Global Alternative Credit
Fixed Income Portfolio Characteristics As of 9/30/2023
| Characteristic | Brandywine Global |
| Average Quality1 | BB- |
| Average Effective Duration (Years) | 0.64 |
| Average Coupon (%) | 7.44 |
| Average Yield To Worst (%) | 7.32 |
| Average Yield To Maturity (%) | 7.37 |
| Number of Issues | 46 |
Quality Allocation As of 9/30/2023
| Quality Rating | Brandywine Global (%) |
| BBB or Higher | 43.1 |
| BB | 13.6 |
| B | 17.3 |
| CCC | - |
| CC | - |
| D | - |
| Not Rated | 26.1 |
Duration Allocation As of 9/30/2023
| Duration Range | Brandywine Global (%) |
| <1 Year | 30.1 |
| 1-3 Years | 30.8 |
| 3-7 Years | 33.3 |
| 7-10 Years | 1.0 |
| 10+ Years | - |
| No Duration | 4.8 |
Region & Currency Allocation As of 9/30/2023
| Region | Country (%) | Currency (%) |
| Emerging Markets | 4.4 | -5.1 |
| Europe ex-Eurozone | - | -1.4 |
| Eurozone | 0.0 | -1.9 |
| Japan | 0.1 | 0.1 |
| North & Central America | 94.4 | 108.3 |
| Other | 1.1 | - |
Sector Allocation As of 9/30/2023
| Sector | Brandywine Global (%) |
| Bond Futures | 0.1 |
| Cash | 3.6 |
| Credit Default Swap | 0.2 |
| Currency Forwards | 0.1 |
| Government Sovereign | 26.7 |
| High Yield Bond | 27.6 |
| Agency Passthrough | 0.0 |
| Non-Agency CMBS | 5.3 |
| Prime MBS - Non-U.S. | 0.0 |
| Prime MBS - U.S. | 32.2 |