FRANKLIN TEMPLETON AGGRESSIVE MODEL PORTFOLIO
Schedules of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS - 99.4% | ||||||||||||
DOMESTIC EQUITY - 70.3% | ||||||||||||
American Funds Insurance Series - Growth Fund, Class 1A |
459,684 | $ | 39,569,605 | |||||||||
BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares |
854,350 | 19,940,529 | ||||||||||
Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class |
578,482 | 19,870,858 | ||||||||||
Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares |
280,332 | 41,870,386 | ||||||||||
Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, |
||||||||||||
Class I Shares |
539,658 | 29,476,112 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class |
1,752,373 | 29,433,030 | ||||||||||
MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class |
1,221,500 | 14,402,334 | (b) | |||||||||
MainStay VP Small Cap Growth Portfolio, Initial Class |
1,507,101 | 14,775,616 | ||||||||||
MainStay VP Wellington U.S. Equity Portfolio, Initial Class |
1,663,788 | 39,365,723 | ||||||||||
MFS Variable Insurance Portfolios: |
||||||||||||
MFS® Investors Trust Series, Initial Class |
763,581 | 24,633,126 | ||||||||||
MFS® Research Series, Initial Class |
693,281 | 19,703,058 | ||||||||||
Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class |
1,328,697 | 31,835,589 | ||||||||||
Variable Insurance Products Fund III - VIP Growth Opportunities Portfolio, Initial Class |
456,219 | 23,664,060 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC EQUITY |
348,540,026 | |||||||||||
|
|
|||||||||||
FOREIGN EQUITY - 16.7% | ||||||||||||
Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares |
420,813 | 18,515,798 | ||||||||||
Invesco Variable Insurance Funds - Invesco V.I. International Growth Fund, Class I Shares |
731,579 | 22,166,844 | ||||||||||
MainStay VP Funds Trust - MainStay VP MacKay International Equity Portfolio, Initial Class |
1,838,691 | 17,340,326 | ||||||||||
Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class |
2,482,256 | 24,623,976 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN EQUITY |
82,646,944 | |||||||||||
|
|
|||||||||||
DOMESTIC FIXED INCOME - 12.4% | ||||||||||||
Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional |
||||||||||||
Premium Shares |
6,253,792 | 61,662,390 | ||||||||||
|
|
|||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS (Cost - $519,190,299) |
|
492,849,360 | ||||||||||
|
|
|||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||
Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares |
5.228 | % | 2,349,512 | 2,349,512 | (c) | |||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $521,539,811) |
495,198,872 | |||||||||||
Other Assets in Excess of Liabilities - 0.1% |
378,252 | |||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 495,577,124 | ||||||||||
|
|
(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 Portfolios investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolios 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) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS - 99.5% | ||||||||||||
DOMESTIC EQUITY - 55.9% | ||||||||||||
American Funds Insurance Series - Growth Fund, Class 1A |
1,085,145 | $ | 93,409,249 | |||||||||
BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares |
1,290,827 | 30,127,895 | ||||||||||
Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class |
983,219 | 33,773,565 | ||||||||||
Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares |
971,608 | 145,119,399 | ||||||||||
Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares |
1,562,637 | 85,351,246 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class |
3,530,182 | 59,293,293 | ||||||||||
MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class |
3,690,677 | 43,515,668 | (b) | |||||||||
MainStay VP Small Cap Growth Portfolio, Initial Class |
3,035,949 | 29,764,443 | ||||||||||
MainStay VP Wellington U.S. Equity Portfolio, Initial Class |
3,142,254 | 74,346,674 | ||||||||||
MFS Variable Insurance Portfolios: |
||||||||||||
MFS® Investors Trust Series, Initial Class |
1,845,795 | 59,545,341 | ||||||||||
MFS® Research Series, Initial Class |
1,832,861 | 52,089,915 | ||||||||||
Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class |
2,934,049 | 70,299,817 | ||||||||||
Variable Insurance Products Fund III - VIP Growth Opportunities Portfolio, Initial Class |
1,160,865 | 60,214,046 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC EQUITY |
836,850,551 | |||||||||||
|
|
|||||||||||
DOMESTIC FIXED INCOME - 26.9% | ||||||||||||
American Funds Insurance Series - The Bond Fund of America, Class 1A |
4,881,955 | 44,669,886 | ||||||||||
BlackRock Variable Series Funds II, Inc. - BlackRock High Yield V.I. Fund, Class I Shares |
3,425,484 | 22,334,158 | ||||||||||
Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares |
15,172,047 | 149,596,380 | ||||||||||
Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, |
||||||||||||
Class I Shares |
10,971,814 | 52,225,833 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Bond Portfolio, Initial Class |
3,129,576 | 37,307,056 | ||||||||||
MainStay VP PIMCO Real Return Portfolio, Initial Class |
3,661,767 | 29,859,877 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class |
7,735,671 | 67,068,273 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC FIXED INCOME |
403,061,463 | |||||||||||
|
|
|||||||||||
FOREIGN EQUITY - 13.5% | ||||||||||||
Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares |
1,695,603 | 74,606,552 | ||||||||||
Invesco Variable Insurance Funds - Invesco V.I. International Growth Fund, Class I Shares |
1,719,512 | 52,101,212 | ||||||||||
MainStay VP Funds Trust - MainStay VP MacKay International Equity Portfolio, Initial Class |
3,175,167 | 29,944,365 | ||||||||||
Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class |
4,500,590 | 44,645,849 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN EQUITY |
201,297,978 | |||||||||||
|
|
|||||||||||
FOREIGN FIXED INCOME - 3.2% | ||||||||||||
Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1 |
2,557,307 | 18,566,050 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar- Hedged), Institutional Class |
3,186,473 | 29,761,656 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN FIXED INCOME |
48,327,706 | |||||||||||
|
|
|||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,588,769,002) |
1,489,537,698 | |||||||||||
|
|
See Notes to Schedules of Investments.
2 |
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
FRANKLIN TEMPLETON MODERATELY AGGRESSIVE MODEL PORTFOLIO
Schedules of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
RATE | SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 0.3% | ||||||||||||
Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares (Cost - $5,145,199) |
5.228 | % | 5,145,199 | $ | 5,145,199 | (c) | ||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 99.8% (Cost - $1,593,914,201) |
1,494,682,897 | |||||||||||
Other Assets in Excess of Liabilities - 0.2% |
2,927,314 | |||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 1,497,610,211 | ||||||||||
|
|
(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 Portfolios investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolios 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 MODERATE MODEL PORTFOLIO
Schedules of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS - 99.8% | ||||||||||||
DOMESTIC FIXED INCOME - 43.4% | ||||||||||||
American Funds Insurance Series - The Bond Fund of America, Class 1A |
12,720,149 | $ | 116,389,368 | |||||||||
BlackRock Variable Series Funds II, Inc. - BlackRock High Yield V.I. Fund, Class I Shares |
3,661,677 | 23,874,133 | ||||||||||
Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares |
15,204,288 | 149,914,276 | ||||||||||
Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares |
13,823,018 | 65,797,564 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Bond Portfolio, Initial Class |
3,010,722 | 35,890,211 | ||||||||||
MainStay VP MacKay Convertible Portfolio, Initial Class |
1,675,706 | 23,911,659 | ||||||||||
MainStay VP PIMCO Real Return Portfolio, Initial Class |
3,669,665 | 29,924,281 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class |
8,613,704 | 74,680,816 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC FIXED INCOME |
520,382,308 | |||||||||||
|
|
|||||||||||
DOMESTIC EQUITY - 41.2% | ||||||||||||
American Funds Insurance Series - Growth Fund, Class 1A |
558,770 | 48,098,935 | ||||||||||
BNY Mellon Investment Portfolios - Technology Growth Portfolio, Initial Shares |
1,038,627 | 24,241,545 | ||||||||||
Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class |
527,353 | 18,114,562 | ||||||||||
Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares |
681,527 | 101,792,941 | ||||||||||
Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares |
983,932 | 53,742,383 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class |
1,419,984 | 23,850,188 | ||||||||||
MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class |
2,969,744 | 35,015,361 | (b) | |||||||||
MainStay VP Small Cap Growth Portfolio, Initial Class |
1,831,819 | 17,959,153 | ||||||||||
MainStay VP Wellington U.S. Equity Portfolio, Initial Class |
2,022,443 | 47,851,616 | ||||||||||
MFS Variable Insurance Portfolios: |
||||||||||||
MFS® Investors Trust Series, Initial Class |
1,113,840 | 35,932,475 | ||||||||||
MFS® Research Series, Initial Class |
1,053,315 | 29,935,219 | ||||||||||
Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class |
1,366,815 | 32,748,892 | ||||||||||
Variable Insurance Products Fund III - VIP Growth Opportunities Portfolio, Initial Class |
466,976 | 24,222,025 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC EQUITY |
493,505,295 | |||||||||||
|
|
|||||||||||
FOREIGN EQUITY - 11.2% | ||||||||||||
Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares |
1,023,136 | 45,017,987 | ||||||||||
Invesco Variable Insurance Funds - Invesco V.I. International Growth Fund, Class I Shares |
1,185,820 | 35,930,359 | ||||||||||
MainStay VP Funds Trust - MainStay VP MacKay International Equity Portfolio, Initial Class |
2,554,501 | 24,090,985 | ||||||||||
Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class |
3,017,708 | 29,935,660 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN EQUITY |
134,974,991 | |||||||||||
|
|
|||||||||||
FOREIGN FIXED INCOME - 4.0% | ||||||||||||
Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1 |
2,459,531 | 17,856,198 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar- Hedged), Institutional Class |
3,193,689 | 29,829,057 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN FIXED INCOME |
47,685,255 | |||||||||||
|
|
|||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,288,555,170) |
1,196,547,849 | |||||||||||
|
|
See Notes to Schedules of Investments.
4 |
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
FRANKLIN TEMPLETON MODERATE MODEL PORTFOLIO
Schedules of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
RATE | SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 0.3% | ||||||||||||
Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares (Cost - $3,460,531) |
5.228 | % | 3,460,531 | $ | 3,460,531 | (c) | ||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $1,292,015,701) |
1,200,008,380 | |||||||||||
Liabilities in Excess of Other Assets - (0.1)% |
(963,294 | ) | ||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 1,199,045,086 | ||||||||||
|
|
(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 Portfolios investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolios most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
5 |
FRANKLIN TEMPLETON MODERATELY CONSERVATIVE MODEL PORTFOLIO
Schedules of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS - 100.1% | ||||||||||||
DOMESTIC FIXED INCOME - 54.6% | ||||||||||||
American Funds Insurance Series - The Bond Fund of America, Class 1A |
4,844,512 | $ | 44,327,288 | |||||||||
BlackRock Variable Series Funds II, Inc. - BlackRock High Yield V.I. Fund, Class I Shares |
1,854,028 | 12,088,262 | ||||||||||
Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares |
5,132,799 | 50,609,399 | ||||||||||
Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares |
5,938,386 | 28,266,717 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Bond Portfolio, Initial Class |
2,371,345 | 28,268,326 | ||||||||||
MainStay VP MacKay Convertible Portfolio, Initial Class |
565,484 | 8,069,229 | ||||||||||
MainStay VP PIMCO Real Return Portfolio, Initial Class |
2,477,620 | 20,203,755 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class |
3,256,755 | 28,236,061 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC FIXED INCOME |
220,069,037 | |||||||||||
|
|
|||||||||||
DOMESTIC EQUITY - 28.7% | ||||||||||||
American Funds Insurance Series - Growth Fund, Class 1A |
94,290 | 8,116,521 | ||||||||||
Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class |
148,231 | 5,091,719 | ||||||||||
Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares |
202,984 | 30,317,659 | ||||||||||
Legg Mason Partners Variable Equity Trust - ClearBridge Variable Appreciation Portfolio, Class I Shares |
239,895 | 13,103,079 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class |
479,484 | 8,053,466 | ||||||||||
MainStay VP Fidelity Institutional AM® Utilities Portfolio, Initial Class |
1,002,584 | 11,821,163 | (b) | |||||||||
MainStay VP Small Cap Growth Portfolio, Initial Class |
515,426 | 5,053,242 | ||||||||||
MainStay VP Wellington U.S. Equity Portfolio, Initial Class |
341,450 | 8,078,803 | ||||||||||
MFS Variable Insurance Portfolios: |
||||||||||||
MFS® Investors Trust Series, Initial Class |
281,982 | 9,096,728 | ||||||||||
MFS® Research Series, Initial Class |
284,397 | 8,082,557 | ||||||||||
Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class |
377,409 | 9,042,721 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC EQUITY |
115,857,658 | |||||||||||
|
|
|||||||||||
FOREIGN EQUITY - 8.8% | ||||||||||||
Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares |
437,388 | 19,245,075 | ||||||||||
Invesco Variable Insurance Funds - Invesco V.I. International Growth Fund, Class I Shares |
266,767 | 8,083,048 | ||||||||||
Variable Insurance Products Fund - VIP Emerging Markets Portfolio, Initial Class |
814,819 | 8,083,007 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN EQUITY |
35,411,130 | |||||||||||
|
|
|||||||||||
FOREIGN FIXED INCOME - 8.0% | ||||||||||||
Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1 |
1,107,353 | 8,039,381 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class |
2,587,084 | 24,163,364 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN FIXED INCOME |
32,202,745 | |||||||||||
|
|
|||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS (Cost - $440,778,624) |
403,540,570 | |||||||||||
|
|
See Notes to Schedules of Investments.
6 |
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
FRANKLIN TEMPLETON MODERATELY CONSERVATIVE MODEL PORTFOLIO
Schedules of investments (unaudited) (contd) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
RATE | SHARES | VALUE | |||||||||
SHORT-TERM INVESTMENTS - 0.2% | ||||||||||||
Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares (Cost - $1,027,577) |
5.228 | % | 1,027,577 | $ | 1,027,577 | (c) | ||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 100.3% (Cost - $441,806,201) |
404,568,147 | |||||||||||
Liabilities in Excess of Other Assets - (0.3)% |
(1,325,843 | ) | ||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 403,242,304 | ||||||||||
|
|
(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 Portfolios investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolios most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
7 |
FRANKLIN TEMPLETON CONSERVATIVE MODEL PORTFOLIO
Schedules of investments (unaudited) | September 30, 2023 |
(Percentages shown based on Portfolio net assets)
DESCRIPTION |
SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS - 99.0% | ||||||||||||
DOMESTIC FIXED INCOME - 68.8% | ||||||||||||
American Funds Insurance Series - The Bond Fund of America, Class 1A |
1,802,052 | $ | 16,488,780 | |||||||||
BlackRock Variable Series Funds II, Inc. - BlackRock High Yield V.I. Fund, Class I Shares |
963,003 | 6,278,779 | ||||||||||
Fidelity Salem Street Trust - Fidelity® U.S. Bond Index Fund, Institutional Premium Shares |
2,319,905 | 22,874,259 | ||||||||||
Legg Mason Partners Variable Income Trust - Western Asset Core Plus VIT Portfolio, Class I Shares |
2,314,311 | 11,016,122 | (a) | |||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Bond Portfolio, Initial Class |
1,782,197 | 21,245,216 | ||||||||||
MainStay VP MacKay Convertible Portfolio, Initial Class |
220,268 | 3,143,133 | ||||||||||
MainStay VP PIMCO Real Return Portfolio, Initial Class |
1,641,415 | 13,384,918 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO Total Return Portfolio, Institutional Class |
1,722,177 | 14,931,271 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC FIXED INCOME |
109,362,478 | |||||||||||
|
|
|||||||||||
DOMESTIC EQUITY - 15.4% | ||||||||||||
American Funds Insurance Series - Growth Fund, Class 1A |
36,728 | 3,161,541 | ||||||||||
Delaware VIP Trust - Delaware VIP Small Cap Value Series, Standard Class |
46,158 | 1,585,526 | ||||||||||
Fidelity Concord Street Trust - Fidelity® 500 Index Fund, Institutional Premium Shares |
79,101 | 11,814,505 | ||||||||||
MainStay VP Funds Trust: |
||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio, Initial Class |
186,791 | 3,137,365 | ||||||||||
MainStay VP Small Cap Growth Portfolio, Initial Class |
160,618 | 1,574,696 | ||||||||||
Variable Insurance Products Fund - VIP Equity-Income Portfolio, Initial Class |
130,718 | 3,132,014 | ||||||||||
|
|
|||||||||||
TOTAL DOMESTIC EQUITY |
24,405,647 | |||||||||||
|
|
|||||||||||
FOREIGN FIXED INCOME - 12.8% | ||||||||||||
Columbia Funds Variable Series Trust II - Columbia Variable Portfolio - Emerging Markets Bond Fund, Class 1 |
431,739 | 3,134,427 | ||||||||||
PIMCO Variable Insurance Trust - PIMCO International Bond Portfolio (U.S. Dollar-Hedged), Institutional Class |
1,848,535 | 17,265,316 | ||||||||||
|
|
|||||||||||
TOTAL FOREIGN FIXED INCOME |
20,399,743 | |||||||||||
|
|
|||||||||||
FOREIGN EQUITY - 2.0% | ||||||||||||
Fidelity Concord Street Trust - Fidelity® International Index Fund, Institutional Premium Shares |
71,713 | 3,155,367 | ||||||||||
|
|
|||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS (Cost - $176,150,349) |
|
157,323,235 | ||||||||||
|
|
|||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||||
Blackrock Liquidity Funds - Treasury Trust Fund, Institutional Shares (Cost - $1,485,969) |
5.228 | % | 1,485,969 | 1,485,969 | (b) | |||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $177,636,318) |
158,809,204 | |||||||||||
Other Assets in Excess of Liabilities - 0.0% |
63,606 | |||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 158,872,810 | ||||||||||
|
|
| Represents less than 0.1%. |
(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 Portfolios investments as of the date of the schedule. Other information regarding the Portfolio is available in the Portfolios most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
8 |
Franklin Templeton Model Portfolio Funds 2023 Quarterly Report |
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 issuers 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
9 |
Notes to Schedules of Investments (unaudited) (continued)
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 Funds last available net asset value per share to account for significant events that have occurred subsequent to the Underlying Funds 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 |
$ | 210,993,718 | $ | 137,546,308 | | $ | 348,540,026 | |||||||||
Other Investments in Underlying Funds |
144,309,334 | | | 144,309,334 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
355,303,052 | 137,546,308 | | 492,849,360 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
2,349,512 | | | 2,349,512 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 357,652,564 | $ | 137,546,308 | | $ | 495,198,872 | |||||||||
|
|
|
|
|
|
|
|
| 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 |
$ | 536,521,224 | $ | 300,329,327 | | $ | 836,850,551 | |||||||||
Domestic Fixed Income |
335,894,530 | 67,166,933 | | 403,061,463 | ||||||||||||
Other Investments in Underlying Funds |
249,625,684 | | | 249,625,684 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
1,122,041,438 | 367,496,260 | | 1,489,537,698 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
5,145,199 | | | 5,145,199 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 1,127,186,637 | $ | 367,496,260 | | $ | 1,494,682,897 | |||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
10 |
Notes to Schedules of Investments (unaudited) (continued)
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 |
$ | 320,730,043 | $ | 172,775,253 | | $ | 493,505,296 | |||||||||
Domestic Fixed Income |
430,656,156 | 89,726,151 | | 520,382,307 | ||||||||||||
Other Investments in Underlying Funds |
182,660,246 | | | 182,660,246 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
934,046,445 | 262,501,404 | | 1,196,547,849 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
3,460,531 | | | 3,460,531 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 937,506,976 | $ | 262,501,404 | | $ | 1,200,008,380 | |||||||||
|
|
|
|
|
|
|
|
| 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 |
$ | 74,734,463 | $ | 41,123,195 | | $ | 115,857,658 | |||||||||
Domestic Fixed Income |
163,527,727 | 56,541,310 | | 220,069,037 | ||||||||||||
Other Investments in Underlying Funds |
67,613,875 | | | 67,613,875 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
305,876,065 | 97,664,505 | | 403,540,570 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
1,027,577 | | | 1,027,577 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 306,903,642 | $ | 97,664,505 | | $ | 404,568,147 | |||||||||
|
|
|
|
|
|
|
|
| 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: |
||||||||||||||||
Domestic Equity |
$ | 16,532,045 | $ | 7,873,602 | | $ | 24,405,647 | |||||||||
Domestic Fixed Income |
71,589,211 | 37,773,267 | | 109,362,478 | ||||||||||||
Other Investments in Underlying Funds |
23,555,110 | | | 23,555,110 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
111,676,366 | 45,646,869 | | 157,323,235 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
1,485,969 | | | 1,485,969 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 113,162,335 | $ | 45,646,869 | | $ | 158,809,204 | |||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
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 September 30, 2023. The following transactions
11 |
Notes to Schedules of Investments (unaudited) (continued)
were effected in such Underlying Funds for the period ended September 30, 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 September 30, 2023 |
||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
ClearBridge Variable Appreciation Portfolio, Class I Shares | $ | 22,065,907 | $ | 5,406,315 | 100,885 | | | | $ | 4,281 | $ | 167,034 | $ | 2,003,890 | $ | 29,476,112 |
Moderately Aggressive |
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 September 30, 2023 |
||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
ClearBridge Variable Appreciation Portfolio, Class I Shares | $ | 69,165,103 | $ | 10,093,511 | 187,312 | | | | $ | 12,583 | $ | 490,928 | $ | 6,092,632 | $ | 85,351,246 | ||||||||||||||||||||||||
Western Asset Core Plus VIT Portfolio, Class I Shares | 36,252,748 | 17,650,000 | 3,547,135 | $ | 460,000 | 96,638 | $ | (46,539 | ) | | | (1,170,376 | ) | 52,225,833 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 105,417,851 | $ | 27,743,511 | $ | 460,000 | $ | (46,539 | ) | $ | 12,583 | $ | 490,928 | $ | 4,922,256 | $ | 137,577,079 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 September 30, 2023 |
||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
ClearBridge Variable Appreciation Portfolio, Class I Shares | $ | 45,447,191 | $ | 4,373,551 | 82,490 | $ | 130,000 | 2,260 | $ | (11,142 | ) | $ | 8,211 | $ | 320,340 | $ | 4,062,783 | $ | 53,742,383 | |||||||||||||||||||||
Western Asset Core Plus VIT Portfolio, Class I Shares | 49,757,563 | 17,740,000 | 3,574,452 | 355,000 | 74,580 | (34,307 | ) | | | (1,310,692 | ) | 65,797,564 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 95,204,754 | $ | 22,113,551 | $ | 485,000 | $ | (45,449 | ) | $ | 8,211 | $ | 320,340 | $ | 2,752,091 | ) | $ | 119,539,947 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Moderately Conservative Model |
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 September 30, 2023 |
||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
ClearBridge Variable Appreciation Portfolio, Class I Shares | $ | 11,200,877 | $ | 1,464,209 | 27,556 | $ | 590,000 | 10,387 | $ | (41,612 | ) | $ | 2,104 | $ | 82,105 | $ | 1,069,605 | $ | 13,103,079 | |||||||||||||||||||||
Western Asset Core Plus VIT Portfolio, Class I Shares | 21,777,870 | 7,070,000 | 1,420,156 | | | | | | (581,153 | ) | 28,266,717 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 32,978,747 | $ | 8,534,209 | $ | 590,000 | $ | (41,612 | ) | $ | 2,104 | $ | 82,105 | $ | 488,452 | ) | $ | 41,369,796 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 September 30, 2023 |
||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
Western Asset Core Plus VIT Portfolio, Class I Shares | $ | 9,618,015 | $ | 1,820,000 | 366,061 | $ | 235,000 | 47,189 | $ | (8,965 | ) | | | $ | (177,928 | ) | $ | 11,016,122 |
12 |