more volatile than the benchmark and a beta of less than 1.0 indicates that the investment has been less volatile than the benchmark. Sharpe ratio is a risk-adjusted measure, calculated using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe ratio, the better the portfolios historical risk- adjusted performance. R-squared measures the strength of the linear relationship between the fund and its benchmark. R-squared at 100 implies perfect linear relationship and zero implies no relationship exists. The Bloomberg Barclays 1-3 Year Government Bond Index is a broad measure of the performance of short-term government bonds. Please note an cannot invest directly in an index. An investor cannot invest directly in an index. The index is not managed and not subject to management or brokerage commission. Income from coupon is subject to reinvestment. The FTSE 3-Month U.S. Treasury Bill Index is an index based upon the average monthly yield of the 90-day Treasury bills. U.S. Treasury bills are secured by the “full faith and credit” of the U.S. government and offer a fixed rate of return. The portfolio composition typically varies from that of the above-noted, unmanaged indices. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. Important tax information: Franklin Resources, Inc, its affiliates, and its employees are not in the of providing tax or legal advice to taxpayers. These materials and any tax-related statements are not intended or written to be used, and cannot be used or relied upon, by any such taxpayer for the purpose of avoiding tax penalties or complying with any applicable tax laws or regulations. Tax- related statements, if any, may have been written in connection with the “promotion or marketing” of the transaction(s) or matter(s) addressed by these materials, to the extent allowed by applicable law. Any such taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor. These materials are being provided for illustrative and informational purposes only. The information contained herein is obtained from multiple sources that are believed to be reliable. However, such information has not been verified, and may be different from the information included in documents and materials created by the sponsor firm in whose investment program a client participates. Some sponsor firms may require that these materials be preceded or accompanied by investment profiles or other documents or materials prepared by such sponsor firms, which will be provided upon request. For additional information, documents and/or materials, please speak to your Financial Professional or contact your sponsor firm.

Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment advisor. Client portfolios are managed based on investment instructions or advice provided by one or more of the following Franklin Templeton affiliated subadvisors: Western Asset Management Company, LLC. Management is implemented by LMPPG, the designated subadvisor or, in the case of certain programs, the program sponsor or its designee.

Any information, statement or opinion set forth herein is general in nature, is not directed to or based on the financial situation or needs of any particular investor, and does not constitute, and should not be construed as, investment advice, forecast of future events, a guarantee of future results, or a recommendation with respect to any particular security or investment strategy or type of account. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financial professional. www.leggmason.com ©2021 Franklin Distributors, LLC. Member FINRA/SIPC. Franklin Distributors, LLC and Western Asset Management Company, LLC are Franklin Templeton affiliated companies. 1000869 SAMX015979 FN1413102 AMS19-2557564-5/29/2020 D878 WEC FF