Brandywine GLOBAL - Investment Strategies
Global Alternative Credit
Fixed Income Portfolio Characteristics As of 12/31/2016
Characteristic Brandywine Global
Average Quality B
Average Effective Duration (Years) 1.62
Average Coupon (%) 5.04
Yield to Worst (%) 4.89
Yield to Maturity (%) 5.68
Number of Issues 54
Quality Allocation As of 12/31/2016
Quality Rating Brandywine Global (%)
BBB or Higher 23.8
BB 7.4
B 30.9
CCC 18.9
CC-D -
Not Rated 18.9
Duration Allocation As of 12/31/2016
Duration Range Brandywine Global (%)
0-1 Years 18.2
1-3 Years 37.3
3-7 Years 38.6
7-10 Years 2.3
10+ Years 3.6
Region & Currency Allocation As of 12/31/2016
Region Country Weight (%) Currency Weight (%)
Asia-Pacific Ex-Japan - -
Emerging Markets 9.4 10.3
Europe Ex-Eurozone 7.0 -
Eurozone 11.4 - 3.3
Japan - -
Middle East & Africa - -
North & Central America 70.3 93.0
Other 1.7 -
South America - -
Supranational - -
Sector Allocation As of 12/31/2016
Sector Brandywine Global (%)
Alt-A MBS -
Asset Backed Securities -
Bond Futures -
Cash & Cash Equivalents 7.1
CMBS - Non-U.S. -
CMBS - U.S. -
Collateralized Loan Obligation -
Credit Default Swap 23.7
Currency Forward P&L 0.9
Derivatives P&L -
Equity -
Government Sovereign 5.1
Leveraged Loans 14.5
MBS Agency Pass Through U.S. -
Prime MBS - Non-U.S. 10.0
Prime MBS - U.S. 8.6
U.S. High Yield Corporate Bond 22.4