WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 77.9% | ||||||||||||||||
| COMMUNICATION SERVICES - 16.3% | ||||||||||||||||
| Diversified Telecommunication Services - 4.7% |
||||||||||||||||
| Altice Financing SA, Senior Secured Notes |
5.000 | % | 1/15/28 | 500,000 | $ | 386,220 | (a) | |||||||||
| Altice Financing SA, Senior Secured Notes |
5.750 | % | 8/15/29 | 1,000,000 | 767,610 | (a) | ||||||||||
| Altice France Holding SA, Senior Notes |
6.000 | % | 2/15/28 | 690,000 | 439,135 | (a) | ||||||||||
| Altice France Holding SA, Senior Secured Notes |
10.500 | % | 5/15/27 | 810,000 | 636,292 | (a) | ||||||||||
| Altice France SA, Senior Secured Notes |
5.125 | % | 7/15/29 | 250,000 | 187,367 | (a) | ||||||||||
| Altice France SA, Senior Secured Notes |
5.500 | % | 10/15/29 | 1,580,000 | 1,192,748 | (a) | ||||||||||
| Level 3 Financing Inc., Senior Notes |
3.625 | % | 1/15/29 | 1,160,000 | 860,720 | (a) | ||||||||||
| Telecom Italia Capital SA, Senior Notes |
7.200 | % | 7/18/36 | 150,000 | 117,899 | |||||||||||
| Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 780,000 | 737,759 | (a) | ||||||||||
| Turk Telekomunikasyon AS, Senior Notes |
6.875 | % | 2/28/25 | 850,000 | 747,847 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
6,073,597 | |||||||||||||||
|
|
|
|||||||||||||||
| Interactive Media & Services - 1.2% |
||||||||||||||||
| Match Group Holdings II LLC, Senior Notes |
3.625 | % | 10/1/31 | 1,690,000 | 1,278,358 | (a) | ||||||||||
| Rackspace Technology Global Inc., Senior Secured Notes |
3.500 | % | 2/15/28 | 500,000 | 331,260 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Interactive Media & Services |
1,609,618 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 7.8% |
||||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 8/15/30 | 1,400,000 | 1,110,627 | (a) | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 5/1/32 | 2,480,000 | 1,895,861 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.250 | % | 1/15/34 | 1,500,000 | 1,077,187 | (a) | ||||||||||
| DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes |
5.875 | % | 8/15/27 | 1,010,000 | 873,019 | (a) | ||||||||||
| DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 280,000 | 250,296 | |||||||||||
| DISH DBS Corp., Senior Notes |
7.750 | % | 7/1/26 | 440,000 | 338,155 | |||||||||||
| DISH DBS Corp., Senior Notes |
5.125 | % | 6/1/29 | 530,000 | 312,223 | |||||||||||
| DISH DBS Corp., Senior Secured Notes |
5.750 | % | 12/1/28 | 1,040,000 | 787,920 | (a) | ||||||||||
| Sirius XM Radio Inc., Senior Notes |
4.125 | % | 7/1/30 | 700,000 | 570,500 | (a) | ||||||||||
| United Group BV, Senior Secured Notes |
5.250 | % | 2/1/30 | 150,000 | EUR | 103,426 | (a) | |||||||||
| Virgin Media Finance PLC, Senior Notes |
5.000 | % | 7/15/30 | 700,000 | 515,812 | (a) | ||||||||||
| Virgin Media Secured Finance PLC, Senior Secured Notes |
5.500 | % | 5/15/29 | 900,000 | 772,689 | (a) | ||||||||||
| VZ Secured Financing BV, Senior Secured Notes |
5.000 | % | 1/15/32 | 1,920,000 | 1,437,967 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
10,045,682 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
1 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Wireless Telecommunication Services - 2.6% |
||||||||||||||||
| CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 570,000 | $ | 504,316 | (a) | |||||||||
| CSC Holdings LLC, Senior Notes |
5.750 | % | 1/15/30 | 1,760,000 | 1,254,176 | (a) | ||||||||||
| CSC Holdings LLC, Senior Notes |
5.000 | % | 11/15/31 | 630,000 | 417,316 | (a) | ||||||||||
| Millicom International Cellular SA, Senior Notes |
4.500 | % | 4/27/31 | 750,000 | 536,415 | (b) | ||||||||||
| Vmed O2 UK Financing I PLC, Senior Secured Notes |
4.750 | % | 7/15/31 | 810,000 | 626,892 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
3,339,115 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
21,068,012 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 26.5% | ||||||||||||||||
| Auto Components - 2.3% |
||||||||||||||||
| American Axle & Manufacturing Inc., Senior Notes |
6.500 | % | 4/1/27 | 600,000 | 509,376 | |||||||||||
| American Axle & Manufacturing Inc., Senior Notes |
5.000 | % | 10/1/29 | 1,110,000 | 842,190 | |||||||||||
| JB Poindexter & Co. Inc., Senior Notes |
7.125 | % | 4/15/26 | 1,690,000 | 1,565,025 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Auto Components |
2,916,591 | |||||||||||||||
|
|
|
|||||||||||||||
| Automobiles - 3.7% |
||||||||||||||||
| Ford Motor Co., Senior Notes |
3.250 | % | 2/12/32 | 3,610,000 | 2,606,618 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
4.125 | % | 8/17/27 | 500,000 | 431,435 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
3.815 | % | 11/2/27 | 400,000 | 336,576 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
2.900 | % | 2/16/28 | 1,800,000 | 1,417,312 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
4,791,941 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Consumer Services - 3.0% |
||||||||||||||||
| APCOA Parking Holdings GmbH, Senior Secured Notes |
4.625 | % | 1/15/27 | 1,390,000 | EUR | 1,086,410 | (b) | |||||||||
| Carriage Services Inc., Senior Notes |
4.250 | % | 5/15/29 | 1,840,000 | 1,458,769 | (a) | ||||||||||
| StoneMor Inc., Senior Secured Notes |
8.500 | % | 5/15/29 | 960,000 | 811,790 | (a) | ||||||||||
| WW International Inc., Senior Secured Notes |
4.500 | % | 4/15/29 | 890,000 | 466,842 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Consumer Services |
3,823,811 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 15.2% |
||||||||||||||||
| 1011778 BC ULC/New Red Finance Inc., Senior Secured Notes |
3.500 | % | 2/15/29 | 460,000 | 379,033 | (a) | ||||||||||
| 888 Acquisitions Ltd., Senior Secured Notes |
7.558 | % | 7/15/27 | 1,050,000 | EUR | 863,890 | (a) | |||||||||
| Carnival Corp., Senior Notes |
5.750 | % | 3/1/27 | 790,000 | 555,192 | (a) | ||||||||||
| Carnival Corp., Senior Notes |
6.000 | % | 5/1/29 | 1,100,000 | 724,113 | (a) | ||||||||||
| Carnival Corp., Senior Notes |
10.500 | % | 6/1/30 | 560,000 | 448,974 | (a) | ||||||||||
| Carnival PLC, Senior Notes |
1.000 | % | 10/28/29 | 1,000,000 | EUR | 477,719 | ||||||||||
| Carrols Restaurant Group Inc., Senior Notes |
5.875 | % | 7/1/29 | 640,000 | 428,442 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - (continued) |
||||||||||||||||
| Las Vegas Sands Corp., Senior Notes |
3.200 | % | 8/8/24 | 300,000 | $ | 283,026 | ||||||||||
| Las Vegas Sands Corp., Senior Notes |
3.900 | % | 8/8/29 | 2,100,000 | 1,738,752 | |||||||||||
| Marston’s Issuer PLC, Secured Notes (3 mo. GBP LIBOR + 2.669%) |
4.315 | % | 7/16/35 | 853,000 | GBP | 752,966 | (b)(c) | |||||||||
| Melco Resorts Finance Ltd., Senior Notes |
5.375 | % | 12/4/29 | 980,000 | 597,310 | (a) | ||||||||||
| MGM China Holdings Ltd., Senior Notes |
4.750 | % | 2/1/27 | 870,000 | 677,882 | (a) | ||||||||||
| NCL Corp. Ltd., Senior Notes |
3.625 | % | 12/15/24 | 1,190,000 | 1,002,070 | (a) | ||||||||||
| NCL Corp. Ltd., Senior Notes |
5.875 | % | 3/15/26 | 1,340,000 | 1,021,482 | (a) | ||||||||||
| NCL Corp. Ltd., Senior Secured Notes |
5.875 | % | 2/15/27 | 160,000 | 133,534 | (a) | ||||||||||
| NCL Finance Ltd., Senior Notes |
6.125 | % | 3/15/28 | 1,030,000 | 761,608 | (a) | ||||||||||
| Royal Caribbean Cruises Ltd., Senior Notes |
4.250 | % | 7/1/26 | 920,000 | 678,054 | (a) | ||||||||||
| Royal Caribbean Cruises Ltd., Senior Notes |
5.500 | % | 8/31/26 | 500,000 | 383,140 | (a) | ||||||||||
| Saga PLC, Senior Notes |
3.375 | % | 5/12/24 | 2,020,000 | GBP | 1,876,902 | (b) | |||||||||
| Saga PLC, Senior Notes |
5.500 | % | 7/15/26 | 790,000 | GBP | 643,491 | (b) | |||||||||
| Sands China Ltd., Senior Notes |
5.900 | % | 8/8/28 | 500,000 | 421,377 | |||||||||||
| Sands China Ltd., Senior Notes |
3.350 | % | 3/8/29 | 200,000 | 148,853 | |||||||||||
| Sands China Ltd., Senior Notes |
3.750 | % | 8/8/31 | 730,000 | 524,860 | |||||||||||
| TUI Cruises GmbH, Senior Notes |
6.500 | % | 5/15/26 | 250,000 | EUR | 186,210 | (b) | |||||||||
| Viking Cruises Ltd., Senior Secured Notes |
13.000 | % | 5/15/25 | 200,000 | 207,469 | (a) | ||||||||||
| Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes |
5.625 | % | 2/15/29 | 665,000 | 518,324 | (a) | ||||||||||
| VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 100,000 | 81,543 | (a) | ||||||||||
| Wheel Bidco Ltd., Senior Secured Notes |
6.750 | % | 7/15/26 | 760,000 | GBP | 663,410 | (a) | |||||||||
| Wynn Macau Ltd., Senior Notes |
4.875 | % | 10/1/24 | 500,000 | 402,500 | (a) | ||||||||||
| Wynn Macau Ltd., Senior Notes |
5.500 | % | 10/1/27 | 530,000 | 366,707 | (a) | ||||||||||
| Wynn Macau Ltd., Senior Notes |
5.625 | % | 8/26/28 | 780,000 | 521,087 | (a) | ||||||||||
| Wynn Macau Ltd., Senior Notes |
5.125 | % | 12/15/29 | 890,000 | 580,360 | (a) | ||||||||||
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes |
7.750 | % | 4/15/25 | 600,000 | 586,744 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
19,637,024 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.1% |
||||||||||||||||
| Victoria PLC, Senior Secured Notes |
3.625 | % | 8/24/26 | 160,000 | EUR | 115,302 | (b) | |||||||||
|
|
|
|||||||||||||||
| Internet & Direct Marketing Retail - 1.3% |
||||||||||||||||
| MercadoLibre Inc., Senior Notes |
3.125 | % | 1/14/31 | 2,360,000 | 1,715,036 | |||||||||||
|
|
|
|||||||||||||||
| Multiline Retail - 0.3% |
||||||||||||||||
| Marks & Spencer PLC, Senior Notes |
3.750 | % | 5/19/26 | 400,000 | GBP | 361,705 | (b) | |||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.6% |
||||||||||||||||
| Michaels Cos. Inc., Senior Notes |
7.875 | % | 5/1/29 | 190,000 | 109,982 | (a) | ||||||||||
| Tendam Brands SAU, Senior Secured Notes |
5.000 | % | 9/15/24 | 130,000 | EUR | 119,347 | (a) | |||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
3 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Specialty Retail - (continued) |
||||||||||||||||
| Tendam Brands SAU, Senior Secured Notes (3 mo. EURIBOR + 5.250%) |
5.517 | % | 9/15/24 | 360,000 | EUR | $ | 335,466 | (a)(c) | ||||||||
| Tendam Brands SAU, Senior Secured Notes (3 mo. EURIBOR + 5.250%) |
5.517 | % | 9/15/24 | 250,000 | EUR | 232,962 | (b)(c) | |||||||||
|
|
|
|||||||||||||||
| Total Specialty Retail |
797,757 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
34,159,167 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 1.2% | ||||||||||||||||
| Beverages - 0.8% |
||||||||||||||||
| Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, Senior Notes |
5.250 | % | 4/27/29 | 1,140,000 | 990,472 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 0.1% |
||||||||||||||||
| Bellis Acquisition Co. PLC, Senior Secured Notes |
4.500 | % | 2/16/26 | 170,000 | GBP | 147,111 | (a) | |||||||||
|
|
|
|||||||||||||||
| Food Products - 0.3% |
||||||||||||||||
| FAGE International SA/FAGE USA Dairy Industry Inc., Senior Notes |
5.625 | % | 8/15/26 | 420,000 | 374,067 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
1,511,650 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 6.8% | ||||||||||||||||
| Energy Equipment & Services - 0.5% |
||||||||||||||||
| Sunnova Energy Corp., Senior Notes |
5.875 | % | 9/1/26 | 670,000 | 599,508 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 6.3% |
||||||||||||||||
| Cheniere Energy Inc., Senior Notes |
4.625 | % | 10/15/28 | 220,000 | 202,331 | |||||||||||
| Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) |
6.625 | % | 2/15/28 | 130,000 | 95,387 | (c)(d) | ||||||||||
| Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) |
6.750 | % | 5/15/25 | 1,120,000 | 971,936 | (c)(d) | ||||||||||
| Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) |
7.125 | % | 5/15/30 | 1,090,000 | 898,208 | (c)(d) | ||||||||||
| EQM Midstream Partners LP, Senior Notes |
6.500 | % | 7/1/27 | 150,000 | 138,832 | (a) | ||||||||||
| EQM Midstream Partners LP, Senior Notes |
7.500 | % | 6/1/30 | 240,000 | 227,176 | (a) | ||||||||||
| MEG Energy Corp., Senior Notes |
5.875 | % | 2/1/29 | 270,000 | 242,734 | (a) | ||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.900 | % | 3/19/49 | 340,000 | 283,628 | |||||||||||
| Petroleos del Peru SA, Senior Notes |
4.750 | % | 6/19/32 | 1,500,000 | 1,062,238 | (a) | ||||||||||
| Petroleos Mexicanos, Senior Notes |
6.625 | % | 6/15/35 | 1,600,000 | 1,023,568 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
6.625 | % | 6/15/38 | 1,350,000 | 792,714 | |||||||||||
| Range Resources Corp., Senior Notes |
8.250 | % | 1/15/29 | 560,000 | 570,990 | |||||||||||
| Southwestern Energy Co., Senior Notes |
4.750 | % | 2/1/32 | 770,000 | 647,031 | |||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| Transportadora de Gas del Sur SA, Senior Notes |
6.750 | % | 5/2/25 | 710,000 | $ | 610,347 | (a) | |||||||||
| YPF SA, Senior Notes |
6.950 | % | 7/21/27 | 645,000 | 378,528 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
8,145,648 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
8,745,156 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 7.7% | ||||||||||||||||
| Banks - 3.0% |
||||||||||||||||
| Banco Mercantil del Norte SA, Junior Subordinated Notes (6.625% to 1/24/32 then 10 year Treasury Constant Maturity Rate + 5.034%) |
6.625 | % | 1/24/32 | 780,000 | 613,597 | (a)(c)(d) | ||||||||||
| Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%) |
7.625 | % | 1/10/28 | 400,000 | 355,706 | (a)(c)(d) | ||||||||||
| BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year Treasury Constant Maturity Rate + 2.650%) |
5.125 | % | 1/18/33 | 970,000 | 804,138 | (a)(c) | ||||||||||
| Intesa Sanpaolo SpA, Subordinated Notes (4.198% to 6/1/31 then 1 year Treasury Constant Maturity Rate + 2.600%) |
4.198 | % | 6/1/32 | 2,220,000 | 1,499,127 | (a)(c) | ||||||||||
| TC Ziraat Bankasi AS, Senior Notes |
5.125 | % | 9/29/23 | 560,000 | 547,736 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
3,820,304 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 3.5% |
||||||||||||||||
| B3 SA - Brasil Bolsa Balcao, Senior Notes |
4.125 | % | 9/20/31 | 1,370,000 | 1,074,124 | (a) | ||||||||||
| Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10 year Treasury Constant Maturity Rate + 3.079%) |
4.000 | % | 12/1/30 | 330,000 | 242,825 | (c)(d) | ||||||||||
| Coinbase Global Inc., Senior Notes |
3.625 | % | 10/1/31 | 430,000 | 239,291 | (a) | ||||||||||
| Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%) |
7.250 | % | 9/12/25 | 2,200,000 | 1,683,147 | (a)(c)(d) | ||||||||||
| Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 7/17/23 then USD 5 year ICE Swap Rate + 4.600%) |
7.500 | % | 7/17/23 | 450,000 | 387,000 | (a)(c)(d) | ||||||||||
| Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) |
9.750 | % | 6/23/27 | 570,000 | 560,526 | (a)(c)(d) | ||||||||||
| Credit Suisse Group AG, Senior Notes (6.537% to 8/12/32 then SOFR + 3.920%) |
6.537 | % | 8/12/33 | 370,000 | 333,007 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
4,519,920 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
5 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Diversified Financial Services - 1.2% |
||||||||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 2,118,827 | $ | 1,597,977 | (a)(e) | |||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
9,938,201 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 5.1% | ||||||||||||||||
| Health Care Providers & Services - 0.3% |
||||||||||||||||
| Tenet Healthcare Corp., Secured Notes |
6.250 | % | 2/1/27 | 480,000 | 449,033 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 4.8% |
||||||||||||||||
| Bausch Health Cos. Inc., Senior Secured Notes |
6.125 | % | 2/1/27 | 280,000 | 194,544 | (a) | ||||||||||
| Cheplapharm Arzneimittel GmbH, Senior Secured Notes |
5.500 | % | 1/15/28 | 560,000 | 463,254 | (a) | ||||||||||
| Cidron Aida Finco Sarl, Senior Secured Notes |
6.250 | % | 4/1/28 | 360,000 | GBP | 318,351 | (a) | |||||||||
| Endo Luxembourg Finance Co. I Sarl/Endo US Inc., Senior Secured Notes |
6.125 | % | 4/1/29 | 250,000 | 197,736 | *(a)(f) | ||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
3.150 | % | 10/1/26 | 5,570,000 | 4,577,677 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
4.750 | % | 5/9/27 | 470,000 | 399,763 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
6,151,325 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
6,600,358 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 7.6% | ||||||||||||||||
| Airlines - 3.0% |
||||||||||||||||
| American Airlines Group Inc., Senior Notes |
3.750 | % | 3/1/25 | 450,000 | 368,541 | (a) | ||||||||||
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
5.500 | % | 4/20/26 | 210,000 | 197,575 | (a) | ||||||||||
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
5.750 | % | 4/20/29 | 490,000 | 428,395 | (a) | ||||||||||
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes |
8.000 | % | 9/20/25 | 1,038,000 | 1,045,411 | (a) | ||||||||||
| United Airlines Inc., Senior Secured Notes |
4.625 | % | 4/15/29 | 2,270,000 | 1,884,032 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
3,923,954 | |||||||||||||||
|
|
|
|||||||||||||||
| Building Products - 0.1% |
||||||||||||||||
| Ideal Standard International SA, Senior Secured Notes |
6.375 | % | 7/30/26 | 180,000 | EUR | 98,719 | (a) | |||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 1.6% |
||||||||||||||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes |
4.625 | % | 6/1/28 | 690,000 | 521,954 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Commercial Services & Supplies - (continued) |
||||||||||||||||
| CoreCivic Inc., Senior Notes |
8.250 | % | 4/15/26 | 930,000 | $ | 927,210 | ||||||||||
| CoreCivic Inc., Senior Notes |
4.750 | % | 10/15/27 | 740,000 | 598,324 | |||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
2,047,488 | |||||||||||||||
|
|
|
|||||||||||||||
| Electrical Equipment - 0.5% |
||||||||||||||||
| Sensata Technologies Inc., Senior Notes |
4.375 | % | 2/15/30 | 810,000 | 678,497 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Machinery - 0.7% |
||||||||||||||||
| Cellnex Finance Co. SA, Senior Notes |
2.000 | % | 2/15/33 | 200,000 | EUR | 128,136 | (b) | |||||||||
| TK Elevator Midco GmbH, Senior Secured Notes |
4.375 | % | 7/15/27 | 1,020,000 | EUR | 841,921 | (a) | |||||||||
|
|
|
|||||||||||||||
| Total Machinery |
970,057 | |||||||||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 1.7% |
||||||||||||||||
| Boise Cascade Co., Senior Notes |
4.875 | % | 7/1/30 | 780,000 | 649,637 | (a) | ||||||||||
| H&E Equipment Services Inc., Senior Notes |
3.875 | % | 12/15/28 | 1,920,000 | 1,511,242 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Trading Companies & Distributors |
2,160,879 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
9,879,594 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 0.3% | ||||||||||||||||
| IT Services - 0.3% |
||||||||||||||||
| Acuris Finance US Inc./Acuris Finance SARL, Senior Secured Notes |
5.000 | % | 5/1/28 | 320,000 | 268,530 | (a) | ||||||||||
| IPD 3 BV, Senior Secured Notes |
5.500 | % | 12/1/25 | 100,000 | EUR | 88,719 | (a) | |||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
357,249 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 3.8% | ||||||||||||||||
| Chemicals - 1.0% |
||||||||||||||||
| INEOS Quattro Finance 1 PLC, Senior Notes |
3.750 | % | 7/15/26 | 130,000 | EUR | 98,349 | (a) | |||||||||
| INEOS Quattro Finance 2 PLC, Senior Secured Notes |
3.375 | % | 1/15/26 | 690,000 | 575,433 | (a) | ||||||||||
| Sasol Financing USA LLC, Senior Notes |
5.500 | % | 3/18/31 | 760,000 | 575,031 | |||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
1,248,813 | |||||||||||||||
|
|
|
|||||||||||||||
| Containers & Packaging - 2.8% |
||||||||||||||||
| ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 6/30/27 | 600,000 | 412,038 | (a)(e) | ||||||||||
| Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC, Senior Secured Notes |
6.000 | % | 6/15/27 | 580,000 | 547,551 | (a) | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
5.250 | % | 8/15/27 | 1,000,000 | 627,865 | (a) | ||||||||||
| Ball Corp., Senior Notes |
2.875 | % | 8/15/30 | 830,000 | 638,768 | |||||||||||
| Ball Corp., Senior Notes |
3.125 | % | 9/15/31 | 430,000 | 325,050 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
7 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Containers & Packaging - (continued) |
||||||||||||||||
| Canpack SA/Canpack US LLC, Senior Notes |
3.875 | % | 11/15/29 | 750,000 | $ | 587,475 | (a) | |||||||||
| Pactiv LLC, Senior Notes |
7.950 | % | 12/15/25 | 570,000 | 530,378 | |||||||||||
|
|
|
|||||||||||||||
| Total Containers & Packaging |
3,669,125 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
4,917,938 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 2.0% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 1.5% |
||||||||||||||||
| Diversified Healthcare Trust, Senior Notes |
4.375 | % | 3/1/31 | 590,000 | 382,975 | |||||||||||
| Service Properties Trust, Senior Notes |
4.500 | % | 3/15/25 | 150,000 | 125,585 | |||||||||||
| Service Properties Trust, Senior Notes |
5.500 | % | 12/15/27 | 1,120,000 | 911,141 | |||||||||||
| Service Properties Trust, Senior Notes |
4.950 | % | 10/1/29 | 780,000 | 535,688 | |||||||||||
|
|
|
|||||||||||||||
| Total Equity Real Estate Investment Trusts (REITs) |
1,955,389 | |||||||||||||||
|
|
|
|||||||||||||||
| Real Estate Management & Development - 0.5% |
||||||||||||||||
| China Aoyuan Group Ltd., Senior Secured Notes |
8.500 | % | 1/23/22 | 400,000 | 27,042 | *(b)(g) | ||||||||||
| China Aoyuan Group Ltd., Senior Secured Notes |
6.350 | % | 2/8/24 | 850,000 | 57,846 | *(b)(f) | ||||||||||
| Samhallsbyggnadsbolaget i Norden AB, Junior Subordinated Notes (2.624% to 4/30/25 then EUR 5 year Swap Rate + 2.814%) |
2.624 | % | 1/30/25 | 1,000,000 | EUR | 437,347 | (b)(c)(d) | |||||||||
| Yuzhou Group Holdings Co. Ltd., Senior Secured Notes |
8.500 | % | 2/4/23 | 200,000 | 13,991 | *(b)(f) | ||||||||||
| Yuzhou Group Holdings Co. Ltd., Senior Secured Notes |
6.000 | % | 10/25/23 | 900,000 | 63,603 | *(b)(f) | ||||||||||
|
|
|
|||||||||||||||
| Total Real Estate Management & Development |
599,829 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
2,555,218 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 0.6% | ||||||||||||||||
| Electric Utilities - 0.1% |
||||||||||||||||
| InterGen NV, Senior Secured Notes |
7.000 | % | 6/30/23 | 210,000 | 204,435 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Gas Utilities - 0.5% |
||||||||||||||||
| Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes |
5.000 | % | 6/1/31 | 730,000 | 600,078 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
804,513 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
100,537,056 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| SOVEREIGN BONDS - 11.2% | ||||||||||||||||
| Angola - 0.6% |
||||||||||||||||
| Angolan Government International Bond, Senior Notes |
8.250 | % | 5/9/28 | 400,000 | $ | 316,352 | (a) | |||||||||
| Angolan Government International Bond, Senior Notes |
8.750 | % | 4/14/32 | 620,000 | 461,373 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Angola |
777,725 | |||||||||||||||
|
|
|
|||||||||||||||
| Argentina - 1.2% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
1.000 | % | 7/9/29 | 193,002 | 37,358 | |||||||||||
| Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) |
0.500 | % | 7/9/30 | 523,917 | 105,822 | |||||||||||
| Argentine Republic Government International Bond, Senior Notes, Step bond (1.500% to 7/9/23 then 3.625%) |
1.500 | % | 7/9/35 | 2,309,180 | 420,604 | |||||||||||
| Provincia de Buenos Aires, Senior Notes, Step bond (5.250% to 9/1/23 then 6.375%) |
5.250 | % | 9/1/37 | 2,028,278 | 636,372 | (a) | ||||||||||
| Provincia de Cordoba, Senior Notes |
6.875 | % | 12/10/25 | 200,000 | 152,600 | (b) | ||||||||||
| Provincia de Cordoba, Senior Notes |
6.990 | % | 6/1/27 | 390,000 | 250,185 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Argentina |
1,602,941 | |||||||||||||||
|
|
|
|||||||||||||||
| Bahamas - 0.1% |
||||||||||||||||
| Bahamas Government International Bond, Senior Notes |
6.950 | % | 11/20/29 | 300,000 | 171,000 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Bahrain - 0.3% |
||||||||||||||||
| Bahrain Government International Bond, Senior Notes |
6.000 | % | 9/19/44 | 510,000 | 354,982 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Costa Rica - 0.2% |
||||||||||||||||
| Costa Rica Government International Bond, Senior Notes |
7.000 | % | 4/4/44 | 350,000 | 292,621 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Dominican Republic - 1.3% |
||||||||||||||||
| Dominican Republic International Bond, Senior Notes |
5.500 | % | 2/22/29 | 480,000 | 414,958 | (a) | ||||||||||
| Dominican Republic International Bond, Senior Notes |
4.500 | % | 1/30/30 | 410,000 | 324,255 | (a) | ||||||||||
| Dominican Republic International Bond, Senior Notes |
4.875 | % | 9/23/32 | 150,000 | 113,334 | (a) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
9 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Dominican Republic - (continued) |
||||||||||||||||
| Dominican Republic International Bond, Senior Notes |
6.000 | % | 2/22/33 | 390,000 | $ | 318,399 | (a) | |||||||||
| Dominican Republic International Bond, Senior Notes |
6.850 | % | 1/27/45 | 600,000 | 469,266 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Dominican Republic |
1,640,212 | |||||||||||||||
|
|
|
|||||||||||||||
| Ecuador - 0.5% |
||||||||||||||||
| Ecuador Government International Bond, Senior Notes |
0.000 | % | 7/31/30 | 1,270,000 | 370,629 | (a) | ||||||||||
| Ecuador Government International Bond, Senior Notes, Step bond (2.500% to 7/31/23 then 3.500%) |
2.500 | % | 7/31/35 | 800,000 | 265,282 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Ecuador |
635,911 | |||||||||||||||
|
|
|
|||||||||||||||
| Egypt - 0.7% |
||||||||||||||||
| Egypt Government International Bond, Senior Notes |
3.875 | % | 2/16/26 | 240,000 | 174,806 | (a) | ||||||||||
| Egypt Government International Bond, Senior Notes |
6.588 | % | 2/21/28 | 300,000 | 211,171 | (b) | ||||||||||
| Egypt Government International Bond, Senior Notes |
7.600 | % | 3/1/29 | 670,000 | 471,066 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Egypt |
857,043 | |||||||||||||||
|
|
|
|||||||||||||||
| Ghana - 0.4% |
||||||||||||||||
| Ghana Government International Bond, Senior Notes |
10.750 | % | 10/14/30 | 290,000 | 211,410 | (a) | ||||||||||
| Ghana Government International Bond, Senior Notes |
8.125 | % | 3/26/32 | 730,000 | 276,385 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Ghana |
487,795 | |||||||||||||||
|
|
|
|||||||||||||||
| Ivory Coast - 0.7% |
||||||||||||||||
| Ivory Coast Government International Bond, Senior Notes |
5.750 | % | 12/31/32 | 125,389 | 107,540 | (b) | ||||||||||
| Ivory Coast Government International Bond, Senior Notes |
6.125 | % | 6/15/33 | 1,050,000 | 803,250 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Ivory Coast |
910,790 | |||||||||||||||
|
|
|
|||||||||||||||
| Jordan - 0.6% |
||||||||||||||||
| Jordan Government International Bond, Senior Notes |
7.750 | % | 1/15/28 | 780,000 | 739,050 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Kenya - 0.2% |
||||||||||||||||
| Republic of Kenya Government International Bond, Senior Notes |
7.250 | % | 2/28/28 | 300,000 | 219,476 | (a) | ||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
10 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Mexico - 1.0% |
||||||||||||||||
| Mexican Bonos, Senior Notes |
7.750 | % | 11/23/34 | 22,020,000 | MXN | $ | 943,713 | |||||||||
| Mexican Bonos, Senior Notes |
7.750 | % | 11/13/42 | 8,140,000 | MXN | 335,587 | ||||||||||
|
|
|
|||||||||||||||
| Total Mexico |
1,279,300 | |||||||||||||||
|
|
|
|||||||||||||||
| Nigeria - 0.3% |
||||||||||||||||
| Nigeria Government International Bond, Senior Notes |
6.500 | % | 11/28/27 | 260,000 | 188,873 | (b) | ||||||||||
| Nigeria Government International Bond, Senior Notes |
7.875 | % | 2/16/32 | 200,000 | 129,276 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Nigeria |
318,149 | |||||||||||||||
|
|
|
|||||||||||||||
| Paraguay - 0.3% |
||||||||||||||||
| Paraguay Government International Bond, Senior Notes |
2.739 | % | 1/29/33 | 560,000 | 404,885 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Russia - 0.9% |
||||||||||||||||
| Russian Federal Bond - OFZ |
8.150 | % | 2/3/27 | 34,070,000 | RUB | 186,763 | *(f) | |||||||||
| Russian Federal Bond - OFZ |
7.050 | % | 1/19/28 | 88,573,000 | RUB | 485,533 | *(f) | |||||||||
| Russian Federal Bond - OFZ |
6.900 | % | 5/23/29 | 98,650,000 | RUB | 540,772 | *(f) | |||||||||
|
|
|
|||||||||||||||
| Total Russia |
1,213,068 | |||||||||||||||
|
|
|
|||||||||||||||
| Senegal - 0.2% |
||||||||||||||||
| Senegal Government International Bond, Senior Notes |
6.750 | % | 3/13/48 | 460,000 | 288,126 | (a) | ||||||||||
|
|
|
|||||||||||||||
| South Africa - 0.2% |
||||||||||||||||
| Republic of South Africa Government International Bond, Senior Notes |
5.650 | % | 9/27/47 | 380,000 | 245,349 | |||||||||||
|
|
|
|||||||||||||||
| Turkey - 1.4% |
||||||||||||||||
| Turkey Government International Bond, Senior Notes |
4.250 | % | 4/14/26 | 1,520,000 | 1,255,182 | |||||||||||
| Turkey Government International Bond, Senior Notes |
4.875 | % | 10/9/26 | 700,000 | 576,103 | |||||||||||
|
|
|
|||||||||||||||
| Total Turkey |
1,831,285 | |||||||||||||||
|
|
|
|||||||||||||||
| Ukraine - 0.1% |
||||||||||||||||
| Ukraine Government International Bond, Senior Notes |
7.750 | % | 9/1/28 | 200,000 | 42,175 | *(a)(f) | ||||||||||
| Ukraine Government International Bond, Senior Notes |
7.375 | % | 9/25/34 | 600,000 | 115,132 | *(a)(f) | ||||||||||
|
|
|
|||||||||||||||
| Total Ukraine |
157,307 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS (Cost - $22,257,985) |
14,427,015 | |||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 4.7% | ||||||||||||||||
| U.S. Government Obligations - 4.7% |
||||||||||||||||
| U.S. Treasury Notes |
2.875 | % | 9/30/23 | 1,000,000 | 987,157 | |||||||||||
| U.S. Treasury Notes |
0.750 | % | 12/31/23 | 1,000,000 | 957,461 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
11 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| U.S. Government Obligations - (continued) |
||||||||||||||||
| U.S. Treasury Notes |
1.750 | % | 6/30/24 | 1,000,000 | $ | 957,617 | ||||||||||
| U.S. Treasury Notes |
3.500 | % | 9/15/25 | 500,000 | 489,844 | |||||||||||
| U.S. Treasury Notes |
1.500 | % | 1/31/27 | 1,250,000 | 1,120,801 | |||||||||||
| U.S. Treasury Notes |
1.875 | % | 2/28/27 | 1,750,000 | 1,594,140 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $6,137,079) |
|
6,107,020 | ||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE BONDS & NOTES - 1.8% | ||||||||||||||||
| COMMUNICATION SERVICES - 1.2% | ||||||||||||||||
| Media - 1.2% |
||||||||||||||||
| DISH Network Corp., Senior Notes |
2.375 | % | 3/15/24 | 700,000 | 627,025 | |||||||||||
| DISH Network Corp., Senior Notes |
3.375 | % | 8/15/26 | 1,480,000 | 1,021,940 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
1,648,965 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 0.6% | ||||||||||||||||
| Airlines - 0.6% |
||||||||||||||||
| Spirit Airlines Inc., Senior Notes |
1.000 | % | 5/15/26 | 880,000 | 753,720 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE BONDS & NOTES (Cost - $2,844,913) |
|
2,402,685 | ||||||||||||||
|
|
|
|||||||||||||||
| SENIOR LOANS - 0.8% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.5% | ||||||||||||||||
| Media - 0.5% |
||||||||||||||||
| DirecTV Financing LLC, Closing Date Term Loan (1 mo. USD LIBOR + 5.000%) |
8.115 | % | 8/2/27 | 730,620 | 682,447 | (c)(h)(i) | ||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 0.3% | ||||||||||||||||
| Diversified Consumer Services - 0.3% |
||||||||||||||||
| WW International Inc., Initial Term Loan |
— | 4/13/28 | 500,000 | 355,002 | (j) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS (Cost - $1,084,539) |
1,037,449 | |||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 0.4% | ||||||||||||||||
| Magnetite Ltd., 2015-12A ER (3 mo. USD LIBOR + 5.680%) (Cost - $592,731) |
8.192 | % | 10/15/31 | 600,000 | 501,585 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| INVESTMENTS IN UNDERLYING FUNDS - 0.2% | ||||||||||||||||
| SPDR Bloomberg High Yield Bond ETF (Cost - $287,970) |
3,000 | 263,550 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
12 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d)
(Percentages shown based on Portfolio net assets) |
September 30, 2022 |
| SECURITY |
EXPIRATION DATE |
WARRANTS | VALUE | |||||||||
| WARRANTS - 0.0%†† | ||||||||||||
| FINANCIALS - 0.0%†† | ||||||||||||
| Capital Markets - 0.0%†† |
||||||||||||
| EG Acquisition Corp., Class A Shares (Cost - $6,358) |
5/28/28 | 6,640 | $ | 830 | * | |||||||
|
|
|
|||||||||||
| SHARES | ||||||||||||
| COMMON STOCKS - 0.0%†† | ||||||||||||
| ENERGY - 0.0%†† | ||||||||||||
| Energy Equipment & Services - 0.0%†† |
||||||||||||
| KCAD Holdings I Ltd. (Cost - $613,437) |
75,024,286 | 0 | *(k)(l)(m) | |||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS - 97.0% (Cost - $159,885,663) |
125,277,190 | |||||||||||
| Other Assets in Excess of Liabilities - 3.0% |
3,821,610 | |||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 129,098,800 | ||||||||||
|
|
|
|||||||||||
| † | Face amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| * | Non-income producing security. |
| (a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (b) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (d) | Security has no maturity date. The date shown represents the next call date. |
| (e) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
| (f) | The coupon payment on this security is currently in default as of September 30, 2022. |
| (g) | The maturity principal is currently in default as of September 30, 2022. |
| (h) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (i) | Senior loans may be considered restricted in that the Portfolio ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (j) | All or a portion of this loan is unfunded as of September 30, 2022. The interest rate for fully unfunded term loans is to be determined. |
| (k) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
| (l) | Security is valued using significant unobservable inputs (Note 1). |
| (m) | Value is less than $1. |
See Notes to Schedule of Investments.
| Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
13 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
Abbreviation(s) used in this schedule:
| ETF | — Exchange-Traded Fund | |
| EUR | — Euro | |
| EURIBOR | — Euro Interbank Offered Rate | |
| GBP | — British Pound | |
| ICE | — Intercontinental Exchange | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| OFZ | — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation) | |
| PIK | — Payment-In-Kind | |
| RUB | — Russian Ruble | |
| SOFR | — Secured Overnight Financing Rate | |
| SPDR | — Standard & Poor’s Depositary Receipts | |
| USD | — United States Dollar |
At September 30, 2022, the Portfolio had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation |
||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| Euro |
27 | 12/22 | $ | 3,398,598 | $ | 3,328,256 | $ | 70,342 | ||||||||||||
At September 30, 2022, the Portfolio had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 137,223 | EUR | 135,000 | BNP Paribas SA | 10/18/22 | $ | 4,753 | |||||||||||||||
| USD | 385,328 | EUR | 380,000 | BNP Paribas SA | 10/18/22 | 12,449 | ||||||||||||||||
| USD | 2,368,578 | EUR | 2,336,500 | BNP Paribas SA | 10/18/22 | 75,864 | ||||||||||||||||
| EUR | 150,000 | USD | 154,278 | Citibank N.A. | 10/18/22 | (7,089 | ) | |||||||||||||||
| USD | 102,635 | EUR | 100,000 | Citibank N.A. | 10/18/22 | 4,509 | ||||||||||||||||
| USD | 5,724,286 | GBP | 4,748,553 | Goldman Sachs Group Inc. | 10/18/22 | 420,227 | ||||||||||||||||
| USD | 511,243 | EUR | 510,000 | JPMorgan Chase & Co. | 10/18/22 | 10,801 | ||||||||||||||||
| MXN | 495,546 | USD | 23,659 | Morgan Stanley & Co. Inc. | 10/18/22 | 865 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total | $ | 522,379 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviation(s) used in this table:
| EUR | — Euro | |
| GBP | — British Pound | |
| MXN | — Mexican Peso | |
| USD | — United States Dollar |
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 Schedule of Investments.
|
14 |
Western Asset Variable Global High Yield Bond Portfolio 2022 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Variable Global High Yield Bond Portfolio (the “Portfolio”) is a separate diversified investment series of Legg Mason Partners Variable Income 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.
Shares of the Portfolio may only be purchased or redeemed through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies or through eligible pension or other qualified plans.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. 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. When the Portfolio holds securities or other assets that are denominated in a foreign currency, the Portfolio 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 the Portfolio calculates its net asset value, the Portfolio values these securities as determined in accordance with procedures approved by the Portfolio’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Portfolio’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Portfolio’s 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 Portfolio’s pricing policies, and reporting to the Portfolio’s manager and the Board of Trustees. When determining the
|
15 |
Notes to Schedule of Investments (unaudited) (continued)
reliability of third party pricing information for investments owned by the Portfolio, 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 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.
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 Portfolio uses 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 Portfolio’s own assumptions in determining the fair value of investments) |
|
16 |
Notes to Schedule of Investments (unaudited) (continued)
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 Portfolio’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 100,537,056 | — | $ | 100,537,056 | ||||||||||
| Sovereign Bonds |
— | 14,427,015 | — | 14,427,015 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 6,107,020 | — | 6,107,020 | ||||||||||||
| Convertible Bonds & Notes |
— | 2,402,685 | — | 2,402,685 | ||||||||||||
| Senior Loans |
— | 1,037,449 | — | 1,037,449 | ||||||||||||
| Asset-Backed Securities |
— | 501,585 | — | 501,585 | ||||||||||||
| Investments in Underlying Funds |
$ | 263,550 | — | — | 263,550 | |||||||||||
| Warrants |
830 | — | — | 830 | ||||||||||||
| Common Stocks |
— | — | $ | 0 | * | 0 | * | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 264,380 | $ | 125,012,810 | $ | 0 | * | $ | 125,277,190 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 70,342 | — | — | $ | 70,342 | ||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 529,468 | — | 529,468 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 70,342 | $ | 529,468 | — | $ | 599,810 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 334,722 | $ | 125,542,278 | $ | 0 | * | $ | 125,877,000 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 7,089 | — | $ | 7,089 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| * | Amount represents less than $1. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
17 |
Notes to Schedule of Investments (unaudited) (continued)
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Portfolio. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2022. The following transactions were effected in such company for the period ended September 30, 2022.
| Affiliate Value at December 31, 2021 |
Purchased | Sold | Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at September 30, 2022 |
||||||||||||||||||||||||||||||
| Cost | Shares | Cost | Shares | |||||||||||||||||||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 2,336,511 | $ | 37,615,825 | 37,615,825 | $ | 39,952,336 | 39,952,336 | — | $ | 11,622 | — | — | |||||||||||||||||||||||
|
18 |