Global Alternative Credit
Fixed Income Portfolio Characteristics As of 6/30/2023
| Characteristic | Brandywine Global |
| Average Quality1 | BB- |
| Average Effective Duration (Years) | 3.87 |
| Average Coupon (%) | 7.72 |
| Average Yield To Worst (%) | 7.61 |
| Average Yield To Maturity (%) | 7.63 |
| Number of Issues | 41 |
Quality Allocation As of 6/30/2023
| Quality Rating | Brandywine Global (%) |
| BBB or Higher | 44.4 |
| BB | 18.8 |
| B | 10.2 |
| CCC | - |
| CC | 2.7 |
| D | - |
| Not Rated | 23.9 |
Duration Allocation As of 6/30/2023
| Duration Range | Brandywine Global (%) |
| <1 Year | 7.5 |
| 1-3 Years | 28.7 |
| 3-7 Years | 55.0 |
| 7-10 Years | 3.0 |
| 10+ Years | 2.1 |
| No Duration | 3.7 |
Region & Currency Allocation As of 6/30/2023
| Region | Country (%) | Currency (%) |
| Emerging Markets | 9.1 | 3.1 |
| Europe ex-Eurozone | - | -4.3 |
| Eurozone | 4.1 | -2.6 |
| Japan | - | 5.0 |
| North & Central America | 87.7 | 98.9 |
| Other | -0.9 | - |
Sector Allocation As of 6/30/2023
| Sector | Brandywine Global (%) |
| Bond Futures | -0.2 |
| Cash | 4.4 |
| Credit Default Swap | -0.2 |
| Currency Forwards | -0.3 |
| Government Sovereign | 9.7 |
| High Yield Bond | 14.8 |
| Agency Passthrough | 12.8 |
| Non-Agency CMBS | 9.0 |
| Prime MBS - Non-U.S. | 4.1 |
| Prime MBS - U.S. | 44.1 |