NPORT-EX 2 LMA7900LM093023.htm HTML

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
(Cost - $2,349,512)

      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 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)    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) (cont’d)    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 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 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) (cont’d)    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 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

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) (cont’d)    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 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    

  

 

 

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 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.

 

 

 

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 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

 

   

 

 

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 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

    $ 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
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   $ 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
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   $ 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