Putnam Capital Manager

Putnam Income Subaccount

The subaccount seeks high current income consistent with what Putnam Management believes to be prudent risk.

Fund description

The subaccount takes a flexible approach to pursuing high current income by diversifying across a range of fixed-income sectors. These sectors include, but are not limited to, investment-grade corporate bonds, mortgage-backed securities, U.S. Treasuries, and high-yield corporate bonds. The subaccount seeks to capitalize on those market sectors and maturities

Sales story

Pursuing income with an all-weather bond portfolioDiverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed, corporate, and government bonds.A flexible strategy: The portfolio managers pursue an attractive level of income, adjusting the portfolio to favor attractive sectors as interest rates and market conditions change.Leading research: The managers, supported by Putnam's fixed-income research division, analyze a range of bonds to build a competitive portfolio.

Management team

Lipper ranking ‡ as of 09/30/19

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 3% 2/75
1 yr. 6% 6/113
3 yrs. 2% 2/102
5 yrs. 28% 26/95

Risk characteristics as of 09/30/19

Avg. Eff. Maturity 7.95
Avg. Eff. Duration 5.16
Avg. Coupon 4.69
Avg. Yield to Maturity 3.68
Alpha (%) --
Beta 0.95
R squared 0.84
Standard deviation (3 yrs.) 3.43

Maturity details

0 to 1 yr. -7.95%
1 to 5 yrs. 51.57%
5 to 10 yrs. 48.91%
10 to 15 yrs. 1.02%
Over 15 yrs. 6.45%

Quality ratings

AAA 63.30%
AA 5.87%
A 12.07%
BBB 21.90%
BB 3.38%
B 3.00%
CCC and Below 1.00%
Not Rated -10.52%

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. 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 net assets. A bond rated Baa or higher (Prime-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. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ 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 10/31/19

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 1104
Turnover (fiscal year end) 566%
Net Assets $251M
Inception Date 02/01/88

Holdings

Fnma Fn30 Tba Umbs 03.0000 10/01/2049 13.99%
Fnma Fn30 Tba Umbs 03.5000 10/01/2049 6.06%
Fnma Fn30 Tba Umbs 04.0000 10/01/2049 4.49%
Gnma Gii30 Tba 04.5000 10/01/2049 2.06%
Gnma Gii30 Tba 03.5000 10/01/2049 2.04%
Gnma Gii30 Tba 04.0000 10/01/2049 1.64%
Bf0101 03.5000 06/01/2056 0.94%
Fnma Fn30 Tba Umbs 06.0000 10/01/2049 0.87%
Fnma Fn30 Tba Umbs 05.5000 10/01/2049 0.85%
Wamu 2005-Ar13 A1c4 02.4484 10/25/2045 0.74%
Top 10 holdings, total: 33.68%


Top 10 holdings as of 09/30/19
1: Fnma Fn30 Tba Umbs 03.0000 10/01/2049 13.99%
2: Fnma Fn30 Tba Umbs 03.5000 10/01/2049 6.06%
3: Fnma Fn30 Tba Umbs 04.0000 10/01/2049 4.49%
4: Gnma Gii30 Tba 04.5000 10/01/2049 2.06%
5: Gnma Gii30 Tba 03.5000 10/01/2049 2.04%
6: Gnma Gii30 Tba 04.0000 10/01/2049 1.64%
7: Bf0101 03.5000 06/01/2056 0.94%
8: Fnma Fn30 Tba Umbs 06.0000 10/01/2049 0.87%
9: Fnma Fn30 Tba Umbs 05.5000 10/01/2049 0.85%
10: Wamu 2005-Ar13 A1c4 02.4484 10/25/2045 0.74%
Holdings represent 33.68% of portfolio
Top 10 holdings as of 08/31/19
1: Fnma Fn30 Tba Umbs 03.0000 09/01/2049 12.60%
2: Fnma Fn30 Tba Umbs 03.5000 09/01/2049 5.95%
3: Fnma Fn30 Tba Umbs 04.0000 09/01/2049 4.41%
4: Gnma Gii30 Tba 04.5000 09/01/2049 2.02%
5: Gnma Gii30 Tba 03.5000 09/01/2049 2.01%
6: Gnma Gii30 Tba 04.0000 09/01/2049 1.61%
7: Bf0101 03.5000 06/01/2056 0.93%
8: Fnma Fn30 Tba Umbs 06.0000 09/01/2049 0.85%
9: Fnma Fn30 Tba Umbs 05.5000 09/01/2049 0.83%
10: Wamu 2005-Ar13 A1c4 02.6960 10/25/2045 0.72%
Holdings represent 31.93% of portfolio
Top 10 holdings as of 07/31/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 9.20%
2: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 5.28%
3: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 4.51%
4: Gnma Gii30 Tba 04.5000 08/01/2049 2.06%
5: Gnma Gii30 Tba 03.5000 08/01/2049 2.05%
6: Gnma Gii30 Tba 04.0000 08/01/2049 1.65%
7: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.96%
8: Bf0101 03.5000 06/01/2056 0.95%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.87%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.85%
Holdings represent 28.38% of portfolio
Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 4.54%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 2.92%
3: Gnma Gii30 Tba 04.5000 07/01/2049 2.11%
4: Gnma Gii30 Tba 03.5000 07/01/2049 2.09%
5: Gnma Gii30 Tba 04.0000 07/01/2049 1.68%
6: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.67%
7: Bf0101 03.5000 06/01/2056 0.98%
8: Fnma Fn40 Bf0169 3.500000 01/01/2057 0.98%
9: Fnma Fn30 Tba Umbs 06.0000 08/01/2049 0.88%
10: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 0.86%
Holdings represent 18.71% of portfolio


Sector Weightings as of 09/30/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 11.70% 0.59 32.86% 1.28 44.56% 1.87
Investment-grade corporate bonds 26.10% 2.12 0.00% 0.00 26.10% 2.12
Commercial MBS 12.08% 0.33 13.83% 0.31 25.91% 0.64
Net cash 22.89% 0.00 0.00% 0.00 22.89% 0.00
Agency CMO 13.34% 0.48 0.38% 0.01 13.72% 0.49
Residential MBS (non-agency) 11.12% 0.35 0.00% 0.00 11.12% 0.35
Asset-backed securities (ABS) 1.47% 0.04 0.00% 0.00 1.47% 0.04
High-yield corporate bonds 1.30% 0.05 0.00% 0.00 1.30% 0.05
Interest rate swaps 0.00% 0.00 0.00% 0.20 0.00% 0.20
U.S. Treasury/agency 0.00% 0.00 0.00% 1.79 0.00% 1.79

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 derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. 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 net assets. A bond rated Baa or higher (Prime-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. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 09/30/19

United States 94.27%
Canada 1.23%
Bermuda 1.19%
United Kingdom 0.94%
France 0.57%
Netherlands 0.43%
Spain 0.35%
Japan 0.26%
Australia 0.23%
 
Other
0.53%
Switzerland 0.20%
Germany 0.14%
Ireland 0.11%
Luxembourg 0.07%
Norway 0.01%