Liquidity Management Strategy – Portfolio Update
April 2023
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Liquidity Management Strategy (LMS) – Portfolio Update
Strategy Description Current Portfolio
• Dynamically managed portfolio aimed to deliver income and capital preservation by investing in short Cash, 1.8%
term fixed income mutual funds and ETFs Core,
• Diversification benefits help produce a compelling risk/reward vs single strategies, while active Treasuries, 22.8%
management allows for navigation through changing rate and credit environments 28.4%
• Portfolio will focus on high-quality investments, minimize duration (~1 year) and seeks to provide
positive returns in 12-18 month periods
• Benchmark: ICE BofA US Treasury Bill Index1 Ultrashort,
Munis, 47.0%
• Max Volatility & Max Duration: 2% & 2 years 0.0%
Positioning and Characteristics
Strategy Characteristics Lookthrough Sector Positioning Lookthrough Credit Quality Breakdown
LMS T-Bills1
60 54.4 LMS
Estimated SEC LMS
4.43% 45 39.2
Yield 50
40 34.0
Estimated Yield 35 40
to Worst2
5.38% 4.38%
30
Estimated 25 30
3.44% 21.2
Distribution Yield 20 14.2
12.1 20
15 11.0 10.4
Estimated Duration4 0.94 0.18 10 10 2.7
5 0.5 0.0 0.2 0.0 0.0
0 0
Wgt Avg Expense Ratio 19bps
% Active / % Passive 46.8% / 53.2%
Source: Morningstar, Bloomberg Finance L.P., and J.P. Morgan based on LMS holdings as of 3/31/23 with mutual fund look-through data as of 3/21/23 or latest available. Yield to Worst and T-Bill data is estimated based on look
through data on Bloomberg Finance L.P. as of 3/31/23.
1 ICE BofA US Treasury Bill Index: Index that tracks the performance of USD denominated US Treasury Bills publicly issued in the US domestic market, with at least one month remaining to final maturity and a minimum amount
outstanding of $1 billion.
2 Yield to Worst: The worst possible percentage rate of return paid if the security is held and does not default. 3 Duration: The percentage price change of a security for a given change of 1% of yield. Credit quality breakdown based
on S&P ratings. LMS YTW as of 4/3/23 and T-bill YTW as of 3/31/23
3 Municipal yield is tax-adjusted based on highest national tax rate. SEC Yield is net of underlying mutual fund & ETF fees but gross of any advisory fees. Estimated distribution yield is an annualized figure that is sourced from
Bloomberg and uses the most recently announced dividend for each fund.
4 Duration: The percentage price change of a security for a given change of 1% of yield. Credit quality breakdown based on S&P ratings.
1
Important Information
Q1 Trades
New positions Invesco Treasury Collateral (+2.6%): Added to help reduce beta
Trades: +2.6% on 2/14
Eliminated positions SPDR Short Term Corporate Bond ETF (-5.2%): Eliminated to help reduce some spread beta in the portfolio.
Trades: -5.2% on 2/14
Vanguard Short-Term Bond ETF (-6.4%): Eliminated to move key rate duration risk closer to the benchmark.
Trades: -6.4% on 2/16
Recent increases Calvert Ultrashort (+2.6%): Generate attractive risk-adjusted returns while investing in a diversified portfolio of fixed-income securities across treasuries,
asset-backed securities and corporates.
Trades: +2.6% on 2/14
PGIM Ultrashort ETF (+2.1%): Offers increased credit risk relative to other very ultrashort (~0.1 years) options
Trades: +2.1% on 2/16
Vanguard Short Term Treasury ETF (+2.6%): Offers increased credit risk relative to other very ultrashort (~0.1 years) options
Trades: +2.6% on 2/16
Recent decreases N/A
Source: J.P. Morgan. Data as of 3/31/2023.
Outlooks and past performance are not reliable indicators of future results. This constitutes our judgment based on current market conditions, which are subject to change without notice, and is not
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2
Important Information
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