HISTORY 1971 Founded Western Asset Management Company Los Angeles - PowerPoint PPT Presentation

F RESNO C OUNTY E MPLOYEES’ R ETIREMENT A SSOCIATION September 6, 2006 W ESTERN A SSET Frances H. Coombes Andre M. Cuerington

T ABLE OF C ONTENTS I Organizational Update Market Review II Portfolio Review III IV Appendix – 1 –

O RGANIZATIONAL U PDATE – 2 –

History HISTORY • 1971 – Founded Western Asset Management Company Los Angeles • 1986 – Affiliated with Legg Mason, Inc. Baltimore • 1996 – Established Western Asset Management Company Limited London • 2001 – Established Western Asset Management Company (Asia) Pte Limited Singapore • 2005 – Citigroup Asset Management acquisition New York, London, Tokyo, Singapore, Hong Kong, Melbourne, São Paulo Focus • Fixed-income assets • Separate accounts and mutual funds • Active management Statistics (as of 6/30/06) • 847 staff members • 737 client relationships • $511.7 billion under management * * Assets under management by Western Asset and its supervised affiliates. – 3 –

O RGANIZATION Business Management Information Technology Compliance Investment Management Research Risk Management Client Service Reporting Product Development $ £ € $ £ € $ £ € $ £ € $ £ € $ £ € ¥ $ $ £ € Enhanced Limited Broad Long Absolute Liquidity Cash Duration Market Duration Global Structured Return Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios $99.2 $20.7 $21.4 $145.2 $18.1 $85.5 $2.7 $7.6 $ £ € $ $ £ € $ £ € $ $ $ $ £ € Inflation- Govt.- ABS/ High Emerging Portable Only MBS Corporate Yield Market Alpha Municipals Linked Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios Portfolios $9.9 $13.1 $15.7 $10.7 $33.9 $12.5 $3.0 $12.5 As of 6/30/06. Assets in $ billions. – 4 –

R EPRESENTATIVE C LIENT L IST CORPORATE PUBLIC TAFT HARTLEY INSURANCE Abbey plc Arkansas Teacher Retirement System 1199 National Benefit Fund Arch Capital Group Ltd. Allied Domecq plc California Public Employees Retirement System Bricklayers and Trowel Trades International Union Pension Fund Blue Cross Blue Shield of Massachusetts AT&T Investment Management Corporation Commonwealth of Virginia Central Pension Fund Blue Cross Blue Shield of Tennessee BBC Pension Trust Limited Contra Costa County Employees' Retirement Association Directors Guild of America-Producer Pension and Health Plan Health Care Service Corporation Bristol-Myers Squibb Company Denver Public Schools Retirement System Engineers, Operating, Local #3 Horizon Blue Cross Blue Shield of New Jersey Co-operative Group Pension Fund Trustees Limited District of Columbia Retirement Board General Motors Defined Contribution Retiree Health Benefit Trust Oil Investment Corporation Ltd. Consolidated Edison Company Of New York, Inc. Fire & Police Pension Association of Colorado Midwest Operating Engineers Royal Liver Assurance Limited DaimlerChrysler Fresno County Employees' Retirement Association Southwest Carpenters Pension Trust Toyota Motor Insurance Corporation of Vermont DTE Energy Company Glasgow City Council The Western Conference of Teamsters Pension Trust Fund United HealthCare Services, Inc. E.ON Energie AG Gloucestershire County Council United Food & Commercial Workers Unions and Employers Pension Fund United Services Automobile Association ELEEMOSYNARY Eastman Kodak Company Illinois State Board of Investment WellPoint, Inc. HEALTHCARE Electronic Data Systems Corporation Iowa Public Employees Retirement System Alcoa Foundation General Mills Kansas Public Employees Retirement System Archdiocese of Boston Ascension Health GKN Group Pension Scheme Los Angeles County Employees Retirement Association Archdiocese of Saint Louis Baylor Health Care System Halliburton Co. Merchant Navy Pensions Administration Battelle Memorial Institute BJC HealthCare International Paper Company Michigan Municipal Employees' Retirement System Bill & Melinda Gates Foundation Catholic Health Initiatives John Lewis Partnership Pensions Trust Ltd Minnesota State Board of Investment California Community Foundation Children's Hospital of New Orleans Lockheed Martin Investment Management Company MNOPF Trustees Limited Catholic Relief Services Evanston Northwestern Healthcare MeadWestvaco Corporation Nevada Public Employees Retirement System Commonfund Health Employees Superannuation Trust Australia Metal Box Pension Trustees Limited North Dakota State Investment Board Diocese of Rockville Centre Henry Ford Health System Nestec S.A. Ohio Police & Fire Pension Fund Donald W. Reynolds Foundation Iowa Health System Nortel Networks plc UK Oregon Investment Council Indiana University Lehigh Valley Hospital Northwest Airlines, Inc. Public Employee Retirement System of Idaho Jewish Federation of Metropolitan Chicago Providence Health System Pearson Group Pension Trustee Limited Public School Teachers' Pension and Retirement Fund of Chicago Purdue University St. George Corporation Pensioenfonds Horeca & Catering San Diego County Employees' Retirement Association San Francisco Foundation St. Joseph Health System SUB-ADVISORY Perennial Investment Partners Ltd San Francisco Employees' Retirement System The California Wellness Foundation Plumbing Pensions (UK) Ltd San Jose Police & Fire Department Retirement Plan The Church Pension Fund American Express Bank Limited Railpen Investments School Employees Retirement System of Ohio The Commonwealth Fund AssetMark Investment Services Rank Pension Plan State of Wyoming, State Loan And Investment Board The LCMS Foundation Citigroup Investment Advisory Services Inc. Salomon Brothers Global Horizons Funds (SBGH) State Universities Retirement System of Illinois The Pennsylvania State University CitiStreet Sun Microsystems International B.V. Surrey County Council United Negro College Fund Great West Life Assurance Syngenta Pensions Trustee Limited Tennessee Valley Authority University of Colorado GuideStone Capital Management The Johnson Matthey Employees Pension Scheme Treasurer of the State of Connecticut University of Illinois Legg Mason Institutional Funds The RWE npower Group of the ESPS Ventura County Employees' Retirement Association University of Massachusetts Legg Mason, Inc. The Trustees of the Rolls-Royce Pension Fund Virginia College Savings Plan University of Miami MLC Investment Management Unisys Corporation Virginia Retirement System Washington Education Foundation Russell Investment Group United Parcel Service, Inc. Wiltshire County Council Washington State University SEI Investments Management Corporation YMCA Retirement Fund Wyoming Retirement System Workers Benefit Plans of the Lutheran Church - Missouri Synod T&D Asset Management Co., Ltd. Please see the Representative Client List Disclosure in the appendix for more information. All have authorized the use of their names by Western Asset for marketing purposes. Such authorization does not imply approval or otherwise of Western Asset nor the advisory of services provided. – 5 –

I NVESTMENT M ANAGEMENT T EAM S. K ENNETH L EECH S. K ENNETH L EECH Chief Investment Officer Chief Investment Officer D ENNIS J. M C N AMARA D ENNIS J. M C N AMARA Director of Portfolio Operations Director of Portfolio Operations S TEPHEN A. W ALSH S TEPHEN A. W ALSH Deputy Chief Investment Officer Deputy Chief Investment Officer P ASADENA P ASADENA N EW Y ORK S ÃO P AULO L ONDON T OKYO S INGAPORE M ELBOURNE N EW Y ORK S ÃO P AULO L ONDON T OKYO S INGAPORE M ELBOURNE S. Kenneth Leech S. Kenneth Leech James J. Flick Paulo Caricatti Detlev Schlichter Kazuto Doi Tay Soo How Mitchell Stack Mitchell Stack James J. Flick Paulo Caricatti Detlev Schlichter Kazuto Doi Tay Soo How Stephen A. Walsh Stephen A. Walsh Inv. Professionals*: 46 Inv. Professionals*: 43 Inv. Professionals*: 7 Inv. Professionals*: 23 Inv. Professionals*: 5 Inv. Professionals*: 9 Inv. Professionals*: 5 AUM**: $231.5 AUM**: $127.4 AUM**: $10.0 AUM**: $83.0 AUM**: $1.9 AUM**: $6.3 AUM**: $51.6 Products: Products: Products: Products: Products: Products: Products: Absolute Return Liquidity Brazil Euro: Asian HY Credit Australia: Asset-Backed (ABS) Municipal Core Core/Core Full Asian IG Credit Bank Loan Core/Core Full Core/Core Full Asset-Backed (ABS) SMAs Liquidity Corporate Hong Kong Dollar Credit Credit Indonesian Rupiah Commodities Sovereign Enhanced Cash Enhanced Cash Global Core/Core Full Limited Duration Korean Won Government Government Corporate Liquidity Malaysian Ringgit New Zealand: Mortgage-Backed Pan Asia Emerging Markets Long Duration Government Enhanced Cash Polish Sovereign Philippine Peso Government Sovereign Singapore Dollar Singapore Cash/ High Yield Global: Index Plus Core /Core Full Short Term Thai Baht Intermediate Corporate Limited Enhanced Cash Long Duration High Yield Mortgage-Backed (MBS) Limited Duration Portable Alpha Multi-Sector TIPS Non-US International Sovereign Inflation-Linked UK: Core /Core Full Corporate Enhanced Cash High Alpha Inflation-Linked Limited Duration *Investment professionals include portfolio managers only. Liquidity ** Billions of assets under management by Western Asset and its supervised affiliates. Long Duration As of 6/30/06. – 6 –

M ARKET R EVIEW – 7 –