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Global Alternative Credit

Fixed Income Portfolio Characteristics As of 3/31/2021

Characteristic Brandywine Global
Average Quality1 CCC+
Average Effective Duration (Years) -0.80
Average Coupon (%) 4.44
Average Yield To Worst (%) 4.19
Average Yield To Maturity (%) 4.31
Number of Issues 54

Quality Allocation As of 3/31/2021

Quality Rating Brandywine Global (%)
BBB or Higher 25.8
BB 14.5
B 10.0
CCC 10.3
CC 5.8
D -
Not Rated 33.7

Duration Allocation As of 3/31/2021

Duration Range Brandywine Global (%)
<1 Year 8.1
1-3 Years 32.6
3-7 Years 34.2
7-10 Years 8.2
10+ Years 0.3
No Duration 16.6

Region & Currency Allocation As of 3/31/2021

Region Country (%) Currency (%)
Emerging Markets 6.3 1.0
Europe ex-Eurozone 1.2 1.0
Eurozone 6.2 0.1
Japan 1.0 -
Middle East & Africa 1.9 -
North & Central America 78.1 97.9
Other 0.9 -

Sector Allocation As of 3/31/2021

Sector Brandywine Global (%)
Bond Futures 0.3
Cash 5.5
Corporate Investment Grade 5.3
Credit Default Swap 0.6
Currency Forwards 0.0
High Yield Bond 12.4
Agency CMBS 2.2
Non-Agency CMBS 15.7
Prime MBS - Non-U.S. 5.1
Prime MBS - U.S. 23.9