WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
| CORPORATE BONDS & NOTES - 77.9% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 11.9% | | | | | | | | | | | | | | | | |
Diversified Telecommunication Services - 4.0% | | | | | | | | | | | | | | | | |
Altice Financing SA, Senior Secured Notes | | | 5.750 | % | | | 8/15/29 | | | | 2,510,000 | | | $ | 2,013,576 | (a) |
Altice France Holding SA, Senior Secured Notes | | | 10.500 | % | | | 5/15/27 | | | | 810,000 | | | | 303,824 | (a) |
Altice France SA, Senior Secured Notes | | | 5.125 | % | | | 7/15/29 | | | | 450,000 | | | | 304,694 | (a) |
Altice France SA, Senior Secured Notes | | | 5.500 | % | | | 10/15/29 | | | | 950,000 | | | | 645,799 | (a) |
Orange SA, Junior Subordinated Notes (2.375% to 4/15/25 then EUR 5 year Swap Rate + 2.359%) | | | 2.375 | % | | | 1/15/25 | | | | 400,000 | EUR | | | 424,642 | (b)(c)(d) |
Telecom Italia Capital SA, Senior Notes | | | 7.200 | % | | | 7/18/36 | | | | 150,000 | | | | 146,522 | |
Telecom Italia SpA, Senior Notes | | | 5.303 | % | | | 5/30/24 | | | | 1,180,000 | | | | 1,174,389 | (a) |
Turk Telekomunikasyon AS, Senior Notes | | | 6.875 | % | | | 2/28/25 | | | | 850,000 | | | | 850,331 | (a) |
| | | | | | | | | | | | | | | | |
Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 5,863,777 | |
| | | | | | | | | | | | | | | | |
Entertainment - 0.6% | | | | | | | | | | | | | | | | |
Banijay Entertainment SASU, Senior Secured Notes | | | 8.125 | % | | | 5/1/29 | | | | 870,000 | | | | 898,005 | (a) |
| | | | | | | | | | | | | | | | |
Interactive Media & Services - 0.7% | | | | | | | | | | | | | | | | |
Match Group Holdings II LLC, Senior Notes | | | 3.625 | % | | | 10/1/31 | | | | 1,190,000 | | | | 1,012,289 | (a) |
| | | | | | | | | | | | | | | | |
Media - 4.1% | | | | | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | | | 4.250 | % | | | 1/15/34 | | | | 930,000 | | | | 702,828 | (a) |
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | | | 3.700 | % | | | 4/1/51 | | | | 500,000 | | | | 309,568 | |
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes | | | 5.875 | % | | | 8/15/27 | | | | 584,000 | | | | 552,850 | (a) |
DISH DBS Corp., Senior Notes | | | 5.875 | % | | | 11/15/24 | | | | 280,000 | | | | 268,512 | |
DISH DBS Corp., Senior Notes | | | 5.125 | % | | | 6/1/29 | | | | 900,000 | | | | 376,131 | |
DISH DBS Corp., Senior Secured Notes | | | 5.750 | % | | | 12/1/28 | | | | 1,040,000 | | | | 716,695 | (a) |
iHeartCommunications Inc., Senior Secured Notes | | | 6.375 | % | | | 5/1/26 | | | | 290,000 | | | | 247,648 | |
Sirius XM Radio Inc., Senior Notes | | | 4.125 | % | | | 7/1/30 | | | | 700,000 | | | | 612,355 | (a) |
Sunrise FinCo I BV, Senior Secured Notes | | | 4.875 | % | | | 7/15/31 | | | | 400,000 | | | | 357,379 | (c) |
United Group BV, Senior Secured Notes | | | 5.250 | % | | | 2/1/30 | | | | 150,000 | EUR | | | 156,586 | (a) |
Univision Communications Inc., Senior Secured Notes | | | 6.625 | % | | | 6/1/27 | | | | 400,000 | | | | 391,568 | (a) |
Virgin Media Finance PLC, Senior Notes | | | 5.000 | % | | | 7/15/30 | | | | 700,000 | | | | 592,748 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 1 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Media - continued | | | | | | | | | | | | | | | | |
Virgin Media Secured Finance PLC, Senior Secured Notes | | | 5.500 | % | | | 5/15/29 | | | | 400,000 | | | $ | 370,131 | (a) |
VZ Secured Financing BV, Senior Secured Notes | | | 5.000 | % | | | 1/15/32 | | | | 370,000 | | | | 318,042 | (a) |
| | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | | | | | 5,973,041 | |
| | | | | | | | | | | | | | | | |
Wireless Telecommunication Services - 2.5% | | | | | | | | | | | | | | | | |
CSC Holdings LLC, Senior Notes | | | 6.500 | % | | | 2/1/29 | | | | 360,000 | | | | 305,336 | (a) |
CSC Holdings LLC, Senior Notes | | | 5.750 | % | | | 1/15/30 | | | | 310,000 | | | | 164,352 | (a) |
CSC Holdings LLC, Senior Notes | | | 4.625 | % | | | 12/1/30 | | | | 270,000 | | | | 137,324 | (a) |
CSC Holdings LLC, Senior Notes | | | 3.375 | % | | | 2/15/31 | | | | 250,000 | | | | 170,121 | (a) |
CSC Holdings LLC, Senior Notes | | | 5.000 | % | | | 11/15/31 | | | | 2,200,000 | | | | 1,114,536 | (a) |
Millicom International Cellular SA, Senior Notes | | | 4.500 | % | | | 4/27/31 | | | | 750,000 | | | | 643,624 | (c) |
T-Mobile USA Inc., Senior Notes | | | 2.625 | % | | | 2/15/29 | | | | 500,000 | | | | 447,913 | |
Vmed O2 UK Financing I PLC, Senior Secured Notes | | | 4.750 | % | | | 7/15/31 | | | | 810,000 | | | | 698,916 | (a) |
| | | | | | | | | | | | | | | | |
Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 3,682,122 | |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 17,429,234 | |
| | | | | | | | | | | | | | | | |
| CONSUMER DISCRETIONARY - 21.8% | | | | | | | | | | | | | | | | |
Automobile Components - 3.2% | | | | | | | | | | | | | | | | |
Adient Global Holdings Ltd., Senior Notes | | | 4.875 | % | | | 8/15/26 | | | | 500,000 | | | | 487,816 | (a) |
American Axle & Manufacturing Inc., Senior Notes | | | 6.500 | % | | | 4/1/27 | | | | 220,000 | | | | 219,432 | |
American Axle & Manufacturing Inc., Senior Notes | | | 5.000 | % | | | 10/1/29 | | | | 1,110,000 | | | | 1,000,765 | |
Clarios Global LP/Clarios US Finance Co., Senior Notes | | | 8.500 | % | | | 5/15/27 | | | | 400,000 | | | | 401,355 | (a) |
JB Poindexter & Co. Inc., Senior Notes | | | 8.750 | % | | | 12/15/31 | | | | 1,500,000 | | | | 1,552,321 | (a) |
ZF North America Capital Inc., Senior Notes | | | 6.875 | % | | | 4/14/28 | | | | 1,070,000 | | | | 1,110,848 | (a) |
| | | | | | | | | | | | | | | | |
Total Automobile Components | | | | | | | | | | | | | | | 4,772,537 | |
| | | | | | | | | | | | | | | | |
Automobiles - 1.6% | | | | | | | | | | | | | | | | |
Ford Motor Co., Senior Notes | | | 3.250 | % | | | 2/12/32 | | | | 2,360,000 | | | | 1,964,389 | |
Ford Motor Credit Co. LLC, Senior Notes | | | 3.815 | % | | | 11/2/27 | | | | 400,000 | | | | 374,912 | |
| | | | | | | | | | | | | | | | |
Total Automobiles | | | | | | | | | | | | | | | 2,339,301 | |
| | | | | | | | | | | | | | | | |
Broadline Retail - 1.9% | | | | | | | | | | | | | | | | |
Marks & Spencer PLC, Senior Notes | | | 3.750 | % | | | 5/19/26 | | | | 800,000 | GBP | | | 976,647 | (c) |
MercadoLibre Inc., Senior Notes | | | 3.125 | % | | | 1/14/31 | | | | 2,110,000 | | | | 1,767,891 | |
| | | | | | | | | | | | | | | | |
Total Broadline Retail | | | | | | | | | | | | | | | 2,744,538 | |
| | | | | | | | | | | | | | | | |
Distributors - 0.4% | | | | | | | | | | | | | | | | |
Ritchie Bros Holdings Inc., Senior Notes | | | 7.750 | % | | | 3/15/31 | | | | 570,000 | | | | 597,071 | (a) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Diversified Consumer Services - 3.0% | | | | | | | | | | | | | | | | |
APCOA Parking Holdings GmbH, Senior Secured Notes | | | 4.625 | % | | | 1/15/27 | | | | 1,190,000 | EUR | | $ | 1,261,698 | (c) |
APCOA Parking Holdings GmbH, Senior Secured Notes | | | 4.625 | % | | | 1/15/27 | | | | 980,000 | EUR | | | 1,039,045 | (a) |
Carriage Services Inc., Senior Notes | | | 4.250 | % | | | 5/15/29 | | | | 270,000 | | | | 239,598 | (a) |
IPD 3 BV, Senior Secured Notes | | | 8.000 | % | | | 6/15/28 | | | | 100,000 | EUR | | | 114,608 | (a) |
Service Corp. International, Senior Notes | | | 5.125 | % | | | 6/1/29 | | | | 530,000 | | | | 517,035 | |
StoneMor Inc., Senior Secured Notes | | | 8.500 | % | | | 5/15/29 | | | | 190,000 | | | | 131,287 | (a) |
Verisure Holding AB, Senior Secured Notes | | | 7.125 | % | | | 2/1/28 | | | | 650,000 | EUR | | | 733,230 | (a) |
WW International Inc., Senior Secured Notes | | | 4.500 | % | | | 4/15/29 | | | | 890,000 | | | | 352,426 | (a) |
| | | | | | | | | | | | | | | | |
Total Diversified Consumer Services | | | | | | | | | | | | | | | 4,388,927 | |
| | | | | | | | | | | | | | | | |
Hotels, Restaurants & Leisure - 11.2% | | | | | | | | | | | | | | | | |
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | | | 3.500 | % | | | 2/15/29 | | | | 460,000 | | | | 420,508 | (a) |
888 Acquisitions Ltd., Senior Secured Notes | | | 7.558 | % | | | 7/15/27 | | | | 1,050,000 | EUR | | | 1,100,933 | (a) |
Caesars Entertainment Inc., Senior Secured Notes | | | 7.000 | % | | | 2/15/30 | | | | 490,000 | | | | 503,284 | (a) |
Caesars Entertainment Inc., Senior Secured Notes | | | 6.500 | % | | | 2/15/32 | | | | 240,000 | | | | 242,263 | (a) |
Carnival Corp., Senior Notes | | | 6.000 | % | | | 5/1/29 | | | | 180,000 | | | | 177,720 | (a) |
Carnival Corp., Senior Notes | | | 10.500 | % | | | 6/1/30 | | | | 290,000 | | | | 317,405 | (a) |
Carnival Holdings Bermuda Ltd., Senior Notes | | | 10.375 | % | | | 5/1/28 | | | | 530,000 | | | | 578,486 | (a) |
Carnival PLC, Senior Notes | | | 1.000 | % | | | 10/28/29 | | | | 1,000,000 | EUR | | | 849,697 | |
Full House Resorts Inc., Senior Secured Notes | | | 8.250 | % | | | 2/15/28 | | | | 470,000 | | | | 449,548 | (a) |
Hilton Domestic Operating Co. Inc., Senior Notes | | | 6.125 | % | | | 4/1/32 | | | | 880,000 | | | | 884,307 | (a) |
Las Vegas Sands Corp., Senior Notes | | | 3.200 | % | | | 8/8/24 | | | | 300,000 | | | | 296,892 | |
Marston’s Issuer PLC, Secured Notes (SONIA + 2.669%) | | | 7.891 | % | | | 7/16/35 | | | | 853,000 | GBP | | | 818,205 | (c)(d) |
Melco Resorts Finance Ltd., Senior Notes | | | 5.375 | % | | | 12/4/29 | | | | 350,000 | | | | 320,827 | (a) |
NCL Corp. Ltd., Senior Notes | | | 3.625 | % | | | 12/15/24 | | | | 920,000 | | | | 907,042 | (a) |
NCL Corp. Ltd., Senior Notes | | | 5.875 | % | | | 3/15/26 | | | | 1,000,000 | | | | 987,811 | (a) |
NCL Corp. Ltd., Senior Secured Notes | | | 8.125 | % | | | 1/15/29 | | | | 220,000 | | | | 232,945 | (a) |
Royal Caribbean Cruises Ltd., Senior Notes | | | 4.250 | % | | | 7/1/26 | | | | 920,000 | | | | 888,452 | (a) |
Royal Caribbean Cruises Ltd., Senior Notes | | | 5.500 | % | | | 8/31/26 | | | | 500,000 | | | | 495,915 | (a) |
Royal Caribbean Cruises Ltd., Senior Notes | | | 5.500 | % | | | 4/1/28 | | | | 1,020,000 | | | | 1,008,809 | (a) |
Saga PLC, Senior Notes | | | 3.375 | % | | | 5/12/24 | | | | 1,170,000 | GBP | | | 1,459,992 | (c) |
Sands China Ltd., Senior Notes | | | 5.400 | % | | | 8/8/28 | | | | 500,000 | | | | 490,669 | |
Sands China Ltd., Senior Notes | | | 2.850 | % | | | 3/8/29 | | | | 200,000 | | | | 173,958 | |
TUI Cruises GmbH, Senior Notes | | | 6.500 | % | | | 5/15/26 | | | | 250,000 | EUR | | | 272,413 | (c) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 3 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Hotels, Restaurants & Leisure - continued | | | | | | | | | | | | | | | | |
Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes | | | 5.625 | % | | | 2/15/29 | | | | 665,000 | | | $ | 647,754 | (a) |
VOC Escrow Ltd., Senior Secured Notes | | | 5.000 | % | | | 2/15/28 | | | | 100,000 | | | | 96,279 | (a) |
Wheel Bidco Ltd., Senior Secured Notes | | | 6.750 | % | | | 7/15/26 | | | | 460,000 | GBP | | | 499,957 | (a) |
Wynn Macau Ltd., Senior Notes | | | 4.875 | % | | | 10/1/24 | | | | 400,000 | | | | 395,577 | (a) |
Wynn Macau Ltd., Senior Notes | | | 5.125 | % | | | 12/15/29 | | | | 300,000 | | | | 274,151 | (a) |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | | | 7.125 | % | | | 2/15/31 | | | | 630,000 | | | | 652,378 | (a) |
| | | | | | | | | | | | | | | | |
Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 16,444,177 | |
| | | | | | | | | | | | | | | | |
Specialty Retail - 0.4% | | | | | | | | | | | | | | | | |
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes | | | 8.750 | % | | | 1/15/32 | | | | 200,000 | | | | 193,711 | (a) |
Sally Holdings LLC/Sally Capital Inc., Senior Notes | | | 6.750 | % | | | 3/1/32 | | | | 340,000 | | | | 337,627 | |
| | | | | | | | | | | | | | | | |
Total Specialty Retail | | | | | | | | | | | | | | | 531,338 | |
| | | | | | | | | | | | | | | | |
Textiles, Apparel & Luxury Goods - 0.1% | | | | | | | | | | | | | | | | |
CT Investment GmbH, Senior Secured Notes | | | 6.375 | % | | | 4/15/30 | | | | 190,000 | EUR | | | 206,190 | (a)(e) |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | | | | | | | | | 32,024,079 | |
| | | | | | | | | | | | | | | | |
| CONSUMER STAPLES - 1.1% | | | | | | | | | | | | | | | | |
Beverages - 1.0% | | | | | | | | | | | | | | | | |
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, Senior Notes | | | 5.250 | % | | | 4/27/29 | | | | 1,140,000 | | | | 1,087,455 | (a) |
Coca-Cola Icecek AS, Senior Notes | | | 4.500 | % | | | 1/20/29 | | | | 350,000 | | | | 327,761 | (a) |
| | | | | | | | | | | | | | | | |
Total Beverages | | | | | | | | | | | | | | | 1,415,216 | |
| | | | | | | | | | | | | | | | |
Food Products - 0.1% | | | | | | | | | | | | | | | | |
Bellis Acquisition Co. PLC, Senior Secured Notes | | | 4.500 | % | | | 2/16/26 | | | | 170,000 | GBP | | | 207,324 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | | | | | | | | | 1,622,540 | |
| | | | | | | | | | | | | | | | |
| ENERGY - 8.4% | | | | | | | | | | | | | | | | |
Energy Equipment & Services - 0.5% | | | | | | | | | | | | | | | | |
Noble Finance II LLC, Senior Notes | | | 8.000 | % | | | 4/15/30 | | | | 270,000 | | | | 281,432 | (a) |
Sunnova Energy Corp., Senior Notes | | | 5.875 | % | | | 9/1/26 | | | | 560,000 | | | | 436,523 | (a) |
| | | | | | | | | | | | | | | | |
Total Energy Equipment & Services | | | | | | | | | | | | | | | 717,955 | |
| | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels - 7.9% | | | | | | | | | | | | | | | | |
Cheniere Energy Inc., Senior Notes | | | 4.625 | % | | | 10/15/28 | | | | 220,000 | | | | 213,376 | |
Cheniere Energy Partners LP, Senior Notes | | | 3.250 | % | | | 1/31/32 | | | | 500,000 | | | | 426,312 | |
Chesapeake Energy Corp., Senior Notes | | | 5.500 | % | | | 2/1/26 | | | | 400,000 | | | | 397,707 | (a) |
Crescent Energy Finance LLC, Senior Notes | | | 9.250 | % | | | 2/15/28 | | | | 230,000 | | | | 243,048 | (a) |
Crescent Energy Finance LLC, Senior Notes | | | 7.625 | % | | | 4/1/32 | | | | 270,000 | | | | 272,273 | (a) |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Oil, Gas & Consumable Fuels - continued | | | | | | | | | | | | | | | | |
Ecopetrol SA, Senior Notes | | | 8.375 | % | | | 1/19/36 | | | | 610,000 | | | $ | 616,127 | |
Ecopetrol SA, Senior Notes | | | 5.875 | % | | | 5/28/45 | | | | 900,000 | | | | 672,666 | |
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) | | | 6.625 | % | | | 2/15/28 | | | | 10,000 | | | | 9,376 | (b)(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 | | | | 590,000 | | | | 577,484 | (b)(d) |
EQM Midstream Partners LP, Senior Notes | | | 7.500 | % | | | 6/1/30 | | | | 240,000 | | | | 256,768 | (a) |
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes | | | 8.375 | % | | | 11/1/33 | | | | 400,000 | | | | 434,002 | (a) |
Petrobras Global Finance BV, Senior Notes | | | 6.900 | % | | | 3/19/49 | | | | 340,000 | | | | 330,051 | |
Petroleos del Peru SA, Senior Notes | | | 4.750 | % | | | 6/19/32 | | | | 900,000 | | | | 712,428 | (a) |
Petroleos Mexicanos, Senior Notes | | | 6.625 | % | | | 6/15/35 | | | | 1,600,000 | | | | 1,214,803 | |
Petroleos Mexicanos, Senior Notes | | | 6.625 | % | | | 6/15/38 | | | | 1,350,000 | | | | 962,308 | |
Petroleos Mexicanos, Senior Notes | | | 6.375 | % | | | 1/23/45 | | | | 500,000 | | | | 322,729 | |
Range Resources Corp., Senior Notes | | | 8.250 | % | | | 1/15/29 | | | | 560,000 | | | | 582,892 | |
SilverBow Resources Inc., Secured Notes (3 mo. Term SOFR + 7.750%) | | | 13.079 | % | | | 12/15/28 | | | | 330,000 | | | | 327,608 | (a)(d) |
Southwestern Energy Co., Senior Notes | | | 5.375 | % | | | 3/15/30 | | | | 320,000 | | | | 308,285 | |
Southwestern Energy Co., Senior Notes | | | 4.750 | % | | | 2/1/32 | | | | 770,000 | | | | 709,450 | |
Venture Global Calcasieu Pass LLC, Senior Secured Notes | | | 4.125 | % | | | 8/15/31 | | | | 470,000 | | | | 418,279 | (a) |
Venture Global LNG Inc., Senior Secured Notes | | | 8.375 | % | | | 6/1/31 | | | | 340,000 | | | | 350,844 | (a) |
Venture Global LNG Inc., Senior Secured Notes | | | 9.875 | % | | | 2/1/32 | | | | 350,000 | | | | 377,429 | (a) |
Vital Energy Inc., Senior Notes | | | 7.875 | % | | | 4/15/32 | | | | 380,000 | | | | 386,328 | (a) |
YPF SA, Senior Notes | | | 6.950 | % | | | 7/21/27 | | | | 645,000 | | | | 583,040 | (a) |
| | | | | | | | | | | | | | | | |
Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 11,705,613 | |
| | | | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | | | | | | | | | 12,423,568 | |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 8.8% | | | | | | | | | | | | | | | | |
Banks - 4.8% | | | | | | | | | | | | | | | | |
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 | | | | 713,213 | (a)(b)(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 | | | | 400,683 | (a)(b)(d) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 5 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Banks - continued | | | | | | | | | | | | | | | | |
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 | | | | 1,620,000 | | | $ | 1,506,583 | (a)(d) |
Citigroup Inc., Senior Notes (2.976% to 11/5/29 then SOFR + 1.422%) | | | 2.976 | % | | | 11/5/30 | | | | 750,000 | | | | 666,385 | (d) |
Comerica Bank, Senior Notes | | | 2.500 | % | | | 7/23/24 | | | | 520,000 | | | | 514,064 | |
Comerica Bank, Subordinated Notes | | | 4.000 | % | | | 7/27/25 | | | | 450,000 | | | | 436,810 | |
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 | | | | 2,020,000 | | | | 1,690,262 | (a)(d) |
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year Treasury Constant Maturity Rate + 3.913%) | | | 8.000 | % | | | 9/27/29 | | | | 690,000 | | | | 696,462 | (b)(d) |
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) | | | 7.296 | % | | | 4/2/34 | | | | 450,000 | | | | 462,886 | (a)(d) |
| | | | | | | | | | | | | | | | |
Total Banks | | | | | | | | | | | | | | | 7,087,348 | |
| | | | | | | | | | | | | | | | |
Capital Markets - 1.3% | | | | | | | | | | | | | | | | |
B3 SA - Brasil Bolsa Balcao, Senior Notes | | | 4.125 | % | | | 9/20/31 | | | | 1,370,000 | | | | 1,202,526 | (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 | | | | 278,852 | (b)(d) |
Credit Suisse AG AT1 Claim | | | — | | | | — | | | | 3,590,000 | | | | 412,850 | *(f) |
| | | | | | | | | | | | | | | | |
Total Capital Markets | | | | | | | | | | | | | | | 1,894,228 | |
| | | | | | | | | | | | | | | | |
Financial Services - 2.5% | | | | | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | | | 3.400 | % | | | 10/29/33 | | | | 1,550,000 | | | | 1,306,311 | |
Boost Newco Borrower LLC, Senior Secured Notes | | | 7.500 | % | | | 1/15/31 | | | | 240,000 | | | | 251,419 | (a) |
Boost Newco Borrower LLC/GTCR W Dutch Finance Sub BV, Senior Secured Notes | | | 8.500 | % | | | 1/15/31 | | | | 100,000 | GBP | | | 136,447 | (a) |
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | | | 6.500 | % | | | 9/15/24 | | | | 896,996 | | | | 854,087 | (a)(g) |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | | | 2.875 | % | | | 10/15/26 | | | | 810,000 | | | | 749,135 | (a) |
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | | | 7.875 | % | | | 5/1/27 | | | | 410,000 | | | | 347,056 | (a) |
| | | | | | | | | | | | | | | | |
Total Financial Services | | | | | | | | | | | | | | | 3,644,455 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Mortgage Real Estate Investment Trusts (REITs) - 0.2% | | | | | | | | | | | | | | | | |
Starwood Property Trust Inc., Senior Notes | | | 7.250 | % | | | 4/1/29 | | | | 280,000 | | | $ | 282,579 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 12,908,610 | |
| | | | | | | | | | | | | | | | |
| HEALTH CARE - 4.8% | | | | | | | | | | | | | | | | |
Health Care Providers & Services - 1.8% | | | | | | | | | | | | | | | | |
Centene Corp., Senior Notes | | | 2.625 | % | | | 8/1/31 | | | | 500,000 | | | | 410,813 | |
CHS/Community Health Systems Inc., Senior Secured Notes | | | 10.875 | % | | | 1/15/32 | | | | 580,000 | | | | 598,137 | (a) |
CVS Health Corp., Senior Notes | | | 3.250 | % | | | 8/15/29 | | | | 800,000 | | | | 734,119 | |
Tenet Healthcare Corp., Secured Notes | | | 6.250 | % | | | 2/1/27 | | | | 880,000 | | | | 880,337 | |
| | | | | | | | | | | | | | | | |
Total Health Care Providers & Services | | | | | | | | | | | | | | | 2,623,406 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals - 3.0% | | | | | | | | | | | | | | | | |
Cheplapharm Arzneimittel GmbH, Senior Secured Notes | | | 5.500 | % | | | 1/15/28 | | | | 560,000 | | | | 534,168 | (a) |
Cidron Aida Finco Sarl, Senior Secured Notes | | | 6.250 | % | | | 4/1/28 | | | | 360,000 | GBP | | | 437,335 | (a) |
Endo Luxembourg Finance Co. I Sarl/Endo US Inc., Senior Secured Notes | | | 6.125 | % | | | 4/1/29 | | | | 250,000 | | | | 162,749 | *(a)(h) |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 3.150 | % | | | 10/1/26 | | | | 3,030,000 | | | | 2,835,144 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 4.750 | % | | | 5/9/27 | | | | 470,000 | | | | 455,583 | |
| | | | | | | | | | | | | | | | |
Total Pharmaceuticals | | | | | | | | | | | | | | | 4,424,979 | |
| | | | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | | | | | | | | | 7,048,385 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 12.6% | | | | | | | | | | | | | | | | |
Aerospace & Defense - 1.6% | | | | | | | | | | | | | | | | |
Bombardier Inc., Senior Notes | | | 7.125 | % | | | 6/15/26 | | | | 350,000 | | | | 355,444 | (a) |
Bombardier Inc., Senior Notes | | | 7.500 | % | | | 2/1/29 | | | | 470,000 | | | | 484,501 | (a) |
Bombardier Inc., Senior Notes | | | 7.250 | % | | | 7/1/31 | | | | 800,000 | | | | 802,629 | (a)(e) |
TransDigm Inc., Senior Secured Notes | | | 7.125 | % | | | 12/1/31 | | | | 650,000 | | | | 670,675 | (a) |
| | | | | | | | | | | | | | | | |
Total Aerospace & Defense | | | | | | | | | | | | | | | 2,313,249 | |
| | | | | | | | | | | | | | | | |
Building Products - 0.6% | | | | | | | | | | | | | | | | |
Miter Brands Acquisition Holdco Inc./MIWD Borrower LLC, Senior Secured Notes | | | 6.750 | % | | | 4/1/32 | | | | 440,000 | | | | 441,779 | (a) |
Standard Industries Inc., Senior Notes | | | 5.000 | % | | | 2/15/27 | | | | 400,000 | | | | 388,332 | (a) |
| | | | | | | | | | | | | | | | |
Total Building Products | | | | | | | | | | | | | | | 830,111 | |
| | | | | | | | | | | | | | | | |
Commercial Services & Supplies - 1.9% | | | | | | | | | | | | | | | | |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes | | | 4.625 | % | | | 6/1/28 | | | | 690,000 | | | | 627,942 | (a) |
CoreCivic Inc., Senior Notes | | | 4.750 | % | | | 10/15/27 | | | | 500,000 | | | | 473,496 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 7 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Commercial Services & Supplies - continued | | | | | | | | | | | | | | | | |
CoreCivic Inc., Senior Notes | | | 8.250 | % | | | 4/15/29 | | | | 860,000 | | | $ | 900,201 | |
GFL Environmental Inc., Senior Secured Notes | | | 6.750 | % | | | 1/15/31 | | | | 750,000 | | | | 769,547 | (a) |
| | | | | | | | | | | | | | | | |
Total Commercial Services & Supplies | | | | | | | | | | | | | | | 2,771,186 | |
| | | | | | | | | | | | | | | | |
Construction & Engineering - 0.1% | | | | | | | | | | | | | | | | |
Assemblin Group AB, Senior Secured Notes (3 mo. Euribor + 5.000%) | | | 8.929 | % | | | 7/5/29 | | | | 130,000 | EUR | | | 142,190 | (a)(d) |
| | | | | | | | | | | | | | | | |
Electrical Equipment - 0.2% | | | | | | | | | | | | | | | | |
Sensata Technologies Inc., Senior Notes | | | 4.375 | % | | | 2/15/30 | | | | 410,000 | | | | 373,506 | (a) |
| | | | | | | | | | | | | | | | |
Ground Transportation - 0.2% | | | | | | | | | | | | | | | | |
XPO Inc., Senior Notes | | | 7.125 | % | | | 2/1/32 | | | | 240,000 | | | | 247,235 | (a) |
| | | | | | | | | | | | | | | | |
Machinery - 1.4% | | | | | | | | | | | | | | | | |
Cellnex Finance Co. SA, Senior Notes | | | 2.000 | % | | | 2/15/33 | | | | 200,000 | EUR | | | 187,639 | (c) |
Esab Corp., Senior Notes | | | 6.250 | % | | | 4/15/29 | | | | 330,000 | | | | 331,958 | (a)(e) |
Titan International Inc., Senior Secured Notes | | | 7.000 | % | | | 4/30/28 | | | | 460,000 | | | | 454,351 | |
TK Elevator Midco GmbH, Senior Secured Notes | | | 4.375 | % | | | 7/15/27 | | | | 1,020,000 | EUR | | | 1,061,857 | (a) |
| | | | | | | | | | | | | | | | |
Total Machinery | | | | | | | | | | | | | | | 2,035,805 | |
| | | | | | | | | | | | | | | | |
Marine Transportation - 0.2% | | | | | | | | | | | | | | | | |
Stena International SA, Senior Secured Notes | | | 7.250 | % | | | 1/15/31 | | | | 370,000 | | | | 369,555 | (a) |
| | | | | | | | | | | | | | | | |
Passenger Airlines - 3.3% | | | | | | | | | | | | | | | | |
American Airlines Group Inc., Senior Notes | | | 3.750 | % | | | 3/1/25 | | | | 700,000 | | | | 681,162 | (a) |
American Airlines Inc., Senior Secured Notes | | | 7.250 | % | | | 2/15/28 | | | | 360,000 | | | | 365,876 | (a) |
American Airlines Inc., Senior Secured Notes | | | 8.500 | % | | | 5/15/29 | | | | 320,000 | | | | 338,266 | (a) |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | | | 5.750 | % | | | 4/20/29 | | | | 490,000 | | | | 482,038 | (a) |
Delta Air Lines Inc., Senior Notes | | | 2.900 | % | | | 10/28/24 | | | | 1,000,000 | | | | 982,434 | |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | | | 8.000 | % | | | 9/20/25 | | | | 1,038,000 | | | | 788,704 | (a) |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | | | 8.000 | % | | | 9/20/25 | | | | 160,000 | | | | 121,573 | (a) |
United Airlines Inc., Senior Secured Notes | | | 4.625 | % | | | 4/15/29 | | | | 1,270,000 | | | | 1,182,516 | (a) |
| | | | | | | | | | | | | | | | |
Total Passenger Airlines | | | | | | | | | | | | | | | 4,942,569 | |
| | | | | | | | | | | | | | | | |
Trading Companies & Distributors - 2.6% | | | | | | | | | | | | | | | | |
Ashtead Capital Inc., Senior Notes | | | 2.450 | % | | | 8/12/31 | | | | 440,000 | | | | 357,589 | (a) |
Beacon Roofing Supply Inc., Senior Secured Notes | | | 6.500 | % | | | 8/1/30 | | | | 210,000 | | | | 213,275 | (a) |
Boise Cascade Co., Senior Notes | | | 4.875 | % | | | 7/1/30 | | | | 780,000 | | | | 724,402 | (a) |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Trading Companies & Distributors - continued | | | | | | | | | | | | | | | | |
H&E Equipment Services Inc., Senior Notes | | | 3.875 | % | | | 12/15/28 | | | | 1,920,000 | | | $ | 1,760,080 | (a) |
United Rentals North America Inc., Senior Notes | | | 5.500 | % | | | 5/15/27 | | | | 750,000 | | | | 748,425 | |
| | | | | | | | | | | | | | | | |
Total Trading Companies & Distributors | | | | | | | | | | | | | | | 3,803,771 | |
| | | | | | | | | | | | | | | | |
Transportation Infrastructure - 0.5% | | | | | | | | | | | | | | | | |
Gatwick Airport Finance PLC, Senior Secured Notes | | | 4.375 | % | | | 4/7/26 | | | | 600,000 | GBP | | | 731,208 | (c) |
| | | | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | | | | | | | | | 18,560,385 | |
| | | | | | | | | | | | | | | | |
| INFORMATION TECHNOLOGY - 1.2% | | | | | | | | | | | | | | | | |
Communications Equipment - 0.6% | | | | | | | | | | | | | | | | |
Viasat Inc., Senior Notes | | | 7.500 | % | | | 5/30/31 | | | | 620,000 | | | | 450,019 | (a) |
Viasat Inc., Senior Secured Notes | | | 5.625 | % | | | 4/15/27 | | | | 370,000 | | | | 350,627 | (a) |
| | | | | | | | | | | | | | | | |
Total Communications Equipment | | | | | | | | | | | | | | | 800,646 | |
| | | | | | | | | | | | | | | | |
IT Services - 0.2% | | | | | | | | | | | | | | | | |
Acuris Finance US Inc./Acuris Finance SARL, Senior Secured Notes | | | 5.000 | % | | | 5/1/28 | | | | 320,000 | | | | 291,068 | (a) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Software - 0.4% | | | | | | | | | | | | | | | | |
Open Text Holdings Inc., Senior Notes | | | 4.125 | % | | | 2/15/30 | | | | 450,000 | | | | 403,457 | (c) |
Rackspace Finance LLC, Senior Secured Notes | | | 3.500 | % | | | 5/15/28 | | | | 390,000 | | | | 200,850 | (a) |
| | | | | | | | | | | | | | | | |
Total Software | | | | | | | | | | | | | | | 604,307 | |
| | | | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | | | | | | | | | 1,696,021 | |
| | | | | | | | | | | | | | | | |
| MATERIALS - 4.7% | | | | | | | | | | | | | | | | |
Chemicals - 0.8% | | | | | | | | | | | | | | | | |
Braskem Netherlands Finance BV, Senior Notes | | | 5.875 | % | | | 1/31/50 | | | | 600,000 | | | | 464,683 | (c) |
INEOS Quattro Finance 1 PLC, Senior Notes | | | 3.750 | % | | | 7/15/26 | | | | 130,000 | EUR | | | 136,439 | (a) |
Sasol Financing USA LLC, Senior Notes | | | 5.500 | % | | | 3/18/31 | | | | 760,000 | | | | 640,918 | |
| | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | | | | | 1,242,040 | |
| | | | | | | | | | | | | | | | |
Construction Materials - 0.4% | | | | | | | | | | | | | | | | |
Smyrna Ready Mix Concrete LLC, Senior Secured Notes | | | 8.875 | % | | | 11/15/31 | | | | 620,000 | | | | 663,218 | (a) |
| | | | | | | | | | | | | | | | |
Containers & Packaging - 3.0% | | | | | | | | | | | | | | | | |
ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) | | | 6.500 | % | | | 6/30/27 | | | | 400,000 | | | | 134,275 | (a)(g) |
Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC, Senior Secured Notes | | | 6.000 | % | | | 6/15/27 | | | | 580,000 | | | | 563,687 | (a) |
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | | | 5.250 | % | | | 8/15/27 | | | | 500,000 | | | | 315,537 | (a) |
Ball Corp., Senior Notes | | | 2.875 | % | | | 8/15/30 | | | | 830,000 | | | | 709,056 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 9 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Containers & Packaging - continued | | | | | | | | | | | | | | | | |
Ball Corp., Senior Notes | | | 3.125 | % | | | 9/15/31 | | | | 850,000 | | | $ | 723,267 | |
Canpack SA/Canpack US LLC, Senior Notes | | | 3.875 | % | | | 11/15/29 | | | | 750,000 | | | | 664,509 | (a) |
Graphic Packaging International LLC, Senior Notes | | | 3.500 | % | | | 3/1/29 | | | | 750,000 | | | | 675,283 | (a) |
Pactiv LLC, Senior Notes | | | 7.950 | % | | | 12/15/25 | | | | 570,000 | | | | 583,334 | |
| | | | | | | | | | | | | | | | |
Total Containers & Packaging | | | | | | | | | | | | | | | 4,368,948 | |
| | | | | | | | | | | | | | | | |
Metals & Mining - 0.5% | | | | | | | | | | | | | | | | |
First Quantum Minerals Ltd., Secured Notes | | | 9.375 | % | | | 3/1/29 | | | | 660,000 | | | | 684,529 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | | | | | | | | | 6,958,735 | |
| | | | | | | | | | | | | | | | |
| REAL ESTATE - 1.7% | | | | | | | | | | | | | | | | |
Health Care REITs - 0.3% | | | | | | | | | | | | | | | | |
Diversified Healthcare Trust, Senior Notes | | | 4.375 | % | | | 3/1/31 | | | | 590,000 | | | | 442,448 | |
| | | | | | | | | | | | | | | | |
Hotel & Resort REITs - 0.7% | | | | | | | | | | | | | | | | |
Service Properties Trust, Senior Notes | | | 5.500 | % | | | 12/15/27 | | | | 1,120,000 | | | | 1,068,771 | |
| | | | | | | | | | | | | | | | |
Real Estate Management & Development - 0.4% | | | | | | | | | | | | | | | | |
Add Hero Holdings Ltd., Senior Secured Notes (7.500% Cash or 8.500% PIK) | | | 8.500 | % | | | 9/30/29 | | | | 131,514 | | | | 3,698 | (g) |
Add Hero Holdings Ltd., Senior Secured Notes (8.000% Cash or 9.000% PIK) | | | 9.000 | % | | | 9/30/30 | | | | 101,164 | | | | 2,529 | (g) |
Add Hero Holdings Ltd., Senior Secured Notes (8.800% Cash or 9.800% PIK) | | | 9.800 | % | | | 9/30/31 | | | | 131,514 | | | | 2,972 | (g) |
China Aoyuan Group Ltd., Senior Notes, Stepbond (0.000% to 9/30/31 then 1.000%) | | | 0.000 | % | | | 3/30/2173 | | | | 209,051 | | | | 2,337 | |
China Aoyuan Group Ltd., Senior Secured Notes | | | — | | | | 1/23/22 | | | | 400,000 | | | | 8,000 | *(c)(i) |
China Aoyuan Group Ltd., Senior Secured Notes (5.500% PIK) | | | 5.500 | % | | | 9/30/31 | | | | 52,259 | | | | 795 | (g) |
Cushman & Wakefield US Borrower LLC, Senior Secured Notes | | | 8.875 | % | | | 9/1/31 | | | | 160,000 | | | | 169,224 | (a) |
Heimstaden AB, Senior Notes | | | 4.250 | % | | | 3/9/26 | | | | 600,000 | EUR | | | 422,328 | (c) |
| | | | | | | | | | | | | | | | |
Total Real Estate Management & Development | | | | | | | | | | | | | | | 611,883 | |
| | | | | | | | | | | | | | | | |
Specialized REITs - 0.3% | | | | | | | | | | | | | | | | |
Iron Mountain Inc., Senior Notes | | | 7.000 | % | | | 2/15/29 | | | | 410,000 | | | | 418,262 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL REAL ESTATE | | | | | | | | | | | | | | | 2,541,364 | |
| | | | | | | | | | | | | | | | |
| UTILITIES - 0.9% | | | | | | | | | | | | | | | | |
Electric Utilities - 0.5% | | | | | | | | | | | | | | | | |
Eskom Holdings SOC Ltd., Senior Notes | | | 4.314 | % | | | 7/23/27 | | | | 370,000 | | | | 340,722 | (c) |
Vistra Operations Co. LLC, Senior Notes | | | 7.750 | % | | | 10/15/31 | | | | 320,000 | | | | 335,363 | (a) |
| | | | | | | | | | | | | | | | |
Total Electric Utilities | | | | | | | | | | | | | | | 676,085 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Gas Utilities - 0.4% | | | | | | | | | | | | | | | | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes | | | 5.000 | % | | | 6/1/31 | | | | 730,000 | | | $ | 666,076 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | | | | | | | | | 1,342,161 | |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES
(Cost - $119,026,410) | | | | | | | | | | | | | | | 114,555,082 | |
| | | | | | | | | | | | | | | | |
| SOVEREIGN BONDS - 16.4% | | | | | | | | | | | | | | | | |
Angola - 0.7% | | | | | | | | | | | | | | | | |
Angolan Government International Bond, Senior Notes | | | 8.250 | % | | | 5/9/28 | | | | 400,000 | | | | 386,205 | (a) |
Angolan Government International Bond, Senior Notes | | | 8.750 | % | | | 4/14/32 | | | | 620,000 | | | | 571,452 | (a) |
| | | | | | | | | | | | | | | | |
Total Angola | | | | | | | | | | | | | | | 957,657 | |
| | | | | | | | | | | | | | | | |
Argentina - 1.7% | | | | | | | | | | | | | | | | |
Argentine Republic Government International Bond, Senior Notes | | | 1.000 | % | | | 7/9/29 | | | | 193,002 | | | | 104,279 | |
Argentine Republic Government International Bond, Senior Notes, Step bond (0.750% to 7/9/27 then 1.750%) | | | 0.750 | % | | | 7/9/30 | | | | 343,917 | | | | 181,004 | |
Argentine Republic Government International Bond, Senior Notes, Step bond (3.625% to 7/9/24 then 4.125%) | | | 3.625 | % | | | 7/9/35 | | | | 1,349,180 | | | | 562,725 | |
Provincia de Buenos Aires, Senior Notes, Stepbond (6.375% to 9/1/24 then 6.625%) | | | 6.375 | % | | | 9/1/37 | | | | 2,824,428 | | | | 1,161,411 | (a) |
Provincia de Cordoba, Senior Notes | | | 6.875 | % | | | 12/10/25 | | | | 133,336 | | | | 115,864 | (c) |
Provincia de Cordoba, Senior Notes | | | 6.990 | % | | | 6/1/27 | | | | 390,000 | | | | 304,200 | (a) |
| | | | | | | | | | | | | | | | |
Total Argentina | | | | | | | | | | | | | | | 2,429,483 | |
| | | | | | | | | | | | | | | | |
Bahamas - 0.2% | | | | | | | | | | | | | | | | |
Bahamas Government International Bond, Senior Notes | | | 6.950 | % | | | 11/20/29 | | | | 300,000 | | | | 269,599 | (a) |
| | | | | | | | | | | | | | | | |
Bahrain - 0.3% | | | | | | | | | | | | | | | | |
Bahrain Government International Bond, Senior Notes | | | 6.000 | % | | | 9/19/44 | | | | 510,000 | | | | 423,497 | (a) |
| | | | | | | | | | | | | | | | |
Brazil - 0.7% | | | | | | | | | | | | | | | | |
Brazilian Government International Bond, Senior Notes | | | 6.000 | % | | | 4/7/26 | | | | 550,000 | | | | 558,673 | |
Brazilian Government International Bond, Senior Notes | | | 3.750 | % | | | 9/12/31 | | | | 550,000 | | | | 481,507 | |
| | | | | | | | | | | | | | | | |
Total Brazil | | | | | | | | | | | | | | | 1,040,180 | |
| | | | | | | | | | | | | | | | |
Colombia - 0.6% | | | | | | | | | | | | | | | | |
Colombia Government International Bond, Senior Notes | | | 3.250 | % | | | 4/22/32 | | | | 1,100,000 | | | | 859,293 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 11 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Costa Rica - 0.2% | | | | | | | | | | | | | | | | |
Costa Rica Government International Bond, Senior Notes | | | 7.000 | % | | | 4/4/44 | | | | 350,000 | | | $ | 363,521 | (a) |
| | | | | | | | | | | | | | | | |
Dominican Republic - 1.7% | | | | | | | | | | | | | | | | |
Dominican Republic International Bond, Senior Notes | | | 5.500 | % | | | 2/22/29 | | | | 480,000 | | | | 467,164 | (a) |
Dominican Republic International Bond, Senior Notes | | | 4.500 | % | | | 1/30/30 | | | | 410,000 | | | | 374,608 | (a) |
Dominican Republic International Bond, Senior Notes | | | 7.050 | % | | | 2/3/31 | | | | 600,000 | | | | 622,288 | (a) |
Dominican Republic International Bond, Senior Notes | | | 4.875 | % | | | 9/23/32 | | | | 150,000 | | | | 134,741 | (a) |
Dominican Republic International Bond, Senior Notes | | | 4.875 | % | | | 9/23/32 | | | | 410,000 | | | | 368,273 | (c) |
Dominican Republic International Bond, Senior Notes | | | 6.850 | % | | | 1/27/45 | | | | 600,000 | | | | 595,969 | (a) |
| | | | | | | | | | | | | | | | |
Total Dominican Republic | | | | | | | | | | | | | | | 2,563,043 | |
| | | | | | | | | | | | | | | | |
Ecuador - 0.4% | | | | | | | | | | | | | | | | |
Ecuador Government International Bond, Senior Notes | | | 0.000 | % | | | 7/31/30 | | | | 1,270,000 | | | | 628,990 | (a) |
| | | | | | | | | | | | | | | | |
Egypt - 0.8% | | | | | | | | | | | | | | | | |
Egypt Government International Bond, Senior Notes | | | 3.875 | % | | | 2/16/26 | | | | 240,000 | | | | 221,622 | (a) |
Egypt Government International Bond, Senior Notes | | | 6.588 | % | | | 2/21/28 | | | | 300,000 | | | | 274,593 | (c) |
Egypt Government International Bond, Senior Notes | | | 7.600 | % | | | 3/1/29 | | | | 670,000 | | | | 619,114 | (a) |
| | | | | | | | | | | | | | | | |
Total Egypt | | | | | | | | | | | | | | | 1,115,329 | |
| | | | | | | | | | | | | | | | |
Guatemala - 0.4% | | | | | | | | | | | | | | | | |
Guatemala Government Bond, Senior Notes | | | 5.375 | % | | | 4/24/32 | | | | 600,000 | | | | 577,630 | (a) |
| | | | | | | | | | | | | | | | |
Indonesia - 0.6% | | | | | | | | | | | | | | | | |
Indonesia Government International Bond, Senior Notes | | | 3.500 | % | | | 1/11/28 | | | | 1,000,000 | | | | 949,741 | |
| | | | | | | | | | | | | | | | |
Ivory Coast - 0.7% | | | | | | | | | | | | | | | | |
Ivory Coast Government International Bond, Senior Notes | | | 5.750 | % | | | 12/31/32 | | | | 107,389 | | | | 102,512 | (c) |
Ivory Coast Government International Bond, Senior Notes | | | 6.125 | % | | | 6/15/33 | | | | 1,050,000 | | | | 949,478 | (a) |
| | | | | | | | | | | | | | | | |
Total Ivory Coast | | | | | | | | | | | | | | | 1,051,990 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Jordan - 0.5% | | | | | | | | | | | | | | | | |
Jordan Government International Bond, Senior Notes | | | 7.750 | % | | | 1/15/28 | | | | 780,000 | | | $ | 792,437 | (a) |
| | | | | | | | | | | | | | | | |
Kenya - 0.2% | | | | | | | | | | | | | | | | |
Republic of Kenya Government International Bond, Senior Notes | | | 7.250 | % | | | 2/28/28 | | | | 300,000 | | | | 287,076 | (a) |
| | | | | | | | | | | | | | | | |
Mexico - 1.9% | | | | | | | | | | | | | | | | |
Mexican Bonos, Bonds | | | 7.750 | % | | | 5/29/31 | | | | 3,500,000 | MXN | | | 193,656 | |
Mexican Bonos, Senior Notes | | | 7.750 | % | | | 11/23/34 | | | | 22,020,000 | MXN | | | 1,185,354 | |
Mexican Bonos, Senior Notes | | | 7.750 | % | | | 11/13/42 | | | | 14,770,000 | MXN | | | 754,914 | |
Mexico Government International Bond, Senior Notes | | | 2.659 | % | | | 5/24/31 | | | | 700,000 | | | | 585,697 | |
| | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | | | | | 2,719,621 | |
| | | | | | | | | | | | | | | | |
Nigeria - 0.5% | | | | | | | | | | | | | | | | |
Nigeria Government International Bond, Senior Notes | | | 6.500 | % | | | 11/28/27 | | | | 260,000 | | | | 245,082 | (c) |
Nigeria Government International Bond, Senior Notes | | | 7.143 | % | | | 2/23/30 | | | | 350,000 | | | | 318,736 | (a) |
Nigeria Government International Bond, Senior Notes | | | 7.875 | % | | | 2/16/32 | | | | 200,000 | | | | 181,628 | (a) |
| | | | | | | | | | | | | | | | |
Total Nigeria | | | | | | | | | | | | | | | 745,446 | |
| | | | | | | | | | | | | | | | |
Oman - 0.3% | | | | | | | | | | | | | | | | |
Oman Government International Bond, Senior Notes | | | 6.750 | % | | | 1/17/48 | | | | 400,000 | | | | 410,420 | (c) |
| | | | | | | | | | | | | | | | |
Panama - 1.1% | | | | | | | | | | | | | | | | |
Panama Government International Bond, Senior Notes | | | 2.252 | % | | | 9/29/32 | | | | 1,700,000 | | | | 1,217,969 | |
Panama Government International Bond, Senior Notes | | | 4.500 | % | | | 5/15/47 | | | | 500,000 | | | | 346,537 | |
| | | | | | | | | | | | | | | | |
Total Panama | | | | | | | | | | | | | | | 1,564,506 | |
| | | | | | | | | | | | | | | | |
Paraguay - 0.3% | | | | | | | | | | | | | | | | |
Paraguay Government International Bond, Senior Notes | | | 2.739 | % | | | 1/29/33 | | | | 560,000 | | | | 455,996 | (a) |
| | | | | | | | | | | | | | | | |
Peru - 0.2% | | | | | | | | | | | | | | | | |
Peruvian Government International Bond, Senior Notes | | | 2.783 | % | | | 1/23/31 | | | | 400,000 | | | | 343,224 | |
| | | | | | | | | | | | | | | | |
Senegal - 0.2% | | | | | | | | | | | | | | | | |
Senegal Government International Bond, Senior Notes | | | 6.750 | % | | | 3/13/48 | | | | 460,000 | | | | 342,533 | (a) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 13 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
South Africa - 0.2% | | | | | | | | | | | | | | | | |
Republic of South Africa Government International Bond, Senior Notes | | | 5.650 | % | | | 9/27/47 | | | | 380,000 | | | $ | 276,879 | |
| | | | | | | | | | | | | | | | |
Turkey - 1.8% | | | | | | | | | | | | | | | | |
Turkey Government International Bond, Senior Notes | | | 4.250 | % | | | 4/14/26 | | | | 1,590,000 | | | | 1,537,339 | |
Turkey Government International Bond, Senior Notes | | | 4.875 | % | | | 10/9/26 | | | | 700,000 | | | | 679,440 | |
Turkey Government International Bond, Senior Notes | | | 4.875 | % | | | 4/16/43 | | | | 680,000 | | | | 478,972 | |
| | | | | | | | | | | | | | | | |
Total Turkey | | | | | | | | | | | | | | | 2,695,751 | |
| | | | | | | | | | | | | | | | |
Ukraine - 0.2% | | | | | | | | | | | | | | | | |
Ukraine Government International Bond, Senior Notes | | | 7.750 | % | | | 9/1/28 | | | | 200,000 | | | | 65,904 | *(a)(h) |
Ukraine Government International Bond, Senior Notes | | | 7.375 | % | | | 9/25/34 | | | | 600,000 | | | | 175,569 | *(a)(h) |
| | | | | | | | | | | | | | | | |
Total Ukraine | | | | | | | | | | | | | | | 241,473 | |
| | | | | | | | | | | | | | | | |
TOTAL SOVEREIGN BONDS
(Cost - $25,880,433) | | | | | | | | | | | | | | | 24,105,315 | |
| | | | | | | | | | | | | | | | |
| SENIOR LOANS - 3.0% | | | | | | | | | | | | | | | | |
| CONSUMER DISCRETIONARY - 1.7% | | | | | | | | | | | | | | | | |
Automobile Components - 0.4% | | | | | | | | | | | | | | | | |
First Brands Group LLC, 2021 Second Lien Term Loan | | | — | | | | 3/30/28 | | | | 300,000 | | | | 300,688 | (j) |
First Brands Group LLC, 2022 Incremental Term Loan (3 mo. Term SOFR + 5.000%) | | | 10.574 | % | | | 3/30/27 | | | | 249,152 | | | | 249,619 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
Total Automobile Components | | | | | | | | | | | | | | | 550,307 | |
| | | | | | | | | | | | | | | | |
Diversified Consumer Services - 0.1% | | | | | | | | | | | | | | | | |
WW International Inc., Initial Term Loan (1 mo. Term SOFR + 3.614%) | | | 8.945 | % | | | 4/13/28 | | | | 500,000 | | | | 223,125 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
Hotels, Restaurants & Leisure - 1.2% | | | | | | | | | | | | | | | | |
Caesars Entertainment Inc., Incremental Term Loan B1 (3 mo. Term SOFR + 2.750%) | | | 8.040 | % | | | 2/6/31 | | | | 450,000 | | | | 450,913 | (d)(k)(l) |
Fertitta Entertainment LLC, Initial Term Loan B (1 mo. Term SOFR + 3.750%) | | | 9.077 | % | | | 1/27/29 | | | | 498,728 | | | | 500,496 | (d)(k)(l) |
Flutter Entertainment Public Ltd. Co., Term Loan B | | | — | | | | 11/25/30 | | | | 399,000 | | | | 399,890 | (j) |
Station Casinos LLC, Term Loan Facility B | | | — | | | | 3/14/31 | | | | 400,000 | | | | 399,954 | (j) |
| | | | | | | | | | | | | | | | |
Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 1,751,253 | |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | | | | | | | | | 2,524,685 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
| CONSUMER STAPLES - 0.3% | | | | | | | | | | | | | | | | |
Beverages - 0.3% | | | | | | | | | | | | | | | | |
Triton Water Holdings Inc., First Lien Initial Term Loan | | | — | | | | 3/31/28 | | | | 349,103 | | | $ | 345,875 | (j) |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 0.1% | | | | | | | | | | | | | | | | |
Consumer Finance - 0.1% | | | | | | | | | | | | | | | | |
Blackhawk Network Holdings Inc., Term Loan B (1 mo. Term SOFR + 5.000%) | | | 10.327 | % | | | 2/27/29 | | | | 140,000 | | | | 140,402 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
| INFORMATION TECHNOLOGY - 0.9% | | | | | | | | | | | | | | | | |
IT Services - 0.3% | | | | | | | | | | | | | | | | |
Redstone Holdco 2 LP, First Lien Initial Term Loan (1 mo. Term SOFR + 4.864%) | | | 10.195 | % | | | 4/27/28 | | | | 600,000 | | | | 498,252 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
Semiconductors & Semiconductor Equipment - 0.3% | | | | | | | | | | | | | | | | |
MKS Instruments Inc., 2023 Dollar Term Loan B | | | — | | | | 8/17/29 | | | | 448,846 | | | | 449,735 | (j) |
| | | | | | | | | | | | | | | | |
Software - 0.3% | | | | | | | | | | | | | | | | |
DCert Buyer Inc., First Lien Initial Term Loan | | | — | | | | 10/16/26 | | | | 398,961 | | | | 397,593 | (j) |
| | | | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | | | | | | | | | 1,345,580 | |
| | | | | | | | | | | | | | | | |
TOTAL SENIOR LOANS
(Cost - $4,509,406) | | | | | | | | | | | | | | | 4,356,542 | |
| | | | | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.4% | | | | | | | | | | | | | | | | |
U.S. Government Obligations - 1.4% | | | | | | | | | | | | | | | | |
U.S. Treasury Notes | | | 3.250 | % | | | 8/31/24 | | | | 540,000 | | | | 535,455 | |
U.S. Treasury Notes | | | 4.125 | % | | | 1/31/25 | | | | 1,000,000 | | | | 991,902 | |
U.S. Treasury Notes | | | 2.250 | % | | | 11/15/25 | | | | 550,000 | | | | 528,408 | |
| | | | | | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $2,056,359) | | | | | | | | | | | | | | | 2,055,765 | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE BONDS & NOTES - 0.8% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 0.6% | | | | | | | | | | | | | | | | |
Media - 0.6% | | | | | | | | | | | | | | | | |
DISH Network Corp., Senior Notes | | | 3.375 | % | | | 8/15/26 | | | | 1,480,000 | | | | 928,700 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 0.2% | | | | | | | | | | | | | | | | |
Passenger Airlines - 0.2% | | | | | | | | | | | | | | | | |
Spirit Airlines Inc., Senior Notes | | | 1.000 | % | | | 5/15/26 | | | | 590,000 | | | | 278,067 | |
| | | | | | | | | | | | | | | | |
| REAL ESTATE - 0.0%†† | | | | | | | | | | | | | | | | |
Real Estate Management & Development - 0.0%†† | | | | | | | | | | | | | | | | |
China Aoyuan Group Ltd., Senior Notes | | | 0.000 | % | | | 9/30/28 | | | | 18,682 | | | | 235 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS & NOTES
(Cost - $1,984,610) | | | | | | | | | | | | | | | 1,207,002 | |
| | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES - 0.4% | | | | | | | | | | | | | | | | |
Magnetite Ltd., 2015-12A ER (3 mo. Term SOFR + 5.942%) (Cost -$594,445) | | | 11.256 | % | | | 10/15/31 | | | | 600,000 | | | | 583,220 | (a)(d) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 15 |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
| | | | | | | | | | | | |
SECURITY | | EXPIRATION
DATE | | | WARRANTS | | | VALUE | |
| WARRANTS - 0.0%†† | | | | | | | | | | | | |
| INDUSTRIALS - 0.0%†† | | | | | | | | | | | | |
Passenger Airlines - 0.0%†† | | | | | | | | | | | | |
flyExclusive Inc. (Cost - $5,570) | | | 5/28/28 | | | | 5,817 | | | $ | 2,501 | * |
| | | | | | | | | | | | |
| | | |
| | | | | | SHARES | | | | |
| COMMON STOCKS - 0.0%†† | | | | | | | | | | | | |
| REAL ESTATE - 0.0%†† | | | | | | | | | | | | |
Real Estate Management & Development - 0.0%†† | | | | | | | | | | | | |
China Aoyuan Group Ltd. (Cost - $1,049) | | | | | | | 52,259 | | | | 1,055 | * |
| | | | | | | | | | | | |
TOTAL INVESTMENTS - 99.9%
(Cost - $154,058,282) | | | | | | | | | | | 146,866,482 | |
Other Assets in Excess of Liabilities - 0.1% | | | | | | | | | | | 136,693 | |
| | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | $ | 147,003,175 | |
| | | | | | | | | | | | |
| † | 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 has no maturity date. The date shown represents the next call date. |
| (c) | 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. |
| (d) | 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. |
| (e) | Securities traded on a when-issued or delayed delivery basis. |
| (f) | Security is fair valued in accordance with procedures approved by the Board of Trustees (Note 1). |
| (g) | 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. |
| (h) | The coupon payment on this security is currently in default as of March 31, 2024. (i) The maturity principal is currently in default as of March 31, 2024. |
| (j) | All or a portion of this loan has not settled as of March 31, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
| (k) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (l) | 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. |
See Notes to Schedule of Investments.
| | | | |
16 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
WESTERN ASSET VARIABLE GLOBAL HIGH YIELD BOND PORTFOLIO
| | |
| Schedule of investments (unaudited) (cont’d) | | March 31, 2024 |
(Percentages shown based on Portfolio net assets)
Abbreviation(s) used in this schedule:
| | |
| EUR | | — Euro |
| GBP | | — British Pound |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| MXN | | — Mexican Peso |
| PIK | | — Payment-In-Kind |
| SOFR | | — Secured Overnight Financing Rate |
| SONIA | | — Sterling Overnight Index Average |
| USD | | — United States Dollar |
At March 31, 2024, the Portfolio had the following open futures contracts:
| | | | | | | | | | | | | | | | | | | | |
| | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Euro | | | 18 | | | | 6/24 | | | $ | 2,467,125 | | | $ | 2,434,837 | | | $ | 32,288 | |
At March 31, 2024, the Portfolio had the following open forward foreign currency contracts:
| | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| EUR | | | 717,514 | | | | USD | | | | 780,536 | | | Citibank N.A. | | | 4/19/24 | | | $ | (5,785 | ) |
| USD | | | 4,915,429 | | | | EUR | | | | 4,460,538 | | | Citibank N.A. | | | 4/19/24 | | | | 99,070 | |
| USD | | | 4,547,888 | | | | GBP | | | | 3,566,803 | | | Citibank N.A. | | | 4/19/24 | | | | 45,522 | |
| USD | | | 1,090,946 | | | | MXN | | | | 18,400,000 | | | Goldman Sachs Group Inc. | | | 4/19/24 | | | | (12,192 | ) |
| MXN | | | 1,808,064 | | | | USD | | | | 106,709 | | | JPMorgan Chase & Co. | | | 4/19/24 | | | | 1,690 | |
| | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation on open forward foreign currency contracts | | | $ | 128,305 | |
| | | | | | | | | | | | | | | | | | | | | | |
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.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 17 |
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 Portfolio follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(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, including exchange-traded funds (“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. 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.
| | | | |
18 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
Notes to Schedule of Investments (unaudited) (continued)
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 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.
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 19 |
Notes to Schedule of Investments (unaudited) (continued)
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) |
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 | | | — | | | $ | 114,555,082 | | | | — | | | $ | 114,555,082 | |
Sovereign Bonds | | | — | | | | 24,105,315 | | | | — | | | | 24,105,315 | |
Senior Loans | | | — | | | | 4,356,542 | | | | — | | | | 4,356,542 | |
U.S. Government & Agency Obligations | | | — | | | | 2,055,765 | | | | — | | | | 2,055,765 | |
Convertible Bonds & Notes | | | — | | | | 1,207,002 | | | | — | | | | 1,207,002 | |
Asset-Backed Securities | | | — | | | | 583,220 | | | | — | | | | 583,220 | |
Warrants | | $ | 2,501 | | | | — | | | | — | | | | 2,501 | |
Common Stocks | | | 1,055 | | | | — | | | | — | | | | 1,055 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 3,556 | | | $ | 146,862,926 | | | | — | | | $ | 146,866,482 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | |
Futures Contracts†† | | $ | 32,288 | | | | — | | | | — | | | $ | 32,288 | |
Forward Foreign Currency Contracts†† | | | — | | | $ | 146,282 | | | | — | | | | 146,282 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | 32,288 | | | $ | 146,282 | | | | — | | | $ | 178,570 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 35,844 | | | $ | 147,009,208 | | | | — | | | $ | 147,045,052 | |
| | | | | | | | | | | | | | | | |
| | | | |
20 | | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | |
Notes to Schedule of Investments (unaudited) (continued)
| | | | | | | | | | | | | | | | |
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†† | | | — | | | $ | 17,977 | | | | — | | | $ | 17,977 | |
| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
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 March 31, 2024. The following transactions were effected in such company for the period ended March 31, 2024.
| | | | | | | | | | | | | | | | | | | | |
| | | Affiliate
Value at
December 31,
2023 | | | Purchased | | | Sold | |
| | Cost | | | Shares | | | Proceeds | | | Shares | |
| Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 507,052 | | | $ | 14,490,772 | | | | 14,490,772 | | | $ | 14,997,824 | | | | 14,997,824 | |
| | | | | | | | | | | | | | | | |
(cont”d) | | Realized
Gain
(Loss) | | | Dividend
Income | | | Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation) | | | Affiliate
Value at
March 31,
2024 | |
|
| Western Asset Premier Institutional Government Reserves, Premium Shares | | | — | | | $ | 16,153 | | | | — | | | | — | |
| | | | |
| | Western Asset Variable Global High Yield Bond Portfolio 2024 Quarterly Report | | 21 |
