NPORT-EX 2 LMA7500LM033123.htm HTML

FRANKLIN TEMPLETON AGGRESSIVE MODEL PORTFOLIO

 

Schedules of investments (unaudited)    March 31, 2023

(Percentages shown based on Portfolio net assets)

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS - 98.2%        
DOMESTIC EQUITY - 77.4%        

American Funds Insurance Series:

        

Growth Fund, Class 1A

        506,491      $ 42,869,387  

Washington Mutual Investors Fundsm, Class 1A

        1,671,004        21,305,299  

BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares

        606,113        12,849,588  

Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class

        410,384        14,925,653  

Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares

        217,178        31,078,252  

Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares

        488,228        25,602,688 (a) 

MainStay VP Funds Trust:

        

MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class

        1,537,322        25,547,686  

MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class

        1,332,428        17,002,853 (b)  

MainStay VP Small Cap Growth Portfolio, Initial Class

        1,508,648        15,003,657  

MainStay VP Wellington U.S. Equity Portfolio, Initial Class

        1,505,432        34,183,389  

MFS Variable Insurance Portfolios:

        

MFS® Investors Trust Series, Initial Class

        770,637        25,731,558  

MFS® Research Series, Initial Class

        593,126        17,165,063  

Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class

        941,358        22,300,776  

Variable Insurance Products Fund II - VIP Contrafund® Portfolio, Initial Class

        623,271        25,597,740 (c) 
       

 

 

  

TOTAL DOMESTIC EQUITY

           331,163,589  
       

 

 

  
DOMESTIC FIXED INCOME - 12.4%        

Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares

        5,089,699        53,034,661  
       

 

 

  
FOREIGN EQUITY - 8.4%        

Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares

        331,207        14,814,895  

Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class

        2,050,984        21,043,096  
       

 

 

  

TOTAL FOREIGN EQUITY

           35,857,991  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $451,607,176)

 

        420,056,241  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 2.4%        

Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares
(Cost - $10,213,858)

      4.480 %      10,213,858        10,213,858 (d)  
       

 

 

  

TOTAL INVESTMENTS - 100.6%
(Cost - $461,821,034)

           430,270,099  

Liabilities in Excess of Other Assets - (0.6)%

           (2,436,197 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 427,833,902  
       

 

 

  

 

(a)

Underlying Fund is affiliated with Franklin Resources, Inc. and more information about the Underlying Fund is available at www.franklintempleton.com (Note 2).

 

(b)

Fidelity Institutional AM is a registered service mark of FMR LLC.

 

(c)

Contrafund is a registered service mark of FMR LLC.

 

(d)

Rate shown is one-day yield as of the end of the reporting period.

This Schedule of Investments is unaudited and is intended to provide information about the Portfolio’s investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolio’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedules of Investments.

 

 

Franklin Templeton Model Portfolio Funds 2023 Quarterly Report    

  

 

 

1

FRANKLIN TEMPLETON MODERATELY AGGRESSIVE MODEL PORTFOLIO

 

Schedules of investments (unaudited)    March 31, 2023

(Percentages shown based on Portfolio net assets)

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS - 99.7%        
DOMESTIC EQUITY - 61.7%        

American Funds Insurance Series:

        

Growth Fund, Class 1A

        997,884      $ 84,460,877  

Washington Mutual Investors Fundsm, Class 1A

        2,368,451        30,197,750  

BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares

        1,273,415        26,996,389  

Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class

        1,108,478        40,315,342  

Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares

        917,780        131,334,277  

Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares

        1,474,303        77,312,474 (a)  

MainStay VP Funds Trust:

        

MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class

        3,227,936        53,642,809  

MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class

        3,148,765        40,180,761 (b)  

MainStay VP Small Cap Growth Portfolio, Initial Class

        4,075,002        40,526,308  

MainStay VP Wellington U.S. Equity Portfolio, Initial Class

        3,408,839        77,403,495  

MFS Variable Insurance Portfolios:

        

MFS® Investors Trust Series, Initial Class

        2,225,874        74,321,925  

MFS® Research Series, Initial Class

        1,867,247        54,038,144  

Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class

        1,977,182        46,839,438  

Variable Insurance Products Fund II - VIP Contrafund® Portfolio, Initial Class

        1,309,582        53,784,516 (c)  
       

 

 

  

TOTAL DOMESTIC EQUITY

           831,354,505  
       

 

 

  
DOMESTIC FIXED INCOME - 25.6%        

American Funds Insurance Series - The Bond Fund of America, Class 1A

        4,532,785        43,605,390  

Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares

        12,875,147        134,159,032  

Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares

        8,055,238        40,195,637 (a)  

MainStay VP Funds Trust:

        

MainStay VP Bond Portfolio, Initial Class

        3,228,311        40,147,275  

MainStay VP PIMCO Real Return Portfolio, Initial Class

        3,158,674        26,757,764  

PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class

        6,607,020        60,388,161  
       

 

 

  

TOTAL DOMESTIC FIXED INCOME

           345,253,259  
       

 

 

  
FOREIGN EQUITY - 7.9%        

Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares

        1,490,117        66,652,911  

Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class

        3,877,083        39,778,872  
       

 

 

  

TOTAL FOREIGN EQUITY

           106,431,783  
       

 

 

  
FOREIGN FIXED INCOME - 4.5%        

Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1

        3,597,340        27,159,921  

PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class

        3,442,045        33,422,254  
       

 

 

  

TOTAL FOREIGN FIXED INCOME

           60,582,175  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $1,458,965,734)

 

        1,343,621,722  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 2.2%        

Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares
(Cost - $30,140,256)

      4.480 %      30,140,256        30,140,256 (d)  
       

 

 

  

TOTAL INVESTMENTS - 101.9%
(Cost - $1,489,105,990)

           1,373,761,978  

Liabilities in Excess of Other Assets - (1.9)%

           (26,118,094 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 1,347,643,884  
       

 

 

  

 

(a)

Underlying Fund is affiliated with Franklin Resources, Inc. and more information about the Underlying Fund is available at www.franklintempleton.com (Note 2).

 

(b)

Fidelity Institutional AM is a registered service mark of FMR LLC.

 

(c)

Contrafund is a registered service mark of FMR LLC.

 

(d)

Rate shown is one-day yield as of the end of the reporting period.

This Schedule of Investments is unaudited and is intended to provide information about the Portfolio’s investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolio’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedules of Investments.

 

 

 

2

  

    Franklin Templeton Model Portfolio Funds 2023 Quarterly Report

  

FRANKLIN TEMPLETON MODERATE MODEL PORTFOLIO

 

Schedules of investments (unaudited)    March 31, 2023

(Percentages shown based on Portfolio net assets)

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS - 98.2%        
DOMESTIC EQUITY - 47.5%        

American Funds Insurance Series - Growth Fund, Class 1A

        532,648      $ 45,083,336  

BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares

        1,062,026        22,514,942  

Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class

        616,163        22,409,855  

Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares

        570,891        81,694,517  

Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares

        962,012        50,447,918 (a)  

MainStay VP Funds Trust:

        

MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class

        2,019,196        33,555,600  

MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class

        2,624,620        33,492,247 (b)  

MainStay VP Small Cap Growth Portfolio, Initial Class

        2,264,408        22,519,763  

MainStay VP Wellington U.S. Equity Portfolio, Initial Class

        2,471,374        56,116,744  

MFS Variable Insurance Portfolios:

        

MFS® Investors Trust Series, Initial Class

        1,518,831        50,713,774  

MFS® Research Series, Initial Class

        1,557,040        45,060,738  

Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class

        1,296,135        30,705,451  

Variable Insurance Products Fund II - VIP Contrafund® Portfolio, Initial Class

        955,679        39,249,726 (c)  
       

 

 

  

TOTAL DOMESTIC EQUITY

           533,564,611  
       

 

 

  
DOMESTIC FIXED INCOME - 42.2%        

American Funds Insurance Series - The Bond Fund of America, Class 1A

        11,301,019        108,715,808  

Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares

        13,371,917        139,335,380  

Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares

        11,158,661        55,681,716 (a)  

MainStay VP Funds Trust:

        

MainStay VP Bond Portfolio, Initial Class

        3,576,818        44,481,312  

MainStay VP MacKay Convertible Portfolio, Initial Class

        1,589,405        22,370,878  

MainStay VP PIMCO Real Return Portfolio, Initial Class

        3,936,663        33,348,256  

PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class

        7,626,699        69,708,029  
       

 

 

  

TOTAL DOMESTIC FIXED INCOME

           473,641,379  
       

 

 

  
FOREIGN FIXED INCOME - 5.0%        

Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1

        2,987,910        22,558,722  

PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class

        3,432,431        33,328,902  
       

 

 

  

TOTAL FOREIGN FIXED INCOME

           55,887,624  
       

 

 

  
FOREIGN EQUITY - 3.5%        

Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares

        870,357        38,931,083  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $1,195,807,793)

 

        1,102,024,697  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 2.4%        

Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares
(Cost - $27,518,169)

      4.480 %      27,518,169        27,518,169 (d)  
       

 

 

  

TOTAL INVESTMENTS - 100.6%
(Cost - $1,223,325,962)

           1,129,542,866  

Liabilities in Excess of Other Assets - (0.6)%

           (7,229,834 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 1,122,313,032  
       

 

 

  

 

(a)

Underlying Fund is affiliated with Franklin Resources, Inc. and more information about the Underlying Fund is available at www.franklintempleton.com (Note 2).

 

(b)

Fidelity Institutional AM is a registered service mark of FMR LLC.

 

(c)

Contrafund is a registered service mark of FMR LLC.

 

(d)

Rate shown is one-day yield as of the end of the reporting period.

This Schedule of Investments is unaudited and is intended to provide information about the Portfolio’s investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolio’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedules of Investments.

 

 

Franklin Templeton Model Portfolio Funds 2023 Quarterly Report    

  

 

 

3

FRANKLIN TEMPLETON MODERATELY CONSERVATIVE MODEL PORTFOLIO

 

Schedules of investments (unaudited)    March 31, 2023

(Percentages shown based on Portfolio net assets)

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS - 98.4%        
DOMESTIC FIXED INCOME - 52.3%        

American Funds Insurance Series - The Bond Fund of America, Class 1A

        5,403,091      $ 51,977,732  

Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares

        4,795,154        49,965,508  

Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares

        4,800,837        23,956,175 (a) 

MainStay VP Funds Trust:

        

MainStay VP Bond Portfolio, Initial Class

        2,244,456        27,912,050  

MainStay VP MacKay Convertible Portfolio, Initial Class

        569,936        8,021,856  

MainStay VP PIMCO Real Return Portfolio, Initial Class

        2,352,619        19,929,507  

PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class

        3,062,276        27,989,206  
       

 

 

  

TOTAL DOMESTIC FIXED INCOME

           209,752,034  
       

 

 

  
DOMESTIC EQUITY - 31.4%        

American Funds Insurance Series - Growth Fund, Class 1A

        95,503        8,083,334  

Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares

        169,469        24,251,022  

Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares

        229,959        12,059,027 (a) 

MainStay VP Funds Trust:

        

MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class

        724,121        12,033,661  

MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class

        941,080        12,008,935 (b)  

MainStay VP Small Cap Growth Portfolio, Initial Class

        812,540        8,080,797  

MainStay VP Wellington U.S. Equity Portfolio, Initial Class

        443,402        10,068,193  

MFS Variable Insurance Portfolios:

        

MFS® Investors Trust Series, Initial Class

        484,177        16,166,684  

MFS® Research Series, Initial Class

        489,052        14,153,178  

Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class

        380,286        9,008,974  
       

 

 

  

TOTAL DOMESTIC EQUITY

           125,913,805  
       

 

 

  
FOREIGN FIXED INCOME - 10.0%        

Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1

        1,607,591        12,137,312  

PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class

        2,871,750        27,884,691  
       

 

 

  

TOTAL FOREIGN FIXED INCOME

           40,022,003  
       

 

 

  
FOREIGN EQUITY - 4.7%        

Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares

        423,523        18,944,186  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $429,932,296)

 

        394,632,028  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 1.5%        

Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares

(Cost - $6,114,108)

   

 

4.480

% 

  

 

6,114,108

 

   

 

6,114,108

(c)  

       

 

 

  

TOTAL INVESTMENTS - 99.9%
(Cost - $436,046,404)

           400,746,136  

Other Assets in Excess of Liabilities - 0.1%

           594,499  
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 401,340,635  
       

 

 

  

 

(a)

Underlying Fund is affiliated with Franklin Resources, Inc. and more information about the Underlying Fund is available at www.franklintempleton.com (Note 2).

 

(b)

Fidelity Institutional AM is a registered service mark of FMR LLC.

 

(c)

Rate shown is one-day yield as of the end of the reporting period.

This Schedule of Investments is unaudited and is intended to provide information about the Portfolio’s investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolio’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedules of Investments.

 

 

 

4

  

    Franklin Templeton Model Portfolio Funds 2023 Quarterly Report

  

FRANKLIN TEMPLETON CONSERVATIVE MODEL PORTFOLIO

 

Schedules of investments (unaudited)    March 31, 2023

(Percentages shown based on Portfolio net assets)

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS - 98.0%        
DOMESTIC FIXED INCOME - 66.1%        

American Funds Insurance Series - The Bond Fund of America, Class 1A

        2,467,647      $ 23,738,765  

Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares

        2,356,583        24,555,595  

Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares

        1,966,649        9,813,580 (a)  

MainStay VP Funds Trust:

        

MainStay VP Bond Portfolio, Initial Class

        1,772,977        22,048,741  

MainStay VP MacKay Convertible Portfolio, Initial Class

        233,387        3,284,919  

MainStay VP PIMCO Real Return Portfolio, Initial Class

        1,156,506        9,796,995  

PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class

        1,702,313        15,559,137  
       

 

 

  

TOTAL DOMESTIC FIXED INCOME

           108,797,732  
       

 

 

  
DOMESTIC EQUITY - 16.0%        

Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares

        69,372        9,927,112  

MainStay VP Funds Trust:

        

MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class

        296,556        4,928,246  

MainStay VP Small Cap Growth Portfolio, Initial Class

        332,586        3,307,600  

MFS Variable Insurance Portfolios - MFS® Research Series, Initial Class

        171,612        4,966,458  

Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class

        138,414        3,279,034  
       

 

 

  

TOTAL DOMESTIC EQUITY

           26,408,450  
       

 

 

  
FOREIGN FIXED INCOME - 15.9%        

Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1

        877,862        6,627,857  

PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class

        2,016,328        19,578,550  
       

 

 

  

TOTAL FOREIGN FIXED INCOME

           26,206,407  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $179,130,323)

 

        161,412,589  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 1.5%        

Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares

(Cost - $2,514,322)

      4.480 %      2,514,322        2,514,322 (b)  
       

 

 

  

TOTAL INVESTMENTS - 99.5%
(Cost - $181,644,645)

           163,926,911  

Other Assets in Excess of Liabilities - 0.5%

           825,139  
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 164,752,050  
       

 

 

  

 

(a)

Underlying Fund is affiliated with Franklin Resources, Inc. and more information about the Underlying Fund is available at www.franklintempleton.com (Note 2).

 

(b)

Rate shown is one-day yield as of the end of the reporting period.

This Schedule of Investments is unaudited and is intended to provide information about the Portfolio’s investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolio’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedules of Investments.

 

 

Franklin Templeton Model Portfolio Funds 2023 Quarterly Report    

  

 

 

5

Notes to Schedules of Investments (unaudited)

 

1. Organization and significant accounting policies

Franklin Templeton Aggressive Model Portfolio (“Aggressive Model Portfolio”), Franklin Templeton Moderately Aggressive Model Portfolio (“Moderately Aggressive Model Portfolio”), Franklin Templeton Moderate Model Portfolio (“Moderate Model Portfolio”), Franklin Templeton Moderately Conservative Model Portfolio (“Moderately Conservative Model Portfolio”) and Franklin Templeton Conservative Model Portfolio (“Conservative Model Portfolio”) (collectively, the “Portfolios”) are separate diversified investment series of Legg Mason Partners Variable Equity Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Portfolios invest in insurance-dedicated mutual funds that have been selected by New York Life Insurance and Annuity Corporation (“NYLIAC”) as investment options for use with their variable annuity and variable universal life insurance policies, noninsurance-dedicated mutual funds and exchange traded funds (“Underlying Funds”). The Underlying Funds include funds managed by investment advisers that are not affiliated with Franklin Resources, Inc. (“Franklin Resources”) and funds managed by Franklin Resources affiliated investment advisers. Shares of the Portfolios are offered to variable annuity and variable life insurance separate accounts established by NYLIAC.

Shares of the Portfolios may only be purchased or redeemed through variable annuity contracts and variable life insurance policies issued by NYLIAC through their separate accounts.

The Portfolios follow the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Portfolios and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(a) Investment valuation. Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. When the Portfolios hold securities or other assets that are denominated in a foreign currency, the Portfolios will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before each Portfolio calculates its net asset value, the Portfolios value these securities as determined in accordance with procedures approved by the Portfolios’ Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Portfolios’ manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Portfolios’ manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Portfolios’ pricing policies, and reporting to the Portfolios’ manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Portfolios, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger

 

 

 

6

    

Notes to Schedules of Investments (unaudited) (cont’d)

 

proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities. Additionally, if the closing net asset value per share for an Underlying Fund is not available on the day of valuation, the Valuation Committee may adjust the Underlying Fund’s last available net asset value per share to account for significant events that have occurred subsequent to the Underlying Fund’s last net asset value per share calculation but prior to the day of valuation.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Portfolios use valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

  •  

Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Portfolios’ assets carried at fair value:

Aggressive Model Portfolio

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments:

            

Investments in Underlying Funds†:

            

Domestic Equity

    $ 160,325,665      $ 170,837,924        —        $ 331,163,589  

Other Investments in Underlying Funds

      88,892,652        —          —          88,892,652  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      249,218,317        170,837,924        —          420,056,241  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      10,213,858        —          —          10,213,858  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 259,432,175      $ 170,837,924        —        $ 430,270,099  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

Moderately Aggressive Model Portfolio

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments:

            

Investments in Underlying Funds†:

            

Domestic Equity

    $ 464,627,163      $ 366,727,342        —        $ 831,354,505  

Domestic Fixed Income

      278,348,220        66,905,039        —          345,253,259  

Other Investments in Underlying Funds

      167,013,958        —          —          167,013,958  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      909,989,341        433,632,381        —          1,343,621,722  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      30,140,256        —          —          30,140,256  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 940,129,597      $ 433,632,381        —        $ 1,373,761,978  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

   

 

 

7

Notes to Schedules of Investments (unaudited) (cont’d)

 

Moderate Model Portfolio

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments:

            

Investments in Underlying Funds†:

            

Domestic Equity

    $ 320,387,066      $ 213,177,545        —        $ 533,564,611  

Domestic Fixed Income

      373,440,933        100,200,446        —          473,641,379  

Other Investments in Underlying Funds

      94,818,707        —          —          94,818,707  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      788,646,706        313,377,991        —          1,102,024,697  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      27,518,169        —          —          27,518,169  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 816,164,875      $ 313,377,991        —        $ 1,129,542,866  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

Moderately Conservative Model Portfolio

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments:

            

Investments in Underlying Funds†:

            

Domestic Equity

    $ 75,638,885      $ 50,274,920        —        $ 125,913,805  

Domestic Fixed Income

      153,888,621        55,863,413        —          209,752,034  

Other Investments in Underlying Funds

      58,966,189        —          —          58,966,189  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      288,493,695        106,138,333        —          394,632,028  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      6,114,108        —          —          6,114,108  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 294,607,803      $ 106,138,333        —        $ 400,746,136  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

Conservative Model Portfolio

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments:

            

Investments in Underlying Funds†:

            

Foreign Fixed Income

    $ 26,206,407        —          —        $ 26,206,407  

Domestic Equity

      18,172,604      $ 8,235,846        —          26,408,450  

Domestic Fixed Income

      73,667,077        35,130,655        —          108,797,732  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      118,046,088        43,366,501        —          161,412,589  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      2,514,322        —          —          2,514,322  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 120,560,410      $ 43,366,501        —        $ 163,926,911  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

 

 

8

    

Notes to Schedules of Investments (unaudited) (cont’d)

 

2. Transactions with affiliated companies

As defined by the 1940 Act, an affiliated company is one in which the Portfolios own 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Portfolios. The following Underlying Funds were considered affiliated companies for all or some portion of the period ended March 31, 2023. The following transactions were effected in such Underlying Funds for the period ended March 31, 2023.

 

Aggressive Model Portfolio

    Affiliate
Value at
December 31,
2022		      Purchased      Sold      Realized
Gain (Loss)
from Sale
of Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		      Capital Gain
Distributions
from
Affiliated
Underlying
Funds		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2023		  
   Cost      Shares      Proceeds      Shares  
                            
ClearBridge Variable Appreciation Portfolio, Class I Shares    $ 22,065,907      $ 2,550,000        49,455        —          —          —         —          —        $ 986,781      $ 25,602,688  

Moderately Aggressive

Model Portfolio

    Affiliate
Value at
December 31,
2022		      Purchased      Sold      Realized
Gain (Loss)
from Sale
of Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		      Capital Gain
Distributions
from
Affiliated
Underlying
Funds		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2023		  
   Cost      Shares      Proceeds      Shares  
                            
ClearBridge Variable Appreciation Portfolio, Class I Shares    $ 69,165,103      $ 5,095,000        98,978        —          —          —         —          —        $ 3,052,371      $ 77,312,474  
Western Asset Core Plus VIT Portfolio, Class I Shares      36,252,748        2,675,000        533,921        —          —          —         —          —          1,267,889        40,195,637  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  
   $ 105,417,851      $ 7,770,000           —             —         —          —        $ 4,320,260      $ 117,508,111  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

Moderate Model Portfolio

    Affiliate
Value at
December 31,
2022		      Purchased      Sold      Realized
Gain (Loss)
from Sale
of Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		      Capital Gain
Distributions
from
Affiliated
Underlying
Funds		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2023		  
   Cost      Shares      Proceeds      Shares  
                            
ClearBridge Variable Appreciation Portfolio, Class I Shares    $ 45,447,191      $ 3,045,000        58,310        —          —          —         —          —        $ 1,955,727      $ 50,447,918  
Western Asset Core Plus VIT Portfolio, Class I Shares      49,757,563        4,145,000        835,515        —          —          —         —          —          1,779,153        55,681,716  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  
   $ 95,204,754      $ 7,190,000           —             —         —          —        $ 3,734,880      $ 106,129,634  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

Moderately Conservative

Model Portfolio

    Affiliate
Value at
December 31,
2022		      Purchased      Sold      Realized
Gain (Loss)
from Sale
of Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		      Capital Gain
Distributions
from
Affiliated
Underlying
Funds		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2023		  
   Cost      Shares      Proceeds      Shares  
                            
ClearBridge Variable Appreciation Portfolio, Class I Shares    $ 11,200,877      $ 375,000        7,233        —          —          —         —          —        $ 483,150      $ 12,059,027  
Western Asset Core Plus VIT Portfolio, Class I Shares      21,777,870        1,410,000        282,607        —          —          —         —          —          768,305        23,956,175  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  
   $ 32,978,747      $ 1,785,000           —             —         —          —        $ 1,251,455      $ 36,015,202  
  

 

 

     

 

 

        

 

 

        

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

Conservative Model Portfolio

    Affiliate
Value at
December 31,
2022		      Purchased      Sold      Realized
Gain (Loss)
from Sale
of Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		      Capital Gain
Distributions
from
Affiliated
Underlying
Funds		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
March 31,
2023		  
   Cost      Shares      Proceeds      Shares  
                            
Western Asset Core Plus VIT Portfolio, Class I Shares    $ 9,618,015      $ 10,000        2,004      $ 155,000        30,794      $ (4,202 )      —          —        $ 344,767      $ 9,813,580  

 

   

 

 

9