WESTERN ASSET CURRENT MARKET MUNI PORTFOLIOS

3Q 2017 Separately Managed Accounts WESTERN ASSET CURRENT MARKET MUNI PORTFOLIOS INVESTMENT PRODUCTS: NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE

Introduction Legg Mason Meet our investment managers Having honed their expertise over many decades and market cycles, our global asset managers offer specialized capabilities across a scope of asset classes and strategies Each skilled team operates with independent vision to help deliver powerful financial solutions for both individuals and institutions Global value investing Pursuing value since 1986 across equity and fixed income, globally and in the US Historically institutionally focused, the firm has both a boutique s agility and a leader s stability and resources Real estate investment specialists Clarion Partners is a leading private equity and debt real estate investment manager established in 1982 Clarion invests in the Americas across a broad range of property types and risk profiles, with the goal of consistently creating value for its clients Quality-focused equity Global investment manager with over 50 years of experience and long-tenured portfolio managers who seek to build income, high active share or low volatility portfolios Global alternative investments One of the world s largest hedge fund investors, recognized as a global leader in structuring comprehensive alternative investment strategies for institutional and high net worth clients Active equity specialists An active equity specialist that builds global, stock-driven portfolios based on fundamental research, devoting all of its resources to delivering optimum investment outcomes and superior client relationships Systematic investment solutions Creates innovative solutions within a quantitative framework The firm takes a consultative approach to global asset management, and applies complementary behavioral and fundamental market insights to manage portfolios with a repeatable, risk-aware process Global listed infrastructure investing RARE is a dedicated infrastructure investment manager focused on global listed infrastructure investments Established in 2006, RARE has grown to become one of the largest listed infrastructure managers globally Small-cap equity Royce is a small-cap specialist with unparalleled knowledge and experience, offering distinct investment approaches to meet a variety of investors goals Fixed income One of the world s leading global fixed income managers Founded in 1971, the firm is known for team management, proprietary research and a long-term fundamental value approach Active share is a measure of the percentage of stock holdings in a manager s portfolio that differs from the benchmark index 2

Introduction Western Asset Western Asset Management Approach and Philosophy Western Asset is a global investment management firm committed to understanding the needs of each client, identifying investment solutions, and delivering superior long-term investment results Team-managed approach Team unites groups of specialists dedicated to different market sectors Each group of sector specialists utilizes its expertise in bottom-up analysis of each portfolio sector Investment Philosophy Long-term, fundamental value discipline Bottom-up Top-down Diversified strategies Depth of resources Global Integrated analytics and risk management Relative value analysis Transparency and communication Objective-Driven Investing Seeks to: Preserve Principal Money Markets Limited Duration Protect From Rising Rates Adjustable Rate Bank Loans Protect From Inflation US TIPS Global Inflation-Linked Active Currency Diversify Globally Global Sovereign Global Infrastructure Debt Core Fixed Income Intermediate Core Core Full Discretion Investment-Grade Credit Agency Mortgage-Backed Generate Total Return Total Return Unconstrained Global Total Return Global Multi-Sector Dynamic Fixed Income Credit Opportunities MBS Opportunities Emerging Market Opportunities Enhance Income Short-Duration High Income Emerging Markets Debt High Yield Diversified High Income Structured Products/REIT/ CLO Increase Alpha Global Credit Absolute Return Macro Opportunities Hedge Liabilities Long Duration Long Credit Liability-Driven Investing Global Core/Core Full Discretion Tail Risk Protection Global Credit 3

Introduction Western Asset Global Breadth and Local Depth Total AUM: $4351 billion 8 Countries (9 Offices) Total employees: 851 Investment Professionals: 126 Pasadena (HQ) Managed: $2281 Serviced: $1882 Investment Professionals: 56 Total Staff: 571 New York Managed: $1265 Serviced: $1054 Investment Professionals: 23 Total Staff: 88 São Paulo Managed: $132 Serviced: $124 Investment Professionals: 17 Total Staff: 64 London Managed: $357 Serviced: $309 Investment Professionals: 16 Total Staff: 64 Dubai Serviced: $310 Total Staff: 1 Hong Kong Total Staff: 1 * Singapore Managed: $56 Serviced: $206 Investment Professionals: 5 Total Staff: 22 Tokyo Managed: $66 Serviced: $404 Investment Professionals: 4 Total Staff: 24 Melbourne Managed: $194 Serviced: $62 Investment Professionals: 5 Total Staff: 17 * Splits time between Hong Kong and Singapore offices As of 9/30/2017 4

Introduction Western Asset Potential benefits of active management While active fixed income management does not guarantee superior performance and may entail additional risks beyond those in passive portfolios it does offer a number of potential benefits May provide opportunity for growth through focus on total return versus focus on yield alone Rising Unclear Falling Flexibility to pursue market opportunities Ongoing monitoring and portfolio restructuring based on changing conditions Interest Rates Portfolio Positioning Defensive Neutral Positive Maturity Positioning Shorten Neutral Lengthen Risk management including duration management, yield curve positioning and other strategies All fixed income investments are subject to interest rate risk As interest rates rise, the price of fixed income securities fall This chart is for illustrative purposes only and does not represent the performance of any specific investment 5

Your investment portfolio Current Market Muni Western Asset Current Market Muni Portfolios Overview The Current Market Muni Portfolios invest in municipal bonds for substantial individual and taxable institutional investors The portfolio benchmarks to the Bloomberg Barclays 5-Year Municipal Bond Index with a typical duration of +/- 20% of the benchmark Key differentiators Team-managed approach Utilize a team of municipal bond sector specialists Leverage Western Asset Management resources Institutional-caliber buying power and trading expertise Access to proprietary municipal bond research team Exclusive focus on fixed-income management Ability to customize the portfolio to meet client needs, including state-specific and state-biased portfolios Philosophy Long-term Seek out the greatest long-term value by thoroughly analyzing a wide range of sectors of the municipal fixed-income market Value oriented We seek to identify and favor sectors and issues that are undervalued or out of favor in the market Diversified strategies Results do not depend on only one or two opportunities; multiple themes are employed in portfolios Diversification seeks to limit the impact of a single adverse market event Strive to add incremental value over time and potentially reduce volatility Sector rotation The Current Market Muni Portfolios solely focus on investment-grade securities within the municipal bond market These securities are similar to those represented within the Bloomberg Barclays 5-Year Municipal Bond Index Objectives The strategy seeks to: provide total return over a market cycle, consisting of capital gain (taxable) and income that is exempt from regular US income tax The Bloomberg Barclays 5-Year Municipal Bond Index is a market-value-weighted index representative of the medium term (4 to 6 years) tax-exempt bond market 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 Performance, portfolio characteristics and risk information contained in this material is for the Current Market Muni composite, which includes national, state-specific and state-biased Current Market Muni portfolios Individual client portfolio performance, characteristics and risk may differ, sometimes significantly, from that shown A client who resides or pays taxes in NY, NJ, MA, CA or CT may automatically be given a state-specific portfolio for the corresponding state unless the client specifically selects a national or state-biased portfolio Accordingly, when selecting a Current Market Muni portfolio, such a client should specify whether the portfolio is national, state-specific or state-biased Western Asset may limit the states for which state specific or state biased portfolios are available Because state-specific and state-biased portfolios focus on individual states, they are more vulnerable to losses caused by adverse developments in those states than are national portfolios, which diversify investments across multiple states 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 Fixed income securities are subject to illiquidity risk, which is the risk that securities may be difficult to sell at certain prices when no market participants are willing to purchase the securities at such prices State-specific and state-biased portfolios within this Portfolio focus on individual states and are more vulnerable to losses caused by adverse developments in those states than are national portfolios, which diversify investments across multiple states For tax-exempt securities, certain investors may be subject to the federal Alternative Minimum Tax (AMT), and state and local taxes will apply Capital gains, if any, are fully taxable Depends on individual tax situation Please see Disclaimer for important tax information Diversification does not assure a profit or protect against market loss Tapering of the Federal Reserve Board s quantitative easing program and a general rise in interest rates may lead to increased portfolio volatility 6

Your investment portfolio Current Market Muni Western Asset Current Market Muni Portfolios investment process Interest Rate Exposure/ Duration Weighting Western s investment team comprehensively analyzes a variety of domestic and international macroeconomic factors to establish a duration target Term Structure Weighting The Firm carefully employs strategies in an attempt to take advantage of changes in the yield curve s shape and shifts in the relationship between short-, intermediate-, and long-maturity securities Sector Allocation Western Asset believes that the value can be added to a portfolio by actively rotating among, and within, different sectors of the bond market The investment team studies the fundamental factors that influence sector spread relationships Issue Selection Using a bottom-up process, the Firm seeks to identify issuers with changing credit characteristics and securities that are undervalued and out of favor due to unusual circumstances The investment process may change over time The characteristics set forth 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 investment objectives will be achieved 7

Strategy characteristics & performance Fixed Income Portfolio characteristics Fixed Income Portfolio characteristics as of Sept 30, 2017 Maturity (%) Sector weightings (%) 0-1 1398 Revenue 6620 General Obligation 2971 Pre-Refunded 409 1-3 2339 Years (%) 3-5 5-7 1901 2084 7-10 1931 10+ 347 0 5 10 15 20 25 30 Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Current Market Muni program composites and are subject to change at any time Sector weightings and portfolio characteristics of individual client portfolios in these programs may differ, sometimes significantly, from those shown above This information does not constitute, and should not be construed as, investment advice or recommendations with respect to the sectors or securities listed and should not be used as a sole basis to make any investment decisions Source: InvestorTools Please see appendix for term definitions 8

Strategy characteristics & performance Fixed Income Portfolio characteristics Fixed Income Portfolio characteristics as of Sept 30, 2017 Credit Quality (%) AAA 2713 AA 5764 A 1493 BBB 029 Not Rated 001 Characteristics Effective Duration (Years) 381 Average Coupon Rate (%) 467 Average Maturity (Years) 452 Yield to Worst (%) 151 Yield to Maturity (%) 160 Sector weightings and portfolio characteristics are based on the aggregate of individual client portfolios in the Current Market Muni program composites and are subject to change at any time Sector weightings and portfolio characteristics of individual client portfolios in these programs may differ, sometimes significantly, from those shown above This information does not constitute, and should not be construed as, investment advice or recommendations with respect to the sectors or securities listed and should not be used as a sole basis to make any investment decisions Source: InvestorTools Please see appendix for term definitions Credit quality is a measure of a bond issuer s ability to repay interest and principal in a timely manner The credit ratings shown are based on each portfolio security s rating as provided by the following Nationally Recognized Statistical Rating Organizations ( NRSRO ): Standard and Poor s ( S&P ), Moody s Investors Service ( Moody s ), Fitch Ratings, Ltd In the event a portfolio security is rated by more than one NRSRO, the higher rating is shown In the case where a security is not rated by an NRSRO, these are listed as Non Rated The credit quality of the investments in the Portfolio does not apply to the stability or safety of the Portfolio These ratings may change over time The Portfolio itself has not been rated by an NRSRO 9

Strategy characteristics & performance Performance Performance Calendar-year total returns gross and net of fees (%) ending December 31 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Current Market Muni (gross) -014 206 231 043 238 631 266 637 525 495 Current Market Muni (net) -162 055 080-106 087 475 114 481 370 340 Bloomberg Barclays Muni 5 Year Index -039 243 319 081 296 693 340 740 578 515 Annualized rates of return gross and net of fees (%) as of Sept 30, 2017 PRELIMINARY MTH QTR YTD 1-year 3-year 5-year 7-year 10-year 15-year 20-year Current Market Muni (gross) -051 057 310 060 169 154 209 324 303 376 Current Market Muni (net) -063 020 196-089 019 004 058 172 151 223 Bloomberg Barclays Muni 5 Year Index -069 068 387 114 198 193 258 381 355 418 The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward) Please visit wwwleggmasoncom for the latest performance figures YTD numbers are not annualized Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges Past performance is no guarantee of future results YTD numbers are not annualized Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance Net performance includes the deduction of a 15% 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, LLC ( LMPPG ), refer to LMPPG s Form ADV disclosure document Returns reflect the reinvestment of dividends and other earnings Please see GIPS Endnotes for additional important information regarding the portfolio s performance shown and for effects of fees Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs 10

Strategy characteristics & performance Performance Risk/return profile (%) Gross of fees (based on 10-year period ending Sept 30, 2017) Modern portfolio statistics as of Sept 30, 2017 4 Current Market Muni Bloomberg Barclays Muni 5 Year Index Current Market Muni Bloomberg Barclays 5- Year Muni Index Annualized return (%) 324 381 Annualized rate of return (%) 3 2 1 Annualized standard deviation (%) 287 313 Sharpe ratio 098 108 Beta 091 N/A Alpha -024 N/A R-squared 098 N/A 0 0 1 2 3 4 5 Risk (% annualized standard deviation) The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward) Please visit wwwleggmasoncom for the latest performance figures YTD numbers are not annualized Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges Past performance is no guarantee of future results Investments involve risk of loss Alpha, Beta, and R-squared are shown versus the Bloomberg Barclays 5-year Municipal Bond Index Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges Please see appendix for term definitions Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance 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, LLC ( LMPPG ), refer to LMPPG s Form ADV disclosure document Please see GIPS Endnotes for additional important information regarding the portfolio s performance and for effects of fees Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs 11

Strategy characteristics & performance Performance Up/Down market capture ratios (%) Gross of fees (based on 10-year period ending Sept 30, 2017) 2 Current Market Muni Bloomberg Barclays Muni 5 Year Index 1 087 100 0 1 091 100 2 Up 79 positive months Down 41 negative months The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward) Please visit wwwleggmasoncom for the latest performance figures YTD numbers are not annualized Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance 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, LLC ( LMPPG ), refer to LMPPG s Form ADV disclosure document Please see appendix for term definitions Please see GIPS Endnotes for additional important information regarding the portfolio s performance and for effects of fees Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs Past performance is no guarantee of future results 12

Strategy characteristics & performance Performance Growth of $100,000 Gross of fees (based on 10-year period ending Sept 30, 2017) $150,000 Current Market Muni Bloomberg Barclays Muni 5 Year Index $145,316 $137,568 $100,000 $50,000 $0 2007 2009 2011 2013 2015 2017 For illustrative purposes only Assumes no withdrawals or contributions These statistics are based on 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 Past performance is no guarantee of future results All investments involve risk, including the loss of principal Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance 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, LLC ( LMPPG ), refer to LMPPG s Form ADV disclosure document Please see GIPS Endnotes for additional important information regarding the portfolio s performance and for effects of fees Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs 13

Appendix Investment Management Team Investment management team Western Asset, one of the world s leading fixed income managers, was founded in 1971 With a focus on long-term fundamental value investing that employs a top-down, bottom-up approach, the firm has nine offices around the globe and deep experience across the range of fixed income sectors Western Asset has been recognized for its emphasis on team management and intensive proprietary research, supported by robust risk management 14

Appendix Performance Endnotes GIPS Endnotes Western Asset Current Market Muni - GIPS Endnotes Schedule of Investment Performance Results December 31 Year Net return(%) Pure 1 gross return (%) Benkmark total return (%) Gross total 3 Yr St Benchmark total 3 Dev (%) Yr St Dev (%) Number of portfolios % of bundled fee portfolios in the composite Internal dispersion Composite assets (%) ($ millions) % of firm assets 2007 340 495 515 1,864 100 024 1,995 032 2008 370 525 578 1,958 100 076 1,942 038 2009 481 637 740 2,122 100 071 2,270 047 2010 114 266 340 2,449 100 053 2,528 056 2011 475 631 693 318 333 2,491 100 078 2,451 055 2012 2 087 238 296 228 242 2,542 100 039 2,248 049 2013-106 043 081 213 238 1,038 100 042 2,177 048 2014 080 231 319 177 214 1,042 100 037 1,981 043 2015 055 206 243 176 213 1,044 100 018 1,856 043 2016-162 -014-039 220 247 1,060 100 017 1,676 039 Western Asset claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards Western Asset has been independently verified for the periods from January 1, 1993 to December 31, 2016 The verification report is 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 procedures are designed to calculate and present performance in compliance with the GIPS standards The verification does not ensure the accuracy of any specific composite presentation For GIPS purposes, the Firm is defined as Western Asset, a primarily fixed-income investment manager comprised of Western Asset Management Company, Western Asset Management Company Limited, Western Asset Management Company Pte Ltd, Western Asset Management Company Ltd, Western Asset Management Company Pty Ltd, and Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, with offices in Pasadena, New York, London, Singapore, Tokyo, Melbourne, São Paulo, Hong Kong, and Dubai Each Western Asset company is a wholly owned subsidiary of Legg Mason, Inc ( Legg Mason ) but operates autonomously, and Western Asset, as a firm, is held out to the public as a separate entity Western Asset Management Company was founded in 1971 The Firm is comprised of several entities as a result of various historical acquisitions made by Western Asset and their respective performance has been integrated into the Firm in line with the portability requirements set forth by GIPS Effective April 2007, Western Asset manages these portfolios as sub-advisor to its affiliate, Legg Mason Private Portfolio Group, LLC From January 2006 through March 2007, Western Asset portfolio managers managed these portfolios as dual employees of ClearBridge Advisors, LLC, and ClearBridge Asset Management Inc (each a Western Asset affiliate), following Western Asset s investment process and having access to Western Asset s investment resources, expertise and investment outlook Western Asset Current Market Muni portfolios are discretionary fixed-income portfolios that seek total return over a market cycle, consisting of capital gain (taxable) and income that is exempt from regular US income tax Western Asset selects municipal securities for portfolios with a focus on diversification within sectors, regions and high credit quality Western Asset seeks to enhance returns and reduce risks by taking advantage of shifts in the municipal yield curve, credit quality spreads and variations in market sectors The composite is comprised of accounts that are separately managed accounts (SMAs) managed in accordance with the strategy The composite employs a 10% significant cash flow policy The composite was created on January 1, 2006 Effective January 1, 2013, the number of portfolios reflects a change from prior periods due to an aggregation of accounts as reported by one sponsor For periods prior to 2013, the firm excluded accounts designated by the sponsor as client-restricted 2 Effective January 1, 2012, the WA Intermediate Term Muni Composite merged with the WA Current Market Muni Composite as they are the same strategy For comparison purposes, composite returns are shown against returns of the Bloomberg Barclays US Municipal Bond Index, 5-Year An investor cannot invest directly in an index 1 Pure gross returns are presented as supplemental information to the net returns The current fee schedule is 150% on all assets Net returns are calculated by deducting the anticipated maximum annual bundled fee applied on a monthly basis from the pure gross monthly return The bundled fee includes all charges for trading costs, portfolio management, custody, and other administrative fees Bundled fees may vary across different financial firms and across different accounts based upon account size and other factors Returns and market values are expressed in USD Dispersion is calculated using the asset-weighted standard deviation of annual returns of those portfolios that were included in the composite for the entire year (equal-weighted prior to 2014) 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 Standard deviation is not presented for periods where 36 monthly returns are not available for the composite or the benchmark Past investment results are not indicative of future investment results Western Asset s list of composite descriptions and policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request Please contact Ellen Cammer at 212-601-6064 or EllenCammer@westernassetcom 15

Appendix Index Definitions Definitions Index Definitions The Bloomberg Barclays 1-3 Year Government Bond Index is a broad measure of the performance of short-term government bonds Please note an investor cannot invest directly in an index The Bloomberg Barclays 1-Year Municipal Bond Index is an unmanaged index composed of national municipal bond issues with a maturity range of 1-2 years The Bloomberg Barclays 5-Year Municipal Bond Index is a market-value-weighted index representative of the medium term (4 to 6 years) tax-exempt bond market The Bloomberg Barclays Asset-Backed Securities Index is composed of debt securities backed by credit card, auto and home equity loans that are rated investment grade or higher by Moody s Investors Service, Standard & Poor s Ratings Service or Fitch Investor s Service, in that order Issues must have at least one year to maturity and an outstanding par value of at least $50 million Price, coupon and total return are reported on a month-end to month-end basis All returns are market value-weighted inclusive of accrued interest but do not include adjustments for advisory fees or other expenses The Bloomberg Barclays Fixed-Rate Mortgage-Backed Securities Index is composed of about 600 15- year to 30-year fixed-rate mortgage-backed pools of Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Corporation The Bloomberg Barclays US Agencies Index is the US Agency component of the US Government/Credit index, consisting of publicly issued debt of US Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the US Government (such as USAID securities) The largest issues are Fannie Mae, the Resolution Trust Funding Corporation (REFCORP), and the Federal Home Loan Bank System (FHLB) The index includes both callable and non-callable agency securities The Bloomberg Barclays US Aggregate Bond Index includes the Government/Credit and the Mortgage-Backed indexes The return comprised price appreciation/depreciation and income as a percent of the original investment Indexes are rebalanced monthly by market capitalization The Bloomberg Barclays US Credit Index is the US Credit component of the US Government/Credit Index consisting of publicly issued US corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements To qualify, bonds must be SEC-registered The US Credit Index is the same as the former US Corporate Investment Grade Index, which has been renamed the US Credit Index The name change is effective as of 6/1/00 (for statistics) and as of 7/1/00 (for returns) The Bloomberg Barclays US Government/Credit Bond Index includes the Bloomberg Barclays US Government bond Index and the Barclays Credit Bond Index The Government Index includes all public US Treasury obligations and the debt of US Government agencies and quasi-federal corporations The Credit Index includes corporates (industrial, utility and finance including both US and non-us corporations) and noncorporates (sovereign, supernational, foreign agencies and foreign local governments) The Bloomberg Barclays US Intermediate Government/Credit Bond Index is a market value weighted performance benchmark for government and corporate fixed-rate debt issues (rated Baa/BBB or higher) with maturities between one and ten years The Bloomberg Barclays US Intermediate Treasury Bond Index is composed of all public obligations of the US Treasury This index has an average current maturity of 369 years (average maturity may vary over time) The Bloomberg Barclays US Treasury Index is a measure of the public obligations of the US Treasury The Citi 90-Day Treasury Bill Index is an index based upon the average monthly yield of the 90-day Treasury bills Treasury bills are secured by the full faith and credit of the US Government and offer a fixed rate of return The Merrill Lynch 1-3 Year Treasury Bond Index is a market capitalization-weighted index including all US Treasury notes and bonds with maturities greater than or equal to one year and less than three years Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges 16

Appendix Term Definitions Definitions Term definitions Maturity is the date at which a debt instrument is due and payable A bond due to mature on January 1, 2010, will return the bondholder s principal and final interest payment when it reaches maturity on that date Bond yields are frequently calculated on a yield-to-maturity basis Duration (Modified 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 Insured municipal bonds are ones where scheduled interest and principal payments are guaranteed by AAA-rated municipal bond insurers General Obligation municipal bonds are backed by the credit and taxing power of the issuing jurisdiction rather than the revenue of a given project Revenue bonds are municipal bonds supported by the revenue from a specific project Pre-refunded bonds are municipal bonds that are generally backed or secured by US Treasury bonds Effective Duration is a duration calculation for bonds with embedded options Effective duration takes into account that expected cash flows will fluctuate as interest rates change Average Maturity is the average length of maturity for all fixed-rate debt instruments held in a portfolio Average Coupon based on the portfolio s underlying holdings, which may differ and are subject to change Coupon rate is the annual coupon payments paid by the issuer relative to a bond s face or par value Yield to Maturity - The rate of return anticipated on a bond if it is held until the maturity date The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity The Sharpe Ratio is a risk-adjusted measure that is calculated using standard deviation and excess return to determine reward per unit of risk The higher the Sharpe Ratio, the better the portfolio s historical adjusted performance Alpha is a measure of the difference between actual returns and expected performance, given the level of risk as measured by Beta, where Beta measures sensitivity to benchmark movements R-Squared measures the strength of the linear relationship between the portfolio and its benchmark R-squared at 10 implies perfect linear relationship and zero implies no relationship exists Standard deviation is based on quarterly data Standard Deviation is a measure of the variability of returns; the higher the standard deviation, the greater the range of performance (ie, volatility) The Capture Ratios measure a manager s composite performance relative to the benchmark, considering only those quarters that are either positive (Up) or negative (Down) for the benchmark An Up Market Capture Ratio greater than 10 indicates a manager who has outperformed the benchmark in the benchmark s positive quarters A Down Market Capture Ratio of less than 10 indicates a manager who has outperformed the relative benchmark in the benchmark s negative quarters 17

Brandywine Global Clarion Partners ClearBridge Investments EnTrustPermal Martin Currie QS Investors RARE Infrastructure Royce & Associates Western Asset Legg Mason is a leading global investment company committed to helping clients reach their financial goals through long-term, actively managed investment strategies A broad mix of equities, fixedincome, alternatives and cash strategies invested worldwide leggmasoncom A diverse family of specialized investment managers, each with its own independent approach to research and analysis Over a century of experience in identifying opportunities and delivering astute investment solutions to clients Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment adviser Client portfolios are managed based on investment instructions or advice provided by one or more of the following Legg Mason-affiliated sub-advisers: ClearBridge Investments, LLC and Western Asset Management Company Management is implemented by LMPPG, the designated subadviser or, in the case of certain programs, the program sponsor or its designee Investments for the program(s) discussed herein are traded primarily in US markets and unless otherwise noted, equity and fixed-income investments for such program(s) are primarily of US issuers In addition, unless otherwise noted, indexes referred to herein represent groups of securities that are issued primarily by US issuers IMPORTANT TAX INFORMATION: Legg Mason, Inc, its affiliates, and its employees are not in the business 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 Gross of fees performance results shown herein do not reflect deduction for investment management fees and transaction costs The performance of individual client accounts will vary and will be reduced by such fees and costs Please review the effect of fees and transaction costs on account performance with your financial professional Investments are not obligations of, and are not guaranteed by, LMPPG or any other Legg Mason Inc affiliate or subsidiary; are not FDIC or government insured; and are subject to risks, including possible loss of the principal amount invested Professional money management may not be suitable for all investors 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 retirement account Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financial professional 2017 Legg Mason Investor Services, LLC, member FINRA, SIPC Legg Mason Investor Services, LLC and Western Asset Management Company are subsidiaries of Legg Mason, Inc FN1313262 SMA0011 PPG-Q317-V1