Global Alternative Credit | Investment Strategies | Brandywine GLOBAL

Global Alternative Credit

Fixed Income Portfolio Characteristics As of 12/31/2019

Characteristic Brandywine Global
Average Quality1 BB-
Average Effective Duration (Years) 1.17
Average Coupon (%) 3.18
Average Yield To Worst (%) 3.83
Average Yield To Maturity (%) 3.83
Number of Issues 74

Quality Allocation As of 12/31/2019

Quality Rating Brandywine Global (%)
BBB or Higher 52.0
BB 3.8
B 9.1
CCC 9.9
CC 1.3
D 2.1
Not Rated 21.9

Duration Allocation As of 12/31/2019

Duration Range Brandywine Global (%)
<1 Year 7.4
1-3 Years 21.1
3-7 Years 54.6
7-10 Years 6.6
10+ Years 7.2
No Duration 3.1

Region & Currency Allocation As of 12/31/2019

Region Country (%) Currency (%)
Emerging Markets 5.9 5.9
Europe ex-Eurozone 4.9 0.1
Eurozone 13.1 0.2
North & Central America 75.9 93.8
Other 0.2 -

Sector Allocation As of 12/31/2019

Sector Brandywine Global (%)
Cash & Cash Equivalents 2.9
Bond Futures 0.0
Credit Default Swap 0.4
Currency Forwards -0.2
Government Sovereign 5.9
MBS Agency CMBS 16.7
MBS Non-Agency CMBS 43.7
MBS Subprime 2.3
Prime MBS - Non-U.S. 18.0
Prime MBS - U.S. 7.9
U.S. High Yield Corporate Bond 2.3