Global Alternative Credit | Investment Strategies | Brandywine GLOBAL

Global Alternative Credit

Fixed Income Portfolio Characteristics As of 3/31/2017

Characteristic Brandywine Global
Average Quality BB-
Average Effective Duration (Years) - 0.12
Average Coupon (%) 5.30
Yield to Worst (%) 5.48
Yield to Maturity (%) 5.64
Number of Issues 60

Quality Allocation As of 3/31/2017

Quality Rating Brandywine Global (%)
BBB or Higher 37.5
BB 18.0
B 22.6
CCC 11.3
CC-D -
Not Rated 10.6

Duration Allocation As of 3/31/2017

Duration Range Brandywine Global (%)
0-1 Years 14.3
1-3 Years 19.2
3-7 Years 53.9
7-10 Years 4.8
10+ Years 7.8

Region & Currency Allocation As of 3/31/2017

Region Country Weight (%) Currency Weight (%)
Asia-Pacific Ex-Japan - -
Emerging Markets 12.5 7.2
Europe Ex-Eurozone 6.8 - 0.1
Eurozone 10.2 0.3
Japan - -
Middle East & Africa - -
North & Central America 69.4 92.7
South America - -
Supranational - -
Other 1.1 -

Sector Allocation As of 3/31/2017

Sector Brandywine Global (%)
Alt-A MBS -
Asset Backed Securities 1.4
Bond Futures - 24.4
Cash & Cash Equivalents 5.4
CMBS - Non-U.S. -
CMBS - U.S. -
Collateralized Loan Obligation -
Credit Default Swap 19.9
Currency Forward P&L -
Derivatives P&L -
Equity -
Government Sovereign 14.7
Leveraged Loans 13.5
MBS Agency Pass Through U.S. -
Prime MBS - Non-U.S. 8.2
Prime MBS - U.S. 14.1
U.S. High Yield Corporate Bond 17.3