Form NPORT-P LEGG MASON PARTNERS VARI For: Mar 31

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    NPORT-P
    false
    
      
      
        
          0001176343
          XXXXXXXX
        
      
      
      
      
        S000034620
        C000106566
        C000106567
      
      
    
  
  
    
      Legg Mason Partners Variable Equity Trust
      811-21128
      0001176343
      549300W9EP2BXVLOGN89
      620 Eighth Avenue
      47thFloor
      New York
      
      10018
      1-877-721-1926
      Franklin Multi-Asset Dynamic Multi-Strategy VIT Portfolio
      S000034620
      549300B456NX5KQ81D98
      2022-12-31
      2022-03-31
      N
    
    
      1001066426.26
      2491017.54
      998575408.72
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      N
      
        
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        iShares Russell 1000 Growth ETF
        549300H1KWQVEKI25E14
        iShares Russell 1000 Growth ETF
        464287614
        
          
          
        
        34636.00000000
        NS
        USD
        9615992.68000000
        0.962971108243
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        iShares Russell 2000 ETF
        549300O80OAR5VTWR172
        iShares Russell 2000 ETF
        464287655
        
          
          
        
        13211.00000000
        NS
        USD
        2711821.97000000
        0.271569071931
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ClearBridge Appreciation Fund
        549300ZFR48NDB3HQ435
        ClearBridge Appreciation Fund
        52468E709
        
          
          
        
        2802411.50800000
        NS
        USD
        89396927.11000000
        8.952446287916
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        110.00000000
        NC
        USD
        1584000.00000000
        0.158625977183
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            3900.00000000
            USD
            2022-12-16
            XXXX
            -769089.11000000
          
        
        
          N
          N
          N
        
      
      
        iShares MSCI EAFE ETF
        549300O0XO3KDQV68404
        iShares MSCI EAFE ETF
        464287465
        
          
          
        
        37241.00000000
        NS
        USD
        2740937.60000000
        0.274484788636
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        61.00000000
        NC
        USD
        960140.00000000
        0.096150975841
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            4000.00000000
            USD
            2022-12-16
            XXXX
            -273423.00000000
          
        
        
          N
          N
          N
        
      
      
        BrandywineGLOBAL - Global Opportunities Bond Fund - USD Hedged
        549300L6S6DBTEKQAM63
        BrandywineGLOBAL - Global Opportunities Bond Fund - USD Hedged
        52471E183
        
          
          
        
        14440613.57000000
        NS
        USD
        138196671.86000000
        13.83938264984
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        25.00000000
        NC
        USD
        200750.00000000
        0.020103639469
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            3500.00000000
            USD
            2022-12-16
            XXXX
            -184325.00000000
          
        
        
          N
          N
          N
        
      
      
        ClearBridge International Value Fund
        5493004YVI7FCGQTRT70
        ClearBridge International Value Fund
        52469X870
        
          
          
        
        1345572.30100000
        NS
        USD
        14384167.90000000
        1.440468869390
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Franklin US Large Cap Equity Fund
        549300A1FH0C72JOX391
        Franklin US Large Cap Equity Fund
        52469H289
        
          
          
        
        6189649.90000000
        NS
        USD
        122678861.02000000
        12.28538775827
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Legg Mason Low Volatility High Dividend ETF
        549300PKK8HNPP2M1496
        Legg Mason Low Volatility High Dividend ETF
        52468L406
        
          
          
        
        3736952.00000000
        NS
        USD
        148319624.88000000
        14.85312211624
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Invesco Government & Agency Portfolio
        5493007T1J7WZ5QI1A47
        Invesco Government & Agency Portfolio
        825252885
        
          
          
        
        3081258.35000000
        NS
        USD
        3081258.35000000
        0.308565414598
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Legg Mason International Low Volatility High Dividend ETF
        549300U5VMZRL3H15M55
        Legg Mason International Low Volatility High Dividend ETF
        52468L505
        
          
          
        
        926169.00000000
        NS
        USD
        24960254.55000000
        2.499586343909
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Franklin International Equity Fund
        549300NLP1WLJBNEZJ22
        Franklin International Equity Fund
        524686243
        
          
          
        
        2347612.36000000
        NS
        USD
        39040793.55000000
        3.909649006883
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Franklin US Small Cap Equity Fund
        N/A
        Franklin US Small Cap Equity Fund
        524686391
        
          
          
        
        3036281.40800000
        NS
        USD
        39410932.68000000
        3.946715724806
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        154.00000000
        NC
        USD
        1834140.00000000
        0.183675662747
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            3800.00000000
            USD
            2022-12-16
            XXXX
            -1073392.00000000
          
        
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        109.00000000
        NC
        USD
        1125970.00000000
        0.112757633541
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            3700.00000000
            USD
            2022-12-16
            XXXX
            -673049.00000000
          
        
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        128.00000000
        NC
        USD
        1186560.00000000
        0.118825277454
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            3600.00000000
            USD
            2022-12-16
            XXXX
            -846894.00000000
          
        
        
          N
          N
          N
        
      
      
        Dreyfus Government Cash Management
        5493000Q69I5Q3QZIA91
        Dreyfus Government Cash Management
        262006208
        
          
          
        
        23168.75000000
        NS
        USD
        23168.75000000
        0.002320180308
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Western Asset Core Bond Fund
        549300Q2LEO7M5HGWP70
        Western Asset Core Bond Fund
        957663677
        
          
          
        
        11198895.18199800
        NS
        USD
        134722709.04000000
        13.49149076409
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BrandywineGLOBAL - Diversified US Large Cap Value Fund
        549300U8GEGSJ5BLBC59
        BrandywineGLOBAL - Diversified US Large Cap Value Fund
        524686730
        
          
          
        
        2793879.76100000
        NS
        USD
        57609800.67000000
        5.769198817327
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vanguard Total International Bond ETF
        N/A
        Vanguard Total International Bond ETF
        92203J407
        
          
          
        
        39531.00000000
        NS
        USD
        2073005.64000000
        0.207596303884
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ClearBridge Large Cap Growth Fund
        549300PO07BEBIPVM094
        ClearBridge Large Cap Growth Fund
        52469H255
        
          
          
        
        711637.59200000
        NS
        USD
        46975197.45000000
        4.704221337696
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ClearBridge Aggressive Growth Fund
        5493008DIOV4VGTI3934
        ClearBridge Aggressive Growth Fund
        52468C703
        
          
          
        
        263969.76200000
        NS
        USD
        44436669.74000000
        4.450006414333
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ISHARES CORE U.S. AGGREGATE
        549300F7VSXTKBGHJE47
        ISHARES CORE U.S. AGGREGATE
        464287226
        
          
          
        
        26871.00000000
        NS
        USD
        2877884.10000000
        0.288198975747
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CBOE GLOBAL MARKETS, INC.
        529900RLNSGA90UPEH54
        S&P 500 INDEX
        000000000
        
          
          
        
        15.00000000
        NC
        USD
        267600.00000000
        0.026798176448
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CBOE GLOBAL MARKETS, INC.
              529900RLNSGA90UPEH54
            
            Put
            Purchased
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            100.00000000
            4100.00000000
            USD
            2022-12-16
            XXXX
            -51195.00000000
          
        
        
          N
          N
          N
        
      
      
        ISHARES RUSSELL 1000 VALUE ETF
        549300KLSYN5NN4YNM90
        ISHARES RUSSELL 1000 VALUE ETF
        464287598
        
          
          
        
        57164.00000000
        NS
        USD
        9488080.72000000
        0.950161664021
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME E-Mini Standard & Poor's 500 Index
        000000000
        
          
          
        
        -743.00000000
        NC
        USD
        -10512521.25000000
        -1.05275186612
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                STANDARD & POOR'S FINANCIAL SERVICES LLC
                STANDARD & POORS'S 500
                
                  
                  
                  
                
              
            
            2022-06-17
            -157804841.25000000
            USD
            -10512521.25000000
          
        
        
          N
          N
          N
        
      
      
        Royce Pennsylvania Mutual Fund
        25490056EPDKD3CIFH29
        Royce Pennsylvania Mutual Fund
        78081A303
        
          
          
        
        3626524.04200000
        NS
        USD
        31949676.81000000
        3.199525697408
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ClearBridge International Growth Fund
        549300SUY81C3X143T93
        ClearBridge International Growth Fund
        52471E258
        
          
          
        
        242372.10400000
        NS
        USD
        14537478.80000000
        1.455821831085
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-18
      Legg Mason Partners Variable Equity Trust
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer
    
  
  XXXX

FRANKLIN MULTI-ASSET DYNAMIC MULTI-STRATEGY VIT

(Percentages shown based on Portfolio net assets)


Schedule of investments (unaudited)		March 31, 2022


DESCRIPTION	SHARES		VALUE
INVESTMENTS IN UNDERLYING FUNDS - 96.8%
DOMESTIC EQUITY - 59.4%
iShares Trust:
iShares Russell 1000 Growth ETF		34,636	$	9,615,993
iShares Russell 1000 Value ETF		57,164		9,488,081
iShares Russell 2000 ETF		13,211		2,711,822
Legg Mason ETF Investment Trust - Legg Mason Low Volatility High Dividend ETF		3,736,952		148,319,625	^(a)
Legg Mason Global Asset Management Trust:
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares		2,696,886		55,609,800	^(a)
Franklin U.S. Small Cap Equity Fund, Class IS Shares		2,998,916		38,925,933	^(a)
Legg Mason Partners Investment Trust:
ClearBridge Aggressive Growth Fund, Class IS Shares		262,544		44,196,670	^(a)
ClearBridge Appreciation Fund, Class IS Shares		2,615,578		83,436,927	^(a)
ClearBridge Large Cap Growth Fund, Class IS Shares		706,260		46,620,197	^(a)
Franklin U.S. Large Cap Equity Fund, Class IS Shares		6,164,423		122,178,861	^(a)
The Royce Fund - Royce Pennsylvania Mutual Fund, Institutional Class Shares		3,593,607		31,659,677	^(a)

TOTAL DOMESTIC EQUITY				592,763,586

FOREIGN FIXED INCOME - 14.0%
Legg Mason Global Asset Management Trust - BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares		14,440,614		138,196,672	^(a)
Vanguard Index Funds - Vanguard Total International Bond ETF		39,531		2,073,006

TOTAL FOREIGN FIXED INCOME				140,269,678

DOMESTIC FIXED INCOME - 13.8%
iShares Trust - iShares Core U.S. Aggregate Bond ETF		26,871		2,877,884
Western Asset Funds, Inc. - Western Asset Core Bond Fund, Class IS Shares		11,220,192		134,978,913	^(a)

TOTAL DOMESTIC FIXED INCOME				137,856,797

See Notes to Schedule of Investments.

Franklin Multi-Asset Dynamic Multi-Strategy VIT 2022 Quarterly Report

FRANKLIN MULTI-ASSET DYNAMIC MULTI-STRATEGY VIT

(Percentages shown based on Portfolio net assets)

Schedule of investments (unaudited) (cont’d)

March 31, 2022


DESCRIPTION	SHARES		VALUE
FOREIGN EQUITY - 9.6%
iShares Trust - iShares MSCI EAFE ETF		37,241	$	2,740,938
Legg Mason ETF Investment Trust - Legg Mason International Low Volatility High Dividend ETF		926,169		24,960,254	^(a)
Legg Mason Global Asset Management Trust:
ClearBridge International Growth Fund, Class IS Shares		242,372		14,537,479	^(a)
Franklin International Equity Fund, Class IS Shares		2,347,613		39,040,793	^(a)
Legg Mason Partners Investment Trust - ClearBridge International Value Fund, Class IS Shares		1,345,572		14,384,168	^(a)

TOTAL FOREIGN EQUITY				95,663,632

TOTAL INVESTMENTS IN UNDERLYING FUNDS (Cost - $807,281,976)				966,553,693


	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT
PURCHASED OPTIONS - 0.7%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.7%
S&P 500 Index, Put @ $3,500.00		12/16/22			25	$	11,326,025		200,750
S&P 500 Index, Put @ $3,600.00		12/16/22			128		57,989,248		1,186,560
S&P 500 Index, Put @ $3,700.00		12/16/22			109		49,381,469		1,125,970
S&P 500 Index, Put @ $3,800.00		12/16/22			154		69,768,314		1,834,140
S&P 500 Index, Put @ $3,900.00		12/16/22			110		49,834,510		1,584,000
S&P 500 Index, Put @ $4,000.00		12/16/22			61		27,635,501		960,140
S&P 500 Index, Put @ $4,100.00		12/16/22			15		6,795,615		267,600

TOTAL PURCHASED OPTIONS (Cost - $11,030,527)									7,159,160

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $818,312,503)									973,712,853


	RATE					SHARES
SHORT-TERM INVESTMENTS - 0.4%
Dreyfus Government Cash Management, Institutional Shares		0.201	%				23,169		23,169
Invesco Government & Agency Portfolio, Institutional Class		0.262	%				4,104,775		4,104,775

TOTAL SHORT-TERM INVESTMENTS (Cost - $4,127,944)									4,127,944

TOTAL INVESTMENTS - 97.9% (Cost - $822,440,447)									977,840,797
Other Assets in Excess of Liabilities - 2.1%									20,841,977

TOTAL NET ASSETS - 100.0%								$	998,682,774

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

See Notes to Schedule of Investments.

Franklin Multi-Asset Dynamic Multi-Strategy VIT 2022 Quarterly Report

FRANKLIN MULTI-ASSET DYNAMIC MULTI-STRATEGY VIT

Schedule of investments (unaudited) (cont’d)

March 31, 2022

At March 31, 2022, the Portfolio had the following open futures contracts:


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Depreciation
Contracts to Sell:
E-mini S&P		523		6/22	$	111,079,316	$	118,479,112	$	(7,399,796	)

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.

Franklin Multi-Asset Dynamic Multi-Strategy VIT 2022 Quarterly Report

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Franklin Multi-Asset Dynamic Multi-Strategy VIT (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. The Portfolio invests in underlying funds that are mutual funds and exchange-traded funds (“ETFs”) managed by Legg Mason Partners Fund Advisor, LLC or its affiliates, including other Legg Mason and Franklin Templeton investment managers, or ETFs that are based on an index and managed by unaffiliated investment advisers (“Underlying Funds”). The financial statements and financial highlights for the Underlying Funds are presented in a separate shareholder report for each respective Underlying Fund.

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. Investments in the Underlying Funds, excluding ETFs, are valued at the closing net asset value per share of each Underlying Fund on the day of valuation. Equity securities, including ETFs, 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. 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.

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

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 (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 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. 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 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.

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

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)

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†:
Investments in Underlying Funds	$	966,553,693		—		—	$	966,553,693
Purchased Options		7,159,160		—		—		7,159,160

Total Long-Term Investments		973,712,853		—		—		973,712,853

Short-Term Investments†		4,127,944		—		—		4,127,944

Total Investments	$	977,840,797		—		—	$	977,840,797


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	7,399,796		—		—	$	7,399,796

†	See Schedule of Investments for additional detailed categorizations.

††	Reflects the unrealized appreciation (depreciation) of the instruments.

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

2. Transactions with affiliated companies

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 Underlying Funds were considered affiliated companies for all or some portion of the period ended March 31, 2022. The following transactions were effected in such Underlying Funds for the period ended March 31, 2022.


	Affiliate Value at December 31, 2021
Underlying Funds			Purchased				Sold
Underlying Funds			Cost		Shares		Cost		Shares
Legg Mason Low Volatility High Dividend ETF	$	166,435,893		—		—	$	12,502,770		420,827
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares		62,904,849		—		—		7,145,637		371,643
Franklin U.S. Small Cap Equity Fund, Class IS Shares		42,341,550		—		—		1,149,439		84,955
ClearBridge Aggressive Growth Fund, Class IS Shares		48,631,149		—		—		258,926		1,426
ClearBridge Appreciation Fund, Class IS Shares		96,045,576		—		—		6,654,861		273,880
ClearBridge Large Cap Growth Fund, Class IS Shares		53,159,328		—		—		398,723		5,378
Franklin U.S. Large Cap Equity Fund, Class IS Shares		132,953,446		—		—		3,452,225		166,693
Royce Pennsylvania Mutual Fund, Institutional Class Shares		35,777,215		—		—		948,098		102,386
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares		150,740,606		—		—		9,322,731		878,553
Western Asset Core Bond Fund, Class IS Shares		151,942,767	$	722,769		58,355		5,691,987		428,000
Legg Mason International Low Volatility High Dividend ETF		28,276,308		—		—		3,899,141		140,459
ClearBridge International Growth Fund, Class IS Shares		16,864,988		—		—		121,576		1,800
Franklin International Equity Fund, Class IS Shares		44,705,350		—		—		2,779,099		166,749
ClearBridge International Value Fund, Class IS Shares		16,911,821		—		—		1,616,093		159,039

	$	1,047,690,846	$	722,769			$	55,941,306

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


Underlying Funds (cont’d)	Realized Gain (Loss) from Sale of Affiliated Underlying Funds			Income Distributions from Affiliated Underlying Funds		Return of Capital from Affiliated Underlying Funds		Capital Gain Distributions from Affiliated Underlying Funds		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)			Affiliate Value at March 31, 2022
Legg Mason Low Volatility High Dividend ETF	$	3,631,726		$	327,218		—		—	$	(5,613,498	)	$	148,319,625
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares		474,363			—		—		—		(149,412	)		55,609,800
Franklin U.S. Small Cap Equity Fund, Class IS Shares		(64,439	)		—		—		—		(2,266,178	)		38,925,933
ClearBridge Aggressive Growth Fund, Class IS Shares		(18,926	)		—		—		—		(4,175,553	)		44,196,670
ClearBridge Appreciation Fund, Class IS Shares		1,990,139			—		—		—		(5,953,788	)		83,436,927
ClearBridge Large Cap Growth Fund, Class IS Shares		(43,723	)		—		—		—		(6,140,408	)		46,620,197
Franklin U.S. Large Cap Equity Fund, Class IS Shares		(202,225	)		—		—		—		(7,322,360	)		122,178,861
Royce Pennsylvania Mutual Fund, Institutional Class Shares		(48,098	)		—		—		—		(3,169,440	)		31,659,677
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares		(817,730	)		—		—		—		(3,221,203	)		138,196,672
Western Asset Core Bond Fund, Class IS Shares		(386,988	)		742,111		—		—		(11,994,636	)		134,978,913
Legg Mason International Low Volatility High Dividend ETF		(162,123	)		78,872		—		—		583,087			24,960,254
ClearBridge International Growth Fund, Class IS Shares		(6,576	)		—		—		—		(2,205,933	)		14,537,479
Franklin International Equity Fund, Class IS Shares		160,901			—		—		—		(2,885,458	)		39,040,793
ClearBridge International Value Fund, Class IS Shares		213,907			—		—		—		(911,560	)		14,384,168

	$	4,720,208		$	1,148,201		—		—	$	(55,426,340	)	$	937,045,969

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