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Global Alternative Credit

Fixed Income Portfolio Characteristics As of 9/30/2022

Characteristic Brandywine Global
Average Quality1 BB-
Average Effective Duration (Years) 0.39
Average Coupon (%) 5.60
Average Yield To Worst (%) 7.12
Average Yield To Maturity (%) 7.12
Number of Issues 37

Quality Allocation As of 9/30/2022

Quality Rating Brandywine Global (%)
BBB or Higher 45.8
BB 19.3
B 5.9
CCC 0.4
CC 2.3
D -
Not Rated 26.3

Duration Allocation As of 9/30/2022

Duration Range Brandywine Global (%)
<1 Year 16.4
1-3 Years 43.1
3-7 Years 35.2
7-10 Years 0.0
10+ Years -
No Duration 5.3

Region & Currency Allocation As of 9/30/2022

Region Country (%) Currency (%)
Asia-Pacific ex-Japan - -4.0
Emerging Markets 0.0 0.0
Europe ex-Eurozone 0.1 -4.0
Eurozone 3.3 -3.1
Middle East & Africa 1.5 -
North & Central America 94.2 111.1
Other 0.8 -

Sector Allocation As of 9/30/2022

Sector Brandywine Global (%)
Bond Futures -0.1
Cash 4.9
Credit Default Swap 0.0
Currency Forwards 0.5
Government Sovereign 9.1
High Yield Bond 7.8
Non-Agency CMBS 20.5
Prime MBS - Non-U.S. 3.3
Prime MBS - U.S. 48.5