pricing in anew deal eventually being confirmed, though termscertain Republicans onanother and round Democrats of stimulus, the with market tostimulus fiscal respect in the US, negotiations werebetween ongoing of the economy will depend significantly on the virus.”of the course With of tools” the economy, range to“full support that and cautioned path “the Market Committee kept the meeting, Fed to rates use its hold, on pledged accommodativeextraordinarily its stance. Following the Federal Open officialstatement in its little very following its latemeeting, July maintaining member nations hit hardest by the pandemic. In the US, the Fed changed (as to individual opposed collectively countries) and grants to poorer sions for that bonds would the obligation be of the European Union to aid thebudget recovery and deal revive The included growth. provi package, featuring a€750 billion and a€1.074 fund trillion seven-year stimulus fiscal new groundbreaking a unveiled European Central Bank the Globally, continued policy to exceedingly be accommodative. In Europe, arally in risk fueled over assets further the month. data releases that were either positive or at least in line with expectations, end of this year, coupled accommodation with additional policy abroad and An increasing that probability avaccine might ready be by as early as the a number of positive progress updates regarding vaccine development. however, the worseningspread about news of the virus was with met During the month of July, COVID-19 continued cases to rise in the US; Review Market and Treasury holdings contributed to returns. positive ABS for thevery CRE/CMBS the portfolio’s exposure markets.Last, the bill might law and itbecomes if enacted, but passed itwould be be balance. mortgage the outstanding It is currently unknown if, orwhen, using investmentsfacility unsecured preferred for up equity to 10% of the USdown economy. legislation The would create liquidity atemporary that weren’t able to the coronavirus payments pause after mortgage shut introduced abill to provide cash to struggling hotels and shopping centers issue contributedsecurities Lawmakers ones detracted. while legacy (Fed) intervention.Federal Reserve Within commercial MBS (CMBS) new- spreadsbut have due lagged to continued and less direct uncertainty manyBy housing metrics, has already aV-shaped experienced recovery lows leading to tighter spreads securities. and higher prices for structured lending while mortgage ratesupside reached part, for the most all-time Recent data onhousing applications and mortgage has surprised to the contributed to remain securities performance. Legacy difficultsource. to as spreads performance from widened, while securities NARMBS legacy issuedtransfer securities (CRT) by Fannie Mae and Freddie Mac detracted During the month, residential non-agency MBS (NARMBS) Review Performance month of July 2020. composite Product Structured The returned 0.46% gross for the of fees JUL 2020 Highlights Investment - Attribution returned -2.4% (source: JPMorgan) during the month, with lower quality (bps)points to 637 bps, representing ayield of 6.65%. subsector The CRT markets the month closed spreads with widening by 132 basis Valuations market developed most (DM) and EMcurrencies. barrel (+2.6%) to $40.27 and the US dollar generally weakened versus UST the month ended at 0.55% (from 0.66% in June). oil rose $1.00/ WTI flattening.yieldThe on the with the curve 10-year end outperformed EM yields fell. US Treasury yields fell (UST) across and the long the curve denominated emerging market (EM) spreads tightened and local spreads were mixed as lower-rated USD- underperformed. credit spreads tightened, especially product for Structured high-. During July, risk continued assets their rally. rose 500 5.5% S&P The and ordering the US to consulate close its in Chengdu. toend close down the Chinese consulate in Houston. China retaliated by month, culminating in the Trump administration’s decision at month- nationsand China. the two escalated Rhetoric between throughout the winds arose in the of form rising tensions geopolitical the US between JulyThough was an overall positive month for sentiment, potential head numbers and focus onimprovements and in business sales. activity top one million the marketbut week, per appeared to push these past on sentiment. Weekly US jobless claims during the month continued to was largely in ithad line so limited with market impact expectations, 2Q20The US GDP release showed -32.9% onan annualized basis and unemploymentexpired weekly at the end of benefits, July.extended remain up for debate. previous The round of stimulus, which included Source: Western Asset. As of 31Source: of Western As Asset. 20 Jul NARMBS Representative Portfolio Total Accounting Difference Other Treasury Credit Hedge ABS CMBS Pre-2007/Other NARMBS Fannie Mae/Freddie Mac Credit Securities New IssueNew CMBS CMBSLegacy Jul 2020 (%)Jul -0.09 -0.57 0.20 0.00 0.00 0.00 0.58 0.05 0.13 0.11 - Structured Product underperforming higher quality. Legacy mortgages, on the other hand, Positioning Changes tightened by 25 bps to 343 bps, with a yield of 3.84%. Legacy securities The portfolio’s positioning was not changed materially during the month. remained difficult to source and returned 1.4% (source: JPMorgan) during the month with higher quality outperforming. The S&P CoreLogic Case- Investment Outlook Shiller 20-City Home Price Index increased by 0.1% in May compared to The COVID-19 pandemic has created unprecedented market conditions 0.4% the prior month. The year-over-year increase was 3.7% compared and disruption not seen since the global financial crisis (GFC). The pricing to the prior month’s 3.9%. of securities is discounting severe scenarios last seen during the GFC. We believe that there are many reasons to be optimistic that that is not the The Bloomberg Barclays Non Agency CMBS Index posted a total return of most likely scenario. The GFC was the direct result of an inflated housing 1.55% for the month, with lower quality securities generally outperforming. market fueled by a credit bubble in mortgage lending, with subprime The -adjusted spread of the index was 18 bps tighter for the month, lending defining its pinnacle. We do not see these conditions present reaching 160 bps. RCA reported that commercial property prices were flat today, housing is in a much more stable place with record low levels month over month but increased by 3.6% for the year in June, down from of construction and extremely tight credit standards. Aggregate US a 4.9% increase the prior month. The effects of the COVID-19 crisis have consumer fundamentals went into the COVID-19 pandemic in a much begun to catch up with commercial real estate. Prices continued rising stronger position with as a percentage of income at the lowest in many property types, with the industrial sector having the strongest level in over a decade. increase for the year at 7.6%. Meanwhile office/central business district (CBD) and retail were the weakest property types, with 0.8% and -0.7% Western Asset views current non-agency MBS valuations favorably relative for the year, respectively. The COVID-19 crisis has severely impacted the to fundamentals. We believe this backdrop and the available commercial real estate (CRE) market as properties have been forced to in the MBS and ABS market offers compelling value opportunities. Looking shut down, rents are down as some tenants are not paying and owners forward longer term, we believe mortgages secured by real estate assets are facing liquidity challenges in servicing debt. CMBS delinquencies with significant equity in the properties and our focus on higher quality increased significantly following the shutdown, with single-asset/single- credit will continue to perform. A severe and prolonged global economic borrower (SASB) collateral performing better than conduit MBS. As the slowdown will certainly impact most spread sectors negatively and we economy has been slowly reopening over the past few months, we have may see increased levels of delinquencies and write-downs that will begun to see some improvement in property cash flows and collateral start negatively affecting the bottom tranches of different transactions. performance. The amount of payments less than 30 days late has steadily However, this is not our base case scenario at Western Asset. Commercial decreased over the past three months, but still remains elevated. real estate has benefited from a lack of construction and improved demand. We remain mindful of areas in the CMBS market that will be The JPMorgan Asset-Backed Index was up 0.79% for the month. Floating- more exposed to COVID-19 risks, most notably hotels and retail properties. rate ABS returned 0.76% while the fixed-rate ABS returned 0.81%. Spreads These deals are also more soundly structured today, and our focus is on were generally tighter for the month, with lower qualities tightening more Class A properties with well-capitalized sponsors capable of withstanding than the higher quality ones. short-term disruptions.

For more information on Western Asset, visit westernasset.com.

© Western Asset Management Company, LLC 2020. This publication is the property of Western Asset and is intended for the sole use of its clients, consultants, and other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be reproduced or used in any form or medium without express written permission. Past results are not indicative of future investment results. This publication is for informational purposes only and reflects the current opinions of Western Asset. Information contained herein is believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer or solicitation with respect to the purchase or sale of any and are subject to change without notice. Statements in this material should not be considered investment advice. Employees and/or clients of Western Asset may have a position in the securities mentioned. This publication has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence. Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered Financial Instruments Business Operator and regulated by the Financial Services Agency of Japan. Western Asset Management Company Limited is authorised and regulated by the Financial Conduct Authority (“FCA”). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK and EEA countries as defined by the FCA or MiFID II rules.

Western Asset 2 July 2020 Structured Product Performance and Risk Disclosures July 31, 2020 © Western Asset Management Company, LLC 2020. This publication is the property of Western Asset and is intended for the sole use of its clients, consultants, and other intended recipients. It should not be forwarded to any other person. Contents herein should be treated as confidential and proprietary information. This material may not be reproduced or used in any form or medium without express written permission. PastRolling results 1- areYear not indicative Performance of future investmentReturns Periodresults. This Ending: publication is for informational purposes only and31 reflectsJul 20 the current 31 Jul opinions 19 of Western 31 Jul Asset. 18 Information 31 Jul contained 17 31herein Jul is 16believed to be accurate, but cannot be guaranteed. Opinions represented are not intended as an offer or solicitation with respect to the purchase or sale of any security and are subject to change without notice. Statements in this material should not be considered investment advice. Employees and/or clients of Western Asset may have a position in the securities mentioned. This publication has been prepared withoutStructured taking intoProduct account Composite your objectives, (gross financial of fees)situation or needs. Before acting on this information, you-7.66% should consider its 7.53% appropriateness 9.77%having regard to your 11.38% objectives, financial 1.89% situation orStructured needs. It is your Product responsibility Composite to be aware (net of andof fees) observe the applicable laws and regulations of your country-8.35% of residence. 6.73% 8.96% 10.55% 1.13% WesternBase AssetCurrency Management: USD Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered Financial Instruments Business Operator and regulated by the Financial Services Agency of Japan. Western Asset Management Company Limited is authorised and regulated by the Financial Conduct Authority (“FCA”). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK and EEA countries as defined by the FCA or MiFID II rules. Past investment results are not indicative of future investment results. Source for performance figures is Western Asset. Please refer to the Performance Disclosure for more information. exchange rate fluctuations will impact the value of your investment. The value of investments and the income from them may go down as well as up and you may not get back the amount you originally invested. Investment Risks: The strategy does not offer any capital guarantee or protection and you may not get back the amount invested. The strategy is subject to the following risks which are materially relevant but may not be adequately captured by the indicator: 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 strategy. These types of investments may also be difficult for the strategy to sell quickly. Bonds: There is a risk that issuers of bonds held by the strategy may not be able to repay the investment or pay the interest due on it, leading to losses for the strategy. Bond values are affected by the market’s view of the above risk, and by changes in interest rates and inflation. Concentrated: The strategy's investment approach may result in the strategy being focused in one, or a small number of, countries, sectors or asset classes compared to other investment strategies. This means that the strategy may be more sensitive to economic, market, political or regulatory events than other strategies that invests across a broader range of countries, sectors and asset classes. Derivatives: The strategy makes significant use of derivatives. The use of derivatives can result in greater fluctuations of the portfolio's value. Interest Rates: Changes in interest rates may negatively affect the value of the strategy. Typically as interest rates rise, bond values fall. Low-rated Bonds: The strategy may invest in lower rated or unrated bonds of similar quality, which carry a higher degree of risk than higher rated bonds. Mortgage-Backed Securities: The timing and size of the cash-flow from mortgage-backed securities is not fully assured and could result in loss for the strategy. These types of investments may also be difficult for the strategy to sell quickly. This strategy is managed by Western Asset. This information is only for use by professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.

Western Asset July 2020 Western Asset 3 July 2020 Performance Disclosure December 31, 2019 Structured Product Performance Disclosure Structured Product Composite December 31, 2019 © Western Asset Management Company, LLC 2020. This publicationComposite is the Inception property Date:of Western 08/01/2007 Asset and is | intended Composite for the soleCreation use of itsDate: clients, 05/28/2009 consultants, and other intended recipients. It should not be forwarded to any other person.No. of ContentsGross herein Total should be Net treated Total as confidentialBenchmark and proprietary GrossStructured information. Total ProductBenchmark This material Composite Total may not Internalbe reproduced or Mkt.used in Value any form or mediumPercentage without of express writtenFirm Assetspermission. Accts Return Return Total Return 3-Yr St Dev 3-Yr St Dev Dispersion USD Mil Firm Assets USD Mil Past2010 results are not1 indicative 25.28% of future investment 24.66% results.Composite This publication-na- Inception is for Date: informational 13.02% 08/01/2007 purposes | -na- Compositeonly and reflects Creation the-na- currentDate: 05/28/2009 opinions 455 of Western Asset. Information 0.10% contained herein 453,909 is believed to2011 be accurate,No. but1 of cannot Gross be-2.28% guaranteed. Total Opinions Net -2.77% Total represented Benchmark are-na- not intended Gross as 9.21% an Totaloffer or Benchmark solicitation -na- withTotal respect Internalto the-na- purchase orMkt. sale 375 Value of any security andPercentage are 0.08% subject of to changeFirm 443,140without Assets notice. Statements2012 in Acctsthis1 material should22.65%Return not be considered 22.05%Return investmentTotal -na-advice. Return Employees 3-Yr 6.41%and/or St Dev clients of3-Yr Western-na- St Dev Asset mayDispersion have-na- a position in USDthe 461 securities Mil mentioned.Firm This0.10% Assets publication has USDbeen 461,891 preparedMil without20132010 taking into21 account 25.28% your8.70% objectives, financial 24.66% 8.16% situation -na-or-na- needs. Before acting 13.02% 4.88% on this information,-na--na- you should consider-na--na- its appropriateness 775455 having regard to 0.17%0.10% your objectives, financial 451,632453,909 situation 20142011 61 -2.28%5.49% -2.77%4.90% -na--na- 3.82%9.21% -na--na- -na--na- 998375 0.21%0.08% 466,036443,140 or needs.1 It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence. 20152012 71 22.65% 2.55% 22.05% 1.79% -na--na- 2.85%6.41% -na--na- 1.49%-na- 1,255 461 0.29%0.10% 433,747461,891 Western20162013 Asset Management52 Company 5.07%8.70% Distribuidora 4.29%8.16% de Títulos e Valores-na--na- Mobiliários 2.11%Limitada4.88% is authorised-na--na- and regulated by-na--na- Comissão de Valores 1,498 775 Mobiliários and Banco 0.36%0.17% Central do Brasil. 419,207Western451,632 Asset Management20172014 Company56 Pty 13.92% Ltd 5.49% ABN 41 117 767 13.08% 4.90% 923 is the holder -na-of-na- the Australian Financial 2.45%3.82% Services Licence-na--na- 303160. Western-na--na- Asset Management 1,658 998 Company Pte. Ltd. Co. 0.38%0.21% Reg. No. 200007692R 436,309466,036 is a holder 2018 1 6 6.41% 5.62% -na- 2.31% -na- 1.10% 2,346 0.55% 424,136 of2015 a Capital Markets7 Services 2.55%Licence for fund management1.79% and-na- regulated by the Monetary2.85% Authority-na- of Singapore. Western 1.49% Asset Management 1,255 Company Ltd is 0.29%a registered Financial 433,747 Instruments 20191 5 8.33% 7.53% -na- 1.43% -na- -na- 2,433 0.53% 455,276 Business2016 Operator5 and regulated 5.07% by the Financial 4.29% Services Agency-na- of Japan. Western 2.11% Asset Management-na- Company Limited -na-is authorised and 1,498 regulated by the Financial 0.36% Conduct Authority 419,207 (“FCA”). This Description2017 : The5 Western 13.92% Asset Structured 13.08% Product strategy-na- provides a broad 2.45% and opportunistic-na- exposure to the -na-structured product 1,658 market. The strategy 0.38% aims to maximize 436,309 total return communication2018 6is intended for 6.41% distribution to Professional5.62% Clients-na- only if deemed to 2.31% be a financial promotion-na- in the UK and 1.10% EEA countries 2,346as defined by the FCA or 0.55% MiFID II rules. 424,136 and2019 add1 value through5 subsector 8.33% rotation and 7.53% security selection-na- while managing 1.43% overall portfolio-na- risk. The strategy-na- invests in a diversified 2,433 portfolio using 0.53% all structured product 455,276 sectors, including non-agency residential mortgage-backed, commercial mortgage-backed and asset-backed securities. BenchmarkDescription :Description The Western: The Asset Composite Structured is notProduct measured strategy against provides a benchmark a broad and as accountsopportunistic that exposuremay comprise to the the structured Composite product are measuredmarket. The on strategyan absolute aims return to maximize basis. There total returnis no benchmarkand add value available through that subsector appropriately rotation reflects and thesecurity guidelines selection of all while accounts managing within overallthe Composite. portfolio risk. The strategy invests in a diversified portfolio using all structured product sectors, including non-agency residential mortgage-backed, commercial mortgage-backed and asset-backed securities. Base Currency: USD | Composite Minimum: $25 million effective 7/1/16 (previously no minimum) Benchmark Description: The Composite is not measured against a benchmark as accounts that may comprise the Composite are measured on an absolute return basis. There is no Currentbenchmark Fee available Schedule: that .75 appropriately of 1% on the reflects first $100 the guidelinesmillion, .50 of of all 1% accounts on amounts within over the $100Composite. million. 1 BaseMore Currency:than 10% of USD the market | Composite value was Minimum: comprised $25 of millionsecurities effective that were 7/1/16 valued (prev internallyiously no usingminimum) subjective unobservable inputs. Current Fee Schedule: .75 of 1% on the first $100 million, .50 of 1% on amounts over $100 million. Western1 Asset claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards.More than Western10% of the Asset market has value been was independently comprised of verified securities for that the were periods valued from internally January using 1, 1993 subjective to December unobservable 31, 201 inputs9. .

VerificationWestern Asset assesses claims whether compliance (1) the withFirm thehas Globalcomplied Investment with all the Performance composite construction Standards requirements(GIPS®) and of has the prepared GIPS standards and presented on a firm-wide this report basis andin compliance (2) the Firm's with the policies GIPS and proceduresstandards. areWestern designed Asset to hascalculate been independentlyand present performance verified for in th compliancee periods from with Januarythe GIPS 1, standards. 1993 to December The Structured 31, 201 Product9. Composite has been examined for the period from January 1, 2010 to December 31, 2019. The verification and performance examination reports are available upon request. Verification assesses whether (1) the Firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the Firm's policies and Forprocedures GIPS® purposes,are designed the toFirm calculate is defined and as present Western performance Asset, a primarily in compliance fixed-income with the investment GIPS standards. manager The comprised Structured of WesternProduct AssetComposite Management has been Company, examined LLC; for theWestern period Asset from ManagementJanuary 1, 2010 Company to December Limited, 31, authorised2019. The andverification regulated and by performance the Financial examination Conduct Authorityreports are ("FCA"); available Western upon request. Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R, holder of the Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore; Western Asset Management Company Ltd, a registered FinancialFor GIPS® Instruments purposes, Businessthe Firm operatoris defined and as regulatedWestern Asset,by the aFinancial primarily Services fixed-income Agency investment of Japan; manager Western comprisedAsset Management of Western Company Asset Management Pty Ltd ABN Company, 41 117 767 LLC; 923, Western holder ofAsset the AustralianManagement Financial Company Services Limited, Licence authorised 303160; and and regulated Western byAsset the Management Financial Conduct Company Authority Distribuidora ("FCA"); de Western Títulos Assete Valores Management Mobiliários Company (DTVM) Limitada, Pte. Ltd. authorised Co. Reg. No.and 200007692R,regulated by Comissãoholder of thede ValoresCapital MarketsMobiliários Services and Banco Licence Central for fund do Brazil,management with offices and regulatedin Pasadena, by the New Monetary York, London, Authority Singapore, of Singapore; Tokyo, Western Melbourne, Asset São Management Paulo, Hong Company Kong, and Ltd, Zürich. a registered Each WesternFinancial Asset Instruments company Business is a wholly operator owned and subsidiary regulated ofby Legg the FinancialMason, Inc. Services ("Legg Agency Mason") of butJapan; operates Western autonomously, Asset Management and Western Company Asset, Pty as Ltd a Firm,ABN 41is held117 767out to923, the holder public of as the a separateAustralian entity. Financial Western Services Asset Licence Management 303160; Company and Western was founded Asset Management in 1971. Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brazil, with offices in Pasadena, New York, London, Singapore, Tokyo, Melbourne, São Paulo, Hong Kong, and Zürich. Each TheWestern Firm Assetis comprised company of severalis a wholly entities owned as asubsidiary result of variousof Legg historical Mason, acquisitionsInc. ("Legg Mason")made by butWestern operates Asset, autonomously, and their respective and Western performance Asset, ashas a beenFirm, integratedis held out into to the Firmpublic in as line a withseparate the portability entity. Western requirements Asset Management set forth by GIPS. Company was founded in 1971.

TheThe CompositeFirm is comprised is valued of severalmonthly. entities The Composite as a result returns of various are historicalthe asset-weighted acquisitions average made byof Westernthe performance Asset, and results their ofrespective all the accounts performance in the has Composite. been integrated Gross-of-fees into the returnsFirm in areline presentedwith the portability before managementrequirements fees,set forth but by after GIPS. all trading expenses. Net of fees results are calculated using a model approach whereby the current highest tier of the appropriate strategy's fee schedule is used. This model fee does not reflect the deduction of performance-based fees. The portfolios in the Composite are all actual, fee-paying and performance fee-paying,The Composite fully discretionaryis valued monthly. accounts The managed Composite by returnsthe Firm are for the at leastasset-weighted one full month. average Investment of the performanceresults shown results are for of taxable all the andaccounts tax-exempt in the accounts Composite. and Gross-of-fees include the reinvestment returns are ofpresented all earnings. before Any management possible tax fees,liabilities but afterincurred all tradingby the taxable expenses. accounts Net of have fees not results been are reflected calculated in the using net aperformance. model approach Composite whereby performance the current results highest are tier time-weighted of the appropriate net of tradingstrategy's commissions fee schedule and is used. other This transaction model fee costs does including not reflect non-recoverable the deduction withholdingof performance-based taxes. Policies fees. The for valuingportfolios portfolios, in the Composite calculating are performance, all actual, fee-paying and preparing and performance compliant presentationsfee-paying, fully are discretionary available upon accounts request. managed by the Firm for at least one full month. Investment results shown are for taxable and tax-exempt accounts and include the reinvestment of all earnings. Any possible tax liabilities incurred by the taxable accounts have not been reflected in the net performance. Composite performance results are time-weighted net of Thetrading returns commissions for the accounts and other in the transaction Composite costs are including calculated non-recoverable using a time-weighted withholding rate of taxes. return Policies adjusted for for valuing weighted portfolios, cash flows. calculating The returns performance, for the commingled and preparing funds compliant in the Compositepresentations are are calculated available daily upon using request. net asset values (NAV), adding back the funds' total expense ratio or equivalent. Trade date accounting is used since inception and market values include interest income accrued on securities held within the accounts. The returns for the accounts in the Composite are calculated using a time-weighted adjusted for weighted cash flows. The returns for the commingled funds in the CompositeComposite returnsare calculated are measured daily using against net asseta benchmark, values (NAV), when addingapplicable. back The the benchmarkfunds' total isexpense unmanaged ratio orand equivalent. provided Tradeto represent date accounting the investment is used environment since inception in existence and market during values the timeinclude periods interest shown. income For accrued comparison on securities purposes, held its performancewithin the accounts. has been linked in the same manner as the Composite. The benchmark presented was obtained from third party sources deemed reliable but not guaranteed for accuracy or completeness. Benchmark returns and benchmark three-year annualized ex-post standard deviation are not covered by the report of independentComposite returns verifiers. are measured against a benchmark, when applicable. The benchmark is unmanaged and provided to represent the investment environment in existence during the time periods shown. For comparison purposes, its performance has been linked in the same manner as the Composite. The benchmark presented was obtained from third party sources Internaldeemed dispersion reliable but is notcalculated guaranteed using for the accuracy asset-weighted or completeness. standard deviationBenchmark of returnsannual grossand benchmark returns of three-yearthose portfolios annualized that were ex-post included standard in the deviation Composite are fornot the covered entire byyear. the For report each of annualindependent period, verifiers. accounts with less than 12 months of returns are not represented in the dispersion calculation. Periods with five or fewer accounts are not statistically representative and are not presented. The three-year annualized ex-post standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. The three-yearInternal dispersion annualized is calculatedex-post standard using the deviation asset-weighted is not presented standard for deviation periods ofwhere annual 36 grossmonthly returns returns of thoseare not portfolios available that for werethe composite included inor the the Composite benchmark. for Any the gross entire total year. three-year For each annualizedannual period, ex-post accounts standard with deviation less than measures 12 months prior of returnsto 2011, are included not represented within the in"Examination the dispersion Period" calculation. identified Periods above, with are fivenot coveredor fewer byaccounts the report are of not independent statistically verifiers. representative and are not presented. The three-year annualized ex-post standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. The Pastthree-year investment annualized results ex-post are not standard indicative deviation of future is investmentnot presented results. for periods Information where contained 36 monthly herein returns is believed are not availableto be accurate, for the butcomposite cannot orbe the guaranteed. benchmark. Employees Any gross and/or total three-year clients of Westernannualized Asset ex-post may standardhave a position deviation in themeasures securities prior mentioned. to 2011, included within the "Examination Period" identified above, are not covered by the report of independent verifiers. WesternPast investment Asset's resultslist of compositeare not indicative descriptions of future is available investment upon results. request. Information Please contactcontained Derek herein Fan is atbelieved 626-844-9465 to be accurate, or [email protected]. but cannot be guaranteed. All Employees returns for and/or strategies clients of withWestern inception Asset prior may to have January a position 1, 2010 in theare securitiesavailable uponmentioned. request. Western Asset's list of composite descriptions is available upon request. Please contact Derek Fan at 626-844-9465 or [email protected]. All returns for strategies with inception prior to January 1, 2010 are available upon request.

For more information on Western Asset visit our website at www.westernasset.com Western Asset 4 WesternJuly Asset 2020 For more information on Western Asset visit our website at www.westernasset.com Western Asset