Global Alternative Credit | Investment Strategies | Brandywine GLOBAL

Global Alternative Credit

Fixed Income Portfolio Characteristics As of 9/30/2018

Characteristic Brandywine Global
Average Quality1 BBB+
Average Effective Duration (Years) 1.44
Average Coupon (%) 3.67
Average Yield To Worst (%) 3.58
Average Yield To Maturity (%) 3.63
Number of Issues 86

Quality Allocation As of 9/30/2018

Quality Rating Brandywine Global (%)
BBB or Higher 71.3
BB 11.5
B 9.8
CCC 1.1
CC -
D 1.2
Not Rated 5.3

Duration Allocation As of 9/30/2018

Duration Range Brandywine Global (%)
<1 Year 20.9
1-3 Years 26.2
3-7 Years 45.6
7-10 Years 5.2
10+ Years -
No Duration 2.1

Region & Currency Allocation As of 9/30/2018

Region Country (%) Currency (%)
Emerging Markets 0.8 -
Europe ex-Eurozone 5.2 0.1
Eurozone 2.4 -0.2
North & Central America 91.9 100.1
Other -0.3 -

Sector Allocation As of 9/30/2018

Sector Brandywine Global (%)
Cash & Cash Equivalents 2.4
Asset Backed Securities 2.4
Credit Default Swap 6.3
Currency Forwards -0.3
Government Sovereign 12.3
Leveraged Loans 1.2
MBS Agency CMBS 18.6
MBS Non-Agency CMBS 17.0
MBS Subprime 23.1
Prime MBS - Non-U.S. 7.6
Prime MBS - U.S. 13.1
U.S. High Yield Corporate Bond 2.6