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US Enhanced Liquidity


The strategy includes portfolios that employ an active, team-managed strategy and utilize a top-down economic and interest rate outlook, combined with a bottom-up security selection process. The approach is to construct a portfolio using money market securities and short duration assets, including primarily corporate notes, corporate paper, asset-backed securities, US Agency paper and bank obligations.

Investment Vehicles

Performance as of June 30, 2021

Returns for periods greater than one year are annualized. Please see the Performance and Risk Disclosures for more detail.

Portfolio Characteristics as of June 30, 2021

Leverage None
Credit Quality AA-
Effective Duration 0.74 years
Spread Duration 1.83 years
Yield-to-Worst 0.72%


Strategy AUM: Total US Enhanced Liquidity Assets:
USD7.6 billion (as of June 30, 2021)
Benchmark: FTSE 3-Month Treasury Bill Index (67%) and the Bloomberg Barclays U.S. Government Bond Index, 1-3 Year (33%). The benchmark is rebalanced monthly.
Inception Date: 01 Jan 94

Sector Allocation as of June 30, 2021

Sectors Portfolio (%) Benchmark (%)
Treasury 22.0 100.0
Agency 5.4 0.0
Bank Obligations 0.1 0.0
Discount Note 1.8 0.0
Repurchase Agreements 9.3 0.0
CMBS 2.6 0.0
RMBS 8.2 0.0
Asset-Backed 12.8 0.0
Credit 39.4 0.0
Emerging Markets 0.7 0.0
Other Cash -2.4 0.0
Note: Sector allocation includes look-through to any underlying commingled vehicles if held. Data may not sum to total due to rounding.
IMPORTANT INFORMATION: All investments involve risk including loss of principal. Past performance is not indicative of future investment results. 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.
Employees and/or clients of Western Asset may have a position in the securities mentioned. This has been prepared without taking into account your objectives, financial situation or needs. Before acting on this information, you should consider its appropriateness having regard to your objectives, financial situation or needs. It is your responsibility to be aware of and observe the applicable laws and regulations of your country of residence.

Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários Limitada is authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brasil. Western Asset Management Company Pty Ltd ABN 41 117 767 923 is the holder of the Australian Financial Services Licence 303160. Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R is a holder of a Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore. Western Asset Management Company Ltd is a registered Financial Instruments Business Operator and regulated by the Financial Services Agency of Japan. Western Asset Management Company Limited is authorised and regulated by the Financial Conduct Authority ("FCA") (FRN 145930). This communication is intended for distribution to Professional Clients only if deemed to be a financial promotion in the UK as defined by the FCA. This communication may also be intended for certain EEA countries where Western Asset has been granted permission to do so. For the current list of the approved EEA countries please contact Western Asset at +44 (0)20 7422 3000.