Global Alternative Credit | Investment Strategies | Brandywine GLOBAL

Global Alternative Credit

Fixed Income Portfolio Characteristics As of 9/30/2017

Characteristic Brandywine Global
Average Quality BBB
Average Effective Duration (Years) 1.17
Average Coupon (%) 3.29
Yield to Worst (%) 3.60
Yield to Maturity (%) 3.68
Number of Issues 51

Quality Allocation As of 9/30/2017

Quality Rating Brandywine Global (%)
BBB or Higher 59.9
BB 17.3
B 7.4
CCC 5.6
CC-D 0.9
Not Rated 8.9

Duration Allocation As of 9/30/2017

Duration Range Brandywine Global (%)
0-1 Years 40.0
1-3 Years 9.3
3-7 Years 31.8
7-10 Years 15.5
10+ Years 3.4

Region & Currency Allocation As of 9/30/2017

Region Country Weight (%) Currency Weight (%)
Asia-Pacific Ex-Japan - -
Emerging Markets 8.0 4.5
Europe Ex-Eurozone 5.6 0.1
Eurozone 8.8 4.5
Japan - -
Middle East & Africa - -
North & Central America 76.5 90.0
South America 0.9 0.9
Supranational - -
Other - -

Sector Allocation As of 9/30/2017

Sector Brandywine Global (%)
Alt-A MBS -
Asset Backed Securities -
Bond Futures -
Cash & Cash Equivalents 4.9
CMBS - Non-U.S. -
CMBS - U.S. -
Collateralized Loan Obligation -
Credit Default Swap -
Currency Forward P&L -
Derivatives P&L -
Equity -
Government Sovereign 42.2
Leveraged Loans -
MBS Agency Pass Through U.S. -
Prime MBS - Non-U.S. -
Prime MBS - U.S. 20.9
U.S. High Yield Corporate Bond 11.9

Sector Weights As of 9/30/2017

Sector Brandywine Global (%)
Alt-A MBS -
Asset Backed Securities -
Bond Futures -
Cash & Cash Equivalents 4.9
CMBS - Non-U.S. -
CMBS - U.S. -
Collateralized Loan Obligation -
Credit Default Swap -
Currency Forward P&L -
Derivatives P&L -
Equity -
Government Sovereign 42.2
Leveraged Loans -
MBS Agency Pass Through U.S. -
Prime MBS - Non-U.S. -
Prime MBS - U.S. 20.9
U.S. High Yield Corporate Bond 11.9