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 02/29/24

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 65% 11/16
1 yr. 33% 9/27
3 yrs. 53% 13/24
5 yrs. 73% 18/24

Risk characteristics as of 02/29/24

Avg. Eff. Maturity 4.14
Avg. Eff. Duration 4.22
Avg. Coupon 5.85
Avg. Yield to Maturity 5.28
Alpha (%) --
Beta --
R squared --
Standard deviation (3 yrs.) 4.89

Maturity details

0 to 1 yr. 6.99%
1 to 5 yrs. 47.28%
5 to 10 yrs. 43.10%
10 to 15 yrs. 2.62%
Over 15 yrs. 0.02%

Quality ratings

AAA 13.09%
AA 1.51%
A 1.99%
BBB 9.25%
BB 17.97%
B 7.12%
CCC and Below 4.02%
Not Rated 12.05%
Net cash 33.01%

‡ 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 02/29/24

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 648
Turnover (fiscal year end) 1,417%
Net Assets $109M
Inception Date 09/15/93

Holdings

Fnma Fn30 Tba Umbs 06.0000 03/01/2054 14.71%
Fnma Fn30 Tba Umbs 06.5000 03/01/2054 8.38%
Gnma Gii30 Tba 04.5000 03/01/2054 3.50%
Gnma Gii30 Tba 05.5000 03/01/2054 2.73%
Gnma Gii30 Tba 04.0000 03/01/2054 2.56%
Stacr 2016-Dna1 B 15.4361 07/25/2028 1.04%
Cas 2016-C02 1b 17.6861 09/25/2028 1.04%
Fnma Fn30 Tba Umbs 02.5000 03/01/2054 0.75%
Cwalt 2006-Oa10 4a1 05.8154 08/25/2046 0.66%
United Mexican States Usd 02.6590 05/24/2031 0.58%
Top 10 holdings, total: 35.95%


Top 10 holdings as of 02/29/24
1: Fnma Fn30 Tba Umbs 06.0000 03/01/2054 14.71%
2: Fnma Fn30 Tba Umbs 06.5000 03/01/2054 8.38%
3: Gnma Gii30 Tba 04.5000 03/01/2054 3.50%
4: Gnma Gii30 Tba 05.5000 03/01/2054 2.73%
5: Gnma Gii30 Tba 04.0000 03/01/2054 2.56%
6: Stacr 2016-Dna1 B 15.4361 07/25/2028 1.04%
7: Cas 2016-C02 1b 17.6861 09/25/2028 1.04%
8: Fnma Fn30 Tba Umbs 02.5000 03/01/2054 0.75%
9: Cwalt 2006-Oa10 4a1 05.8154 08/25/2046 0.66%
10: United Mexican States Usd 02.6590 05/24/2031 0.58%
Holdings represent 35.95% of portfolio
Top 10 holdings as of 01/31/24
1: Fnma Fn30 Tba Umbs 06.0000 02/01/2054 15.68%
2: Fnma Fn30 Tba Umbs 06.5000 02/01/2054 8.38%
3: Fnma Fn30 Tba Umbs 05.5000 02/01/2054 3.65%
4: Gnma Gii30 Tba 04.5000 02/01/2054 3.55%
5: Gnma Gii30 Tba 05.5000 02/01/2054 2.75%
6: Gnma Gii30 Tba 04.0000 02/01/2054 2.60%
7: Fnma Fn30 Tba Umbs 05.0000 02/01/2054 1.80%
8: Fnma Fn30 Tba Umbs 03.5000 02/01/2054 1.66%
9: Cas 2016-C02 1b 17.7091 09/25/2028 1.04%
10: Stacr 2016-Dna1 B 15.4591 07/25/2028 1.04%
Holdings represent 42.14% of portfolio
Top 10 holdings as of 12/31/23
1: Fnma Fn30 Tba Umbs 06.0000 01/01/2054 21.26%
2: Fnma Fn30 Tba Umbs 06.5000 01/01/2054 8.39%
3: Gnma Gii30 Tba 04.5000 01/01/2054 3.55%
4: Gnma Gii30 Tba 05.5000 01/01/2054 2.75%
5: Gnma Gii30 Tba 04.0000 01/01/2054 2.61%
6: Fnma Fn30 Tba Umbs 05.0000 01/01/2054 1.80%
7: Fnma Fn30 Tba Umbs 03.5000 01/01/2054 1.67%
8: Fnma Fn30 Tba Umbs 02.5000 01/01/2054 1.55%
9: Republic Of Indonesia Usd 02.8500 02/14/2030 1.07%
10: Stacr 2016-Dna1 B 15.4519 07/25/2028 1.03%
Holdings represent 45.68% of portfolio
Top 10 holdings as of 11/30/23
1: Fnma Fn30 Tba Umbs 06.0000 01/01/2054 21.25%
2: Fnma Fn30 Tba Umbs 06.5000 01/01/2054 8.42%
3: Gnma Gii30 Tba 04.5000 12/01/2053 3.49%
4: Gnma Gii30 Tba 05.5000 12/01/2053 2.74%
5: Gnma Gii30 Tba 04.0000 12/01/2053 2.55%
6: Fnma Fn30 Tba Umbs 05.0000 01/01/2054 1.77%
7: Fnma Fn30 Tba Umbs 03.5000 01/01/2054 1.62%
8: Fnma Fn30 Tba Umbs 02.5000 01/01/2054 1.50%
9: Republic Of Indonesia Usd 02.8500 02/14/2030 1.05%
10: Stacr 2016-Dna1 B 15.4426 07/25/2028 1.05%
Holdings represent 45.43% of portfolio


Portfolio composition as of 02/29/24

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Net cash 33.01% 0.00 0.00% 0.00 33.01% 0.00
Agency pass-through 0.14% 0.01 25.74% 0.82 25.88% 0.82
High-yield corporate bonds 11.96% 0.43 6.16% 0.24 18.12% 0.67
Emerging-market bonds 11.13% 0.54 1.48% 0.00 12.61% 0.54
Agency CMO 12.12% 0.50 0.00% 0.00 12.12% 0.50
Residential MBS (non-agency) 9.58% 0.27 0.00% 0.00 9.58% 0.27
Commercial MBS 7.33% 0.19 -0.29% -0.01 7.04% 0.18
Investment-grade corporate bonds 6.40% 0.25 0.00% 0.00 6.40% 0.25
Bank loans 4.45% 0.17 0.00% 0.00 4.45% 0.17
Convertible securities 3.00% 0.05 0.00% 0.00 3.00% 0.05
Asset-backed securities (ABS) 0.86% 0.00 0.00% 0.00 0.86% 0.00
Equity investments 0.01% 0.00 0.00% 0.00 0.01% 0.00
Interest rate swaps 0.00% 0.00 0.00% 1.11 0.00% 1.11
International Treasury/agency 0.00% 0.00 0.00% -0.08 0.00% -0.08
U.S. Treasury/agency 0.00% 0.00 0.00% -0.49 0.00% -0.49

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 02/29/24

United States 86.28%
Brazil 1.13%
Mexico 1.08%
France 0.89%
Canada 0.84%
Dominican Republic 0.72%
Colombia 0.69%
Romania 0.55%
Vietnam 0.55%
 
Other
7.27%
Serbia 0.48%
Egypt 0.48%
Benin 0.48%
Côte d'Ivoire 0.47%
Germany 0.40%
Guatemala 0.39%
Indonesia 0.37%
Bermuda 0.37%
Chile 0.34%
India 0.34%
South Africa 0.32%
Sweden 0.29%
Austria 0.27%
Israel 0.24%
Nigeria 0.24%
Netherlands 0.23%
Paraguay 0.21%
Czech Republic 0.20%
Turkey 0.20%
Argentina 0.20%
Kenya 0.19%
Costa Rica 0.19%
Cameroon 0.18%
Tanzania 0.18%
Cayman Islands 0.18%
Mongolia 0.18%
United Kingdom 0.17%
Gabon 0.17%
Mozambique 0.16%
Ghana 0.14%
Luxembourg 0.05%
Norway 0.05%
China 0.03%
New Zealand 0.01%
Thailand 0.01%
Japan -0.01%
Singapore -0.01%
Poland -0.02%
European Community -0.28%
Australia -0.87%