Western Asset Core Plus Bond Fund Class R · NASDAQ:WAPRX

Western Asset Core Plus Bond Fund Class R — Western Asset Management — Investor Presentation (April 2023)

15 slides from Western Asset Core Plus Bond Fund Class R's investor presentation, Apr 26, 2023

  1. Slide 1: Strategy Update: US Core and Core Plus

    Follow us on social media! April 26, 2023 Thank you for joining our webcast. Strategy Update: US Core and Core Plus The presentation will begin shortly. 1

  2. Slide 2: Strategy Update: US Core and Core Plus

    Strategy Update: US Core and Core Plus April 26, 2023 Julien A. Scholnick, CFA Travis M. Carr, CFA Portfolio Manager Product Specialist 2

  3. Slide 3: Bloomberg US Aggregate Index – Annual Performance

    Bloomberg US Aggregate Index – Annual Performance March 31, 2023 Bloomberg US Aggregate Performance 25 20 18.5 16.0 15 11.6 9.7 9.7 10.3 10 8.9 8.7 8.4 7.8 8.7 7.4 7.0 7.5 6.5 6.0 6.3 5.2 5.9 Total Return (%) 5 3.6 4.1 4.3 4.3 4.2 3.5 2.4 2.6 0.5 0.0 0 -0.8 -1.5 -2.0 -5 -2.9 -10 -15 -15.7 -20 Oct 20

  4. Slide 4: Correlation Between Rates and Credit

    Correlation Between Rates and Credit Growth risks contribute to negative correlation. Rolling Correlation: OAS vs UST Yield 60-40 Portfolio - Annual Return 1Yr Correlation (Corp OAS, 10yr UST Yield) 40% 1.0 0.8 30% 0.6 Rolling 12M Total Return 20% 0.4 0.2 10% 0.0 0% -0.2 -10% -0.4 -0.6 -20% -0.8 -30

  5. Slide 5: Fixed Income Valuations

    Fixed Income Valuations Yield to Worst Across Fixed Income Sectors (Past 10 Years) 16 Current 10-Year Median 14 12 11.3% 10 Yield to Worst (%) 8.5% 8.5% 8.2% 8 7.2% 6.6% 6 5.5% 5.2% 4.9% 6.3% 4.5% 6.1% 4.2% 5.6% 5.7% 3.8% 4 5.1% 4.5% 3.9% 3.2% 2 2.8% 1.5% 1.6% 1.0% 0 USTs Municipals IG MBS ABS Euro

  6. Slide 6: A Bumpy Process of Getting Inflation Back Down to 2%

    A Bumpy Process of Getting Inflation Back Down to 2% But there are some signs of improvement in supply chains and wages are decelerating. Core Inflation Components Declining, Average Hourly Earnings: Nonsupervisory Workers Housing Is Lagging Measure (6-mo a.r.) (3 Months, annualized) 12% 8% Core CPI

  7. Slide 7: March FOMC Meeting

    March FOMC Meeting Focus on financial stability; limited scope for rate cuts Financial Stability: FOMC Forecasts FOMC Median Market “The Federal Reserve working with the Treasury Department and Range FOMC Member Pricing the FDIC took decisive actions to protect the U.S. economy and 7 strengthen publ

  8. Slide 8: US Treasury Cash and Forward Curve

    US Treasury Cash and Forward Curve Curve is currently inverted; forwards are lower and steeper. 10-Year Note Less 2-Year Note US Treasury Actives Curves 400 6.00 300 5.00 200 Cash Curve, 24 Apr 23 4.00 100 Index 3.00 1 Year Fwd, 24 Apr 23 0 2.00 -100 Largest Inversion Cash Curve, 31 Dec 2019 since 1

  9. Slide 9: Range of Outcomes More Skewed to the Downside

    Range of Outcomes More Skewed to the Downside Fundamental concerns growing Real GDP in the United States (%) Unemployment Rate in the United States (%) 15 8 Range of Model-Implied Forecasts Bloomberg Survey Consensus Forecast 10 6 5 4 0 2 Range of Model-Implied Forecasts Bloomberg Survey Consensus F

  10. Slide 10: Investment-Grade Credit

    Investment-Grade Credit Cash Flow and Debt Metrics are Healthy Non-Financial Corporate Businesses: Profit Margins Cash and Cash Equivalents 34 3,500 32 3,000 30 2,500 USD (billions) Percent 28 2,000 26 1,500 24 1,000 22 500 20 0 1Q04 1Q06 1Q08 1Q10 1Q12 1Q14 1Q16 1Q18 1Q20 1Q22 201020112012201320142

  11. Slide 11: The Two Tiers of the US Banking System

    The Two Tiers of the US Banking System We prefer large US banks over regionals. Expectations:  Large banks will get stronger while weaker regionals will consolidate  Regulation (and issuance) will increase for regional banks  Regional bank ratings will come under pressure Regulatory Balance Sheet

  12. Slide 12: Agency MBS Currently Offer Attractive Fundamental Value

    Agency MBS Currently Offer Attractive Fundamental Value Agency MBS ZV Spread (85 bps) MOVE (121 bps) (RHS) Mortgage Rates Weekly Refinancings (RHS) 200 225 8 8,000 7,000 MBA Refinancing Index 160 185 7 Mortgage Rate (%) 6,000 6 Basis Points Basis Points 120 145 5,000 5 4,000 80 105 3,000 4 2,000 40

  13. Slide 13: Questions & Answers

    Questions & Answers 13 OA a “> WrSTERN ASSET New’

  14. Slide 14: Thank you.

    Thank you. © WosrernA “| WesTERN ASSET

  15. Slide 15: Risk Disclosure

    Risk Disclosure © Western Asset Management Company, LLC 2023. 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 confidenti

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