yield curve steepened. WTI oil rose $9.30/barrel WTI steepened. curve (+17.8%) to $61.50 and rose 1.11% from to 1.44%, and the front-to-intermediate segment of the During rose the month 500 2.6%, the S&P the yield onthe 10-year UST the Senate vote. for its Biden’s $1.9 trillion Covid-relief package, then sent the legislation onto In the final days of month,the House Representativesthe of passed President “is likely to take time” some to achieve. the economy until “substantial progress has made,” been further which stance, notingpolicy that the would Fed continue toto offer support reaffirmedFed’s the commitment to maintaining an accommodative Financialthe House Committee. Services During his testimony, Powell to both the Senate report Committee policy Banking and monetary Toward Chair Fed month-end, Jerome Powell delivered asemiannual initial weaker but sales and continuing than expected jobless claims. Throughout the month economic data releases were mixed, withstrong yields higher(UST) onthe month. raisingbanks rates earlier than previously anticipated, sending US Treasury mightgrowth cause inflationarypressures and could result in central tobegan anticipate that the additionalstimulus fiscal and highernear-term of a robust spending the Bidenfrom administration. package Markets against a backdrop of slowing COVID-19 counts case and the anticipation Optimism over continued the global outlook to rise during the month Review Market environments and this returns. from position detracted rate against as a hedge hedges risk-offfailing and economic reopening the whole, remain the sector. strong holds supporting fund interest- The (ABS) contributed sector to returns and US consumer balance on sheets, deal-specific The idiosyncraticdevelopments. asset-backed securities new-issue CMBS large loan credit deals returns from due to detracted even though certain well in the portfolio as performed awhole sector New-issue commercial MBS (CMBS) performance. The from detracted (Fed) intervention.continued Federal Reserve and less direct uncertainty already aV-shaped experienced recovery spreads but have lagged due to residentialprices for structured many By housing securities. metrics, has lendingmortgage rates remain low, leading to tighter spreads and higher gage applications has while surprised to the upside part, for the most remainedsecurities difficultsource. to Recent housing on data mort and continue positive seeing data releases onthe US housing market. Legacy NARMBSas also legacy contributed securities to as we performance issued securities transfer (CRT) by Fannie Mae and Freddie Mac as well During the month, residential non-agency MBS (NARMBS) Review Performance 2021.month of February composite Product Structured The returned -0.17% gross for of the fees FEB 2021 Highlights Investment - Attribution were generally tighter Bank of New for the month. Federal Reserve The rate ABS returned 0.56% while Spreads fixed-rate ABS 0.00%. returned JPMorganThe Asset-Backedwas up Index 0.15% for the month. Floating- toward amore fulsomereopening. will benefit as COVID-19economy and the begin moves to lift restrictions than conduitbetter collateral. We believe sponsors SASB equity withstrong are improving. Single Single Asset Borrower (SASB) collateral is performing also building as in reopening this continues sector cash flows and properties commercial remains behind sector in terms further of recovery, momentum is prices into rebounded the new year, up 3.3% 2020. January from While the December,from nearly 100 bps higher than the pace of a year ago. Office before COVID-19 according rose index 1.2% struck, The to RCA. in January 6.9% year-over-year (YoY) in January, climbing back near rates growth seen hasthe index an OAS of 531 rose Index US The bps. National All-Property 26 bps tighter for the month, reaching 70 bps while the rated BBB piece of -1.05% for the month. -adjusted The spread (OAS) was of the index Bloomberg BarclaysThe atotal CMBS posted Agency Non Index return of Realtors.of history,in quarter, surged in the fourth according to National Association gain in November. US rates by the lowest prices, mortgage home fueled values climbed 10.1% in December ayear from earlier following a9.2% to CoreLogic of property 252 Index S&P The bps. Case-Shiller 20-City widening by 22 bps to 418 by widened 28 mortgages bps Legacy bps. According to JPMorgan, CRT markets the month closed withspreads Valuations generally versus strengthened emerging market (EM) . the US dollar was mixed versus market developed (DM) currencies but Source: Western Asset. As of 28Source: of Feb 21 Western As Asset. CMBS NARMBS Representative Portfolio Total Accounting Difference Other Treasury Credit Hedge ABS New IssueNew CMBS CMBSLegacy Pre-2007/Other NARMBS Fannie Mae/Freddie Mac Credit Securities Feb 2021Feb (%) -0.34 -0.04 -0.68 -0.11 0.00 0.06 0.08 0.33 0.01 0.01 Structured Product

York released its quarterly report on household and credit for the to continue recovering. We believe SASB non-agency mortgages secured final three months of 2020. Credit card balances increased in the fourth by high quality commercial properties with strong equity sponsors will quarter by $12 billion, a modest seasonal increase following the sharp $76 benefit as COVID-19 restrictions begin to lift and, again, as the economy billion contraction in the second quarter and $10 billion decrease in the moves toward a more fulsome reopening. third. Credit card balances are $108 billion lower than they had been at the end of 2019, the largest yearly decline seen since the series began in The combination of better than expected fundamentals with depressed 1999, consistent with continued weakness in consumer spending as well valuations suggests significant potential for the asset class to generate as paydowns by card holders. Auto loan balances increased by $14 billion strong performance. The largest dislocated opportunities are in residential in the fourth quarter, while student loan balances increased by $9 billion. and commercial mortgage credit, which are sectors that have not received the benefit of a Fed backstop and have lagged other credit sectors in the Positioning Changes rebound since March. From a technical standpoint, mortgage credit (both During the month, we have increased exposure to ABS and NARMBS, and residential and commercial) has lagged corporate credit in the post-Covid to non-agency CMBS sectors. recovery as there has not been explicit policy support from the Fed for much of the structured credit asset class and there are uncertainties Investment Outlook impacting certain subsectors collateral performance. In corporate credit, The COVID-19 pandemic fears have turned into “reopening” optimism. the Fed’s purchase programs included significant support for investment- However, credit spreads remain wider relative to pre-Covid levels in grade-rated securities (down to BBB rated securities) and even fallen angel spite of strong consumer and US housing fundamentals. Home price credits in the high-yield segment. Within mortgage and consumer credit appreciation (HPA) posted a YoY gain of 10.4% in December 2020. Fueling markets, only AAA rated conduit CMBS and new-issue AAA rated ABS the housing boom of the post-Covid world are historically low mortgage have been supported by the Fed, which has resulted in a full recovery rates, a dismal lack of supply on the market, tight lending conditions of spread-widening in these subsectors. The team believes mortgage and a rebirth of household formations. Consumer fundamentals have credit offers value backed by real assets that benefit from a rising inflation improved post-Covid with increased savings rates, revolving consumer environment and can generate attractive risk-adjusted returns. The holdings credit outstanding YoY and lower interest rates that have decreased debt in the structured product representative portfolio are secured by assets burdens to the lowest levels in 20 years. While the commercial sector with low loan-to-value ratios and high quality borrowers with significant remains further behind in terms of recovery for certain property types recovery value and low default risk. The team believes the strong total hit hardest by the pandemic such as hotels and retail, the reopening of return potential and diversification benefits will provide value to investors. economies supported by the release of multiple effective Covid vaccines should be a positive catalyst for commercial non-agency mortgage spreads For more information on Western Asset, visit westernasset.com.

© Western Asset Management Company, LLC 2021. 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”) (FRN 145930). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK as defined by the FCA. This communication may also be intended for certain EEA countries where Western Asset has been granted permission to do so. For the current list of the approved EEA countries please contact Western Asset at +44 (0)20 7422 3000.

Western Asset 2 February 2021 Structured Product Performance and Risk Disclosures February 28, 2021 © Western Asset Management Company, LLC 2021. 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 28and Feb reflects 21 the current 29 Feb opinions 20 of 28Western Feb Asset. 19 Information 28 Feb contained 18 28herein Feb is believed17 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-4.74% should consider its 8.86% appropriateness 6.21%having regard to your 12.26% objectives, financial 10.63% 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-5.46% of residence. 8.06% 5.42% 11.43% 9.81% WesternBase CurrencyAsset 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”) (FRN 145930). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK as defined by the FCA. This communication may also Pastbe intended investment for certain results EEA countries are not where indicative Western Asset of futurehas been investment granted permission results. to do Source so. For the for current performance list of the approved figures EEA is countries Western please Asset. contact Please Western referAsset at to +44 the (0)20 7422 3000. Performance Disclosure for more information. exchange rate fluctuations will impact the value of your investment. The value of 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. 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 February 2021 Western Asset 3 February 2021 Performance Disclosure December 31, 2020 Structured Product Performance Disclosure Structured Product Composite December 31, 2020 © Western Asset Management Company, LLC 2021. This publicationComposite is the Inception property of Date: Western 08/01/2007 Asset and is intended | Composite for the sole Creation use of its Date: clients, 05/28/2009 consultants, and other intended recipients. It should not be forwarded to any other person.No. of Contents Gross herein Total should be Nettreated Total as confidentialBenchmark and proprietary GrossStructured information. Total ProductBenchmark This material Composite Total may not beInternal reproduced or usedMkt. in Valueany form or mediumPercentage without ofexpress writtenFirm permission.Assets Accts Return Return Total Return 3-Yr St Dev 3-Yr St Dev Dispersion USD Mil Firm Assets USD Mil Past2011 results are not1 indicative of-2.28% future investment-2.77% results.Composite This publication-na- Inception is for Date:informational 9.21% 08/01/2007 purposes | only-na-Composite and reflects Creation the-na- current Date: 05/28/2009opinions 375of Western Asset. Information 0.08% contained herein 443,140 is believed to2012 be accurate, No.but1 cannotof beGross 22.65% guaranteed. Total Opinions Net22.05% Total represented Benchmark are-na- not intended Grossas an 6.41% offer Total or solicitation Benchmark -na- with Total respect toInternal the-na- purchase or Mkt.sale 461 Valueof any security andPercentage are 0.10% subject ofto changeFirm without 461,891 Assets notice. Statements2013 in thisAccts2 material should Return8.70% not be considered Return8.16% investmentTotal advice.-na- Return Employees 3-Yr and/or 4.88% St Dev clients of3-Yr Western-na- St Dev Asset may Dispersionhave-na- a position in theUSD securities775 Mil mentioned.Firm This 0.17% Assets publication has beenUSD 451,632 prepared Mil without20142011 taking into61 account your -2.28%5.49% objectives, financial -2.77%4.90% situation or-na- -na-needs. Before acting 3.82%9.21% on this information,-na--na- you should consider-na--na- its appropriateness 998375 having regard to 0.21%0.08%your objectives, financial 466,036443,140 situation 1 or2015 2012needs. It is your71 responsibility 22.65% 2.55% to be aware of 22.05% and1.79% observe the applicable-na--na- laws and 2.85%6.41%regulations of your-na--na- country of residence. 1.49%-na- 1,255 461 0.29%0.10% 433,747461,891 20162013 52 5.07%8.70% 4.29%8.16% -na--na- 2.11%4.88% -na--na- -na--na- 1,498 775 0.36%0.17% 419,207451,632 Western20172014 Asset Management56 13.92%Company 5.49% Distribuidora 13.08% 4.90% de Títulos e -na-Valores-na- Mobiliários 2.45%3.82% Limitada is authorised-na--na- and regulated-na- -na-by Comissão de 1,658 Valores 998 Mobiliários and 0.38%0.21%Banco Central do Brasil. 436,309466,036 Western 201820151 67 6.41%2.55% 5.62%1.79% -na--na- 2.31%2.85% -na--na- 1.10%1.49% 2,3461,255 0.55%0.29% 424,136433,747 Asset Management1 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 2019a2016 holder of a Capital55 Markets 8.33%5.07% Services Licence 7.53%4.29% for fund management-na--na- and regulated 1.43%2.11% by the Monetary-na--na- Authority of Singapore.-na--na- Western Asset 2,4331,498 Management Company 0.53%0.36% Ltd is a registered 455,276419,207 Financial 20201 5 -3.99% -4.71% -na- 13.20% -na- -na- 1,720 0.36% 479,810 Instruments2017 Business5 Operator 13.92% and regulated by 13.08% the Financial Services-na- Agency of Japan. 2.45% Western Asset Management-na- Company-na- Limited is authorised 1,658 and regulated by 0.38% the Financial Conduct 436,309 Authority Description2018 : The6 Western Asset6.41% Structured 5.62% Product strategy-na- provides a broad 2.31% and opportunistic-na- exposure to the 1.10% structured product 2,346 market. The strategy 0.55% aims to maximize 424,136 total return (“FCA”)20191 (FRN 145930).5 This communication 8.33% is intended 7.53% for distribution-na- to Professional 1.43% Clients only if deemed-na- to be a financial-na- promotion in the 2,433 UK as defined by the 0.53%FCA. This communication 455,276 may also beand2020 intended add1 value for certain through5 EEA subsector countries-3.99% whererotation Western and-4.71% security Asset has selection been-na- granted while permission managing 13.20% to overall do so. Forportfolio the current-na- risk. listThe of strategy the approved-na- invests EEA in countries a diversified 1,720 please portfolio contact Westernusing 0.36% all Asset structured at +44 (0)20product 479,810 7422 sectors, 3000. 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: No minimum asset size requirement as of 1/1/2020 (previously $25 million). 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 Theappropriately investment reflects management the guidelines fee scheduleof all accounts for the within separate the Composite. account is .75 of 1% on the first $100 million, .50 of 1% on amounts over $100 million. The investment management fee schedule for the Western Asset Opportunistic Structured Securities Portfolio, L.L.C. and the Western Asset Structured Product Opportunities Master Fund, Base Currency: USD | Composite Minimum: No minimum asset size requirement as of 1/1/2020 (previously $25 million). Ltd, which are members of the composite is .75 of 1%. The total expense ratio as of December 31, 2019 for the Western Asset Opportunistic Structured Securities Portfolio, L.L.C. wasCurrent .95 of Fee 1% Schedule:and for the WesternThe investment Asset Structured management Product fee Oppo schedulertunities for Master the separate Fund, Ltd, account was .88 is .75of 1%. of 1% on the first $100 million, .50 of 1% on amounts over $100 million. The investment1 management fee schedule for the Western Asset Opportunistic Structured Securities Portfolio, L.L.C. and the Western Asset Structured Product Opportunities Master Fund, Ltd,More which than are10% members of the market of the value composite was comprised is .75 of of1%. securities The total that expense were valued ratio internally as of December using subjective 31, 2019 unobservable for the Western inputs Asset. Opportunistic Structured Securities Portfolio, L.L.C. was .95 of 1% and for the Western Asset Structured Product Opportunities Master Fund, Ltd, was .88 of 1%. 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, 2019. inputs.

AWestern firm that Asset claims claims compliance compliance with the with GIPS the standards Global Investment must establish Performance policies and Standards procedures (GIPS®) for complying and has with prepared all the applicableand presented requirements this report of the in GIPScompliance standards. with the Verification GIPS providesstandards. assurance Western on Asset whether has been the firm's independently policies and verified procedures for th e related periods to from composite January and 1, pooled1993 to fund December maintenance, 31, 2019. as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The Structured Product Composite has been examined for theA firm period that from claims January compliance 1, 2010 with to December the GIPS 31,standards 2019. Themust veri establishfication andpolicies performance and procedures examination for complying reports are with available all the upon applicable request. requirements of the GIPS standards. Verification provides assurance on whether the firm's policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of Forperformance, GIPS® purposes, have been the designed Firm is definedin compliance as Western with the Asset, GIPS a standardsprimarily fixed-income and have been investment implemented manager on a comprisedfirm-wide basis. of Western The Structured Asset Management Product Composite Company, has LLC; been Western examined Asset for Managementthe period from Company January Distribuidora1, 2010 to December de Títulos 31, e 2019. Valores The Mobiliários verification Limitada and performance is authorized examination and regulated reports by are Comissão available de upon Valores request. Mobiliários and Banco Central do Brazil; 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.For 200007692RGIPS® purposes, is a holder the Firm of ais Capital defined Markets as Western Services Asset, Licence a primarily for fund fixed-income management investment and regulated manager by the comprised Monetary of Authority Western of Asset Singapore; Management Western Company, Asset Management LLC; Western Company Asset Ltd,Management a registered Company Financial Distribuidora Instruments de Business Títulos Operatore Valores and Mobiliários regulated Limitada by the Financial is authorized Services and Agencyregulated of Japan;by Comissão and Western de Valores Asset Mobiliários Management and Company Banco Central Limited do is Brazil;authorised Western and regulatedAsset Management by the Financial Company Conduct Pty Ltd Authority ABN 41 ("FCA") 117 767 (FRN 923 is145930), the holder with of offices the Australian in Pasadena, Financial New Services York, London, Licence Singapore, 303160; Western Tokyo, Melbourne,Asset Management São Paulo, Company Hong Kong,Pte. Ltd. and Co. Zürich. Reg. EachNo. 200007692R Western Asset is acompany holder of is a a Capital wholly Marketsowned subsidiary Services Licenceof Franklin for Resources,fund management Inc. but andoperates regulated autonomously, by the Monetary and Western Authority Asset, of Singapore; as a Firm, Western is held out Asset to the Management public as a Companyseparate entity.Ltd, a registeredWestern Asset Financial Management Instruments Company Business was Operator founded and in 1971.regulated Specialist by the InvestmentFinancial Services Manager Agency of Franklin of Japan; Resources, and Western Inc. since Asset July Management 31, 2020. ThisCompany communication Limited is authorisedis intended and for distributionregulated by to theProfessional Financial ClientsConduct only Authority if deemed ("FCA") to be (FRN a financial 145930), promotion with offices in the inUK Pasadena, as defined New by the York, FCA. London, This communication Singapore, Tokyo, may alsoMelbourne, be intended São forPaulo, certain Hong EEA Kong, countries and Zürich.where WesternEach Western Asset Assethas been company granted is permissiona wholly owned to do subsidiary so. For the of cur Franklinrent list Resources, of the approved Inc. but EEA operates countries autonomously, please contact and Western Western Asset Asset, at +44as a (0)20 Firm, 7422 is held 3000. out to the public as a separate entity. Western Asset Management Company was founded in 1971. Specialist Investment Manager of Franklin Resources, Inc. since July 31, 2020. This communication is intended for Gross-of-feesdistribution to returnsProfessional are presented Clients only before if deemed management to be a fees,financial but promotionafter all trading in the expenses. UK as defined Net- ofby-fees the FCA. results This are communication calculated using may aalso model be intended approach for whereby certain EEA the countries current highest where tierWestern of the Asset appropriate has been strategy's granted permission fee schedule to do is used.so. For Effective the current January list of 1,the 2020, approved for annual EEA countries periods whereplease the contact actual Western account Asset weighted at +44 fees (0)20 are 7422higher 3000. than the composite model fee, the actual account weighted fees will be used for the net-of-fee composite return calculations. Net-of-fee composite return calculations using actual account weighted fees may include fundGross-of-fees returns thatreturns incur are higher presented fees before than thosemanagement applied fees, to separately but after all managed trading expenses. accounts. TheNet- ofportfolios-fees results in the areComposite calculated are usingall actual, a model fee-paying approach and performance whereby the fee-paying, current highest fully discretionarytier of the appropriate accounts managed strategy's by fee the schedule Firm for at is least used. one Effective full month. January Investment 1, 2020, results for annual shown periods are for wheretaxable the and actual tax-exempt account accountsweighted feesand includeare higher the than reinvestment the composite of all model earnings. fee, Anythe actual possible account tax liabilities weighted incurred fees will by be theused taxable for the accounts net-of-fee have composite not been return reflected calculations. in the Net-of-fee net performance. composite Policies return for calculations valuing investments, using actual calculating account performance, weighted fees and may preparing include GIPSfund returnsReports thatare available incur higher upon fees request. than those applied to separately managed accounts. The portfolios in the Composite are all actual, fee-paying and performance fee-paying, fully discretionary accounts 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. CompositeAny possible returns tax liabilitiesare measured incurred against by the a benchmark, taxable accounts when applicable. have not been The reflectedbenchmark in is the unmanaged net performance. and provided Policies to for represent valuing investments,the investment calculating environment performance, in existence and during preparing the timeGIPS periods Reports shown. are available For comparison upon request. purposes, its performance 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 Benchmarkdeviation of returnsannual andgross benchmark returns of three-year those portfolios annualized that were ex-post included standard in the deviation Composite are notfor coveredthe entire by year. the reportPeriods of withindependent five or fewer verifiers. 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. Internal dispersion is calculated using the asset-weighted standard deviation of annual gross returns of those portfolios that were included in the Composite for the entire year. Periods Pastwith fiveinvestment or fewer results accounts are arenot notindicative statistically of future representative investment and results. are not Information presented. contained The three-year herein annualizedis believed ex-postto be accurate, standard but deviation cannot measures be guaranteed. the variability Employees of the and/or composite clients and ofthe Western benchmark Asset returns may have over athe position preceding in the 36-month securities period. mentione d. WesternPast investment Asset's listresults of composite are not indicative descriptions, of future limited investment distribution results. pooled Information fund descriptions, contained and herein broad is believeddistribution to pooledbe accurate, funds butare cannotavailable be uponguaranteed. request. Employees Please contact and/or Derek clients Fan atof 626-844-9465Western Asset or may [email protected]. have a position in the securities All returns mentione for d.strategies with inception prior to January 1, 2011 are available upon request.

GIPS®Western is Asset's a registered list of trademarkcomposite ofdescriptions, CFA Institute. limited CFA distribution Institute does pooled not fund endorse descriptions, or promote and thisbroad organization, distribution norpooled does fund it warrants are available the accuracy upon request.or quality Please of the contactcontent Derek Fan containedat 626-844-9465 herein. or [email protected]. All returns for strategies with inception prior to January 1, 2011 are available upon request.

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.

For more information on Western Asset visit our website at www.westernasset.com Western Asset 4 FeWesternbruary 2021Asset For more information on Western Asset visit our website at www.westernasset.com Western Asset