Global Alternative Credit | Investment Strategies | Brandywine GLOBAL

Global Alternative Credit

Fixed Income Portfolio Characteristics As of 12/31/2018

Characteristic Brandywine Global
Average Quality1 BBB
Average Effective Duration (Years) 1.50
Average Coupon (%) 4.02
Average Yield To Worst (%) 3.92
Average Yield To Maturity (%) 3.93
Number of Issues 91

Quality Allocation As of 12/31/2018

Quality Rating Brandywine Global (%)
BBB or Higher 73.3
BB 7.5
B 11.7
CCC 0.5
CC -
D 0.5
Not Rated 6.4

Duration Allocation As of 12/31/2018

Duration Range Brandywine Global (%)
<1 Year 8.7
1-3 Years 33.1
3-7 Years 53.7
7-10 Years 1.8
10+ Years 1.4
No Duration 1.3

Region & Currency Allocation As of 12/31/2018

Region Country (%) Currency (%)
Emerging Markets 0.0 0.0
Europe ex-Eurozone 5.0 0.0
Eurozone 1.6 0.1
North & Central America 93.7 99.8
Other -0.3 -

Sector Allocation As of 12/31/2018

Sector Brandywine Global (%)
Cash & Cash Equivalents 1.7
Asset Backed Securities 4.7
Credit Default Swap 3.7
Currency Forwards -0.2
Government Sovereign 3.2
MBS Agency CMBS 21.1
MBS Non-Agency CMBS 19.6
MBS Subprime 23.3
Prime MBS - Non-U.S. 6.6
Prime MBS - U.S. 16.5
U.S. High Yield Corporate Bond 3.8