GLOBAL BOND INVESTING

IN A LOW RATE WORLD

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LEGG MASON WESTERN ASSET

STRUCTURED OPPORTUNITIES FUND

Amanda Stitt

Investment Director

Legg Mason Global Asset Management

1974: First

investment in Agency

RMBS

1987:

First investment

in Non-Agency RMBS

1990: First

investment in ABS

1991: Invested in Resolution

Trust Corporation

(RTC) programs

1991: First

investment in CMBS

2009: Launched

US Treasury

PPIP

Jan 2016: Launched

UCITS Structured

Opportunities Fund

WESTERN ASSET’S MBS/STRUCTURED PRODUCT

EXPERIENCE

Assets Under Management: Dedicated MBS/Structured Product mandates $12.7 billion* Firm wide Structured Products assets under management of $55.6 billion

Source: Legg Mason, as at 30 September 2016. *Included in the Firm wide AUM. 2

Anup Agarwal 19 Years’ Experience

Western Asset Management Company – Head

of MBS/ABS, 2013-

Education

Temple University, M.B.A. Finance

Elliott Neumayer 13 Years’ Experience

Western Asset Management Company –

Product Specialist, 2004-

Education

Loyola Marymount University, M.B.A., B.A

Product Specialist Portfolio Manager

A History of Structured Product Experience and Innovation

2005:

Bought protection

on subordinate

RMBS– first large

protection trade

2007:

Launched Structured

Products Fund

2014

First Commercial

Real Estate

Mezzanine

opportunity

WHY STRUCTURED CREDIT

Provides attractive yield, investing in securities backed by residential, commercial and consumer

loans

Focus on adjustable rate securities and active management of duration provides some immunity in

a rate rising environment

Good diversifier in broader portfolio. Relatively low correlation to other fixed income sectors

Sector to benefit from strong consumer and real estate fundamentals

More dependent on US domestic growth and more sheltered from global economic developments

than other fixed income sectors

Sector has evolved since financial crisis with better underwriting and loan quality leading to a

higher quality asset class over recent years

Underappreciated asset class that we believe is significantly undervalued

* As of 31 July 2016.

Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors.

3

COMPOSITE PERFORMANCE

Source: Western Asset, as at 30 September 2016.

*Information provided is supplemental to the Structured Product Levered Composite as provided in the appendix. ¹Information provided is supplemental to the

Structured Product Composite as provided in the appendix. ²Information provided is supplemental to the Agency MBS Plus Aggregate Composite as provided in

the appendix.

³Information provided is supplemental to the Agency MBS Composite as provided in the appendix.

US MBS = US Mortgage Backed Securities Index, US Broad Fixed-Income = Barclays U.S. Aggregate Index, US Treasury = US Treasury 10-Year Bellwether

Index, Hedge Fund Universe = DJ/CS Hedge Fund Index, Emerging Markets =JPM EMBI Global, US High-Yield = US HY 2% Issuer Capped Index, US Equity =

S&P 500 TR.

4

US MBSUS Broad Fixed-Income

US Treasury

Hedge Fund Universe

Emerging Markets

US High-Yield

US Equity

WA STRUCTURED PRODUCT¹

WA US AGENCY MBS PLUS AGGREGATE²

WA US AGENCY MBS4

-5

0

5

10

15

20

-4 -2 0 2 4 6 8 10 12 14

Rew

ard

(ann

ualiz

ed r

etur

n %

)

Risk (standard deviation %)

5 Years Ending 30 Sep 16*

ProductUS

Treasury

US

MBS

US Broad

Fixed-Income

US

High-Yield

Emerging

Markets

US

Equity

Hedge Fund

Universe

WA Structured Product¹ 2.12 -0.05 0.10 0.09 0.35 0.26 0.23 0.56

WA US Agency MBS Plus Aggregate² 2.34 0.81 0.98 0.87 0.16 0.45 -0.11 0.08

WA US Agency MBS³ 1.23 0.40 0.43 0.43 0.18 0.26 0.01 0.33

Sharpe Ratio 0.47 1.17 1.03 1.30 1.01 1.45 1.13

CorrelationsSharpe

Ratio

LEGG MASON WESTERN ASSET

STRUCTURED OPPORTUNITIES FUND

Inception date: 13 January 2016

Portfolio Targets Investment aim: To maximise total return.

Expected volatility range: 5-7%

Targeted return: 6% to 8%*

Expected duration: <1 year

Fund description Aims to exploit investment opportunities across residential & commercial mortgages and asset-backed securities

Focus on more liquid areas of non-agency mortgage backed securities and asset-backed securities sectors (investment grade and

high yield, various tranches and classes)

Significant floating rate exposure resulting in low sensitivity to interest rate changes

Allocations allowed to agency MBS/ABS, corporate debt and government debt

Opportunistic use of interest rate and credit hedges to minimise downside risks

Portfolio seeks to perform well as US economy improves and rates rise

Investment guidelines No financial leverage

Min 65% in MBS and ABS (not issued or guaranteed by Government-sponsored entities or agencies of the U.S. Government)

Max 35% (in aggregate) in agency MBS/ABS, corporate debt, government debt and cash/cash equivalents

Max 50% in non-USD securities (typically less than 5% non-USD exposure).

Invests in cash bonds, futures, options and other derivatives (max 20% in derivatives on equity indices)

Source: Legg Mason, as at 30 June 2016. Please refer to the LMGF Plc Prospectus for further details of the Fund hard limits. *Yield levels described are

targets and there is no guarantee that they will be met. 5

Residential MBS

Agency MBS (Fannie Mae, Freddie Mac, Ginnie

Mae)

Collateralised mortgage obligations (CMOs)

Pre-2007 non-agency Residential Mortgage Backed

Securities (RMBS)

Post-2007 non-agency RMBS (including

Government Sponsored Enterprises risk transfer

securities)

Commercial MBS

Conduit (multiple loans & properties)

Single borrower

Mezzanine

Commercial real estate collateralised loan

obligations (CRE CLOs)

INVESTMENT UNIVERSE The Fund can invest across the various subsectors of Mortgage Backed Securities (MBS) and Structured

Products, with a focus on consumer, residential and commercial sectors. Primary strategies include:

Source: Legg Mason, as at 30 June 2016. These are internal guidelines and are subject to change. 6

ABS (Consumer)

home equity lines of credit

student loans

unsecured personal loans

auto loans

credit card loans

small business loans

small balance commercial loans

aircraft leases

THE SIZE AND LIQUIDITY OF THE UNIVERSE

Source: Bank of America/Merrill Lynch Global Research, Fannie Mae, Freddie Mac, Ginnie Mae, Intex, Commercial Mortgage

Alert, J.P. Morgan, Federal Reserve Bank, as at 30 September 2016. * As at 31 March 2016.

7

2.8

0.8

5.9

0.6

3.6 3.4

0

1

2

3

4

5

6

7

Non-securitised Commercial Mortgages*

CommercialMBS

Agency MBS Pre '07ResidentialNon-Agency

MBS

ResidentialWhole Loans

Asset Backed

Outstanding Issuance ($trn) USD trn

36.1

31

22.5

0

5

10

15

20

25

30

35

40

CommercialMBS

Pre '07Residential Non-

Agency MBS

Asset Backed

Average Monthly Volumes ($bn) USD bn

Source: Bloomberg, TRACE, since January 2014.

SUB-SECTOR YIELDS

Source: Western Asset, as at 30 September 2016. Past performance is not a reliable indicator of future results. 8

3%

6%

2%

4%

2%

5%

2%

6%

0%

2%

4%

6%

8%

10%

12%

IG Non-IG IG Non-IG IG Non-IG IG Non-IG

6%

10%

4%

7%

3%

8%

4%

10%

Commercial Mortgages Pre ‘07 Residential

Mortgages

Post ‘07 Residential

Mortgages

Consumer Loans

PRE 2007 VS NOW

Loans from pre 2007 RMBS that have defaulted has cleaned out low quality/fraudulent loans and

what remains is seasoned loans with lower loan-to-value levels with more stable cash flows.

9

Loans originated with no assets, no income and no job verification

Appraisal fraud

Loan officer compensation

No risk retention policy on behalf of issuers

Issuer(s) driving origination via reverse inquiry

Weak representation, warranty and enforcement constructs

Funding decisions directed by securitisers

Regulatory changes has reduced ability of banks to lend

Dodd Frank has increased regulation

on lending and risk retention by issuers

Loan underwriting process has improved significantly since the

global financial crisis

Consumer and real estate fundamentals are at historically

attractive levels

Selective process focused on quality borrowers and loans with low loan to

values

Cause(s) of Crisis Regulatory & Rating Agency

Environment Post-Crisis

PEOPLE, PROCESS, PORTFOLIO,

PERFORMANCE

10

MORTGAGE AND ASSET-BACKED INVESTMENT TEAM

As of 30 September 2016.

The above includes both investment and non-investment professionals (analysts and product specialists). 11

Anup Agarwal (19 years) Head of MBS/ABS

Elliott R. Neumayer (13 years) Product Specialist

Kevin X. Zhang (3 years) Product Analyst

Alba Abourjeili, CFA (14 years)

Andre Ashook, CFA (7 years)

Benjamin Birnbaum (10 years)

Greg E. Handler, CFA (16 years)

Sean O. Johnson, CFA (27 years)

Ian Justice (18 years)

Liam P. Lynch (15 years)

MBS/Structured Product

Jenny Park, CFA (11 years)

Sudibyo Pradono (13 years)

Ravi Sharma (11 years)

David F. Shriver (9 years)

Harris A. Trifon (16 years)

Bonnie M. Wongtrakool, CFA (17 years)

Investment Management Professionals

• Chief Investment Officer: S. Kenneth Leech

• Deputy CIO Michael C. Buchanan

• 125 Investment Professionals on five

continents and 7 offices

• 21 years of average experience

Major Investment Committees

• Global Investment Strategy Committee

• Global Credit Committee

• US Broad Market Strategy Committee

• Global Emerging Markets Strategy

Committee

• Unconstrained Asset Allocation Committee

Western Asset Investment Team

Independent Risk Management Function

• Chief Risk Officer Kenneth J. Winston

• Independent evaluation of strategies and

risks in portfolios

• Market and Credit Risk Committee

• 40 investment risk professionals of which

10 are PhDs, across four offices.

Sector and Regional Teams

• Global credit

• Investment grade

• High-yield

• Emerging markets

• MBS/ABS

• Long duration

• US municipal

• Liquidity

• Insurance

• US

• Europe

• UK

• Japan

• Asia

• Brazil

• Australia / New

Zealand

Mortgage and Asset-Backed Investment Team

Risk Management Legal &

Compliance Investment

Support

MBS/ABS INVESTMENT PROCESS

Risk Management

Portfolio Construction

MBS/ABS

Portfolio

Mortgage and Asset-Backed Investment Process and Team Interaction

Security Selection

Strategic

Portfolio

Strategy Committees

Macro and Credit

Investment Outlook

Client Objectives

and Guidelines

Interest Rate Duration

Yield Curve

Credit Quality

Sector

Mortgage and Asset-Backed Team US Broad Strategy Committee

Source: Western Asset, as at 30 June 2016.

12

BOTTOM UP FUNDAMENTAL ANALYSIS FOR

CREDIT SENSITIVE SECURITIES

13

Purchase Decision Due Diligence Process

Security

Evaluation Broad Market

Trends

Analyse macro trends

including real estate,

unemployment and

consumer spending

Follow macro subsector

trends such as regional real

estate, CRE rent growth,

auto sales, used car prices

Evaluate current consumer

behavior, such as debt

burdens and bankruptcy

filings

Understand changes to

credit underwriting

standards

Understand financing

options available to issuers

Recognise servicing industry

dynamics

Follow any government

initiatives affecting loans

Collateral

Analysis

Credit analysis of the issuer

motivation and economics

Evaluate soundness of

issuer underwriting criteria

Review key loan

characteristics

Use historical performance

to construct default and

prepayment curves

Examine trends in collateral

performance metrics

Estimate loss severities

based on current collateral

valuations

Structural

Analysis

Master trusts vs. revolving

vs. discrete structures

Size and thickness of a

tranche

Adequacy of tranche level

credit enhancement

Structural nuances of cash

flow waterfall

Performance and ratings

triggers

Substitution criteria

Issuer influence,

economics and incentives

Scenario

Analysis

Multiple default and

prepayment scenarios

Test triggers to modify

waterfall

Stress recovery by varying

external factors

Liquidity stresses

Structural stresses including

payment priority changes

Analyse to call and/or to

maturity

Source: Western Asset, as at 30 June 2016. These are internal guidelines and are subject to change.

STRUCTURED PRODUCT REPRESENTATIVE

ACCOUNT: HISTORICAL SECTOR ALLOCATION

0%

20%

40%

60%

80%

100%

Asset Backed Cash & Cash Equivalents Commercial Mortgage Backed

Credit Government Residential Mortgage Backed

Other

Source: Western Asset, as at 30 June 2016. For more information on the strategy composite see the composite disclosure in the appendix.

14

Portfolio

Change

(Qtr)

Weight

(%) Sector

Yield*

(%)

37.1 Pre ‘07 Residential Mortgages 5.51

15.5 Alt-A 5.18

17.3 Subprime 5.71

4.3 Prime 5.87

29.1 Post ‘07 Residential Mortgages 4.80

0.3 Agency RMBS IO 6.47

18.5 GSE Risk Transfer 4.57

8.6 Restructured Pre ‘07 Bonds 5.44

1.6 UK Mortgages 3.79

22.3 CMBS 7.26

3.7 Agency CMBS IO 4.95

11.3 Conduit Credit 9.37

0.9 Large Loan Credit 4.33

6.4 Legacy AJ/AM 10.40

2.8 Opportunistic ABS 2.34

0.0 Treasury Derivative -0.17

8.7 Cash 0.45

100.0 Total 5.99

LEGG MASON WESTERN ASSET STRUCTURED

OPPORTUNITIES FUND POSITIONS (30 SEPTEMBER 2016)

Source: Western Asset. Fund inception :13 January 2016. Portfolio characteristics may change without notice.

*Loss Adjusted Yield 15

Floating vs Fixed exposure

Floating 64.67%

Fixed 35.33%

Portfolio is currently 78% non-investment grade

If bonds have interest rate duration, then Western Asset

hedges the duration to zero. The Fund may have some

duration, generally not more than a year, as a hedge for credit

spreads based on economic environment.

LEGG MASON WESTERN ASSET STRUCTURED

OPPORTUNITIES FUND

Source: Legg Mason as at 30 September 2016. NAV to NAV with gross income reinvested without initial charges but reflecting annual management fees, based in USD for class LM shares. The LM

Class Acc. USD is not currently registered in Sweden, but used to demonstrate the longer term track record of the fund. The Class P Acc. USD is available for investors in Sweden (inception date: 4

May 2016). Past performance is not an indicator of future results and may not be repeated. *Since inception: 13 January 2016.

16

Performance to 30 September 2016 – (USD)

1.65

4.80

8.12

6.40

0

1

2

3

4

5

6

7

8

9

1 Month 3 Months 6 Months Since Inception*

%

Legg Mason Western Asset Structured Opportunities Fund - LM Class Acc. USD

STRUCTURED PRODUCT COMPOSITE:

INVESTMENT RESULTS: 30 SEPTEMBER 2016

Source: Western Asset. Returns as at 30 September 2016, in US dollars. Returns for periods greater than one year are annualised. Effective 1 October 2014 fee schedule: 1.0% flat fee on all amounts;

the minimum separate account size is US$200 million. There are differences between the above composite and the Legg Mason Western Asset Structured Opportunities Fund, including differences in

the number of holdings, the amount of assets under management, cash flows, fees and expenses, and applicable regulatory requirements, including investment and borrowing restrictions. The past

performance of the above composite is, therefore, not indicative of the future performance of the Legg Mason Western Asset Structured Opportunities Fund. *The Western Asset Structured Product

Strategy is not measured against a benchmark. There is no benchmark available which appropriately reflects the strategy. Past performance is not indicative of future results..

17

1.3

4.1 4.0 4.9

8.2

10.4

6.3

1.2

3.9 3.2 4.2

7.6

9.8

5.8

0.02.04.06.08.0

10.012.014.0

1 Month 3 Months 1 Year 3 Years 5 Years 7 Years Since Inception1 Aug 2007

%

Structured Product Composite (gross)* Structured Product Composite (net)*

-40

-20

0

20

40

60

80

Jul-07 May-08 Mar-09 Jan-10 Nov-10 Sep-11 Jul-12 May-13 Mar-14 Jan-15 Nov-15 Sep-16

Structured Product Composite (Gross)

Cumulative Returns (USD)

Annualised Returns (USD)

WHY THE LEGG MASON WESTERN ASSET

STRUCTURED OPPORTUNITIES FUND?

Loss adjusted return target of 6%-8%*

Volatility target of 5% to 7%

Low correlation to other fixed income sectors – good portfolio diversifier

Significant floating rate exposure with low total duration

Sector should benefit from strong US consumer and housing market fundamentals

Higher dependence on US domestic growth helps insulate against global macro shocks

Investment team has extensive track record in managing structured credit, backed by Western

Asset’s experience within MBS which dates back over 40 years

*Yield levels described are targets and there is no guarantee that they will be met. Please refer to the LMGF Plc Prospectus for further details of the Fund hard limits

18

MARKET REVIEW

19

OUTLOOK SUMMARY

Global recovery remains intact, albeit fragile, despite a tumultuous first quarter and Brexit

Steady but unspectacular US and global growth

US and global inflation remain subdued

Central bank accommodation aggressive and increasing

Treasuries and sovereign bonds underpinned by low policy rates

Spread sectors, having rebounded from depressed levels, should offer attractive returns

Source: Western Asset, as at 30 June 2016. Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of

investors.

20

CONSUMER AND REAL ESTATE FUNDAMENTALS

REMAIN AT HISTORICALLY ATTRACTIVE LEVELS

CRE supply and demand hasn’t been as favorable in

decades…rental growth in office and retail should

accelerate as new construction remains muted. We are

cautious about retail in secondary and tertiary markets

New issue CMBS and subordinate debt opportunities

should be the biggest beneficiaries

Consumer leverage is at lowest levels in 35 years,

while mortgage availability continues to be

constrained

Student Loan ABS, legacy and new issue RMBS

should be the biggest beneficiaries

Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors.

0

2

4

6

8

10

12

14

1980 1985 1990 1995 2000 2005 2010 2015

Per

cent

of D

ispo

sabl

e In

com

e

Consumer Debt Mortgage

Source: Federal Reserve. As of 31 Dec 15

Consumer Leverage

-10

-5

0

5

10

15

0

2

4

6

8

10

12

14

16

1980 1986 1992 1998 2004 2010 2016E

Annual E

ffective Rent G

rowth (%

)

Sup

ply

as a

% o

f Exi

stin

g In

vent

ory

Retail (left) Office (left)

Retail Growth (right) Office Growth (right)

Source: REIS, Bank of America. As of 31 Dec 15

Commercial Real Estate Supply and Rent Growth

21

SUPPORTIVE HOUSING FUNDAMENTALS

22

0

1

2

3

4

5

02468

101214

Feb 00 Jun 01 Oct 02 Feb 04 Jun 05 Oct 06 Feb 08 Jun 09 Oct 10 Feb 12 Jun 13 Oct 14 Feb 16

Existing H

ome S

alesInventory (M

illions)

Mon

th's

Sup

ply

Existing Home Sales Month's Supply:April 2015 at 5.3 Months (left)

Existing Home Sales Inventory:Jan 2015 at 4.82 (Millions) (right)

Sources: Wells Fargo. As of 31 Aug 16

0

2

4

6

8

10

80100120140160180200220

Jan 00 May 01 Sep 02 Jan 04 May 05 Sep 06 Jan 08 May 09 Sep 10 Jan 12 May 13 Sep 14 Jan 16

30-Yr M

ortgage R

ates (%)

Affo

rdab

ility

Inde

x Le

vel (

Bas

e=10

0)

Housing Affordability Index (left) 30-Year Mortgage Rates (right)

Sources: Wells Fargo. As of 30 Sep 16

-50%

-40%

-30%

-20%

-10%

0%

100

120

140

160

180

200

220

Jan 00 May 01 Sep 02 Jan 04 May 05 Sep 06 Jan 08 May 09 Sep 10 Jan 12 May 13 Sep 14 Jan 16

Percent D

ecline fromP

eak Level in July 2006

Inde

x Le

vel

S&P Case Shiller 20-City HPI (left) Peak-to-Trough (right)

Sources: Wells Fargo. As of 30 Jun 16

-10

-5

0

5

10

15

0

2

4

6

8

10

12

14

16

1980 1986 1992 1998 2004 2010 2016E

Annual E

ffective Rent G

rowth (%

)Sup

ply

as a

% o

f Exi

stin

g In

vent

ory

Retail (left) Office (left) Retail Growth (right) Office Growth (right)

Source: REIS, Bank of America. As of 31 Dec 15

Commercial Real Estate Supply and Rent Growth

INVESTMENT THEMES

MBS/ABS SECTORS

Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors. Past performance is not a reliable

indicator of future results.

Commercial Real Estate fundamentals remain at historically attractive levels

23

APPENDIX

24

GLOSSARY

Agencies:

Fannie Mae – A government sponsored enterprise (GSE) that was created to provide a secondary mortgage market in the US. Its goal is to expand

availability and affordability of homeownership for middle- to low-income Americans

Freddie Mac: A government sponsored enterprise (GSE) that purchases, guarantees and securitizes mortgages. Its goal is to keep money flowing to

mortgage lenders in support of homeownership for middle income Americans.

Ginnie Mae: A US government corporation created to ensure liquidity for government-insured mortgages. Ginnie Mae guarantees the timely

payment of principal and interest of qualifying loans.

Alt –A – A classification of borrowers (that are contained in a non-agency residential mortgage-backed security pool) that have higher credit scores

than subprime borrowers, but are inferior to prime borrowers. This classification would also include borrowers with prime credit scores that are missing

some documentation requirements, which excludes them from prime collateral pools.

CMO – Collateralised Mortgage Obligations are created by pooling mortgage or mortgage pass-throughs and splitting their cash flows into a number

of ‘tranches’. The mortgages serve as collateral, and are organised into classes based on their risk profile. Income received from the mortgages is

passed to investors based on a predetermined set of rules, and investors receive money based on the specific CMO segment they are invested in

(called a tranche).

Commercial Real Estate Loan (CRE) – Loans on commercial properties that are income-producing and used for business purposes, for example

shopping malls, offices, hotels.

Conduit deals – Are a type of commercial mortgage-backed security (CMBS) that is backed by multiple loans and properties. These offer

diversification across borrowers, property types and regions.

GSEs – Government-sponsored enterprises (GSEs) are financing entities created by the US Congress to fund loans to certain groups of borrowers

such as homeowners, farmers and students. GSEs are also sometimes referred to as Federal Agencies.

25

GLOSSARY

Legacy bonds/securities – Securities that were issued prior to 2008-2010. These securities were issued when lending standards were less stringent,

but are now backed by seasoned loan pools with many of the defaulted borrowers having left the collateral pools during the Global Financial Crisis.

Mezzanine tranche – Tranches that are superior to equity tranches, which take the first loss from asset pools, but are subordinated to senior tranches,

which are the last to take a loss.

Non- Agency MBS – Mortgage-backed securities that are issued by private label, non-government sponsored entities.

Prime – A classification of borrowers (that are contained in a non-agency residential mortgage-backed security pool) that are considered to be of high

quality and would typically conform to agency standards, in terms of credit history, but with loan amounts that exceed the agency limits. Also referred

to as Traditional jumbos.

RMBS – Residential mortgage backed securities are securities backed by a pool of residential, non-commercial mortgage loans (i.e. single family

properties)

Sub-Prime – A classification of borrowers (that are contained in a non-agency residential mortgage-backed security pool) that have weaker credit

scores that do not meet agency credit standards

26

BIOGRAPHIES

Note: Western Asset experience reflects current position title and hire date.

27

ANUP AGARWAL

19 Years’ Experience

– Western Asset Management Company – Head of MBS/ABS, 2013-

– Stark Investments – Portfolio Manager and Head of Consumer Credit, 2007-2013

– Invesco Fixed Income – Senior Manager, Head of Credit and Research, 2003-2007

– Prudential Insurance/Questech Financial – Principal, Senior Vice President, Capital Markets, 2001-2002

– Copelco Capital, Inc./Citicorp Vendor Finance, Inc. – Managing Director, Structured Finance 1998-2001

– Moody's Investor Service – Assistant Vice President, Credit Analyst, 1997-1998

– Temple University, M.B.A. Finance

– Indian Institute of Technology, B. Tech.

GREG E. HANDLER

16 Years’ Experience

– Western Asset Management Company – Portfolio Manager/Research Analyst, 2002–

– Gould Asset Management – Financial Consulting Intern, 2001–2002

– National Economics Research Associates – Economic Consulting/Research Intern, 2001

– Pomona College, Claremont, B.S.

– Universidad de Salamanca, Spain

– CFA charterholder

ELLIOTT R. NEUMAYER

13 Years’ Experience

– Western Asset Management Company – Product Specialist, 2004-

– Marshall & Stevens – Senior Associate, 2003-2004

– Loyola Marymount University, M.B.A., B.A.

COMPOSITE DISCLOSURE

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.

The Composite is valued monthly. The Composite returns are the asset-weighted average of

the performance results of all the accounts in the Composite. Gross-of-fees returns are

presented before management fees, but after 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, 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. 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 trading commissions and other transaction costs including non-recoverable

withholding taxes. Policies for valuing portfolios, calculating performance, and preparing

compliant presentations are available upon request.

adjusted for weighted cash flows. The returns for commingled funds in the Composite are

calculated daily using net value (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. Performance is calculated using asset

values denominated in a base currency. Composite market value at year-end presented in the

schedule are translated to U.S. dollars using end of year exchange rates.

Composite returns are measured against a benchmark. 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 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 independent

accountants.

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. For each

annual period, 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.

Any gross total three-year annualized ex-post standard deviation measures prior to 2011,

included within the "Examination Period" identified above, are not covered by the report of

independent accountants.

Past investment results are not indicative of future investment results.

Western Asset’s list of composite descriptions is available upon request. Please contact Jan

Pieterse at 626-844-9977 or jan.pieterse@westernasset.com. All returns for strategies with

inception prior to January 1, 2005 are available upon request.

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, 2014.

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COMPOSITE DISCLOSURE:

AGENCY MBS COMPOSITE

29

As at 31 December 2015

COMPOSITE DISCLOSURE:

AGENCY MBS PLUS COMPOSITE

30

As at 31 December 2015

COMPOSITE DISCLOSURE:

STRUCTURED PRODUCT COMPOSITE

31

As at 31 December 2015

COMPOSITE DISCLOSURE:

STRUCTURED PRODUCT LEVERED COMPOSITE

32

As at 31 December 2015

IMPORTANT INFORMATION This is a sub-fund ("fund") of Legg Mason Global Funds plc ("LMGF plc"), an umbrella fund with segregated liability between sub-funds, established as an open-ended investment company with variable capital,

organised as an undertaking for collective investment in transferable securities ("UCITS") under the laws of Ireland as a public limited company pursuant to the Irish Companies Acts and UCITS regulations.

LMGF plc is authorised in Ireland by the Central Bank of Ireland (the "Central Bank"). The information and data in this material has been prepared from sources believed reliable but is not guaranteed in any

way by any Legg Mason, Inc. company or affiliate (together "Legg Mason"). No representation is made that the information is correct as of any time subsequent to its date.

It should be noted that the value of investments and the income from them may go down as well as up. Investing in a sub-fund involves investment risks, including the possible loss of the amount invested. Past

performance is not a reliable indicator of future results. An investment in a sub-fund should not constitute a substantial proportion of an investor's investment portfolio and may not be appropriate for all

investors. Investors' attention is drawn to the specific risk factors set out in a fund's share class key investor information document ("KIID") and LMGF plc's prospectus (the "Prospectus").

Bonds: There is a risk that issuers of bonds held by the fund may not be able to repay the investment or pay the interest due on it, leading to losses for the fund. Bond values are affected by the

market’s view of the above risk, and by changes in interest rates and inflation.

Liquidity: In certain circumstances it may be difficult to sell the fund’s investments because there may not be enough demand for them in the markets, in which case the fund may not be able to

minimise a loss on such investments.

Low rated bonds: The fund may invest in lower rated or unrated bonds of similar quality, which carry a higher degree of risk than higher rated bonds.

Emerging markets investment: The fund may invest in the markets of countries which are smaller, less developed and regulated, and more volatile than the markets of more developed countries.

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 fund. These types of investments may also be

difficult for the fund to sell quickly.

Hedging: The fund may use derivatives to reduce the risk of movements in exchange rates between the currency of the investments held by the fund and base currency of the fund itself

(hedging). However, hedging transactions can also expose the fund to additional risks, such as the risk that the counterparty to the transaction may not be able to make its payments, which may

result in loss to the fund.

Interest rates: Changes in interest rates may negatively affect the value of the fund. Typically as Interest rates rise, bond values fall.

Derivatives: Investment in derivatives may cause the fund to lose as much as or more than the amount invested. Use of derivatives may also result in greater fluctuations of the value of the fund.

Fund counterparties: The fund may suffer losses if the parties that it trades with cannot meet their financial obligations.

Fund operations: The fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the

custody of its assets, especially to the extent that it invests in developing countries.

Hedged class currency: The value of your investment may fall due to changes in the exchange rate between the currency of your share class and the base currency of the fund. The fund manager

will try to protect the value of your investment against such changes, but it may not succeed.

Individual securities mentioned are intended as examples only and are not to be taken as advice nor are they intended as a recommendation to buy or sell any investment or interest. Opinions expressed are

subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors.

Before investing investors should read in their entirety LMGF plc's application form and a fund's share class KIID and the Prospectus (which describe the investment objective and risk factors in full). These and

other relevant documents may be obtained free of charge in English from LMGF plc's registered office at Riverside Two, Sir John Rogerson's Quay, Grand Canal Dock, Dublin 2, Ireland, from LMGF plc's

administrator, BNY Mellon Fund Services (Ireland) Limited, at the same address or from www.leggmasonglobal.com.

This material is not intended for any person or use that would be contrary to local law or regulation. Legg Mason is not responsible and takes no liability for the onward transmission of this material.This material

does not constitute an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not lawful or in which the person making such offer or solicitation is not qualified to do so or to anyone

to whom it is unlawful to make such offer or solicitation.

Issued and approved by Legg Mason Investments (Europe) Limited, registered office 201 Bishopsgate, London, EC2M 3AB. Registered in England and Wales, Company No. 1732037. Authorised and

regulated by the UK Financial Conduct Authority. This information is only for use by professional clients, eligible counterparties or qualified investors based in the UK (excluding Channel Islands). It is not aimed

at, or for use by, retail clients.

November 2016

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.

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