NPORT-EX 2 LMA3300LM093021.htm HTML

CLEARBRIDGE VARIABLE LARGE CAP VALUE PORTFOLIO

 

Schedule of investments (unaudited)    September 30, 2021

 

(Percentages shown based on Portfolio net assets)

 

SECURITY

   SHARES      VALUE  
COMMON STOCKS - 99.0%      
COMMUNICATION SERVICES - 11.4%      

Interactive Media & Services - 1.8%

     

Alphabet Inc., Class A Shares

     2,026      $ 5,416,551
     

 

 

 

Media - 8.2%

     

Charter Communications Inc., Class A Shares

     9,153        6,659,357

Comcast Corp., Class A Shares

     160,360        8,968,935  

DISH Network Corp., Class A Shares

     212,505        9,235,467
     

 

 

 

Total Media

        24,863,759  
     

 

 

 

Wireless Telecommunication Services - 1.4%

     

T-Mobile US Inc.

     33,863        4,326,337
     

 

 

 

TOTAL COMMUNICATION SERVICES

        34,606,647  
     

 

 

 
CONSUMER DISCRETIONARY - 5.7%      

Hotels, Restaurants & Leisure - 2.5%

     

Booking Holdings Inc.

     3,166        7,515,673
     

 

 

 

Specialty Retail - 3.2%

     

Home Depot Inc.

     16,288        5,346,699  

TJX Cos. Inc.

     65,674        4,333,170  
     

 

 

 

Total Specialty Retail

        9,679,869  
     

 

 

 

TOTAL CONSUMER DISCRETIONARY

        17,195,542  
     

 

 

 
CONSUMER STAPLES - 1.0%      

Beverages - 1.0%

     

PepsiCo Inc.

     19,690        2,961,573  
     

 

 

 
ENERGY - 5.7%      

Oil, Gas & Consumable Fuels - 5.7%

     

Chevron Corp.

     50,833        5,157,008  

ConocoPhillips

     123,810        8,390,604  

Enterprise Products Partners LP

     177,400        3,838,936  
     

 

 

 

TOTAL ENERGY

        17,386,548  
     

 

 

 
FINANCIALS - 25.2%      

Banks - 10.5%

     

Bank of America Corp.

     327,210        13,890,064  

JPMorgan Chase & Co.

     86,686        14,189,631  

US Bancorp

     62,333        3,705,074  
     

 

 

 

Total Banks

        31,784,769  
     

 

 

 

Capital Markets - 3.7%

     

Bank of New York Mellon Corp.

     84,889        4,400,646  

Charles Schwab Corp.

     92,300        6,723,132  
     

 

 

 

Total Capital Markets

        11,123,778  
     

 

 

 

 

See Notes to Schedule of Investments.

 

      ClearBridge Variable Large Cap Value Portfolio 2021 Quarterly Report      

 

 

1


CLEARBRIDGE VARIABLE LARGE CAP VALUE PORTFOLIO

 

Schedule of investments (unaudited) (cont’d)    September 30, 2021

 

(Percentages shown based on Portfolio net assets)

 

SECURITY

   SHARES      VALUE  

Consumer Finance - 5.7%

     

American Express Co.

     68,208      $ 11,426,886  

Capital One Financial Corp.

     36,580        5,924,863  
     

 

 

 

Total Consumer Finance

        17,351,749  
     

 

 

 

Diversified Financial Services - 1.5%

     

Berkshire Hathaway Inc., Class B Shares

     16,840        4,596,309
     

 

 

 

Insurance - 3.8%

     

Marsh & McLennan Cos. Inc.

     28,249        4,277,746  

Progressive Corp.

     38,422        3,472,965  

Travelers Cos. Inc.

     24,614        3,741,574  
     

 

 

 

Total Insurance

        11,492,285  
     

 

 

 

TOTAL FINANCIALS

        76,348,890  
     

 

 

 
HEALTH CARE - 7.8%      

Biotechnology - 1.1%

     

Amgen Inc.

     15,711        3,340,944  
     

 

 

 

Health Care Providers & Services - 4.0%

     

Anthem Inc.

     14,178        5,285,558  

UnitedHealth Group Inc.

     17,460        6,822,321  
     

 

 

 

Total Health Care Providers & Services

        12,107,879  
     

 

 

 

Pharmaceuticals - 2.7%

     

Johnson & Johnson

     34,854        5,628,921  

Merck & Co. Inc.

     35,281        2,649,956  
     

 

 

 

Total Pharmaceuticals

        8,278,877  
     

 

 

 

TOTAL HEALTH CARE

        23,727,700  
     

 

 

 
INDUSTRIALS - 16.9%      

Aerospace & Defense - 4.9%

     

Northrop Grumman Corp.

     14,760        5,315,814  

Raytheon Technologies Corp.

     112,944        9,708,666  
     

 

 

 

Total Aerospace & Defense

        15,024,480  
     

 

 

 

Air Freight & Logistics - 1.9%

     

United Parcel Service Inc., Class B Shares

     31,873        5,804,073  
     

 

 

 

Electrical Equipment - 2.1%

     

Vertiv Holdings Co.

     263,030        6,336,393  
     

 

 

 

Industrial Conglomerates - 2.0%

     

Honeywell International Inc.

     28,630        6,077,577  
     

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

2

      ClearBridge Variable Large Cap Value Portfolio 2021 Quarterly Report      


CLEARBRIDGE VARIABLE LARGE CAP VALUE PORTFOLIO

 

Schedule of investments (unaudited) (cont’d)    September 30, 2021

 

(Percentages shown based on Portfolio net assets)

 

SECURITY

   SHARES      VALUE  

Machinery - 6.0%

     

Deere & Co.

     29,320      $ 9,824,252  

Illinois Tool Works Inc.

     22,214        4,590,079  

Otis Worldwide Corp.

     44,422        3,655,042  
     

 

 

 

Total Machinery

        18,069,373  
     

 

 

 

TOTAL INDUSTRIALS

        51,311,896  
     

 

 

 
INFORMATION TECHNOLOGY - 13.9%      

Communications Equipment - 5.0%

     

Cisco Systems Inc.

     142,670        7,765,528  

Motorola Solutions Inc.

     31,310        7,273,939  
     

 

 

 

Total Communications Equipment

        15,039,467  
     

 

 

 

Electronic Equipment, Instruments & Components - 3.5%

     

TE Connectivity Ltd.

     76,612        10,512,699  
     

 

 

 

Semiconductors & Semiconductor Equipment - 2.6%

     

NXP Semiconductors NV

     18,640        3,651,017  

QUALCOMM Inc.

     33,720        4,349,205  
     

 

 

 

Total Semiconductors & Semiconductor Equipment

        8,000,222  
     

 

 

 

Software - 2.4%

     

Microsoft Corp.

     11,614        3,274,219  

Oracle Corp.

     44,130        3,845,047  
     

 

 

 

Total Software

        7,119,266  
     

 

 

 

Technology Hardware, Storage & Peripherals - 0.4%

     

Apple Inc.

     9,480        1,341,420  
     

 

 

 

TOTAL INFORMATION TECHNOLOGY

        42,013,074  
     

 

 

 
MATERIALS - 4.4%      

Chemicals - 3.2%

     

Air Products & Chemicals Inc.

     22,868        5,856,723  

PPG Industries Inc.

     26,590        3,802,636  
     

 

 

 

Total Chemicals

        9,659,359  
     

 

 

 

Construction Materials - 1.2%

     

Martin Marietta Materials Inc.

     10,851        3,707,570  
     

 

 

 

TOTAL MATERIALS

        13,366,929  
     

 

 

 
REAL ESTATE - 2.1%      

Equity Real Estate Investment Trusts (REITs) - 2.1%

     

American Tower Corp.

     23,511        6,240,055  
     

 

 

 
UTILITIES - 4.9%      

Electric Utilities - 1.5%

     

Edison International

     81,218        4,505,162  
     

 

 

 

 

See Notes to Schedule of Investments.

 

      ClearBridge Variable Large Cap Value Portfolio 2021 Quarterly Report      

 

 

3


CLEARBRIDGE VARIABLE LARGE CAP VALUE PORTFOLIO

 

Schedule of investments (unaudited) (cont’d)    September 30, 2021

 

(Percentages shown based on Portfolio net assets)

 

SECURITY

    SHARES      VALUE  

Multi-Utilities - 3.4%

       

Sempra Energy

       81,842      $ 10,353,013  
       

 

 

 

TOTAL UTILITIES

          14,858,175  
       

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $153,650,756)

 

       300,017,029  
       

 

 

 
     RATE               
SHORT-TERM INVESTMENTS - 1.0%        

JPMorgan 100% U.S. Treasury Securities Money Market Fund, Institutional Class

     0.006     2,412,138        2,412,138  

Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares

     0.010     603,035        603,035 (a)  
       

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost - $3,015,173)

          3,015,173  
       

 

 

 

TOTAL INVESTMENTS - 100.0%
(Cost - $156,665,929)

          303,032,202  

Other Assets in Excess of Liabilities - 0.0%††

          106,290  
       

 

 

 

TOTAL NET ASSETS - 100.0%

        $ 303,138,492  
       

 

 

 

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Portfolio ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Portfolio. At September 30, 2021, the total market value of investments in Affiliated Companies was $603,035 and the cost was $603,035 (Note 2).

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.

 

 

 

4

      ClearBridge Variable Large Cap Value Portfolio 2021 Quarterly Report      


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

ClearBridge Variable Large Cap Value Portfolio (the “Portfolio”) is a 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.

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. 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 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.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Portfolio’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by

 

   

 

 

5


Notes to Schedule of Investments (unaudited) (continued)

 

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 – 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)

 

 

 

6

   


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 carried at fair value:

 

ASSETS

 

DESCRIPTION

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

Common Stocks†

   $ 300,017,029        —          —        $ 300,017,029  

Short-Term Investments†

     3,015,173        —          —          3,015,173  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 303,032,202        —          —        $ 303,032,202  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See Schedule of Investments for additional detailed categorizations.

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, 2021. The following transactions were effected in such company for the period ended September 30, 2021.

 

     Affiliate
Value at
December 31,

2020
     Purchased      Sold  
 
 
     Cost      Shares      Cost      Shares  
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares    $ 492,289      $ 6,986,384        6,986,384      $ 6,875,638        6,875,638  

 

(cont’d)

   Realized
Gain (Loss)
     Interest
Income
     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
     Affiliate
Value at
September 30,
2021
 
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares      —        $ 52        —        $ 603,035  

 

   

 

 

7