Putnam Capital Manager

Putnam Diversified Income Subaccount

The subaccount seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.

Fund description

The subaccount seeks income from three sectors: U.S. corporate and government investment-grade bonds, foreign bonds, and higher-yielding, lower-rated corporate bonds. The benchmark allocation for each sector is typically one-third of total assets. The management team can adjust the weightings and may allocate from 15%-65% of assets to each sector. By diversifying its assets, the subaccount seeks to reduce the risk of overexposure to any one sector.

Sales story

Offering a diversified portfolio of income opportunities Diverse income opportunities: The fund provides exposure to bonds in all sectors of the expanding global fixed-income market and across the complete credit spectrum.Multiple strategies: Putnam's bond specialists employ 70-80 active investment strategies to pursue a diverse range of opportunities for performance.Active risk management: In today's complex bond market, the fund's experienced managers actively manage risk with the goal of superior risk-adjusted performance over time.

Management team

Lipper ranking ‡ as of 06/30/20

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 67% 10/14
1 yr. 98% 36/36
3 yrs. 88% 27/30
5 yrs. 74% 19/25

Risk characteristics as of 06/30/20

Avg. Eff. Maturity 4.92
Avg. Eff. Duration 2.70
Avg. Coupon 5.25
Avg. Yield to Maturity 7.64
Alpha (%) --
Beta --
R squared --
Standard deviation (3 yrs.) 8.08

Maturity details

0 to 1 yr. -10.73%
1 to 5 yrs. 71.40%
5 to 10 yrs. 27.27%
10 to 15 yrs. 3.64%
Over 15 yrs. 8.42%

Quality ratings

AAA 55.40%
AA 1.64%
A 0.91%
BBB 11.26%
BB 20.64%
B 9.15%
CCC and Below 5.73%
Not Rated -4.73%

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Quick facts as of 07/31/20

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 1623
Turnover (fiscal year end) 987%
Net Assets $184M
Inception Date 09/15/93

Holdings

Fnma Fn30 Tba Umbs 03.5000 07/01/2050 16.84%
Fnma Fn30 Tba Umbs 04.0000 07/01/2050 10.18%
Fnma Fn30 Tba Umbs 05.5000 07/01/2050 1.76%
Gnma Gii30 Tba 04.0000 07/01/2050 1.70%
Fnma Fn30 Tba Umbs 04.5000 07/01/2050 1.15%
Republic Of Senegal Regs 06.7500 03/13/2048 0.79%
Ivory Coast Regs 06.1250 06/15/2033 0.74%
Fnr 2019-57 Ks Io 05.8655 10/25/2049 0.68%
Republic Of Senegal Regs 06.2500 05/23/2033 0.68%
Cwalt 2006-Oa10 4a1 00.3745 08/25/2046 0.68%
Top 10 holdings, total: 35.20%


Top 10 holdings as of 06/30/20
1: Fnma Fn30 Tba Umbs 03.5000 07/01/2050 16.84%
2: Fnma Fn30 Tba Umbs 04.0000 07/01/2050 10.18%
3: Fnma Fn30 Tba Umbs 05.5000 07/01/2050 1.76%
4: Gnma Gii30 Tba 04.0000 07/01/2050 1.70%
5: Fnma Fn30 Tba Umbs 04.5000 07/01/2050 1.15%
6: Republic Of Senegal Regs 06.7500 03/13/2048 0.79%
7: Ivory Coast Regs 06.1250 06/15/2033 0.74%
8: Fnr 2019-57 Ks Io 05.8655 10/25/2049 0.68%
9: Republic Of Senegal Regs 06.2500 05/23/2033 0.68%
10: Cwalt 2006-Oa10 4a1 00.3745 08/25/2046 0.68%
Holdings represent 35.20% of portfolio
Top 10 holdings as of 05/31/20
1: Fnma Fn30 Tba Umbs 04.0000 07/01/2050 10.48%
2: Fnma Fn30 Tba Umbs 05.5000 06/01/2050 1.81%
3: Gnma Gii30 Tba 04.5000 06/01/2050 1.76%
4: Gnma Gii30 Tba 04.0000 06/01/2050 1.75%
5: Fnma Fn30 Tba Umbs 02.5000 07/01/2050 1.70%
6: Republic Of Senegal Regs 06.7500 03/13/2048 0.74%
7: Fnr 2019-57 Ks Io 05.8818 10/25/2049 0.74%
8: Ivory Coast Regs 06.1250 06/15/2033 0.74%
9: Fnr 2017-32 Io 05.9818 05/25/2047 0.69%
10: Cwalt 2006-Oa10 4a1 00.3583 08/25/2046 0.68%
Holdings represent 21.09% of portfolio
Top 10 holdings as of 04/30/20
1: Fnma Fn30 Tba Umbs 04.0000 07/01/2050 7.18%
2: Fnma Fn30 Tba Umbs 04.0000 06/01/2050 3.59%
3: Fnma Fn30 Tba Umbs 05.5000 05/01/2050 1.85%
4: Gnma Gii30 Tba 04.5000 05/01/2050 1.80%
5: Gnma Gii30 Tba 04.0000 05/01/2050 1.79%
6: United Mexican States Usd 05.5500 01/21/2045 1.05%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.97%
8: Fnr 2019-57 Ks Io 05.5628 10/25/2049 0.73%
9: Fnr 2017-32 Io 05.6628 05/25/2047 0.70%
10: Republic Of Senegal Regs 06.7500 03/13/2048 0.70%
Holdings represent 20.36% of portfolio
Top 10 holdings as of 03/31/20
1: Fnma Fn30 Tba Umbs 04.0000 04/01/2050 10.88%
2: Fnma Fn30 Tba Umbs 05.5000 04/01/2050 1.86%
3: Gnma Gii30 Tba 04.0000 04/01/2050 1.81%
4: Gnma Gii30 Tba 04.5000 04/01/2050 1.80%
5: Fnma Fn30 Tba Umbs 03.5000 04/01/2050 1.20%
6: United Mexican States Usd 05.5500 01/21/2045 1.15%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.96%
8: Federative Rep Of Brazil Usd 04.6250 01/13/2028 0.75%
9: Republic Of Senegal Regs 06.7500 03/13/2048 0.70%
10: Fnr 2019-57 Ks Io 05.1034 10/25/2049 0.68%
Holdings represent 21.79% of portfolio


Sector Weightings as of 06/30/20

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 0.40% 0.02 33.95% 0.96 34.35% 0.98
Net cash 22.24% 0.00 0.00% 0.00 22.24% 0.00
Agency CMO 18.32% 0.58 0.42% 0.02 18.74% 0.60
Commercial MBS 6.80% 0.16 11.68% 0.08 18.48% 0.24
High-yield corporate bonds 14.99% 0.60 0.00% 0.00 14.99% 0.60
Emerging-market bonds 12.34% 0.79 0.00% 0.00 12.34% 0.79
Residential MBS (non-agency) 10.90% 0.53 0.00% 0.00 10.90% 0.53
Convertible securities 5.64% 0.08 0.00% 0.00 5.64% 0.08
Investment-grade corporate bonds 3.92% 0.19 0.00% 0.00 3.92% 0.19
Asset-backed securities (ABS) 2.65% 0.10 0.00% 0.00 2.65% 0.10
Bank loans 1.66% 0.07 0.00% 0.00 1.66% 0.07
Equity investments 0.14% 0.00 0.00% 0.00 0.14% 0.00
Interest rate swaps 0.00% 0.00 0.00% -0.82 0.00% -0.82
International Treasury/agency 0.00% 0.00 0.00% -0.26 0.00% -0.26
U.S. Treasury/agency 0.00% 0.00 0.00% -1.52 0.00% -1.52

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Consider these risks before investing: Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. International investing involves currency, economic, and political risks. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 06/30/20

United States 85.89%
Indonesia 1.67%
Ivory Coast 1.53%
Senegal 1.46%
Dominican Republic 1.33%
Brazil 1.14%
Canada 1.02%
Egypt 1.01%
Argentina 0.89%
 
Other
4.06%
Mexico 0.57%
Bahrain 0.46%
South Africa 0.44%
United Kingdom 0.42%
Vietnam 0.35%
Qatar 0.31%
Kenya 0.30%
Ireland 0.26%
Bermuda 0.25%
El Salvador 0.25%
Israel 0.21%
Luxembourg 0.19%
Russia 0.19%
Chile 0.15%
Jamaica 0.14%
New Zealand 0.12%
Norway 0.12%
Italy 0.11%
France 0.10%
Switzerland 0.09%
Netherlands 0.08%
Venezuela 0.08%
Cayman Islands 0.06%
Cash and net other assets -0.01%
Singapore -0.01%
Sweden -0.02%
Japan -0.08%
Czech Republic -0.13%
European Community -0.94%